Free Writing Prospectus – Form FWP
Subject to Completion Preliminary Term Sheet Dated |
Filed Pursuant to Rule 433 |
Units |
Pricing Date* |
November , 2024 November , 2024 November , 2027 |
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*Subject to change based on the actual date the notes are priced for initial sale to the public (the "pricing date") |
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Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index ļæAutomatically callable if the closing level of the Index on any Observation Date, occurring approximately one, two and three years after the pricing date, is at or above the Starting Value ļæIn the event of an automatic call, the amount payable per unit will be: ļæ[ ļæ[ ļæ[ ļæIf not called on either of the first two Observation Dates, a maturity of approximately three years ļæIf not called, 1-to-1 downside exposure to decreases in the Index, with up to 100.00% of your principal amount at risk ļæAll payments are subject to the credit risk of ļæNo periodic interest payments ļæIn addition to the underwriting discount set forth below, the notes include a hedging-related charge of ļæLimited secondary market liquidity, with no exchange listing ļæThe notes are unsecured debt securities and are not savings accounts or insured deposits of a bank. The notes are not insured or guaranteed by the |
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The notes are being issued by
The initial estimated value of the notes as of the pricing date is expected to be between
_________________________
None of the
_________________________
Per Unit |
Total |
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Public offering price(1) |
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$ |
Underwriting discount(1) |
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$ |
Proceeds, before expenses, to BNS |
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$ |
(1)For any purchase of 300,000 units or more in a single transaction by an individual investor or in combined transactions with the investor's household in this offering, the public offering price and the underwriting discount will be
The notes:
Are Not FDIC Insured |
Are Not Bank Guaranteed |
May Lose Value |
November , 2024
Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index due November, 2027 |
Summary
The Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index due November, 2027 (the "notes") are our senior unsecured debt securities. The notes are not guaranteed or insured by the CDIC or the
The economic terms of the notes (including the Call Premiums and Call Amounts) 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, will reduce 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 will be greater than the initial estimated value of the notes.
On the cover page of this term sheet, we have provided the initial estimated value range for the notes. This range of estimated values 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-13.
Terms of the Notes |
Payment Determination |
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Issuer: |
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Automatic Call Provision: Redemption Amount Determination: If the notes are not called, you will receive the Redemption Amount per unit on the maturity date, determined as follows: Because the Threshold Value for the notes is equal to the Starting Value, you will lose all or a portion of your investment if the Ending Value is less than the Starting Value. |
Principal Amount: |
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Term: |
Approximately three years, if not called on either of the first two Observation Dates |
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Market Measure: |
The EURO STOXX 50Ā® Index (Bloomberg symbol: "SX5E"), a price retuindex |
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Starting Value: |
The closing level of the Market Measure on the pricing date |
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Observation Level: |
The closing level of the Market Measure on any Observation Date |
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Ending Value: |
The Observation Level of the Index on the final Observation Date |
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Observation Dates: |
On or about November , 2025, November , 2026 and November , 2027 (the final Observation Date), approximately one, two and three years after the pricing date. The Observation Dates are subject to postponement in the event of Market Disruption Events, as described on page PS-25 of product supplement EQUITY STR-1. |
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Call Level: |
100.00% of the Starting Value |
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Call Amounts (per Unit) and Call Premiums: |
[ |
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Call Settlement Dates: |
Approximately the fifth business day following the applicable Observation Date, subject to postponement as described on page PS-24 of product supplement EQUITY STR-1; provided however that the Call Settlement Date related to the final Observation Date will be the maturity date. |
Autocallable Strategic Accelerated Redemption SecuritiesĀ®TS-2
Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index due November, 2027 |
Threshold Value: |
100.00% of the Starting Value |
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Fees and Charges: |
The underwriting discount of |
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Calculation Agent: |
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Autocallable Strategic Accelerated Redemption SecuritiesĀ®TS-3
Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index due November, 2027 |
The terms and risks of the notes are contained in this term sheet and in the following:
Ā§Product supplement EQUITY STR-1 dated
http://www.sec.gov/Archives/edgar/data/9631/000114036123014150/brhc10050273_424b2.htm
Ā§Prospectus supplement dated
http://www.sec.gov/Archives/edgar/data/0000009631/000091412121007897/bn56815298-424b3.htm
Ā§Prospectus dated
http://www.sec.gov/Archives/edgar/data/9631/000119312521368646/d240752d424b3.htm
These documents (together, the "Note Prospectus") have been filed as part of a registration statement with the
Investor Considerations
You may wish to consider an investment in the notes if: |
The notes may not be an appropriate investment for you if: |
ļæYou anticipate that the closing level of the Market Measure on any of the Observation Dates will be equal to or greater than the Call Level and, if the notes are automatically called prior to the final Observation Date, you accept an early exit from your investment. ļæYou accept that the retuon the notes will be limited to the returepresented by the applicable Call Premium even if the percentage change in the level of the Market Measure is greater than the applicable Call Premium. ļæYou are willing to risk a loss of principal and retuif the notes are not automatically called and the Index decreases from the Starting Value to the Ending Value. ļæYou are willing to forgo interest payments that are paid on conventional interest-bearing debt securities. ļæYou are willing to forgo dividends or other benefits of owning the stocks included in the Index. ļæYou 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. ļæYou are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Call Amount or the Redemption Amount. |
ļæYou wish to make an investment that cannot be automatically called. ļæYou believe that the level of the Index will decrease from the Starting Value to the Ending Value. ļæYou anticipate that the Observation Level will be less than the Call Level on each Observation Date. ļæYou seek an uncapped retuon your investment. ļæYou seek principal repayment or preservation of capital. ļæYou seek interest payments or other current income on your investment. ļæYou want to receive dividends or other distributions paid on the stocks included in the Index. ļæYou seek an investment for which there will be a liquid secondary market. ļæYou 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 concerning an investment in the notes.
Autocallable Strategic Accelerated Redemption SecuritiesĀ®TS-4
Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index due November, 2027 |
Examples of Hypothetical Payments
The following 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 Call Amount or Redemption Amount, as applicable, based on the hypothetical terms set forth below. The actual amount you receive and the resulting retuwill depend on the actual Starting Value, Threshold Value, Call Level, Observation Levels, Call Premiums, and term of your investment.
The following examples do not take into account any tax consequences from investing in the notes. These examples are based on:
(1)a Starting Value of 100.00;
(2)a Threshold Value of 100.00;
(3)a Call Level of 100.00;
(4)an expected term of the notes of approximately three years, if the notes are not called on either of the first two Observation Dates;
(5)a Call Premium of 9.50% of the principal amount if the notes are called on the first Observation Date, 19.00% if called on the second Observation Date and 28.50% if called on the final Observation Date (the midpoint of the applicable Call Premium ranges); and
(6)Observation Dates occurring approximately one, two and three years after the pricing date.
The hypothetical Starting Value of 100.00 used in these examples has been chosen for illustrative purposes only, and does not represent a likely actual Starting Value of the Index.
For recent actual levels of the Index, see "The Index" section below. The Index is a price retuindex and as such the level of the Index will not include any income generated by dividends paid on the stocks included in the 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.
Notes Are Called on an Observation Date
The notes will be called at
Example 1 - The Observation Level on the first Observation Date is 150.00. Therefore, the notes will be called at
Example 2 - The Observation Level on the first Observation Date is below the Call Level, but the Observation Level on the second Observation Date is 120.00. Therefore, the notes will be called at
Example 3 - The Observation Levels on the first two Observation Dates are below the Call Level, but the Observation Level on the third and final Observation Date is 130.00. Therefore, the notes will be called at
Notes Are Not Called on Any Observation Date
Example 4 - The notes are not called on any Observation Date and the Ending Value is less than the Threshold Value. The Redemption Amount will be less, and possibly significantly less, than the principal amount. For example, if the Ending Value is 85.00, the Redemption Amount per unit will be:
Autocallable Strategic Accelerated Redemption SecuritiesĀ®TS-5
Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index due November, 2027 |
Summary of the Hypothetical Examples
Notes Are Called on an Observation Date |
Notes Are Not Called on Any Observation Date |
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Example 1 |
Example 2 |
Example 3 |
Example 4 |
|
Starting Value |
100.00 |
100.00 |
100.00 |
100.00 |
Call Level |
100.00 |
100.00 |
100.00 |
100.00 |
Threshold Value |
100.00 |
100.00 |
100.00 |
100.00 |
Observation Level on the First Observation Date |
150.00 |
90.00 |
90.00 |
88.00 |
Observation Level on the Second Observation Date |
N/A |
120.00 |
90.00 |
78.00 |
Observation Level on the Final Observation Date |
N/A |
N/A |
130.00 |
85.00 |
Retuon the Index |
50.00% |
20.00% |
30.00% |
-15.00% |
Retuon the Notes |
9.50% |
19.00% |
28.50% |
-15.00% |
Call Amount / Redemption Amount per Unit |
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|
|
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Autocallable Strategic Accelerated Redemption SecuritiesĀ®TS-6
Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index due November, 2027 |
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-7 of product supplement EQUITY STR-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
ļæIf the notes are not automatically called, your investment will result in a loss; there is no guaranteed retuof principal.
ļæYour retuon the notes may be less than the yield you could eaby owning a conventional fixed or floating rate debt security of comparable maturity.
ļæYour investment retuis limited to the returepresented by the applicable Call Premium and may be less than a comparable investment directly in the stocks included in the Index.
Market Measure-Related Risks
ļæThe Index sponsor may adjust the Index in a way that may adversely affect its level and your interests, and the Index sponsor has no obligation to consider your interests.
ļæYou will have no rights of a holder of the securities included in the Index, and you will not be entitled to receive securities or dividends or other distributions by the issuers of those securities.
ļæWhile we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the Index, none of us, MLPF&S, BofAS or our respective affiliates control any company included in the Index, and have not verified any disclosure made by any other company.
ļæYour retuon the notes may be affected by factors affecting the international securities markets, specifically changes within the
Valuation-and Market-Related Risks
ļæOur 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-13.
ļæOur 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 Index, 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.
ļæOur 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.
ļæA 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.
Autocallable Strategic Accelerated Redemption SecuritiesĀ®TS-7
Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index due November, 2027 |
Conflict-Related Risks
ļæOur 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 Index), 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 retuon, the notes and may create conflicts of interest with you.
ļæThere may be potential conflicts of interest involving the calculation agent, which is BofAS. We have the right to appoint and remove the calculation agent.
ļæPayments 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
ļæThe
ļæThe 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, "
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
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 STR-1.
A "Market Measure Business Day" means a day on which:
(A) the Eurex (or any successor to the foregoing) is open for trading; and
(B) the Index or any successor thereto is calculated and published.
Autocallable Strategic Accelerated Redemption SecuritiesĀ®TS-8
Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index due November, 2027 |
The Index
All disclosures contained in this term sheet regarding the Index, including, without limitation, its make-up, method of calculation, and changes in its components, have been derived from publicly available sources, without independent verification. The information reflects the policies of, and is subject to change by,
TheEURO STOXX 50Ā®Index
General
The SX5E is a capitalization-weighted index of 50 European blue-chip stocks in 11
Additional information (including sectors and sector weights and top constituents) is available on the Index sponsor's website. (Sector designations are determined by the Index 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.)
Index Composition and Maintenance
For each of the
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 Index 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 Index value can be expressed as follows:
Index = free float market capitalization of the Index at the time
divisor of the Index at the time
The "free float market capitalization of the Index" 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 Index is being calculated.
The Index is calculated using a divisor that helps to maintain the continuity of the Index's value so that corporate actions do not artificially increase or decrease the level of the Index. The divisor of the Index is adjusted to maintain the continuity of the Index'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.
Autocallable Strategic Accelerated Redemption SecuritiesĀ®TS-9
Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index due November, 2027 |
Historical Data
The following graph shows the daily historical performance of the Indexin the period from
Historical Performance of the Index
This historical data on the Index is not necessarily indicative of the future performance of the Index or what the value of the notes may be. Any historical upward or downward trend in the level of the Index during any period set forth above is not an indication that the level of the Index is more or less likely to increase or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available sources for the levels of the Index.
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 Bƶrse 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 Bƶrse Group and their licensors, research partners or data providers do not:
āsponsor, endorse, sell or promote the notes;
ārecommend that any person invest in the notes or any other financial products;
āhave any responsibility or liability for or make any decisions about the timing, amount or pricing of the notes;
āhave any responsibility or liability for the administration, management or marketing of the notes; and
āconsider 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 Bƶrse 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,
āSTOXX, Deutsche Bƶrse Group and their licensors, research partners or data providers do not make any warranty, express or implied and disclaim any and all warranty about:
āthe 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;
āthe accuracy, timeliness, and completeness of the SX5E or its data;
āthe merchantability and the fitness for a particular purpose or use of the SX5E or its data; and
Autocallable Strategic Accelerated Redemption SecuritiesĀ®TS-10
Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index due November, 2027 |
āthe performance of the notes generally.
āSTOXX, Deutsche Bƶrse 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
āunder no circumstances will Deutsche Bƶrse 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 Bƶrse Group and their licensors, research partners or data providers are aware that such loss or damage may occur.
Autocallable Strategic Accelerated Redemption SecuritiesĀ®TS-11
Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index due November, 2027 |
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
We may deliver the notes against payment therefor in
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 Index 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.
An investor's household, as referenced on the cover of this term sheet, will generally include accounts held by any of the following, as determined by MLPF&S in its discretion and acting in good faith based upon information then available to MLPF&S:
āthe 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;
āa 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
āa 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.
Purchases in retirement accounts will not be considered part of the same household as an individual investor's personal or other non-retirement account, except for individual retirement accounts ("IRAs"), simplified employee pension plans ("SEPs"), savings incentive match plan for employees ("SIMPLEs"), and single-participant or owners only accounts (i.e., retirement accounts held by self-employed individuals, business owners or partners with no employees other than their spouses).
Please contact your Merrill financial advisor if you have any questions about the application of these provisions to your specific circumstances or think you are eligible.
Autocallable Strategic Accelerated Redemption SecuritiesĀ®TS-12
Autocallable Strategic Accelerated Redemption SecuritiesĀ® Linked to the EURO STOXX 50Ā® Index due November, 2027 |
Structuring the Notes
The notes are our unsecured senior debt securities, the retuon 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, typically results in the initial estimated value of the notes on the pricing date being less than their public offering price.
Payments on the notes, including the amount you receive at maturity or upon an automatic call,will be calculated based on the performance of the Index and the
BofAS has advised us that the hedging arrangements will include a hedging related charge of approximately
For further information, see "Risk Factors" beginning on page PS-7 and "Use of Proceeds and Hedging" on page PS-22 of product supplement EQUITY STR-1.
Autocallable Strategic Accelerated Redemption SecuritiesĀ®TS-13
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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 STR-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 the Income Tax Act (
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 paragraph 18.4(3)(b) of the Act.
Summary of
The following is a general description of certain
No statutory, regulatory, judicial or administrative authority directly discusses how the notes should be treated for
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 Index. 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.
However, it is possible that the
Although uncertain, it is possible that the Call Premium, or proceeds received from the taxable disposition of your notes prior to the Call Settlement Date that could be attributed to the expected Call Premium, could be treated as ordinary income. You should consult your tax advisor regarding this risk.
Based on certain factual representations received from us, our special
Section 1297. We will not attempt to ascertain whether any entity the stock of which is included in the Index would be treated as a "passive foreign investment company" (a "PFIC") within the meaning of the
Notice 2008-2. In 2007, the
Proposed Legislation. In 2007, legislation was introduced in
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Furthermore, in 2013 the
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.
Specified Foreign Financial Assets.
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
Amounts withheld under the backup withholding rules are not additional taxes and may be refunded or credited against your
Non-
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-
Based on the nature of the Index and our determination that the notes are not "delta-one" with respect to the Index or any
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 the Index, any
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.
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FATCA. The Foreign Account Tax Compliance Act ("FATCA") was enacted on
Pursuant to final and temporary
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
Where You Can Find More Information
We have filed a registration statement (including a product supplement, a prospectus supplement and a prospectus) with the
"Strategic Accelerated Redemption SecuritiesĀ®" are registered service marks of Bank of America Corporation, the parent company of MLPF&S and BofAS.
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