CAPPED NOTES WITH ABSOLUTE RETURN BUFFER (CAPPED NOTES)
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Capped Notes with Absolute Return Buffer Linked to an International Equity Index Basket
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Issuer
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The Bank of Nova Scotia (“BNS”)
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Principal Amount
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$10.00 per unit
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Term
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Approximately two years
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Market Measure
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An international equity index basket comprised of the EURO STOXX 50® Index (Bloomberg symbol: “SX5E”), the FTSE® 100 Index (Bloomberg symbol: “UKX”), the Nikkei Stock Average Index (Bloomberg symbol: “NKY”),
the Swiss Market Index® (Bloomberg symbol: “SMI”), the S&P/ASX 200 Index (Bloomberg symbol: “AS51”) and the FTSE® China 50 Index (Bloomberg symbol: “XIN0I”) (each, a “Basket Component”). The EURO STOXX 50® Index will be given an
initial weight of 40.00%, each of the FTSE® 100 Index and the Nikkei Stock Average Index will be given an initial weight of 20.00%, each of the Swiss Market Index® and the S&P/ASX 200 Index will be given an initial weight of 7.50%
and the FTSE® China 50 Index will be given an initial weight of 5.00%.
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Payout Profile at Maturity
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• 125.00%
leveraged upside exposure to increases in the Market Measure, subject to the Capped Value
• A
positive return equal to the absolute value of the percentage decline in the level of the Market Measure only if the Market Measure does not decline by more than [8.00% to 14.00%] (e.g., if the negative return of the Market Measure is
-5%, you will receive a positive return of +5%)
• 1-to-1
downside exposure to decreases in the Market Measure beyond a [8.00% to 14.00%] decline, with up to [92.00% to 86.00%] of your principal at risk
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Participation Rate
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125.00%
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Capped Value
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$13.50 per unit, a 35.00% return over the principal amount
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Threshold Value
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[14.00% to 8.00%] of the Starting Value, to be determined on the pricing date
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Investment Considerations
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This investment is designed for investors who anticipate that the Market Measure will either increase moderately over the term of the notes or decrease to a level which is not below the
Threshold Value, and are willing to accept a capped return, take downside risk below a threshold and forgo interim interest payments.
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Preliminary Offering
Documents
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Exchange Listing
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No
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Depending on the performance of the Market Measure as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return of principal.
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Payments on the notes are subject to the credit risk of BNS, and actual or perceived changes in the creditworthiness of BNS are expected to affect the value of the notes. If BNS becomes insolvent or is
unable to pay its obligations, you may lose your entire investment.
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Your potential for a positive return based on the depreciation of the Market Measure is limited by the Threshold Value and may be less than that of a comparable investment that takes a short position
directly in the Basket Components (or the stocks included in the Basket Components). In addition, the absolute value return feature applies only if the Ending Value is less than the Starting Value but greater than or equal to
the Threshold Value. Because the Threshold Value is [92.00% to 86.00%] of the Starting Value, any positive return due to the depreciation of the Market Measure is limited to [8.00% to 14.00%] (the actual Threshold Value, and by
extension, the cap on the positive return due to the depreciation of the Market Measure, will be determined on the pricing date). Any decline in the Ending Value from the Starting Value by more than [8.00% to 14.00%] will result
in a loss, rather than a positive return, on the notes. In contrast, for example, a short position in the Basket Components (or the stocks included in the Basket Components) would allow you to receive the full benefit of any
decrease in the level of the Basket Components (or the stocks included in the Basket Components).
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Your investment return based on any increase in the level of the Market Measure is limited to the return represented by the Capped Value and may be less than a comparable investment directly in the
stocks included in the Basket Components.
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The initial estimated value of the notes on the pricing date will be less than their public offering price.
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If you attempt to sell the notes prior to maturity, their market value may be lower than both the public offering price and the initial estimated value of the notes on the pricing date.
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You will have no rights of a holder of the securities included in the Basket Components or of a holder with a short position directly in the Basket Components (or the securities included in the Basket
Components) and you will not be entitled to receive securities or dividends or other distributions by the issuers of the securities included in the Basket Components.
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Your return on the notes may be affected by factors affecting the international securities markets, specifically changes in the countries represented by the Basket Components. In addition, you will not
obtain the benefit of any increase in the value of the currencies in which the securities in the Basket Components trade against the U.S. dollar which you would have received if you had owned the securities in the Basket
Components during the term of your notes, although the value of the Market Measure may be adversely affected by general exchange rate movements in the market.
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Recent executive orders could adversely affect your investment in the notes.
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Hypothetical Percentage
Change from the Starting
Value to the Ending
Value
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Hypothetical
Redemption Amount per
Unit
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Hypothetical Total Rate
of Return on the Notes
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-100.00%
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$1.10
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-89.00%
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-75.00%
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$3.60
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-64.00%
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-50.00%
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$6.10
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-39.00%
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-40.00%
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$7.10
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-29.00%
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-30.00%
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$8.10
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-19.00%
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-20.00%
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$9.10
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-9.00%
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-15.00%
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$9.60
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-4.00%
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-11.00%(1)
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$11.10
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11.00%
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-10.00%
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$11.00
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10.00%
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-5.00%
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$10.50
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5.00%
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0.00%
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$10.00
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0.00%
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10.00%
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$11.25
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12.50%
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20.00%
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$12.50
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25.00%
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28.00%
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$13.50(2)
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35.00%
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30.00%
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$13.50
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35.00%
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40.00%
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$13.50
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35.00%
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50.00%
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$13.50
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35.00%
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(1) |
This hypothetical percentage change corresponds to the Threshold Value.
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(2)
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Any positive return based on the appreciation of the Market Measure cannot exceed the Capped Value.
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