Filed Pursuant to Rule 424(b)(2) | |
Registration No. 333-228614 | |
Pricing Supplement dated July 31, 2019 to the
Prospectus dated December 26, 2018,
The Bank of Nova Scotia $2,898,000 Market Linked Securities – Auto-Callable with Fixed Percentage Buffered Downside, Principal at Risk Securities Linked to the SPDR® S&P® Oil & Gas Exploration & Production ETF Due August 5, 2022 |
Call Date | Call Premium | |
August 5, 2020 | 10.50% of the Principal Amount | |
August 5, 2021 | 21.00% of the Principal Amount | |
July 29, 2022 (which is also the Final Calculation Day) | 31.50% of the Principal Amount |
● | if the Ending Price is less than the Starting Price but not by more than 15.00% (the Percentage Change is negative but not below -15.00%), you will receive an amount in cash equal to $1,000; or |
● | if the Ending Price is less than the Starting Price by more than 15.00% (the Percentage Change is negative and below -15.00%), you will receive less than $1,000 and have 1-to-1 downside exposure to the portion of such decrease in the Reference Asset that exceeds 15.00%. In this case, you will receive an amount in cash equal to the sum of: (1) $1,000 plus (2) the product of (i) $1,000 times (ii) the sum of the Percentage Change plus 15.00%. |
Per Security | Total | |
Price to public1 | 100.00% | $2,898,000.00 |
Underwriting commissions2 | 2.80% | $81,144.00 |
Proceeds to The Bank of Nova Scotia3 | 97.20% | $2,816,856.00 |
Scotia Capital (USA) Inc. | Wells Fargo Securities, LLC. |
Summary
The information in this "Summary" section is qualified by the more detailed information set forth in this pricing supplement, and the accompanying prospectus, prospectus supplement, and product prospectus supplement. See "Additional Terms of the Securities" in this pricing supplement.
Issuer: | The Bank of Nova Scotia (the "Bank") |
Issue: | Senior Note Program, Series A |
CUSIP/ISIN: | 064159PK6 / US064159PK61 |
Type of Securities: | Market Linked Securities – Auto-Callable with Fixed Percentage Buffered Downside, Principal at Risk Securities |
Reference Asset: | SPDR® S&P® Oil & Gas Exploration & Production ETF (Bloomberg Ticker: XOP) |
Minimum Investment and Denominations: | $1,000 and integral multiples of $1,000 in excess thereof |
Principal Amount: | $1,000 per Security |
Original Offering Price: | 100.00% of the Principal Amount of each Security |
Currency: | U.S. Dollars. |
Pricing Date: | July 31, 2019 |
Trade Date: | July 31, 2019 |
Original Issue Date: | August 6, 2019 Delivery of the Securities will be made against payment therefor on the 3rd Business Day following the Trade Date (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), trades in the secondary market generally are required to settle in 2 Business Days (T+2), unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Securities on the Trade Date will be required, by virtue of the fact that each Security initially will settle in 3 Business Days (T+3), to specify alternative settlement arrangements to prevent a failed settlement. |
Maturity Date: | August 5, 2022 or, if such day is not a Business Day, the next succeeding Business Day. If the scheduled Final Calculation Day is not a Trading Day or if a market disruption event occurs or is continuing on the day that would otherwise be the Final Calculation Day so that the Final Calculation Day as postponed falls less than two Business Days prior to the scheduled Maturity Date, the Maturity Date will be postponed to the second Business Day following the Final Calculation Day as postponed. |
Final Calculation Day: | July 29, 2022 or, if such day is not a Trading Day, the next succeeding Trading Day. The Final Calculation Day is also subject to postponement due to the occurrence of a market disruption event. See “—Postponement of a Calculation Day” below. |
Trading Day: | A “Trading Day” with respect to the Reference Asset means a day, as determined by the Calculation Agent, on which the relevant exchange and each related futures or options exchange with respect to the Reference Asset or any successor thereto, if applicable, are scheduled to be open for trading for their respective regular trading sessions. |
Principal at Risk: | You may lose a substantial portion of your initial investment at maturity if the Securities are not automatically called and there is a percentage decrease from the Starting Price to the Ending Price of more than 15.00%. |
Automatic Call Feature: | If the Fund Closing Price of the Reference Asset on any Call Date (including the Final Calculation Day) is greater than or equal to the Starting Price, the Securities will be automatically called, and on the related Call Settlement Date you will be entitled to receive a cash payment per Security in U.S. dollars equal to the Principal Amount per Security plus the Call Premium applicable to the relevant Call Date. The last Call Date is the Final Calculation Day, and payment upon an automatic call on the Final Calculation Day, if applicable, will be made on the Maturity Date. Any positive return on the Securities will be limited to the applicable Call Premium, even if the Fund Closing Price of the Reference Asset on the applicable Call Date significantly exceeds the Starting Price. You will not participate in any appreciation of the Reference Asset beyond the applicable fixed Call Premium. If the Securities are automatically called, they will cease to be outstanding on the related Call Settlement Date and you will have no further rights under the Securities after such Call Settlement Date. You will not receive any notice from us if the Securities are automatically called. |
Call Dates and Call Premiums: | Call Date | Call Premium | Payment per Security upon an Automatic Call |
August 5, 2020 | 10.50% of the Principal Amount | $1,105.00 | |
August 5, 2021 | 21.00% of the Principal Amount | $1,210.00 | |
July 29, 2022* | 31.50% of the Principal Amount | $1,315.00 |
* July 29, 2022 is also the Final Calculation Day. | |
The Call Dates are subject to postponement for non-Trading Days and the occurrence of a market disruption event. See “—Postponement of a Calculation Day” below. |
Call Settlement Date: | Five business days after the applicable Call Date (as each such Call Date may be postponed pursuant to “—Postponement of a Calculation Day” below, if applicable); provided that the Call Settlement Date for the last Call Date is the Maturity Date. |
Fees and Expenses: | Scotia Capital (USA) Inc. or one of our affiliates has agreed to purchase the aggregate Principal Amount of the Securities and as part of the distribution, has agreed to sell the Securities to WFS at a discount of $28.00 (2.80%) per $1,000 Principal Amount of the Securities. WFS will provide selected dealers, which may include Wells Fargo Advisors (“WFA”), with a selling concession of $17.50 (1.75%) per $1,000 Principal Amount of the Securities, and WFA will receive a distribution expense fee of $0.75 (0.075%) per $1,000 Principal Amount of the Securities for Securities sold by WFA. The price at which you purchase the Securities includes costs that the Bank, the Underwriters or their respective affiliates expect to incur and profits that the Bank, the Underwriters or their respective affiliates expect to realize in connection with hedging activities related to the Securities, as set forth above. These costs and profits will likely reduce the secondary market price, if any secondary market develops, for the Securities. As a result, you may experience an immediate and substantial decline in the market value of your Securities on the Pricing Date. See "Additional Risks—The Inclusion of Dealer Spread and Projected Profit from Hedging in the Original Offering Price is Likely to Adversely Affect Secondary Market Prices" in this pricing supplement. |
Redemption Amount at Maturity: | If the Securities are not automatically called on any Call Date (including the Final Calculation Day), the Redemption Amount at Maturity will be based on the performance of the Reference Asset and will be calculated as follows: ● If the Ending Price is less than the Starting Price and greater than or equal to the Threshold Price, the Redemption Amount at Maturity will equal: $1,000; or |
● If the Ending Price is less than the Threshold Price, the Redemption Amount at Maturity will equal: Principal Amount + [Principal Amount × (Percentage Change + Threshold Percentage)] In this case you will have 1-to-1 downside exposure to the portion of such decrease in the Reference Asset that exceeds 15.00%. Accordingly, you could lose up to 85.00% of your initial investment. | |
Starting Price: | $25.03 |
Ending Price: | The Fund Closing Price of the Reference Asset on the Final Calculation Day. |
Fund Closing Price: | The Fund Closing Price with respect to the Reference Asset on any Trading Day means the product of (i) the closing price of one share of the Reference Asset (or one unit of any other security for which a Fund Closing Price must be determined) on such Trading Day and (ii) the Adjustment Factor applicable to the Reference Asset on such Trading Day. |
Closing Price: | The Closing Price for one share of the Reference Asset (or one unit of any other security for which a closing price must be determined) on any trading day means the official closing price on such day published by the principal United States securities exchange registered under the Exchange Act on which the Reference Asset (or any such other security) is listed or admitted to trading. In certain special circumstances, the Closing Price will be determined by the Calculation Agent. See “—Market Disruption Events” and “—Postponement of a Calculation Day” below. |
Adjustment Factor: | The Adjustment Factor means, with respect to a share of the Reference Asset (or one unit of any other security for which a Fund Closing Price must be determined), 1.0, subject to adjustment in the event of certain events affecting the shares of the Reference Asset. See “—Anti-dilution Adjustments Relating to the Reference Asset” below. |
Percentage Change: | The Percentage Change, expressed as a percentage, with respect to the Redemption Amount at Maturity, is calculated as follows: Ending Price – Starting Price Starting Price For the avoidance of doubt, because the Percentage Change will be calculated only if the Fund Closing Price of the Reference Asset is less than the Starting Price on each Call Date, including the Final Calculation Day, the Percentage Change will be a negative value. |
Threshold Price: | $21.2755, which is equal to the Starting Price multiplied by the difference of 100.00% minus the Threshold Percentage. |
Threshold Percentage: | 15.00% |
Market Disruption Event: | For purposes of the Securities, the definition of “market disruption event” set forth in the product prospectus supplement is superseded. For purposes of the Securities, a “market disruption event” means any of the following events as determined by the Calculation Agent in its sole discretion: (A) The occurrence or existence of a material suspension of or limitation imposed on trading by the relevant exchange or otherwise relating to the shares (or other applicable securities) of the Reference Asset or any successor fund on the relevant exchange at any time during the one-hour period that ends at the close of trading on such day, whether by reason of movements in price exceeding limits permitted by such relevant exchange or otherwise. (B) The occurrence or existence of a material suspension of or limitation imposed on trading by any related futures or options exchange or otherwise in futures or options contracts relating to the shares (or other applicable securities) of the Reference Asset or any successor fund on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on that day, whether by reason of movements in price exceeding limits permitted by the related futures or options exchange or otherwise. (C) The occurrence or existence of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for, shares (or other applicable securities) of the Reference Asset or any successor fund on the relevant exchange at any time during the one-hour period that ends at the close of trading on that day. (D) The occurrence or existence of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for, futures or options contracts relating to shares (or other applicable securities) of the Reference Asset or any successor fund on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on that day. (E) The closure of the relevant exchange or any related futures or options exchange with respect to the Reference Asset or any successor fund prior to its scheduled closing time unless the earlier closing time is announced by the relevant exchange or related futures or options exchange, as applicable, at least one hour prior to the earlier of (1) the actual closing time for the regular trading session on such relevant exchange or related futures or options exchange, as applicable, and (2) the submission deadline for orders to be entered into the relevant exchange or related futures or options exchange, as applicable, system for execution at the close of trading on that day. |
| (F) The relevant exchange or any related futures or options exchange with respect to the Reference Asset or any successor fund fails to open for trading during its regular trading session. For purposes of determining whether a market disruption event has occurred: (1) “close of trading” means the scheduled closing time of the relevant exchange with respect to the Reference Asset or any successor fund; and (2) the “scheduled closing time” of the relevant exchange or any related futures or options exchange on any trading day for the Reference Asset or any successor fund means the scheduled weekday closing time of such relevant exchange or related futures or options exchange on such trading day, without regard to after hours or any other trading outside the regular trading session hours. |
Anti-dilution Adjustments Relating to the Reference Asset: | The Calculation Agent will adjust the adjustment factor as specified below if any of the events specified below occurs with respect to the Reference Asset and the effective date or ex-dividend date, as applicable, for such event is after the pricing date and on or prior to the final calculation day. The adjustments specified below do not cover all events that could affect the Reference Asset, and there may be other events that could affect the Reference Asset for which the Calculation Agent will not make any such adjustments, including, without limitation, an ordinary cash dividend. Nevertheless, the Calculation Agent may, in its sole discretion, make additional adjustments to any terms of the securities upon the occurrence of other events that affect or could potentially affect the market price of, or shareholder rights in, the Reference Asset, with a view to offsetting, to the extent practical, any such change, and preserving the relative investment risks of the securities. In addition, the Calculation Agent may, in its sole discretion, make adjustments or a series of adjustments that differ from those described herein if the Calculation Agent determines that such adjustments do not properly reflect the economic consequences of the events specified in this pricing supplement or would not preserve the relative investment risks of the securities. All determinations made by the Calculation Agent in making any adjustments to the terms of the securities, including adjustments that are in addition to, or that differ from, those described in this pricing supplement, will be made in good faith and a commercially reasonable manner, with the aim of ensuring an equitable result. In determining whether to make any adjustment to the terms of the securities, the Calculation Agent may consider any adjustment made by the Options Clearing Corporation or any other equity derivatives clearing organization on options contracts on the Reference Asset. For any event described below, the Calculation Agent will not be required to adjust the adjustment factor unless the adjustment would result in a change to the adjustment factor then in effect of at least 0.10%. The adjustment factor resulting from any adjustment will be rounded up or down, as appropriate, to the nearest one-hundred thousandth. (A) Stock Splits and Reverse Stock Splits If a stock split or reverse stock split has occurred, then once such split has become effective, the adjustment factor will be adjusted to equal the product of the prior adjustment factor and the number of securities which a holder of one share (or other applicable security) of the Reference Asset before the effective date of such stock split or reverse stock split would have owned or been entitled to receive immediately following the applicable effective date. (B) Stock Dividends If a dividend or distribution of shares (or other applicable securities) to which the securities are linked has been made by the Reference Asset ratably to all holders of record of such shares (or other applicable security), then the adjustment factor will be adjusted on the ex-dividend date to equal the prior adjustment factor plus the product of the prior adjustment factor and the number of shares (or other applicable security) of the Reference Asset which a holder of one share (or other applicable security) of the Reference Asset before the ex-dividend date would have owned or been entitled to receive immediately following that date; provided, however, that no adjustment will be made for a distribution for which the number of securities of the Reference Asset paid or distributed is based on a fixed cash equivalent value. (C) Extraordinary Dividends If an extraordinary dividend (as defined below) has occurred, then the adjustment factor will be adjusted on the ex-dividend date to equal the product of the prior adjustment factor and a fraction, the numerator of which is the |
closing price per share (or other applicable security) of the Reference Asset on the trading day preceding the ex-dividend date, and the denominator of which is the amount by which the closing price per share (or other applicable security) of the Reference Asset on the trading day preceding the ex-dividend date exceeds the extraordinary dividend amount (as defined below). For purposes of determining whether an extraordinary dividend has occurred: (1) “extraordinary dividend” means any cash dividend or distribution (or portion thereof) that the Calculation Agent determines, in its sole discretion, is extraordinary or special; and (2) “extraordinary dividend amount” with respect to an extraordinary dividend for the securities of the Reference Asset will equal the amount per share (or other applicable security) of the Reference Asset of the applicable cash dividend or distribution that is attributable to the extraordinary dividend, as determined by the Calculation Agent in its sole discretion. A distribution on the securities of the Reference Asset described below under the section entitled “—Reorganization Events” below that also constitutes an extraordinary dividend will only cause an adjustment pursuant to that “—Reorganization Events” section. (D) Other Distributions If the Reference Asset declares or makes a distribution to all holders of the shares (or other applicable security) of the Reference Asset of any non-cash assets, excluding dividends or distributions described under the section entitled “—Stock Dividends” above, then the Calculation Agent may, in its sole discretion, make such adjustment (if any) to the adjustment factor as it deems appropriate in the circumstances. If the Calculation Agent determines to make an adjustment pursuant to this paragraph, it will do so with a view to offsetting, to the extent practical, any change in the economic position of a holder of the securities that results solely from the applicable event. (E) Reorganization Events If the Reference Asset, or any successor fund, is subject to a merger, combination, consolidation or statutory exchange of securities with another exchange traded fund, and the Reference Asset is not the surviving entity (a “reorganization event”), then, on or after the date of such event, the Calculation Agent shall, in its sole discretion, make an adjustment to the adjustment factor or the method of determining the payment at maturity, whether the securities are automatically called on any of the call dates or any other terms of the securities as the Calculation Agent determines appropriate to account for the economic effect on the securities of such event, and determine the effective date of that adjustment. If the Calculation Agent determines that no adjustment that it could make will produce a commercially reasonable result, then the Calculation Agent may deem such event a liquidation event (as defined below). |
Liquidation Events: | If the Reference Asset is de-listed, liquidated or otherwise terminated (a “liquidation event”), and a successor or substitute exchange traded fund exists that the Calculation Agent determines, in its sole discretion, to be comparable to the Reference Asset, then, upon the Calculation Agent’s notification of that determination to the trustee and Wells Fargo, any subsequent Fund Closing Price for the Reference Asset will be determined by reference to the Fund Closing Price of such successor or substitute exchange traded fund (such exchange traded fund being referred to herein as a “successor fund”), with such adjustments as the Calculation Agent determines are appropriate to account for the economic effect of such substitution on holders of the securities. If the Reference Asset undergoes a liquidation event prior to, and such liquidation event is continuing on, the date that any Fund Closing Price of the Reference Asset is to be determined and the Calculation Agent determines that no successor fund is available at such time, then the Calculation Agent will, in its discretion, calculate the Fund Closing Price for the Reference Asset on such date by a computation methodology that the Calculation Agent determines will as closely as reasonably possible replicate the Reference Asset, provided that if the Calculation Agent determines in its discretion that it is not practicable to replicate the Reference Asset (including but not limited to the instance in which the underlying index sponsor discontinues publication of the underlying index), then the Calculation Agent will calculate the Fund Closing Price for the Reference Asset in accordance with the formula last used to calculate such Fund Closing Price before such liquidation event, but using only those securities that were held by the Reference Asset immediately prior to such liquidation event without any rebalancing or substitution of such securities following such liquidation event. If a successor fund is selected or the Calculation Agent calculates the Fund Closing Price as a substitute for the Reference Asset, such successor fund or Fund Closing Price will be used as a substitute for the Reference Asset for all purposes, including for purposes of determining whether a market disruption event exists. Notwithstanding these alternative arrangements, a liquidation event with respect to the Reference Asset may adversely affect the value of the securities. If any event is both a reorganization event and a liquidation event, such event will be treated as a reorganization event for purposes of the securities unless the Calculation Agent makes the determination referenced in the last sentence of the section entitled “—Anti-dilution Adjustments—Reorganization Events” above. |
Alternate Calculation: | If at any time the method of calculating the Reference Asset or a successor fund, or the underlying index, is changed in a material respect, or if the Reference Asset or a successor fund is in any other way modified so that the Reference Asset does not, in the opinion of the Calculation Agent, fairly represent the price of the securities of the Reference Asset or such successor fund had such changes or modifications not been made, then the Calculation Agent may, at the close of business in New York City on the date that any Fund Closing Price is to be determined, make such calculations and adjustments as, in the good faith judgment of the Calculation Agent, may be necessary in order to arrive at a closing price of the Reference Asset comparable to the Reference Asset or such successor fund, as the case may be, as if such changes or modifications had not been made, and calculate the Fund Closing Price and the payment at maturity and determine whether the securities are automatically called on any call date with reference to such adjusted closing price of the Reference Asset or such successor fund, as applicable. |
Relevant Exchange: | The “relevant exchange” for the Reference Asset means the primary exchange or quotation system on which shares (or other applicable securities) of the Reference Asset are traded, as determined by the Calculation Agent. |
Related Futures or Options Exchange: | The “related futures or options exchange” for the Reference Asset means each exchange or quotation system where trading has a material effect (as determined by the Calculation Agent) on the overall market for futures or options contracts relating to the Reference Asset. |
Postponement of a Calculation Day: | The Call Dates (including the Final Calculation Day) are each referred to as a “calculation day” for purposes of postponement. If any calculation day is not a Trading Day, such calculation day will be postponed to the next succeeding Trading Day. If a market disruption event occurs or is continuing on any calculation day, then such calculation day will be postponed to the first succeeding Trading Day on which a market disruption event has not occurred and is not continuing. If a market disruption event occurs or is continuing on each Trading Day to and including the eighth Trading Day following the originally scheduled calculation day, then that eighth Trading Day will be deemed to be the applicable calculation day. If a calculation day has been postponed eight Trading Days after the originally scheduled calculation day, then the Calculation Agent will determine the closing price of the Fund on such eighth trading day based on its good faith estimate of the value of the shares (or other applicable securities) of the Fund as of the close of trading on such eighth trading day. Notwithstanding anything to the contrary in the accompanying product prospectus supplement, the Call Dates (including the Final Calculation Day) (each referred to in this section as a “calculation day”) will be postponed as set forth herein. |
Form of Securities: | Book-entry |
Calculation Agent: | Scotia Capital Inc., an affiliate of the Bank |
Underwriters: | Scotia Capital (USA) Inc. and Wells Fargo Securities, LLC. |
Status: | The Securities will constitute direct, senior, unsubordinated and unsecured obligations of the Bank ranking pari passu with all other direct, senior, unsecured and unsubordinated indebtedness of the Bank from time to time outstanding (except as otherwise prescribed by law). Holders will not have the benefit of any insurance under the provisions of the CDIC Act, the U.S. Federal Deposit Insurance Act or under any other deposit insurance regime. |
Tax Redemption: | The Bank (or its successor) may redeem the Securities, in whole but not in part, at a redemption price determined by the Calculation Agent in a manner reasonably calculated to preserve your and our relative economic position, if it is determined that changes in tax laws or their interpretation will result in the Bank (or its successor) becoming obligated to pay additional amounts with respect to the Securities. See "Tax Redemption" in the accompanying product prospectus supplement. |
Listing: | The Securities will not be listed on any securities exchange or automated quotation system. |
Use of Proceeds: | General corporate purposes |
Clearance and Settlement: | The Depository Trust Company |
Business Day: | New York and Toronto |
Canadian Bail-in: | The Securities are not bail-inable debt securities under the CDIC Act. |
Additional Terms Of THE Securities
Investor Suitability
● | You fully understand the risks inherent in an investment in the Securities, including the risk of losing most of your initial investment. |
● | You can tolerate a loss of up to 85.00% of your initial investment. |
● | You believe that the Fund Closing Price of the Reference Asset will be greater than or equal to the Starting Price on one of the three Call Dates. |
● | You seek the potential for a fixed return if the Reference Asset has appreciated at all as of any of the three Call Dates in lieu of full participation in any potential appreciation of the Reference Asset. |
● | You understand that if the Fund Closing Price of the Reference Asset is less than the Starting Price on each of the three Call Dates (including the Final Calculation Day), you will not receive any positive return on your investment in the Securities, and that if the Fund Closing Price of the Reference Asset on the Final Calculation Day (i.e., the Ending Price) is less than the Starting Price by more than 15.00%, you will receive less, and possibly 85.00% less, than the Principal Amount at maturity. |
● | You can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the price of the Reference Asset. |
● | You do not seek current income from your investment and are willing to forgo dividends paid on the shares of the Reference Asset. |
● | You understand that the term of the Securities may be as short as approximately 12 months and that you will not receive a higher Call Premium payable with respect to a later Call Date if the Securities are called on an earlier Call Date. |
● | You are willing to hold the Securities to maturity, a term of approximately 36 months, and accept that there may be little or no secondary market for the Securities. |
● | You are willing to accept the risk of exposure to oil and gas companies. |
● | You are willing to assume the credit risk of the Bank for all payments under the Securities, and understand that if the Bank defaults on its obligations you may not receive any amounts due to you, including any repayment of principal. |
● | You do not fully understand the risks inherent in an investment in the Securities, including the risk of losing most of your initial investment. |
● | You seek a security with a fixed term. |
● | You require an investment designed to guarantee a full return of principal at maturity. |
● | You cannot tolerate a loss of up to 85.00% of your initial investment. |
● | You are unwilling to accept the risk that, if the Fund Closing Price of the Reference Asset is less than the Starting Price on each of the three Call Dates (including the Final Calculation Day), you will not receive any positive return on your investment in the Securities. |
● | You are unwilling to purchase Securities with an estimated value as of the Pricing Date that is lower than the Principal Amount. |
● | You cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the price of the Reference Asset. |
● | You seek current income from your investment or prefer to receive dividends paid on the shares of the Reference Asset. |
● | You are unwilling to hold the Securities to maturity, a term of approximately 36 months, or you seek an investment for which there will be a secondary market. |
· | You are not willing to assume the credit risk of the Bank for all payments under the Securities. |
· | You seek exposure to the upside performance of the Reference Asset beyond the applicable Call Premiums. |
· | You are not willing to accept the risk of exposure to oil and gas companies. |
· | You prefer the lower risk of fixed income investments with comparable maturities issued by companies with comparable credit ratings. |
Hypothetical PayOUT ProFILE
Hypothetical RETURNS
• | the payment per Security on the related Call Settlement Date; and |
• | the pre-tax total rate of return. |
Hypothetical Call Date on which Securities are automatically called | Payment per Security on related Call Settlement Date | Pre-tax total rate of return |
1st Call Date | $1,105.00 | 10.50% |
2nd Call Date | $1,210.00 | 21.00% |
3rd Call Date | $1,315.00 | 31.50% |
• | the hypothetical percentage change from the hypothetical Starting Price to the hypothetical Ending Price, assuming a hypothetical Starting Price of $100.00; |
• | the hypothetical Redemption Amount at Maturity per Security; and |
• | the hypothetical pre-tax total rate of return. |
Hypothetical Ending Price | Hypothetical percentage change from the hypothetical Starting Price to the hypothetical Ending Price | Hypothetical Redemption Amount at Maturity per Security | Hypothetical pre-tax total rate of return |
$95.00 | -5.00% | $1,000.00 | 0.00% |
$85.00 | -15.00% | $1,000.00 | 0.00% |
$80.00 | -20.00% | $950.00 | -5.00% |
$75.00 | -25.00% | $900.00 | -10.00% |
$50.00 | -50.00% | $650.00 | -35.00% |
$25.00 | -75.00% | $400.00 | -60.00% |
$0.00 | -100.00% | $150.00 | -85.00% |
Hypothetical Payments AT MATURITY On the Securities
ADDITIONAL RISKS
InFORMATION REGARDING THE REFERENCE ASSET
Index Eligibility
For purposes of membership in the Target Index, S&P Dow Jones applies the inclusion and exclusion criteria separately. Membership is based on a company’s GICS® classification, as well as liquidity and market cap requirements.
Index Inclusion Criteria
To be eligible for inclusion in the Target Index, companies must be in the S&P TM Index, must be included in the following GICS® sub-industries: integrated oil & gas, oil & gas exploration & production and oil & gas refining & marketing, and must satisfy one of the two following combined size and liquidity criteria:
● have a float-adjusted market capitalization above $500 million and float-adjusted liquidity ratio above 90%; or
● have a float-adjusted market capitalization above $400 million and float-adjusted liquidity ratio above 150%.
Some companies may have more than one share class line in the S&P TM Index. In the Target Index, each company is represented once by the primary listing, which is generally the most liquid share line.
All stocks satisfying the above requirements are included in the Target Index. At each rebalancing, at least 22 stocks are selected for the Target Index. In the event that fewer than 22 stocks are selected for the Target Index using the eligible primary sub-industries (primary stocks), S&P Dow Jones may relax the minimum market capitalization requirements to ensure that there are at least 22 stocks in the Target Index as of each rebalancing effective date. Existing constituents of the Target Index are removed at the quarterly rebalancing effective date if either their float-adjusted market capitalization falls below $300 million or their float-adjusted liquidity ratio falls below 50%. The market capitalization threshold and the liquidity threshold are each reviewed by S&P Dow Jones from time to time based on market conditions. The quarterly rebalancing occurs on the third Friday of each March, June, September and December.
Eligibility Factors
Market Capitalization. The Market Capitalization measurement used is float-adjusted market capitalization. Under float adjustment, the share counts used in calculating the indices reflect only those shares available to investors rather than all of a company’s outstanding shares. Float adjustment excludes shares that are closely held by control groups, other publicly traded companies, government agencies, or other long-term strategic shareholders.
Liquidity. The liquidity measurement used is float-adjusted liquidity ratio, defined as dollar value traded over the previous 12-months divided by the float-adjusted market capitalization as of the rebalancing reference date. The length of time to evaluate liquidity is reduced to the available trading period for IPOs or spin-offs that do not have 12 months of trading history. In these cases, the dollar value traded available as of the rebalancing reference date is annualized.
Takeover Restrictions. At the discretion of S&P Dow Jones, constituents with shareholder ownership restrictions defined in company bylaws may be deemed ineligible for inclusion in the Target Index. Ownership restrictions preventing entities from replicating the index weight of a stock may be excluded from the eligible universe or removed from the Target Index. S&P Dow Jones will provide up to five days advance notification of a deletion between rebalancing due to ownership restrictions.
Turnover. S&P Dow Jones believes turnover in index membership should be avoided when possible. At times a stock may appear to temporarily violate one or more of the addition criteria. However, the addition criteria are for addition to the Target Index, not for continued membership. As a result, an index constituent that appears to violate criteria for addition to the Target Index will not be deleted unless ongoing conditions warrant a change in the composition of the Target Index.
Sector Classification. The Target Index includes companies in the GICS® sub-industries set forth above.SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)
THE BANK'S ESTIMATED VALUE OF THE SECURITIES
ADDITIONAL INFORMATION ABOUT THE SECURITIES
Please read this information in conjunction with the summary terms on the front cover of this document. Notwithstanding anything to the contrary in the accompanying product prospectus supplement for this Security, the amount you will receive at maturity will be the Redemption Amount at Maturity, defined and calculated as provided in this pricing supplement.
"Security" | The accompanying product prospectus supplement refers to a Security as a "note" |
"Original Offering Price" | The accompanying product prospectus supplement refers to the Original Offering Price as the "original issue price" |
"Final Calculation Day" | The accompanying product prospectus supplement refers to a Final Calculation Day as a "valuation date" |
"Call Date" | The accompanying product prospectus supplement refers to a Call Date as a "valuation date" |
"Starting Price" | The accompanying product prospectus supplement refers to the Starting Price as the "Initial Price" |
"Ending Price" | The accompanying product prospectus supplement refers to the Ending Price as the "Final Price" |
"Redemption Amount at Maturity" | The accompanying product prospectus supplement refers to the Redemption Amount at Maturity as the "payment at maturity" |
"Threshold Price" | The accompanying product prospectus supplement refers to the Threshold Price as the "Buffer Level" |
"Threshold Percentage" | The accompanying product prospectus supplement refers to the Threshold Percentage the a "Buffer Percentage" |
CANADIAN INCOME TAX CONSEQUENCES
U.S. FEDERAL INCOME TAX CONSEQUENCES
VALIDITY OF THE SECURITIES