|
Subject to Completion
Preliminary Term Sheet dated
July 1, 2019
|
Filed Pursuant to Rule 433
Registration Statement No. 333- 228614 (To Prospectus dated December 26, 2018,
Prospectus Supplement dated December 26, 2018 and Product Prospectus Supplement EQUITY INDICES MITTS-1
dated December 26, 2018)
|
Per Unit
|
Total
|
|
Public offering price
(1)
|
$
10.00
|
$
|
Underwriting discount
(1)
|
$ 0.25
|
$
|
Proceeds, before expenses, to BNS
|
$ 9.75
|
$
|
Are Not FDIC Insured
|
Are Not Bank Guaranteed
|
May Lose Value
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
Market Index Target-Term Securities
|
TS-
2
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
◾ |
Product prospectus supplement EQUITY INDICES MITTS-1 dated December 26, 2018:
|
◾ |
Prospectus supplement dated December 26, 2018:
|
◾
|
Prospectus dated December 26, 2018:
|
You may wish to consider an investment in the notes if:
|
The notes may not be an appropriate investment for you if:
|
|
◾
You anticipate that the value of the Basket will increase moderately from the Starting Value
to the Ending Value.
◾
You accept that the return on the notes will be zero if the Basket does not increase from the
Starting Value to the 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 the
Basket Components.
◾
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.
|
◾
You believe that the value of the Basket will decrease from the Starting Value to the Ending Value or that it
will not increase sufficiently over the term of the notes to provide you with your desired return.
◾
You seek a guaranteed return beyond the Minimum Redemption Amount.
◾
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 the Basket Components.
◾
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.
|
Market Index Target-Term Securities
|
TS-
3
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
Market Index Target-Term Securities
|
This graph reflects the returns on the notes, based on the Participation Rate of 100%, the Minimum Redemption Amount of $10.00 and a Capped Value of $19.00 per unit (the midpoint of
the Capped Value range of [$18.50 to $19.50]). The blue 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 Basket Components, excluding dividends.
This graph has been prepared for purposes of illustration only.
|
Ending Value
|
Percentage Change from the Starting Value to the Ending Value
|
Redemption Amount per Unit
|
Total Rate of Return on the Notes
|
|||
0.00
|
-100.00%
|
$10.00
(2)
|
0.00%
|
|||
25.00
|
-75.00%
|
$10.00
|
0.00%
|
|||
50.00
|
-50.00%
|
$10.00
|
0.00%
|
|||
75.00
|
-25.00%
|
$10.00
|
0.00%
|
|||
100.00
(1)
|
0.00%
|
$10.00
|
0.00%
|
|||
110.00
|
10.00%
|
$11.00
|
10.00%
|
|||
120.00
|
20.00%
|
$12.00
|
20.00%
|
|||
130.00
|
30.00%
|
$13.00
|
30.00%
|
|||
140.00
|
40.00%
|
$14.00
|
40.00%
|
|||
150.00
|
50.00%
|
$15.00
|
50.00%
|
|||
160.00
|
60.00%
|
$16.00
|
60.00%
|
|||
170.00
|
70.00%
|
$17.00
|
70.00%
|
|||
190.00
|
90.00%
|
$19.00
(3)
|
90.00%
|
|||
200.00
|
100.00%
|
$19.00
|
90.00%
|
(1)
|
The Starting Value will be set to 100.00 on the pricing date.
|
(2)
|
The Redemption Amount per unit will not be less than the Minimum Redemption Amount.
|
(3)
|
The Redemption Amount per unit cannot exceed the
hypothetical
Capped Value.
|
Market Index Target-Term Securities
|
TS-
4
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
Example 1
|
|
The Ending Value is 90.00, or 90.00% of the Starting Value:
|
|
Starting Value: 100.00
|
|
Ending Value: 90.00
|
|
|
= $9.00 Redemption Amount per unit, however, because the Redemption Amount for the notes cannot be less than the Minimum Redemption Amount, the Redemption Amount
will be $10.00 per unit.
|
Example 2
|
|
The Ending Value is 140.00, or 140.00% of the Starting Value:
|
|
Starting Value: 100.00
|
|
Ending Value: 140.00
|
|
|
= $14.00 Redemption Amount per unit
|
Example 3
|
|
The Ending Value is 200.00, or 200.00% of the Starting Value:
|
|
Starting Value: 100.00
|
|
Ending Value: 200.00
|
|
|
Redemption Amount per unit, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $19.00 per unit
|
Market Index Target-Term Securities
|
TS-
5
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
◾
|
Depending on the performance of the Basket as measured shortly before the maturity date, you may not
earn a return on your investment.
|
◾
|
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.
|
◾
|
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.
|
◾
|
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 Basket Components.
|
◾
|
Our initial estimated value of the notes will be 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 will exceed 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-28.
|
◾
|
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 Basket, 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.
|
◾
|
Changes in the level of one of the Basket Components may be offset by changes in the
levels of the other Basket Components. Due to the different Initial Component Weights (as defined in “The Basket” section below), changes in the levels of some Basket Components will have a more substantial impact
on the value of the Basket than similar changes in the levels of the other Basket Components.
|
◾
|
Our business, hedging and trading activities, and those of MLPF&S, BofAS and
our respective affiliates (including trades in shares of companies included in the Basket Components), and any hedging and trading activities we, MLPF&S
, BofAS or our respective affiliates engage in for our clients’ accounts, may affect the market value and return of the notes and may create conflicts of interest with you.
|
◾
|
An Index sponsor (as defined below) may adjust the relevant Basket Component in a way that may
adversely affect its level and your interests, and has no obligation to consider your interests.
|
◾
|
You will have no rights of a holder of the securities included in the Basket Components,
and you will not be entitled to receive securities or dividends or other distributions by the issuers of those securities.
|
Market Index Target-Term Securities
|
TS-
6
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
◾
|
While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the Basket Components, none of us,
MLPF&S, BofAS or our respective affiliates control any company included in the Basket Components, 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 Basket Components. In addition, you will not obtain the benefit of any increase in the value of the currencies in which the securities in the Basket Components trade against the U.S. dollar which you would have received if
you had owned the securities in the Basket Components during the term of your notes, although the value of the Basket may be adversely affected by general exchange rate movements in the market.
|
◾
|
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.
|
◾
|
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 62 of the prospectus dated December 26, 2018, and “Supplemental Discussion of Canadian Federal Income Tax Consequences” on page PS-26 of product prospectus
supplement EQUITY INDICES MITTS-1.
|
(A)
|
each of the Eurex (as to the EURO STOXX 50
®
Index), the London Stock Exchange (as to the FTSE
®
100 Index), the Tokyo Stock Exchange (as to the Nikkei Stock Average Index), the SIX
Swiss Exchange (as to the Swiss Market Index
®
), the Australian Stock Exchange (as to the S&P/ASX 200 Index) and the Stock Exchange of Hong Kong (as to the Hang Seng
®
Index) (or any successor to the
foregoing exchanges) are open for trading; and
|
(B)
|
the Basket Components or any successors thereto are calculated and published.
|
Market Index Target-Term Securities
|
TS-
7
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
Basket Component
|
Bloomberg Symbol
|
Initial Component Weight
|
Closing Level
(1)(2)
|
Hypothetical Component Ratio
(1)(3)
|
Initial Basket Value Contribution
|
|||||
EURO STOXX 50
®
Index
|
SX5E
|
40.00%
|
3,455.57
|
0.01157551
|
40.00
|
|||||
FTSE
®
100 Index
|
UKX
|
20.00%
|
7,416.69
|
0.00269662
|
20.00
|
|||||
Nikkei Stock Average Index
|
NKY
|
20.00%
|
21,285.99
|
0.00093959
|
20.00
|
|||||
Swiss Market Index
®
|
SMI
|
7.50%
|
9,898.85
|
0.00075766
|
7.50
|
|||||
S&P/ASX 200 Index
|
AS51
|
7.50%
|
6,665.437
|
0.00112521
|
7.50
|
|||||
Hang Seng
®
Index
|
HSI
|
5.00%
|
28,513.00
|
0.00017536
|
5.00
|
|||||
Starting Value
|
100.00
|
(1)
|
The actual closing level of each Basket Component and the resulting actual Component Ratios will be determined on the pricing date, subject to adjustment as more fully described in the section entitled
“Description of the Notes—Basket Market Measures—Determination of the Component Ratio for Each Basket Component” beginning on page PS-36 of product prospectus supplement EQUITY INDICES MITTS-1 if a Market Disruption Event occurs on
the pricing date as to any Basket Component.
|
(2)
|
These were the closing levels of the Basket Components on June 24, 2019.
|
(3)
|
Each hypothetical Component Ratio equals the Initial Component Weight of the relevant Basket Component (as a percentage) multiplied by 100.00, and then divided by the closing level of that Basket
Component on June 24, 2019 and rounded to eight decimal places.
|
Market Index Target-Term Securities
|
TS-
9
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
Market Index Target-Term Securities
|
TS-
10
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
·
|
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
|
·
|
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.
|
·
|
The Sponsor, 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:
|
Market Index Target-Term Securities
|
TS-
11
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
·
|
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;
|
·
|
the merchantability and the fitness for a particular purpose or use of the SX5E or its data; and
|
·
|
the performance of the notes generally.
|
·
|
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
|
·
|
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 the Sponsor Deutsche Börse Group
and their licensors, research partners or data providers are aware that such loss or damage may occur.
|
Market Index Target-Term Securities
|
TS-
12
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
Market Index Target-Term Securities
|
TS-
14
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
|
◾
|
Technology — Pharmaceuticals, Electrical Machinery, Automobiles, Precision Machinery, Telecommunications;
|
|
◾
|
Financials — Banks, Miscellaneous Finance, Securities, Insurance;
|
|
◾
|
Consumer Goods — Marine Products, Food, Retail, Services;
|
|
◾
|
Materials — Mining, Textiles, Paper and Pulp, Chemicals, Oil, Rubber, Ceramics, Steel, Nonferrous Metals, Trading Houses;
|
|
◾
|
Capital Goods/Others — Construction, Machinery, Shipbuilding, Transportation Equipment, Miscellaneous Manufacturing, Real Estate; and
|
|
◾
|
Transportation and Utilities — Railroads and Buses, Trucking, Shipping, Airlines, Warehousing, Electric Power, Gas.
|
Market Index Target-Term Securities
|
TS-
15
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
Market Index Target-Term Securities
|
TS-
16
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
◾
|
was first launched with a base level of 1,500 as of June 30, 1988; and
|
◾
|
is sponsored, calculated, published and disseminated by the SIX Exchange.
|
◾
|
average free-float market capitalization (compared to the capitalization of the entire Swiss Stock Exchange index family), and
|
◾
|
cumulative on order book turnover (compared to the total turnover of the Swiss Stock Exchange index family).
|
Market Index Target-Term Securities
|
TS-
17
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
Index =
|
Free Float Market Capitalization of the index
Divisor |
Market Index Target-Term Securities
|
TS-
18
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
·
|
Sponsor, endorse, sell or promote the notes.
|
·
|
Recommend that any person invest in the notes or any other securities.
|
·
|
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.
|
·
|
Consider the needs of the notes or the owners of the notes in determining, composing or calculating the SMI or have any obligation to do so.
|
·
|
SIX Swiss Exchange and its Licensors do not give any warranty, express or implied, and exclude any liability for:
|
o
|
The results to be obtained by the notes; the owner of the notes or any other person in connection with the use of the SMI and the data included in the SMI.
|
o
|
The accuracy, timeliness, and completeness of the SMI and its data.
|
o
|
The merchantability and the fitness for a particular purpose or use of the SMI and its data.
|
o
|
The performance of the notes generally.
|
·
|
SIX Swiss Exchange and its Licensors give no warranty, and exclude any liability, for any errors, omissions or interruptions in the SMI or its data.
|
·
|
Under no circumstances will SIX Swiss Exchange or its Licensors 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 SMI or its data or generally in relation to the notes, even in circumstances where SIX Swiss Exchange or its Licensors are aware that such loss or damage may
occur.
|
Market Index Target-Term Securities
|
TS-
19
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
◾
|
was first launched in 1979 by the Australian Securities Exchange and was acquired and re-launched by its current Index sponsor on April 3, 2000; and
|
◾
|
is sponsored, calculated, published and disseminated by S&P.
|
1.
|
Government and government agencies;
|
2.
|
Controlling and strategic shareholders/partners;
|
3.
|
Any other entities or individuals which hold more than 5%, excluding insurance companies, securities companies and investment funds; and
|
4.
|
Other restricted portions such as treasury stocks.
|
Market Index Target-Term Securities
|
TS-
20
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
◾
|
changes in a company’s float-adjusted shares of 5% or more due to market-wide shares issuance;
|
◾
|
rights issues, bonus issues and other major corporate actions; and
|
◾
|
share issues resulting from index companies merging and major off-market buy-backs.
|
Market Index Target-Term Securities
|
TS-
22
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
Market Index Target-Term Securities
|
TS-
23
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
•
|
Strategic holdings
(governments and affiliated entities or any other entities which hold substantial shares in the company would be considered as non-freefloat
unless otherwise proved);
|
•
|
Directors’ and management holdings
(directors, members of the board committee, principal officers or founding members);
|
•
|
Corporate cross holdings
(publicly traded companies or private firms / institutions); and
|
•
|
Lock-up shares
(shareholdings with a publicly disclosed lock-up arrangement).
|
Market Index Target-Term Securities
|
TS-
24
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
●
|
the investor's spouse (including a domestic partner), siblings, parents, grandparents, spouse's parents, children and
grandchildren, but excluding accounts held by aunts, uncles, cousins, nieces, nephews or any other family relationship not directly above or below the individual investor;
|
●
|
a family investment vehicle, including foundations, limited partnerships and personal holding companies, but only if the
beneficial owners of the vehicle consist solely of the investor or members of the investor's household as described above; and
|
●
|
a trust where the grantors and/or beneficiaries of
the trust consist solely of the investor or members of the investor's household as described above; provided that, purchases of the notes by a trust generally cannot be aggregated together with any purchases made by a trustee's personal
account
.
|
Market Index Target-Term Securities
|
TS-
27
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
Accrual Period
|
Interest Deemed to Accrue During Accrual Period (per $10.00 Note)
|
Total Interest Deemed to Have Accrued From Original Issue Date (per $10.00 Note) as of End of Accrual Period
|
August 1, 2019 through December 31, 2019
|
$0.11
|
$0.11
|
January 1, 2020 through December 31, 2020
|
$0.26
|
$0.37 |
January 1, 2021 through December 31, 2021
|
$0.27
|
$0.64
|
January 1, 2022 through December 31, 2022
|
$0.27
|
$0.91
|
January 1, 2023 through December 31, 2023
|
$0.28
|
$1.19
|
January 1, 2024 through July 26, 2024
|
$0.17 | $1.36 |
Market Index Target-Term Securities
|
TS-
30
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
Market Index Target-Term Securities
|
TS-
31
|
Market Index Target-Term Securities
®
Linked to an International Equity Index Basket, due July , 2024 |
Market Index Target-Term Securities
|
TS-
32
|