The notes are being issued by The Bank of Nova Scotia (“BNS”). There are important differences between the notes and a conventional debt
security, including different investment risks and certain additional costs. See “Risk Factors” beginning on page TS-6 of this term sheet, “Additional Risk Factors” on page TS-7 of this term sheet and “Risk Factors” beginning on page PS-6 of
product supplement EQUITY ARN-1.
The initial estimated value of the notes as of the pricing date is $9.456 per unit, which is less than the public offering price listed below.
See “Summary” on the following page, “Risk Factors” beginning on page TS-6 of this term sheet and “Structuring the Notes” on page TS-24 of this term sheet for additional information. The actual value of your notes at any time will reflect many
factors and cannot be predicted with accuracy.
None of the U.S. Securities and Exchange Commission (the “SEC”), any state securities commission, or any other regulatory body has approved or disapproved of these securities or
determined if this Note Prospectus (as defined below) is truthful or complete. Any representation to the contrary is a criminal offense.
|
Per Unit
|
Total
|
|
Public offering price
|
$ 10.000
|
$1,740,790.00
|
|
Underwriting discount
|
$ 0.225
|
$39,167.77
|
|
Proceeds, before expenses, to BNS
|
$ 9.775
|
$1,701,622.23
|
The notes:
|
Are Not FDIC Insured
|
Are Not Bank Guaranteed
|
May Lose Value
|
BofA Securities
March 27, 2024
Summary
The Capped Notes Linked to the Best-Performing of the S&P 500® Index, the EURO STOXX 50® Index and the TOPIX® due
March 29, 2027 (the “notes”) are our senior unsecured debt securities. The notes are not guaranteed or insured by the CDIC or the FDIC, and are not, either directly or indirectly, an obligation of any third party. The notes are not bail-inable debt
securities (as defined in the prospectus). The notes will rank equally with all of our other unsecured senior debt. Any payments due on the notes, including any repayment of principal, will be subject to the credit
risk of BNS. The notes provide you a 1-to-1 return, subject to a cap, if the Ending Value of the Best-Performing Market Measure (as defined below), which will be one of the S&P 500® Index, the EURO STOXX 50® Index
and the TOPIX® (each an “Index” and collectively the “Indices”), is greater than its Starting Value. If the Ending Value of the Best-Performing Market Measure is equal to its Starting Value, you will receive
the principal amount of your notes. If the Ending Value of the Best-Performing Market Measure is less than its Starting Value, you will lose all or a portion of the principal amount of your notes. Any payments on the notes will be calculated based
on the $10 principal amount per unit and will depend on the performance of the Best-Performing Market Measure, subject to our credit risk. See “Terms of the Notes” below.
The economic terms of the notes (including the Capped Value) are based on our internal funding rate, which is the rate we would pay to borrow funds through the issuance of
market-linked notes, and the economic terms of certain related hedging arrangements. Our internal funding rate is typically lower than the rate we would pay when we issue conventional fixed rate debt securities. This difference in funding rate, as
well as the underwriting discount and the hedging related charge described below, reduced the economic terms of the notes to you and the initial estimated value of the notes on the pricing date. Due to these factors, the public offering price you
pay to purchase the notes is greater than the initial estimated value of the notes.
On the cover page of this term sheet, we have provided the initial estimated value for the notes. The initial estimated value was determined by reference to our internal pricing
models, which take into consideration certain factors, such as our internal funding rate on the pricing date and our assumptions about market parameters. For more information about the initial estimated value and the structuring of the notes, see
“Structuring the Notes” on page TS-24.
Terms of the Notes
|
Issuer:
|
|
The Bank of Nova Scotia (“BNS”)
|
|
Principal Amount:
|
|
$10.00 per unit
|
|
Term:
|
|
Approximately three years
|
|
Market Measure:
|
|
The best-performing of the S&P 500® Index (Bloomberg symbol: “SPX”), the EURO STOXX 50® Index (Bloomberg symbol:
“SX5E”) and the TOPIX® (Bloomberg symbol: “TPX”), each a price return index
|
|
Best-Performing
Market Measure:
|
|
The Index with the highest index return.
The “index return” means, with respect to an Index, an amount (expressed as a percentage, which may be positive or negative) calculated as
follows:
Ending Value – Starting Value
Starting Value
|
|
Starting Value:
|
|
SPX: 5,248.49
SX5E: 5,081.74
TPX: 2,799.28
|
|
Ending Value:
|
|
With respect to each Index, its closing level on the Valuation Date. The Valuation Date is subject to postponement in the event of Market
Disruption Events, as described beginning on page PS-24 of product supplement EQUITY ARN-1 and “Other Terms of the Notes” on page TS-7.
|
|
Participation
Rate:
|
|
100.00%
|
|
Capped Value:
|
|
$12.90 per unit, which represents a return of 29.00% over the principal amount.
|
|
Calculation Day:
|
|
March 18, 2027
|
|
Fees and
Charges:
|
|
The underwriting discount of $0.225 per unit listed on the cover page and the hedging related charge of $0.075 per unit described in “Structuring
the Notes” on page TS-24.
|
|
Calculation
Agent:
|
|
BofA Securities, Inc. (“BofAS”).
|
Redemption Amount Determination
Notwithstanding anything to the contrary in the accompanying product supplement, the Redemption Amount will be determined as set forth in this term sheet. On the maturity date, you will receive
a cash payment per unit determined as follows:
The terms and risks of the notes are contained in this term sheet and in the following:
| ◾ |
Product supplement EQUITY ARN-1 dated February 2, 2022:
|
| ◾ |
Prospectus supplement dated December 29, 2021:
|
| ◾ |
Prospectus dated December 29, 2021:
|
These documents (together, the “Note Prospectus”) have been filed as part of a registration statement with the SEC, which may, without cost, be accessed on the SEC website as indicated above or
obtained from Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) or BofAS by calling 1-800-294-1322. You should read the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or
contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus. Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement EQUITY ARN-1.
Unless otherwise indicated or unless the context requires otherwise, all references in this document to “we,” “us,” “our,” or similar references are to BNS.
To the extent the determination of the Redemption Amount and other terms described in this term sheet are inconsistent with those described in the accompanying product supplement, prospectus
supplement or prospectus, the determination of the Redemption Amount and other terms described in this term sheet shall control.
Investor Considerations
You may wish to consider an investment in the notes if:
| ◾ |
You anticipate that at least one of the Indices will increase moderately from its Starting Value to its Ending Value.
|
| ◾ |
You are willing to risk a substantial or entire loss of principal if the Best-Performing Market Measure decreases from its Starting Value to its Ending Value.
|
| ◾ |
You accept that the return on the notes will be capped.
|
| ◾ |
You are willing to forgo the interest payments that are paid on conventional interest-bearing debt securities.
|
| ◾ |
You are willing to forgo dividends or other benefits of owning the stocks included in each Index.
|
| ◾ |
You are willing to accept a limited or no market for sales prior to maturity, and understand that the market prices for the notes, if any, will be affected by various factors, including our actual and perceived creditworthiness,
our internal funding rate and fees and charges on the notes.
|
|
◾
|
You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
|
The notes may not be an appropriate investment for you if:
| ◾ |
You believe that each Index will decrease from its Starting Value to its Ending Value or that no Index will increase sufficiently over the term of the notes to provide you with your desired return.
|
| ◾ |
You seek principal repayment or preservation of capital.
|
| ◾ |
You seek an uncapped return on your investment.
|
| ◾ |
You seek interest payments or other current income on your investment.
|
| ◾ |
You want to receive dividends or other distributions paid on the stocks included in each Index.
|
| ◾ |
You seek an investment for which there will be a liquid secondary market.
|
|
◾
|
You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
|
We urge you to consult your investment, legal, tax, accounting, and other advisors regarding an investment in the notes.
Hypothetical Payout Profile and Examples of Payments at Maturity
This graph reflects the returns on the notes, based on the Participation Rate of 100.00% and the Capped Value of $12.90 per unit. The green line reflects the returns on the
notes, while the dotted gray line reflects the returns of a direct investment in the stocks included in the Best-Performing Market Measure, excluding dividends.
This graph has been prepared for purposes of illustration only. We cannot predict which Index will be the Best-Performing Market Measure.
The following table and examples are for purposes of illustration only. They are based on hypothetical values and show hypothetical
returns on the notes. They illustrate the calculation of the Redemption Amount and total rate of return based on a hypothetical Starting Value of 100.00 for the Best-Performing Market Measure, the Participation Rate of 100.00%, the Capped Value of
$12.90 per unit and a range of hypothetical Ending Values of the Best-Performing Market Measure. The actual amount you receive and the resulting total rate of return will depend on the actual Starting Value and
Ending Value of each Index (in particular, the Best-Performing Market Measure) and whether you hold the notes to maturity. The following examples do not take into account any tax consequences from investing in the notes.
For recent actual levels of the Indices, see “The Indices” section below. Each Index is a price return index and as such the Ending Value of each Index will not include any income
generated by dividends paid on the stocks included in such Index, which you would otherwise be entitled to receive if you invested in those stocks directly. In addition, all payments on the notes are subject to issuer credit risk.
|
Ending Value of the Best-
Performing Market Measure
|
Index Return of the Best-
Performing Market Measure
|
Redemption Amount per
Unit
|
Total Rate of Return on the
Notes
|
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
|
25.00
|
-75.00%
|
$2.50
|
-75.00%
|
|
50.00
|
-50.00%
|
$5.00
|
-50.00%
|
|
60.00
|
-40.00%
|
$6.00
|
-40.00%
|
|
70.00
|
-30.00%
|
$7.00
|
-30.00%
|
|
80.00
|
-20.00%
|
$8.00
|
-20.00%
|
|
90.00
|
-10.00%
|
$9.00
|
-10.00%
|
|
95.00
|
-5.00%
|
$9.50
|
-5.00%
|
|
100.00(1)
|
0.00%
|
$10.00
|
0.00%
|
|
102.00
|
2.00%
|
$10.20
|
2.00%
|
|
105.00
|
5.00%
|
$10.50
|
5.00%
|
|
110.00
|
10.00%
|
$11.00
|
10.00%
|
|
120.00
|
20.00%
|
$12.00
|
20.00%
|
|
129.00
|
29.00%
|
$12.90(2)
|
29.00%
|
|
130.00
|
30.00%
|
$12.90
|
29.00%
|
|
140.00
|
40.00%
|
$12.90
|
29.00%
|
|
150.00
|
50.00%
|
$12.90
|
29.00%
|
| (1) |
The hypothetical Starting Value of 100.00 for the Best-Performing Market Measure used in these examples has been chosen for illustrative purposes only. The actual Starting Value for each Index is
set forth on page TS-2.
|
(2)
|
The Redemption Amount per unit cannot exceed the Capped Value.
|
Redemption Amount Calculation Examples
|
Example 1
|
|
The Ending Value of the Best-Performing Market Measure is 60.00, or 60.00% of its Starting Value:
|
|
Starting Value of the Best-Performing Market Measure:
|
100.00 |
|
Ending Value of the Best-Performing Market Measure:
|
60.00 |
|
|
= $6.00 Redemption Amount per unit
|
|
Example 2
|
|
The Ending Value of the Best-Performing Market Measure is 102.00, or 102.00% of its Starting Value:
|
|
Starting Value of the Best-Performing Market Measure:
|
100.00 |
|
Ending Value of the Best-Performing Market Measure:
|
102.00 |
|
|
= $10.20 Redemption Amount per unit
|
|
Example 3
|
|
The Ending Value of the Best-Performing Market Measure is 140.00, or 140.00% of its Starting Value:
|
|
Starting Value of the Best-Performing Market Measure:
|
100.00 |
|
Ending Value of the Best-Performing Market Measure:
|
140.00 |
|
|
= $14.00, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $12.90 per unit
|
Risk Factors
There are important differences between the notes and a conventional debt security. An investment in the notes involves significant risks, including those listed below. You should
carefully review the more detailed explanation of risks relating to the notes in the “Risk Factors” sections beginning on page PS-6 of product supplement EQUITY ARN-1, page S-2 of the prospectus supplement, and page 7 of the prospectus identified
above. We also urge you to consult your investment, legal, tax, accounting, and other advisors concerning an investment in the notes.
Structure-Related Risks
|
◾ |
Depending on the performance of the Best-Performing Market Measure as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return of principal.
|
|
◾ |
Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of comparable maturity.
|
|
◾ |
Your investment return 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 Indices.
|
Market Measure-Related Risks
|
◾ |
An Index sponsor may adjust its applicable Index in a way that may adversely affect its level and your interests, and such Index sponsor has no obligation to consider your interests.
|
|
◾ |
You will have no rights of a holder of the securities included in the Indices, and you will not be entitled to receive securities or dividends or other distributions by the issuers of those securities.
|
|
◾ |
While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the Indices, except to the extent that the common stock of Bank of America Corporation (the parent company of
MLPF&S and BofAS) is included in the S&P 500® Index, none of us, MLPF&S, BofAS or our respective affiliates control any company included in any Index, and have not verified any disclosure made by any other company
|
|
◾ |
Your return on the notes may be affected by factors affecting the international securities markets, specifically changes in the countries represented by the EURO STOXX 50® Index and the TOPIX®.
In addition, you will not obtain the benefit of any increase in the value of the currencies in which the securities in the EURO STOXX 50® Index and the TOPIX® trade against the U.S. dollar
which you would have received if you had owned the securities in the EURO STOXX 50® Index and the TOPIX® during the term of your notes, although the value of the EURO STOXX 50®
Index and the TOPIX® may be adversely affected by general exchange rate movements in the market
|
Valuation- and Market-Related Risks
|
◾ |
Our initial estimated value of the notes is lower than the public offering price of the notes. Our initial estimated value of the notes is only an estimate. The public offering price of the notes exceeds our initial estimated value
because it includes costs associated with selling and structuring the notes, as well as hedging our obligations under the notes with a third party, which may include BofAS or one of its affiliates. These costs include the underwriting
discount and an expected hedging related charge, as further described in “Structuring the Notes” on page TS-24.
|
|
◾ |
Our initial estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Our initial estimated value of the notes is determined by reference to our internal pricing models when the
terms of the notes are set. These pricing models consider certain factors, such as our internal funding rate on the pricing date, the expected term of the notes, market conditions and other relevant factors existing at that time, and our
assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the notes that are different from our initial
estimated value. In addition, market conditions and other relevant factors in the future may change, and any of our assumptions may prove to be incorrect. On future dates, the market value of the notes could change significantly based on,
among other things, the performance of the Indices, changes in market conditions, our creditworthiness, interest rate movements and other relevant factors. These factors, together with various credit, market and economic factors over the
term of the notes, are expected to reduce the price at which you may be able to sell the notes in any secondary market and will affect the value of the notes in complex and unpredictable ways. Our initial estimated value does not represent
a minimum price at which we or any agents would be willing to buy your notes in any secondary market (if any exists) at any time.
|
|
◾ |
Our initial estimated value is not determined by reference to credit spreads or the borrowing rate we would pay for our conventional fixed-rate debt securities. The internal funding rate used in the determination of our initial estimated
value of the notes generally represents a discount from the credit spreads for our conventional fixed-rate debt securities and the borrowing rate we would pay for our conventional fixed-rate debt securities. If we were to use the interest
rate implied by the credit spreads for our conventional fixed-rate debt securities, or the borrowing rate we would pay for our conventional fixed-rate debt securities, we would expect the economic terms of the notes to be more favorable to
you. Consequently, our use of an internal funding rate for the notes would have an adverse effect on the economic terms of the notes, the initial estimated value of the notes on the pricing date, and the price at which you may be able to
sell the notes in any secondary market.
|
|
◾ |
A trading market is not expected to develop for the notes. None of us, MLPF&S or BofAS is obligated to make a market for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any
price in any secondary market.
|
Conflict-Related Risks
|
◾ |
Our business, hedging and trading activities, and those of MLPF&S, BofAS and our and their respective affiliates (including trades in shares of companies included in the Indices), and any hedging and trading activities we,
MLPF&S, BofAS or our or their respective affiliates engage in for our clients’ accounts, may affect the market value of, and return on, the notes and may create conflicts of interest with you.
|
|
◾ |
There may be potential conflicts of interest involving the calculation agent, which is BofAS. We have the right to appoint and remove the calculation agent.
|
General Credit-Related Risks
|
◾ |
Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your
entire investment.
|
Tax-Related Risks
|
◾ |
The U.S. federal income tax consequences of the notes are uncertain and may be adverse to a holder of the notes. See “Summary of U.S. Federal Income Tax Consequences” below.
|
|
◾ |
The conclusion that no portion of the interest paid or credited or deemed to be paid or credited on a note will be “Participating Debt Interest” subject to Canadian withholding tax is based in part on the current published administrative
position of the CRA. There cannot be any assurance that CRA’s current published administrative practice will not be subject to change, including potential expansion in the current administrative interpretation of Participating Debt Interest
subject to Canadian withholding tax. If, at any time, the interest paid or credited or deemed to be paid or credited on a note is subject to Canadian withholding tax, you will receive an amount that is less than the Redemption Amount. You
should consult your own adviser as to the potential for such withholding and the potential for reduction or refund of part or all of such withholding, including under any bilateral Canadian tax treaty the benefits of which you may be
entitled. For a discussion of the Canadian federal income tax consequences of investing in the notes, see “Summary of Canadian Federal Income Tax Consequences” below, “Canadian Taxation—Debt Securities” on page 66 of the prospectus and
“Supplemental Discussion of Canadian Federal Income Tax Consequences” on page PS-36 of product supplement EQUITY ARN-1.
|
Additional Risk Factors
The Best-Performing Market Measure may have poor performance and may not significantly outperform the lesser-performing Indices.
Although the Redemption Amount will be based on the performance of the Best-Performing Market Measure, that Index may nevertheless have poor performance. All of the Indices may
experience significant declines, and the fact that the notes are linked to the Best-Performing Market Measure does not mean that you will receive a significant return or any positive return at all on the notes. Moreover, the Best-Performing Market
Measure may not significantly outperform the lesser-performing Indices. There is no assurance that having exposure to the Best-Performing Market Measure will provide a meaningful benefit relative to having exposure to only one Index.
Other Terms of the Notes
Business Day
A “business day” means a day which is a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a legal holiday nor a day on which banking institutions are authorized or required by law to
close in New York City.
Market Measure Business Day
The following definition shall supersede and replace the definition of a “Market Measure Business Day” set forth in product supplement EQUITY ARN-1:
A “Market Measure Business Day” means a day on which:
|
(A) |
each of the New York Stock Exchange (the “NYSE”) and the Nasdaq Stock Market (as to the S&P 500® Index), the Eurex (as to the EURO STOXX 50® Index), the Tokyo Stock Exchange (as to the TOPIX®) (or any successor to the foregoing exchanges) are open for trading; and
|
|
(B) |
the Indices or any successors thereto are calculated and published.
|
Market Disruption Events and Other Events
The following section shall supersede and replace the penultimate paragraph of “Description of ARNs—The Starting Value and the Ending Value” on page PS-22 in product supplement EQUITY ARN-1.
If, with respect to an Index, (i) the scheduled calculation day is determined by the calculation agent not to be a Market Measure Business Day by reason of an extraordinary
event, occurrence, declaration, or otherwise or (ii) there is a Market Disruption Event on that day, the closing level of such Index for the calculation day and, therefore, the Ending Value) will be the closing level of such Index on the
immediately succeeding Market Measure Business Day during which no Market Disruption Event occurs or is continuing; provided that the Ending Value of such Index will be determined (or, if not determinable, estimated) by the calculation agent on a
date no later than the second scheduled Market Measure Business Day prior to the maturity date, regardless of the occurrence of a Market Disruption Event or non-Market Measure Business Day on that second scheduled Market Measure Business Day.
For the avoidance of doubt, the occurrence of a Market Disruption Event or non-Market Measure Business Day as to an Index will not impact any other Index that is not so affected.
The Indices
All disclosures contained in this term sheet regarding the Indices, including, without limitation, their make-up, method of calculation, and changes in their components, have been
derived from publicly available sources, without independent verification. The information reflects the policies of, and is subject to change by, each of S&P Dow Jones Indices LLC, the sponsor of the SPX, STOXX Limited, the sponsor of the SX5E,
and The Tokyo Stock Exchange, Inc., the sponsor of the TPX, as maintained by JPX Market Innovation & Research, Inc. (“JPXI”) (collectively, the “Index sponsors”). The Index sponsors, which license the copyright and all other rights to its
applicable Index, have no obligation to continue to publish, and may discontinue publication of, the applicable Index. The consequences of an Index sponsor discontinuing publication of its applicable Index are discussed in the section entitled
“Description of ARNs — Discontinuance of an Index” beginning on page PS-26 of product supplement EQUITY ARN-1. None of us, the calculation agent, MLPF&S, BofAS or our or their respective affiliates accepts any responsibility for the
calculation, maintenance or publication of any Index or any successor Index.
General
The SPX includes a representative sample of 500 leading companies in leading industries of the U.S. economy. The SPX is designed to provide a performance benchmark for the U.S. equity markets. The
SPX is calculated based on the relative value of the aggregate Market Value (as defined below) of the common stocks of 500 companies as of a particular time as compared to the aggregate average Market Value of the common stocks of 500 similar
companies during the base period of the years 1941 through 1943. The “Market Value” of any index stock is the product of the market price per share times the number of the then outstanding shares of such index stock. The 500 companies are not the
500 largest companies listed on the NYSE and not all 500 companies are listed on such exchange. The SPX sponsor chooses companies for inclusion in the SPX with an aim of achieving a distribution by broad industry groupings that approximates the
distribution of these groupings in the common stock population of the U.S. equity market.
Additional information (including sectors and sector weights and top constituents) is available on the SPX sponsor’s website. (Sector designations are determined by the SPX sponsor using criteria it
has selected or developed. Different index sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that
sector is selected may also differ. As a result, sector comparisons between indices with different index sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices.)
Calculation of the SPX
The SPX is calculated using a base-weighted aggregate methodology. The SPX is a price return index. The value of the SPX on any day for which an index value is published is determined by a fraction,
the numerator of which is the aggregate of the market price of each stock in the SPX multiplied by the float-adjusted number of shares of such stock included in the SPX, and the denominator of which is the divisor, which is described more fully
below.
The SPX is also sometimes called a “base-weighted index” because of its use of a divisor. The “divisor” is a value calculated by the SPX sponsor that is intended to maintain conformity in index
values over time and is adjusted for all changes in the SPX stocks’ share capital after the “base date.” The level of the SPX reflects the total market value of all index stocks relative to the SPX’s base date of 1941-43. The SPX sponsor set the
base value of the SPX on the base date at 10.
Maintenance of the SPX
In order to keep the SPX comparable over time, the SPX sponsor engages in an index maintenance process. The SPX maintenance process involves changing the constituents, adjusting the number of shares
used to calculate the SPX, monitoring and completing the adjustments for company additions and deletions, adjusting for stock splits and stock dividends and adjusting for other corporate actions.
Divisor Adjustments
The two types of adjustments primarily used by the SPX sponsor are divisor adjustments and adjustments to the number of shares (including float adjustments) used to calculate the SPX. Set forth below
is a table of certain corporate events and their resulting effect on the divisor and the share count. If a corporate event requires an adjustment to the divisor, that event has the effect of altering the market value of the affected index stock and
consequently of altering the aggregate market value of the SPX stocks following the event. In order that the level of the SPX not be affected by the altered market value (which could be an increase or decrease) of the affected index stock, the SPX
sponsor derives a new divisor by dividing the post-event market value of the SPX stocks by the pre-event index value, which has the effect of reducing the SPX’s post-event value to the pre-event level.
Constituent Changes
Constituent changes are made on an as-needed basis and there is no schedule for constituent reviews. Constituent changes are generally announced one to five business days prior to the change.
Relevant criteria for additions to the SPX that are employed by the SPX sponsor include an unadjusted market capitalization of $14.5 billion or more (as of July 5, 2023), adequate liquidity, reasonable price, U.S. domicile, listing on a major
exchange, public float of 50% or more, industry sector, financial viability and, for IPOs, a seasoning period of six to twelve months. Stocks are deleted from the SPX when they are involved in mergers, acquisitions or significant restructurings
such that they no longer meet the inclusion criteria, and when they violate one or more of the inclusion criteria. Companies that experience a trading halt may be retained or deleted in the SPX sponsor’s discretion. The SPX sponsor evaluates
additions and deletions with a view to maintaining Index continuity.
Changes to the Number of Shares of a Constituent
The SPX maintenance process also involves tracking the changes in the number of shares included for each of the SPX companies. The timing of adjustments to the number of shares depends on the type of
event causing the change, public availability of data, local market practice, and whether the change represents more than 5% of the float-adjusted share count. Changes as a result of mergers or acquisitions are implemented as soon as reasonably
possible, regardless of the size of the change to the number of shares. At the SPX sponsor’s discretion, however, de minimis merger and acquisition changes may be accumulated and implemented with the updates made at the quarterly share updates as
described below.
Changes that result from other corporate actions will be implemented as soon as practicable if the change to the float-adjusted share count is more than 5%. For smaller changes, on the third Friday
of the last month in each calendar quarter, the SPX sponsor updates the share totals of companies in the SPX as required by any changes in the float-adjusted number of shares outstanding. The SPX sponsor implements a share freeze the week leading
up to the effective date of the quarterly share count updates. During this frozen period, shares are not changed except for certain corporate action events (merger activity, stock splits, rights offerings and certain share dividend payable events).
After the float-adjusted share count totals are updated, the divisor is adjusted to compensate for the net change in the total market value of the SPX. In addition, any changes over 5% in the current common shares outstanding for the SPX companies
are carefully reviewed by the SPX sponsor on a weekly basis, and when appropriate, an immediate adjustment is made to the divisor.
In addition, the SPX is float-adjusted, meaning that the share counts used in calculating the SPX reflect only those shares available to investors rather than all of a company’s outstanding shares.
To this end, the SPX sponsor defines three groups of shareholders whose holdings are presumed to be for control, rather than investment purposes. The groups are:
|
• |
holdings by other publicly traded corporations, venture capital firms, private equity firms, or strategic partners or leveraged buyout groups;
|
|
• |
holdings by government entities, including all levels of government within the United States or foreign countries, except for pension and retirement funds; and
|
|
• |
holdings by current or former officers and directors of the company, funders of the company, or family trusts of officers, directors or founders. Second, holdings of trusts, foundations, pension funds, employee stock ownership plans or
other investment vehicles associated with and controlled by the company.
|
In the case that any of these control groups hold 5% or more of a company’s stock, the shares of all three groups will be excluded from the float-adjusted share count to be used in Index
calculations.
For each stock an Investable Weight Factor (“IWF”) is calculated:
IWF = (available float shares)/(total shares outstanding)
where available float shares is defined as total shares outstanding less shares held in one or more of the three groups listed above (subject to the 5% threshold).
Adjustments for Corporate Actions
There are a large range of corporate actions that may affect companies included in the SPX. Certain corporate actions require the SPX sponsor to recalculate the share count or the float adjustment or
to make an adjustment to the divisor to prevent the value of the SPX from changing as a result of the corporate action. This helps ensure that the movement of the SPX does not reflect the corporate actions of individual companies in the SPX.
Several types of corporate actions, and their related adjustments, are listed in the table below.
|
Corporate Action
|
|
Share Count Revision Required?
|
|
Divisor Adjustment
Required?
|
|
|
|
|
|
|
Stock split
|
|
Yes – share count is revised to reflect new count.
|
|
No – share count and price changes are off-setting
|
|
|
|
|
|
|
Change in shares outstanding (secondary issuance, share repurchase and/or share buy-back)
|
|
Yes – share count is revised to reflect new count
|
|
Yes – divisor adjustment reflects change in market capitalization
|
|
|
|
|
|
|
Spin-off if spun-off company is not being added to the SPX
|
|
No
|
|
Yes – divisor adjustment reflects decline in index market value (i.e. value of the spun-off unit)
|
|
|
|
|
|
|
Spin-off if spun-off company is being added to the SPX and no company is being removed
|
|
No
|
|
No
|
|
Spin-off if spun-off company is being added to the SPX and another company is being removed
|
|
No.
|
|
Yes – divisor adjustment reflects deletion
|
|
Special dividends
|
|
No.
|
|
Yes – calculation assumes that share price drops by the amount of the dividend; divisor adjustment reflects this change in index market value
|
|
|
|
|
|
|
Change in IWF
|
|
No
|
|
Yes – divisor change reflects the change in market value caused by the change to an IWF
|
|
|
|
|
|
|
Company added to or deleted from the SPX
|
|
No.
|
|
Yes – divisor is adjusted by the net change in market value
|
|
|
|
|
|
|
Rights offering
|
|
No.
|
|
Yes – divisor adjustment reflects increase in market capitalization (calculation assumes that offering is fully subscribed at the set price)
|
Disruptions due to Exchange Closure
When an exchange is forced to close early due to unforeseen events, such as computer or electric power failures, weather conditions or other events, the SPX sponsor will calculate the closing level
of the SPX based on (1) the closing prices published by the exchange, or (2) if no closing price is available, the last regular trade reported for each stock before the exchange closed. In all cases, the prices will be from the primary exchange for
each stock in the SPX. If an exchange fails to open due to unforeseen circumstances, the SPX will use the prior day’s closing prices. If all exchanges fail to open, the SPX sponsor may determine not to publish the SPX for that day.
Historical Data
The following graph shows the daily historical performance of the SPX in the period from January 1, 2014 through March 27, 2024. We obtained this historical
data from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the closing level of the SPX was 5,248.49.
Historical Performance of the SPX
This historical data on the SPX is not necessarily indicative of the future performance of the SPX or what the value of the notes may be. Any historical upward
or downward trend in the level of the SPX during any period set forth above is not an indication that the level of the SPX is more or less likely to increase or decrease at any time over the term of the notes.
You should consult publicly available sources for the levels of the SPX.
License Agreement
S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow
Jones”). These trademarks have been licensed for use by S&P Dow Jones Indices LLC. “Standard & Poor’s®”, “S&P 500®” and “S&P®” are trademarks of S&P. These trademarks have been sublicensed for
certain purposes by us. The SPX is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by us for a fee.
The notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P
Dow Jones Indices make no representation or warranty, express or implied, to the holders of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the SPX
to track general market performance. S&P Dow Jones Indices’ only relationship to us with respect to the SPX is the licensing of the SPX and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its third party
licensors. The SPX is determined, composed and calculated by S&P Dow Jones Indices without regard to us, MLPF&S, BofAS or the notes. S&P Dow Jones Indices have no obligation to take our needs or the needs of holders of the notes into
consideration in determining, composing or calculating the SPX. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of the notes or the timing of the issuance or sale of the
notes or in the determination or calculation of the equation by which the notes are to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of the notes. There
is no assurance that investment products based on the SPX will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security or futures contract within
an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently
issue and/or sponsor financial products unrelated to the notes currently being issued by us, but which may be similar to and competitive with the notes. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to
the performance of the SPX. It is possible that this trading activity will affect the value of the notes.
S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE SPX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL
OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS
OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY US, MLPF&S, BOFAS, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE
OF THE SPX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER
SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY
HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND US, OTHER THAN THE
LICENSORS OF S&P DOW JONES INDICES.
General
The SX5E is a capitalization-weighted index of 50 European blue-chip stocks in 11 Eurozone countries. Publication of the SX5E began on February 26, 1998, based on an initial index value of 1,000 at
December 31, 1991. The level of the SX5E is disseminated on, and additional information about the SX5E is published on, the STOXX website. Information contained in the STOXX website is not incorporated by reference in, and should not be considered
a part of, this term sheet.
Additional information (including sectors and sector weights and top constituents) is available on the SX5E sponsor’s website. (Sector designations are determined by the SX5E sponsor using criteria
it has selected or developed. Index sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is
selected may also differ. As a result, sector comparisons between indices with different index sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices.)
Index Composition and Maintenance
For each of the 20 EURO STOXX regional supersector indices, the stocks are ranked in terms of free-float market capitalization. The largest stocks are added to the selection list until the coverage
is close to, but still less than, 60% of the free-float market capitalization of the corresponding supersector index. If the next highest-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list.
All current stocks in the SX5E are then added to the selection list. All of the stocks on the selection list are then ranked in terms of free-float market capitalization to produce the final index selection list. The largest 40 stocks on the
selection list are selected; the remaining 10 stocks are selected from the largest remaining current stocks ranked between 41 and 60; if the number of stocks selected is still below 50, then the largest remaining stocks are selected until there are
50 stocks. In exceptional cases, STOXX’s management board can add stocks to and remove them from the selection list.
The SX5E components are subject to a capped maximum index weight of 10%, which is applied on a quarterly basis.
The composition of the SX5E is reviewed annually, based on the closing stock data on the last trading day in August. Changes in the composition of the SX5E are made to ensure that the SX5E includes
the 50 market sector leaders from within the SX5E.
The SX5E is subject to a “fast exit rule.” The SX5E components are monitored for any changes based on the monthly selection list ranking. A stock is deleted from the SX5E if: (a) it ranks 75 or below
on the monthly selection list and (b) it ranked 75 or below on the selection list of the previous month. The highest-ranked stock that is not an SX5E component will replace it. Changes will be implemented on the close of the fifth trading day of
the month, and are effective the next trading day.
The SX5E is also subject to a “fast entry rule.” All stocks on the latest selection lists and initial public offering (IPO) stocks are reviewed for a fast-track addition on a quarterly basis. A stock
is added, if (a) it qualifies for the latest STOXX blue-chip selection list generated at the end of February, May, August or November and (b) it ranks within the “lower buffer” (ranks 1-25) on this selection list. The SX5E is also reviewed on an
ongoing basis. Corporate actions (including initial public offerings, mergers and takeovers, spin-offs, delistings, and bankruptcy) that affect the SX5E composition are immediately reviewed. Any changes are announced, implemented, and effective in
line with the type of corporate action and the magnitude of the effect.
Index Calculation
The SX5E is calculated with the “Laspeyres formula,” which measures the aggregate price changes in the component stocks against a fixed base quantity weight. The formula for calculating the SX5E
value can be expressed as follows:
Index = free float market capitalization of the SX5E at the time
divisor of the SX5E at the time
The “free float market capitalization of the SX5E” is equal to the sum of the products of the closing price, number of shares, free float factor, and weighting cap factor for the component company as
of the time that the SX5E is being calculated.
The SX5E is calculated using a divisor that helps to maintain the continuity of the SX5E’s value so that corporate actions do not artificially increase or decrease the level of the SX5E. The divisor
of the SX5E is adjusted to maintain the continuity of the SX5E’s values across changes due to corporate actions, such as cash dividends, rights offerings, stock dividends from treasury shares, repurchases of shares and self-tender, and spin-offs.
Historical Data
The following graph shows the daily historical performance of the SX5E in the period from January 1, 2014 through March 27, 2024. We obtained this historical data from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P.
On the pricing date, the closing level of the SX5E was 5,081.74.
Historical Performance of the SX5E
This historical data on the SX5E is not necessarily indicative of the future performance of the SX5E or what the value of the notes may be. Any historical
upward or downward trend in the level of the SX5E during any period set forth above is not an indication that the level of the SX5E is more or less likely to increase or decrease at any time over the term of the notes.
You should consult publicly available sources for the levels of the SX5E.
License Agreement
BNS has entered into a non-exclusive license agreement with STOXX, which grants BNS a license in exchange for a fee to use the SX5E in connection with the issuance of certain securities, including
the notes.
STOXX, Deutsche Börse Group and their licensors, research partners or data providers have no relationship to BNS, other than the licensing of the SX5E and the related trademarks for use in connection
with the notes.
STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not:
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• |
sponsor, endorse, sell or promote the notes;
|
|
• |
recommend that any person invest in the notes or any other financial products;
|
|
• |
have any responsibility or liability for or make any decisions about the timing, amount or pricing of the notes;
|
|
• |
have any responsibility or liability for the administration, management or marketing of the notes; and
|
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• |
consider the needs of the notes or the owners of the notes in determining, composing or calculating the SX5E or have any obligation to do so.
|
STOXX, Deutsche Börse Group and their licensors, research partners or data providers give no warranty, and exclude any liability (whether in negligence or otherwise) in connection with the notes or
their performance.
STOXX does not assume any contractual relationship with the purchasers of the notes or any third parties.
Specifically,
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• |
STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranty, express or implied and disclaim any and all warranty about:
|
|
• |
the results to be obtained by the notes, the owner of the notes or any other person in connection with the use of the SX5E and the data included in the SX5E;
|
|
• |
the accuracy, timeliness, and completeness of the SX5E or its data;
|
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• |
the merchantability and the fitness for a particular purpose or use of the SX5E or its data; and
|
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• |
the performance of the notes generally.
|
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• |
STOXX, Deutsche Börse Group and their licensors, research partners or data providers give no warranty and exclude any liability, for any errors, omissions or interruptions in the SX5E or its data; and
|
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• |
under no circumstances will Deutsche Börse Group and their licensors, research partners or data providers be liable (whether in negligence or otherwise) for any lost profits or indirect, punitive, special or consequential damages or
losses, arising as a result of such errors, omissions or interruptions in the SX5E or its data or generally in relation to the notes, even in circumstances where STOXX, Deutsche Börse Group and their licensors, research partners or data
providers are aware that such loss or damage may occur.
|
General
TPX, also known as the Tokyo Price Index, is a free-float adjusted market capitalization weighted index comprised of domestic common stocks listed on the Tokyo Stock Exchange (TSE) covering an
extensive portion of the Japanese stock market. On April 4, 2022, JPXI began revisions to TPX in conjunction with the restructuring of the TSE into three new market segments: the Prime Market, Standard Market or Growth Market. Revisions to TPX will
be carried out in stages from October 2022 to January 2025. Prior to April 4, 2022, TPX was comprised of all domestic common stocks listed on the First Section of the TSE. At that time, domestic stocks admitted to the TSE were assigned either to
the TSE First Section, TSE Second Section, TSE Mothers or JASDAQ (Standard and Growth). Additional information about TPX (including constituent weightings by sector) is available on the following website: jpx.co.jp/english/markets/indices/topix/.
We are not incorporating by reference the website or any material it includes in this pricing supplement.
TPX Composition and Maintenance
As of April 4, 2022, TPX was comprised of all domestic common stocks listed on the TSE First Section as of April 1, 2022 (the business day before the TSE market restructuring), excluding certain
types of securities such as subscription warrant securities and preferred equity contribution securities. During the period from April 4, 2022 to January 31, 2025, constituent revisions will be carried out in stages as described further below.
TPX Calculation
TPX is a free-float adjusted market capitalization weighted index, which reflects movements in the market capitalization as measured from a base index value of 100 set on the base date of January 4,
1968. The discussion below describes the “price return” calculation of TPX.
JPXI calculates TPX by multiplying the base index value of 100 by the quotient of the current free-float-adjusted
market value divided by the base market value. The resulting value is not expressed in Japanese yen but presented as a number of points, rounded to the nearest one hundredth. The formula for calculating
TPX value can be expressed as follows:
|
Index value =
|
Base index value of 100 ×
|
Current free-float-adjusted market value
|
|
|
|
Base market value
|
|
The current free-float-adjusted market value is the sum of the products of the price times the number of free-float-adjusted shares for each constituent.
The number of free-float-adjusted shares for this calculation is the total number of listed shares multiplied by free-float weight multiplied by the cap-adjustment ratio. The total number of listed
shares used for this purpose is usually the same as the number of actual listed shares. However, in some cases these numbers will differ as a consequence of the index methodology. For instance, in the case of a stock split, the number of listed
shares will increase on the additional listing date after the stock split becomes effective; on the other hand, the number of listed shares for index calculation purposes will increase on the ex-rights date.
Free-float weight is the weight of listed shares deemed to be available for trading in the market, and is determined and calculated by JPXI for each constituent. It is calculated by subtracting the quotient of non-free-float shares divided by listed shares from one.
Free-float weight is reviewed in order to reflect the latest distribution of share ownership. JPXI estimates non-free-float shares using published materials such as securities reports, and generally deems shares held by the top ten major
shareholders (with certain exceptions), treasury stocks, shares held by members of the issuer’s board of directors to be unavailable for trading in the market and shares hold by other listed companies for investment purposes other than pure
investment. JPXI may deem other shares to be unavailable for trading in the market. Securities deemed to be held by individuals indicated in the section of the state of corporate governance, etc. in the securities report will not be included in the
estimation of non-free-float shares. The timing of the yearly free-float-weight review is different according to the settlement terms of listed companies. In addition to the yearly review, extraordinary reviews may be conducted for events JPXI
expects will significantly affect the free-float weight. These include third-party allotment, when preferred shares are converted or subscription warrants are exercised, as well as in the event of a demerger, merger/stock-swap, take-over bid and
other events JPXI judges deem will significantly affect free-float weight.
The upper weighting limit for any one constituent of TPX is 10%. If an issue's weight calculated by free-float adjusted market capitalization as of the last business day of every August is over the
upper limit, a cap-adjustment ratio for adjustment of weight will be applied to said issue on the last business day of October. Even if the weight again exceeds the upper limit due to stock price movements or other reasons, the cap-adjustment ratio
will not be changed until the last business day of the next October.
In the event of any increase or decrease in the current free-float-adjusted market value due to causes other than fluctuations in the stock market, such as public offerings, adjustments are made by
JPXI to the base market value in order to maintain the continuity of TPX.
The adjusted base market value will equal the old base market value multiplied by the quotient of the free-float-adjusted market
value on the business day before the adjustment date plus or minus, as applicable, the adjustment amount divided by the
free-float-adjusted market value on the business day before the adjustment date.
The adjustment amount for the foregoing calculation will be an amount equal to the product of the change (the absolute value of the increase or decrease) in
the number of shares used for index calculations times the price of the shares used for adjustment.
Weighting Adjustments by Tradable Share Market Capitalization Criteria (only applicable from April 4, 2022 through January 31, 2025)
|
(i) |
Designation of “phased weighting reduction constituents”
|
|
• |
Of the constituents as of April 1, 2022, those that fall under both the following (a) and (b) will be designated as “phased weighting reduction constituents”:
|
| |
(a) |
First decision: The constituent’s tradable share market capitalization is less then JPY 10 billion as of the “Notice on Whether the Listed Company is Meeting the Continued Listing Criteria for New Market Segments”, which has a base date
of June 30, 2021, and
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(b) |
Second decision: The constituent’s tradeable share market capitalization is less than JPY 10 billion at the end of the reporting period following the reporting period used in decision (a).
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• |
Any constituent applying for listing on the First Section through an initial listing (excluding technical listings) or section transfer after the “first set of revisions pertaining to cash equity market restructuring” were implemented on
November 1, 2020 will not be subject to designation as a phased weighting reduction constituent based on tradable share market capitalization.
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(ii) |
Adjustment to the weighting of phased weighting reduction constituents
|
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• |
The weighting of phased weighting reduction constituents will be reduced in 10 stages on the last business day of every quarter starting on the last business day of October 2022 (October 31, 2022), and these constituents will be removed
from the index on the last business day of January 2025.
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• |
Said adjustments to the weighting of phased weighting reduction constituents will be calculated by multiplying the free-float weight by the transition factor (which will decrease from 1.0 to 0 in increments of 0.1)
|
|
• |
In order to check whether there have been changes to the tradeable share market capitalization of each phased weighting reduction constituent, a re-evaluation will be conducted, using tradable share market capitalization as of the end of
the reporting period following the reporting period used for the second decision in (i)(b). If the tradable share market capitalization of a constituent has reached JPY 10 billion or more but the annual traded value ratio of said
constituent has not reached 0.2 at this point, the transition factor will no longer decrease as of the fifth stage (it will stay at 0.6, the same as the fourth stage). If the tradable share market capitalization and the annual traded value
ratio of a constituent have reached JPY 10 billion or more and 0.2 or more respectively at this point, the transition factor shall be increased to 1 in increments of 0.1 from the fifth stage and said constituent will be removed from the
list of phased weighting reduction constituents. The traded value ratio used for the re-evaluation in (ii) is calculated using the sum of monthly traded value ratios from September 2022 to August 2023. The monthly traded value ratio shall
be calculated as follows: (Median of daily traded value in trading sessions at TSE multiplied by the number of business days in the month) divided by the
free-float adjusted market capitalization as of the last business day of the month before the transition factor was applied.
|
Transition Schedule
|
Transition Stage
|
Index Revision Date
|
Transition Factor
|
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1st
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Last business day of October 2022
|
x0.9
|
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2nd
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Last business day of January 2023
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x0.8
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3rd
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Last business day of April 2023
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x0.7
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4th
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Last business day of July 2023
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x0.6
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Re-evaluation
|
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5th
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Last business day of October 2023
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x0.5
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6th
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Last business day of January 2024
|
x0.4
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7th
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Last business day of April 2024
|
x0.3
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8th
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Last business day of July 2024
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x0.2
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9th
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Last business day of October 2024
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x0.1
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10th (removed from TPX)
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Last business day of January 2025
|
x0
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Non-Periodic Removal
|
• |
Constituents which are delisted (excluding cases where the stock lists on another TSE market immediately), designated as securities to be delisted or designated as securities on alert shall be removed
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• |
If a constituent is designated as a security on alert as of the day of transition to the new market structure (April 4, 2022), said constituent will be removed from TPX on the last business day of April 2022
|
Non-Periodic Inclusion
|
• |
Stocks which carry out initial listings (excluding technical listings) on or transfer to the Prime Market will be included in TPX on the last business day of the month following the month containing the listing date or transfer date.
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• |
In the event a constituent of TPX is delisted due to a stock transfer, stock swap, merger for creating a new company or demerger, and the newly created, surviving or succeeding company is listed without delay, JPXI will add the new
company to the index.
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• |
In the event a constituent of TPX is delisted due to a stock swap or absorption-type merger, in which the surviving company or the parent company holding all shares of the constituent company is not a constituent of TPX, then JPXI will
add the surviving company or the parent company to the index.
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• |
For issues that are removed from the index due to designation as securities on alert, but have had said designation cancelled as of the last business day of August 2023, if the company meets the same criteria as for the re-evaluation in
“Adjustment to the weighting of phased weighting reduction constituents” above (i.e., tradeable share market capitalization of JPY 10 billion or more and annual traded value ratio of 0.2 or more), said company shall be added to TPX on the
last business day of October 2023.
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Dates of Constituent Inclusion and Removal
|
Event
|
Adjustment Date
|
Stock Price Used for
Adjustment
|
|
Addition
|
A company is to be newly listed on the Prime Market
|
Last business day of the month after such listing
|
Stock price at the end of trading on the business day before adjustment date
|
|
Addition
|
New listing of a newly formed company resulting from a corporate consolidation, stock transfer, stock swap, merger for creating a new company or demerger that results in
a TPX constituent being delisted and the new company being included in TPX.
|
New listing date. If the initial listing date falls on a holiday, it will be the following business day
|
Base price
|
|
Addition
|
Delisting of a TPX constituent due to a stock swap or an absorption-type merger with a surviving stock that is not a TPX constituent, and the surviving stock is included in TPX
|
Delisting date
|
Stock price at the end of trading on the business day before adjustment date
|
|
Addition
|
A company is to be transferred to the Prime Market
|
Last business day of the month after such change
|
Stock price at the end of trading on the business day before adjustment date
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Deletion
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New listing of a newly formed company resulting from a corporate consolidation, stock transfer, stock swap, merger for creating a new company or demerger that results in a TPX constituent
being delisted and the new company being included in TPX.
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Listing date of the newly formed company (normally two business days following delisting date)
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Stock price at the end of trading on the business day before the delisting date. The stock price at the end of trading on the business day before the delisting date is used to calculate TPX
for the period from the delisting date to the removal date.
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Deletion
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A constituent is to be delisted due to a reason other than as described in the preceding scenario
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Delisting date
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Stock price at the end of trading on the business day before adjustment date
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Deletion
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A constituent’s securities are designated to be delisted or designated as a security on alert
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Four business days after designation. If the designation date falls on a holiday, it will be the next business day.
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Stock price at the end of trading on the business day before adjustment date
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Changes in the number of shares and the price of the shares for adjustments to the base market value will be made as described in the table below.
Change in the Number of Shares
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Event
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Adjustment Date
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Stock Price Used for Adjustment
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Change of free-float weight
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Date of change
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Stock price at the end of trading on the business day before adjustment date
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Public offering
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Additional listing date (day after payment date). If listing date falls on a holiday, it will be the next business day
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Stock price at the end of trading on the business day before adjustment date
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Allocation of new shares to a third party
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Five business days after additional listing date (two business days after payment date)
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Stock price at the end of trading on the business day before adjustment date
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Capital increase through allotment to shareholders
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Ex-rights date
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Payment price per share
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Exercise of subscription warrants
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Last business day of the month following exercise
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Stock price at the end of trading on the business day before adjustment date
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Conversion of preferred shares
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Last business day of the month following conversion
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Stock price at the end of trading on the business day before adjustment date
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Cancellation of treasury stock
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Last business day of the month following cancellation
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Stock price at the end of trading on the business day before adjustment date
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Merger or stock swaps between a non-surviving constituent and another constituent
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Delisting date of the non-surviving constituent
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Stock price at the end of trading on the business day before adjustment date
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Merger or stock swaps other than that described above
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Listing change date (effective date)
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Stock price at the end of trading on the business day before adjustment date
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Rights offering (limited to case where the allotted subscription warrant securities are listed; the case where the allotted subscription warrant securities are not listed is treated as
“Exercise of subscription warrants”)
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Ex-rights date
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Payment price per share
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Offering for sale of shares held by the Japanese government (Nippon Telegraph, Telephone and Japan Tobacco and Japan Post Holdings only)
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Date determined by JPXI (generally the delivery date)
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Stock price at the end of trading on the business day before adjustment date
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Demerger (absorption-type)
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Listing change date (the effective date)
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Stock price at the end of trading on the business day before adjustment date
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Other adjustments
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Last business day of the month in which the information appears in “Sho-ho” (TSE Notice) or the last business day of the following month
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Stock price at the end of trading on the business day before adjustment date
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No adjustments will be made to the base market value in the case of a stock split, reverse stock split, or gratis allotment of shares (limited to cases where treasury stock is allotted).
Retroactive adjustments will not be made to revise the figures of the TPX that have already been calculated and disseminated even if issuing companies file amendments on previously released information.
Market Disruption
If trading in a certain constituent is halted, JPXI regards the constituent’s share price for purposes of calculating TPX to be unchanged. Where an event that is not specified in the rules of TPX occurs, or if JPXI
decides that it is impossible.
Historical Data
The following graph shows the daily historical performance of the TPX in the period from January 1, 2014 through March 27, 2024. We obtained this historical
data from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the closing level of the TPX was 2,799.28.
Historical Performance of the TPX
This historical data on the TPX is not necessarily indicative of the future performance of the TPX or what the value of the notes may be. Any historical upward
or downward trend in the level of the TPX during any period set forth above is not an indication that the level of the TPX is more or less likely to increase or decrease at any time over the term of the notes.
You should consult publicly available sources for the levels of the TPX.
License Agreement
We have agreed to enter into a non-exclusive license agreement with the TSE, Inc. whereby it, in exchange for a fee, is permitted to use the TPX in connection with certain securities, including the
notes. BNS is not affiliated with the TSE; the only relationship between the TSE and BNS is any licensing of the use of the TPX and trademarks relating to it.
The license agreement between us and the TSE provides that the following disclaimer must be set forth herein:
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(i) |
The TOPIX® Index Value and the TOPIX® Index Marks are subject to the rights owned by the TSE and the TSE owns all rights relating to the TPX, such as calculation, publication and use of the TOPIX® Index
Value and relating to the TOPIX® Index Marks.
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|
(ii) |
The TSE shall reserve the rights to change the methods of calculation or publication, to cease the calculation or publication of the TOPIX® Index Value or to change the TOPIX® Index Marks or cease the use thereof.
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(iii) |
The TSE makes no warranty or representation whatsoever, either as to the results stemmed from the use of the TOPIX® Index Value and the TOPIX® Index Marks or as to the figure at which the TOPIX® Index
Value stands on any particular day.
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(iv) |
The TSE gives no assurance regarding accuracy or completeness of the TOPIX® Index Value and data contained therein. Further, the TSE shall not be liable for the miscalculation, incorrect publication, delayed or interrupted
publication of the TOPIX® Index Value.
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(v) |
No notes are in any way sponsored, endorsed or promoted by the TSE.
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(vi) |
The TSE shall not bear any obligation to give an explanation of the notes or an advice on investments to any purchaser of the notes or to the public.
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(vii) |
The TSE neither selects specific stocks or groups thereof nor takes into account any needs of the issuing company or any purchaser of the notes for calculation of the TOPIX® Index Value.
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(viii) |
Including but not limited to the foregoing, the TSE shall not be responsible for any damage resulting from the issue and sale of the notes.
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“TOPIX®” and “TOPIX Index®” are trademarks of the TSE and prior to the settlement date we expect them to be licensed for use by the Issuer or one of its affiliates. The notes have not been and will not be passed on by the
TSE as to their legality or suitability. The notes will not be issued, endorsed, sold or promoted by the TSE. THE TSE MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE NOTES.
Supplement to the Plan of Distribution
Under our distribution agreement with BofAS, BofAS will purchase the notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated underwriting
discount.
MLPF&S will purchase the notes from BofAS for resale, and will receive a selling concession in connection with the sale of the notes in an amount up to the full amount of the underwriting
discount set forth on the cover of this term sheet.
We will pay a fee to LFT Securities, LLC for providing certain electronic platform services with respect to this offering, which will reduce the economic terms of the notes to you. An affiliate of
BofAS has an ownership interest in LFT Securities, LLC.
We will deliver the notes against payment therefor in New York, New York on a date that is greater than two business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act
of 1934, trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than two business days prior to
the settlement date will be required to specify alternative settlement arrangements to prevent a failed settlement.
The notes will not be listed on any securities exchange. In the original offering of the notes, the notes will be sold in minimum investment amounts of 100 units. If you place an order to purchase
the notes, you are consenting to MLPF&S and/or one of its affiliates acting as a principal in effecting the transaction for your account.
MLPF&S and BofAS may repurchase and resell the notes, with repurchases and resales being made at prices related to then-prevailing market prices or at negotiated prices, and these prices will
include MLPF&S’s and BofAS’s trading commissions and mark-ups or mark-downs. MLPF&S and BofAS may act as principal or agent in these market-making transactions; however, neither is obligated to engage in any such transactions. At their
discretion, for a short, undetermined initial period after the issuance of the notes, MLPF&S and BofAS may offer to buy the notes in the secondary market at a price that may exceed the initial estimated value of the notes. Any price offered by
MLPF&S or BofAS for the notes will be based on then-prevailing market conditions and other considerations, including the performance of the Indices and the remaining term of the notes. However, none of us, MLPF&S, BofAS or any of our
respective affiliates is obligated to purchase your notes at any price or at any time, and we cannot assure you that we, MLPF&S, BofAS or any of our respective affiliates will purchase your notes at a price that equals or exceeds the initial
estimated value of the notes.
The value of the notes shown on your account statement produced by MLPF&S will be based on BofAS’s estimate of the value of the notes if BofAS or another of its affiliates were to make a market
in the notes, which it is not obligated to do. That estimate will be based upon the price that BofAS may pay for the notes in light of then-prevailing market conditions, and other considerations, as mentioned above, and will include transaction
costs. At certain times, this price may be higher than or lower than the initial estimated value of the notes.
The distribution of the Note Prospectus in connection with these offers or sales will be solely for the purpose of providing investors with the description of the terms of the notes that was made
available to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized to, rely on the Note Prospectus for information regarding BNS or for any purpose other than that described in the
immediately preceding sentence.
Structuring the Notes
The notes are our unsecured senior debt securities, the return on which is linked to the performance of the Index. As is the case for all of our debt securities, including our market-linked notes,
the economic terms of the notes reflect our actual or perceived creditworthiness at the time of pricing. The internal funding rate we use in pricing the market-linked note is typically lower than the rate we would pay when we issue conventional
fixed-rate debt securities of comparable maturity. This generally relatively lower internal funding rate, which is reflected in the economic terms of the notes, along with the fees and charges associated with market-linked notes, resulted in the
initial estimated value of the notes on the pricing date being less than their public offering price.
At maturity, we are required to pay the Redemption Amount to holders of the notes, which will be calculated based on the performance of the Index and the $10 per unit principal amount. In order to
meet these payment obligations, at the time we issue the notes, we may choose to enter into certain hedging arrangements (which may include call options, put options or other derivatives) with BofAS or one of its affiliates. The terms of these
hedging arrangements are determined by seeking bids from market participants, including MLPF&S, BofAS and its affiliates, and take into account a number of factors, including our creditworthiness, interest rate movements, the volatility of the
Indices, the tenor of the notes and the tenor of the hedging arrangements. The economic terms of the notes and their initial estimated value depend in part on the terms of these hedging arrangements.
BofAS has advised us that the hedging arrangements will include a hedging related charge of approximately $0.075 per unit, reflecting an estimated profit to be credited to BofAS from these
transactions. Since hedging entails risk and may be influenced by unpredictable market forces, additional profits and losses from these hedging arrangements may be realized by BofAS or any third party hedge providers.
For further information, see “Risk Factors — Conflict-Related Risks” beginning on page PS-16 and “Use of Proceeds and Hedging” on page PS-20 of product supplement EQUITY ARN-1.
Summary of Canadian Federal Income Tax Consequences
An investor should read carefully the description of principal Canadian federal income tax considerations under “Canadian Taxation” in the accompanying prospectus relevant to a holder (as defined on
page 65 of the prospectus) owning debt securities, and the description of principal Canadian federal income tax considerations under “Supplemental Discussion of Canadian Federal Income Tax Consequences” in product supplement EQUITY ARN-1. In
addition to the assumptions, limitations and conditions described therein, such discussion assumes that a Non-Resident Holder is not an entity in respect of which BNS is a “specified entity” as defined in proposals to amend the Income Tax Act (Canada) (the “Act”) released by the Minister of Finance (Canada) on November 28, 2023 with respect to “hybrid mismatch
arrangements”, as defined (the “Hybrid Mismatch Proposals”). In general terms, the Hybrid Mismatch Proposals provide that two entities will be treated as specified entities in respect of one another if one
entity, directly or indirectly, holds a 25% equity interest in the other entity, or a third entity, directly or indirectly, holds a 25% equity interest in both entities.
Such discussion further assumes that no amount paid or payable to a Non-Resident Holder will be the deduction component of a “hybrid mismatch arrangement” under which the payment arises within the
meaning of proposed paragraph 18.4(3)(b) of the Act contained in the Hybrid Mismatch Proposals.
Investors should note that the Hybrid Mismatch Proposals are in consultation form, are highly complex, and there remains significant uncertainty as to their
interpretation and application. There can be no assurance that the Hybrid Mismatch Proposals will be enacted in their current form, or at all.
Summary of U.S. Federal Income Tax Consequences
The following is a general description of certain U.S. federal tax considerations relating to the notes. Prospective purchasers of the notes should consult their tax advisors as to the consequences
under the tax laws of the country of which they are residents for tax purposes and the tax laws of the U.S. of acquiring, holding and disposing of the notes and receiving payments under the notes. This summary is based upon the law as in effect on
the date of this document and is subject to any change in law that may take effect after such date. We urge you to read the more detailed discussion in the “Material U.S. Federal Income Tax Consequences” section beginning on page PS-37 of product
supplement EQUITY ARN-1.
No statutory, regulatory, judicial or administrative authority directly discusses how the notes should be treated for U.S. federal income tax purposes. As a result, the U.S. federal income tax
consequences of your investment in the notes are uncertain. Accordingly, we urge you to consult your tax advisor as to the tax consequences of your investment in the notes (and of having agreed to the required tax treatment of your notes described
below) and as to the application of state, local or other tax laws to your investment in your notes and the possible effects of changes in federal or other tax laws.
Pursuant to the terms of the notes, BNS and you agree, in the absence of a statutory or regulatory change or an administrative determination or judicial ruling to the contrary, to characterize your
notes as prepaid derivative contracts with respect to the Indices. If your notes are so treated, you should generally recognize long-term capital gain or loss if you hold your notes for more than one year (and, otherwise, short-term capital gain or
loss) upon the taxable disposition (including cash settlement) of your notes in an amount equal to the difference between the amount you receive at such time and the amount you paid for your notes. The deductibility of capital losses is subject to
limitations.
Based on certain factual representations received from us, our special U.S. tax counsel, Fried, Frank, Harris, Shriver & Jacobson LLP, is of the opinion that it would be
reasonable to treat your notes in the manner described above. However, because there is no authority that specifically addresses the tax treatment of the notes, it is possible that your notes could alternatively be treated for tax purposes as a
single contingent payment debt instrument or pursuant to some other characterization, such that the timing and character of your income from the notes could differ materially and adversely from the treatment described above.
Section 1297. We will not attempt to ascertain whether any entity the stock of which is included in any of the Indices would be treated as a “passive foreign
investment company” (a “PFIC”) within the meaning of Section 1297 of the U.S. Internal Revenue Code of 1986, as amended (the “Code”). If any such entity were so treated, certain adverse U.S. federal income tax consequences might apply to U.S.
holders upon the taxable disposition (including cash settlement) of the notes. You should refer to information filed with the SEC or an equivalent governmental authority by such entities and consult your tax advisor regarding the possible
consequences to you if such entity is or becomes a PFIC.
Notice 2008-2. In 2007, the Internal Revenue Service (the “IRS”) released a notice that may affect the taxation of holders of the notes. According to Notice
2008-2, the IRS and the U.S. Department of the Treasury (the “Treasury”) are actively considering whether a holder of an instrument such as the notes should be required to accrue ordinary income on a current basis. It is not possible to determine
what guidance they will ultimately issue, if any. It is possible, however, that under such guidance, holders of the notes will ultimately be required to accrue income currently and this could be applied on a retroactive basis. The IRS and the
Treasury are also considering other relevant issues, including whether additional gain or loss from such instruments should be treated as ordinary or capital, whether non-U.S. holders of such instruments should be subject to withholding tax on any
deemed income accruals, and whether the special “constructive ownership rules” of Section 1260 of the U.S. Internal Revenue Code of 1986, as amended (the “Code”), should be applied to such instruments. Both U.S. and non-U.S. holders are urged to
consult their tax advisors concerning the significance, and the potential impact, of the above considerations.
Proposed Legislation. In 2007, legislation was introduced in Congress that, if it had been enacted, would have required holders of notes purchased after the bill was enacted
to accrue interest income over the term of the notes despite the fact that there will be no interest payments over the term of the notes.
Furthermore, in 2013 the House Ways and Means Committee released in draft form certain proposed legislation relating to financial instruments. If it had been enacted, the effect of this legislation
generally would have been to require instruments such as the notes to be marked to market on an annual basis with all gains and losses to be treated as ordinary, subject to certain exceptions.
It is impossible to predict what any such legislation or administrative or regulatory guidance might provide, and whether the effective date of any legislation or guidance will affect securities that
were issued before the date that such legislation or guidance is issued. You are urged to consult your tax advisor as to the possibility that any legislative or administrative action may adversely affect the tax treatment of your notes.
Medicare Tax on Net Investment Income. U.S. holders that are individuals, estates or certain trusts are subject to an additional 3.8% tax on all or a portion
of their “net investment income,” or “undistributed net investment income” in the case of an estate or trust, which may include any income or gain realized with respect to the notes, to the extent of their net investment income or undistributed net
investment income (as the case may be) that, when added to their other modified adjusted gross income, exceeds $200,000 for an unmarried individual, $250,000 for a married taxpayer filing a joint return (or a surviving spouse), $125,000 for a
married individual filing a separate return or the dollar amount at which the highest tax bracket begins for an estate or trust. The 3.8% Medicare tax is determined in a different manner than the regular income tax. U.S. holders should consult
their tax advisors with respect to the 3.8% Medicare tax.
Specified Foreign Financial Assets. U.S. holders may be subject to reporting obligations with respect to their notes if they do not hold their notes in an
account maintained by a financial institution and the aggregate value of their notes and certain other “specified foreign financial assets” (applying certain attribution rules) exceeds an applicable threshold. Significant penalties can apply if a
U.S. holder is required to disclose its notes and fails to do so.
Backup Withholding and Information Reporting. The proceeds received from a taxable disposition of the notes will be subject to information reporting unless
you are an “exempt recipient” and may also be subject to backup withholding at the rate specified in the Code if you fail to provide certain identifying information (such as an accurate taxpayer number, if you are a U.S. holder) or meet certain
other conditions.
Amounts withheld under the backup withholding rules are not additional taxes and may be refunded or credited against your U.S. federal income tax liability, provided the required information is
furnished to the IRS.
Non-U.S. Holders. If you are a non-U.S. holder, subject to Section 871(m) of the Code and FATCA, discussed below, you should generally not be subject to
generally applicable information reporting and backup withholding requirements with respect to payments on your notes if you comply with certain certification and identification requirements as to your non-U.S. status including providing us (and/or
the applicable withholding agent) a properly executed and fully completed applicable IRS Form W-8. Subject to Section 897 of the Code and Section 871(m) of the Code, discussed below, gain realized from the taxable disposition of a note generally
will not be subject to U.S. tax unless (i) such gain is effectively connected with a trade or business conducted by you in the U.S., (ii) you are a non-resident alien individual and are present in the U.S. for 183 days or more during the taxable
year of such taxable disposition and certain other conditions are satisfied or (iii) you have certain other present or former connections with the U.S.
Section 897. We will not attempt to ascertain whether the issuer of any security included in any of the Indices would be treated as a “United States real
property holding corporation” (“USRPHC”) within the meaning of Section 897 of the Code. We also have not attempted to determine whether the notes should be treated as “United States real property interests” (“USRPI”) as defined in Section 897 of
the Code. If any such entity and/or the notes were so treated, certain adverse U.S. federal income tax consequences could possibly apply, including subjecting any gain realized by a non-U.S. holder in respect of the notes upon a taxable disposition
(including cash settlement) of the notes to U.S. federal income tax on a net basis, and the proceeds from such a taxable disposition to a withholding tax. Non-U.S. holders should consult their tax advisors regarding the potential treatment of any
such entity as a USRPHC and/or the notes as USRPI.
Section 871(m). A 30% withholding tax (which may be reduced by an applicable income tax treaty) is imposed under Section 871(m) of the Code on certain
“dividend equivalents” paid or deemed paid to a non-U.S. holder with respect to a “specified equity-linked instrument” that references one or more dividend-paying U.S. equity securities or indices containing U.S. equity securities. The withholding
tax can apply even if the instrument does not provide for payments that reference dividends. Treasury regulations provide that the withholding tax applies to all dividend equivalents paid or deemed paid on specified equity-linked instruments that
have a delta of one (“delta-one specified equity-linked instruments”) issued after 2016 and to all dividend equivalents paid or deemed paid on all other specified equity-linked instruments issued after 2017. However, the IRS has issued guidance
that states that the Treasury and the IRS intend to amend the effective dates of the Treasury regulations to provide that withholding on dividend equivalents paid or deemed paid will not apply to specified equity-linked instruments that are not
delta-one specified equity-linked instruments and are issued before January 1, 2025.
Based on the nature of the Indices and our determination that the notes are not “delta-one” with respect to any of the Indices or any U.S. security included in any of the Indices, our special U.S.
tax counsel is of the opinion that the notes should not be delta-one specified equity-linked instruments and thus should not be subject to withholding on dividend equivalents. Our determination is not binding on the IRS, and the IRS may disagree
with this determination. Furthermore, the application of Section 871(m) of the Code will depend on our determinations on the date the terms of the notes are set. If withholding is required, we will not make payments of any additional amounts.
Nevertheless, after the date the terms are set, it is possible that your notes could be deemed to be reissued for tax purposes upon the occurrence of certain events affecting any of the Indices, any U.S. security
included in any of the Indices or your notes, and following such occurrence your notes could be treated as delta-one specified equity-linked instruments that are subject to withholding on dividend equivalents. It is also possible that withholding
tax or other tax under Section 871(m) of the Code could apply to the notes under these rules if you enter, or have entered, into certain other transactions in respect of any of the Indices, any U.S. security included in any of the Indices or the
notes. If you enter, or have entered, into other transactions in respect of any of the Indices, any U.S. security included in any of the Indices or the notes, you should consult your tax advisor regarding the application of Section 871(m) of the
Code to your notes in the context of your other transactions.
Because of the uncertainty regarding the application of the 30% withholding tax on dividend equivalents to the notes, you are urged to consult your tax advisor regarding the potential application of
Section 871(m) of the Code and the 30% withholding tax to an investment in the notes.
U.S. Federal Estate Tax Treatment of Non-U.S. Holders. A note may be subject to U.S. federal estate tax if an individual non-U.S. holder holds the note at the
time of his or her death. The gross estate of a non-U.S. holder domiciled outside the U.S. includes only property situated in the U.S. Individual non-U.S. holders should consult their tax advisors regarding the U.S. federal estate tax consequences
of holding the notes at death.
FATCA. The Foreign Account Tax Compliance Act (“FATCA”) was enacted on March 18, 2010, and imposes a 30% U.S. withholding tax on “withholdable payments”
(i.e., certain U.S.-source payments, including interest (and original issue discount), dividends or other fixed or determinable annual or periodical gain, profits, and income, and on the gross proceeds from a disposition of property of a type which
can produce U.S.-source interest or dividends) and “passthru payments” (i.e., certain payments attributable to withholdable payments) made to certain foreign financial institutions (and certain of their affiliates) unless the payee foreign
financial institution agrees (or is required), among other things, to disclose the identity of any U.S. individual with an account at the institution (or the relevant affiliate) and to annually report certain information about such account. FATCA
also requires withholding agents making withholdable payments to certain foreign entities that do not disclose the name, address, and taxpayer identification number of any substantial U.S. owners (or do not certify that they do not have any
substantial U.S. owners) to withhold tax at a rate of 30%. Under certain circumstances, a holder may be eligible for refunds or credits of such taxes.
Pursuant to final and temporary Treasury regulations and other IRS guidance, the withholding and reporting requirements under FATCA will generally apply to certain “withholdable payments”, will not
apply to gross proceeds on a sale or disposition, and will apply to certain foreign passthru payments only to the extent that such payments are made after the date that is two years after final regulations defining the term “foreign passthru
payment” are published. If withholding is required, we (or the applicable paying agent) will not be required to pay additional amounts with respect to the amounts so withheld. Foreign financial institutions and non-financial foreign entities
located in jurisdictions that have an intergovernmental agreement with the U.S. governing FATCA may be subject to different rules.
Investors should consult their own advisors about the application of FATCA, in particular if they may be classified as financial institutions (or if they hold their notes through
a foreign entity) under the FATCA rules.
Both U.S. and non-U.S. holders should consult their tax advisors regarding the U.S. federal income tax consequences of an investment in the notes, as well as
any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction (including that of BNS and those of the issuers of any security included in any of the Indices).
Validity of the Notes
In the opinion of Fried, Frank, Harris, Shriver & Jacobson LLP, as special counsel to BNS, when the notes offered by this term sheet have been executed and issued by BNS
and authenticated by the trustee pursuant to the indenture and delivered, paid for and sold as contemplated herein, the notes will be valid and binding obligations of BNS, enforceable against BNS in accordance with their terms, subject to
applicable bankruptcy, insolvency, fraudulent conveyance, reorganization, moratorium, receivership or other laws relating to or affecting creditors’ rights generally, and to general principles of equity (regardless of whether enforcement is sought
in a proceeding at law or in equity). This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this opinion involves matters governed by Canadian law, Fried, Frank, Harris, Shriver & Jacobson
LLP has assumed, without independent inquiry or investigation, the validity of the matters opined on by Osler, Hoskin & Harcourt LLP, Canadian legal counsel for BNS, in its opinion expressed below. In addition, this opinion is subject to
customary assumptions about the trustee’s authorization, execution and delivery of the indenture and, with respect to the notes, authentication of the notes and the genuineness of signatures and certain factual matters, all as stated in the opinion
of Fried, Frank, Harris, Shriver & Jacobson LLP dated February 28, 2022 filed with the SEC as an exhibit to the Current Report on Form 6-K on March 1, 2022.
In the opinion of Osler, Hoskin & Harcourt LLP, the issue and sale of the notes has been duly authorized by all necessary corporate action of BNS in conformity with the Indenture, and when the
notes have been duly executed, authenticated and issued in accordance with the Indenture, and delivered against payment therefor, the notes will be validly issued and, to the extent validity of the notes is a matter governed by the laws of the
Province of Ontario or the federal laws of Canada applicable therein, will be valid obligations of BNS, subject to the following limitations (i) the enforceability of the Indenture may be limited by the Canada Deposit Insurance Corporation Act
(Canada), the Winding-up and Restructuring Act (Canada) and bankruptcy, insolvency, reorganization, receivership, preference, moratorium, arrangement or winding-up laws or other similar laws affecting the enforcement of creditors’ rights generally;
(ii) the enforceability of the Indenture may be limited by equitable principles, including the principle that equitable remedies such as specific performance and injunction may only be granted in the discretion of a court of competent jurisdiction;
(iii) pursuant to the Currency Act (Canada) a judgment by a Canadian court must be awarded in Canadian currency and that such judgment may be based on a rate of exchange in existence
on a day other than the day of payment; and (iv) the enforceability of the Indenture will be subject to the limitations contained in the Limitations Act, 2002 (Ontario), and such counsel expresses no opinion as to
whether a court may find any provision of the Indenture to be unenforceable as an attempt to vary or exclude a limitation period under that Act. This opinion is given as of the date hereof and is limited to the laws of the Province of Ontario and
the federal laws of Canada applicable therein. In addition, this opinion is subject to customary assumptions about the Trustees’ authorization, execution and delivery of the Indenture and the genuineness of signatures and certain factual matters,
all as stated in the letter of such counsel dated December 27, 2021, which has been filed as Exhibit 5.2 to BNS’s Form F-3/A filed with the SEC on December 27, 2021.
Where You Can Find More Information
We have filed a registration statement (including a product supplement, a prospectus supplement and a prospectus) with the SEC for the offering to which this term sheet relates. You should read the
Note Prospectus, including this term sheet, and the other documents that we have filed with the SEC, for more complete information about us and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at
www.sec.gov. Alternatively, we, any agent, or any dealer participating in this offering will arrange to send you these documents if you so request by calling MLPF&S or BofAS toll-free at 1-800-294-1322.