Free Writing Prospectus – Form FWP
Subject to Completion Preliminary Term Sheet Dated |
Filed Pursuant to Rule 424(b)(2) |
Units |
Pricing Date* |
December , 2024 December , 2024 June , 2026 |
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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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Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index ■Maturity of approximately 18 months ■1-to-1 upside exposure to increases in the Index, subject to a capped retuof 12.00% ■A positive retuequal to the absolute value of the percentage decline in the level of the Index only if the Index does not decline by more than [6.00% to 12.00%] (e.g., if the negative retuof the Index is -5%, you will receive a positive retuof +5%) ■1-to-1 downside exposure to decreases in the Index beyond a [6.00% to 12.00%] decline, with up to [94.00% to 88.00%] of your principal at risk ■All payments occur at maturity and are subject to the credit risk of ■No periodic interest payments ■In addition to the underwriting discount set forth below, the notes include a hedging-related charge of ■Limited secondary market liquidity, with no exchange listing ■The 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
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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 |
December , 2024
Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
Summary
The Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 (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 Capped Value and Threshold 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, 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-14.
Terms of the Notes |
Redemption Amount Determination |
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Issuer: |
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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: |
Principal Amount: |
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Term: |
Approximately 18 months |
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Market Measure: |
The S&P 500® Index (Bloomberg symbol: "SPX"), a price retuindex |
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Starting Value: |
The closing level of the Market Measure on the pricing date |
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Ending Value: |
The average of the closing levels of the Market Measure on each calculation day occurring during the Maturity Valuation Period. The scheduled calculation days are subject to postponement in the event of Market Disruption Events, as described beginning on page PS-27 of product supplement EQUITY LIRN-1. |
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Threshold Value: |
[94.00% to 88.00%] of the Starting Value. The actual Threshold Value will be determined on the pricing date. |
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Participation Rate: |
100.00% |
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Capped Value: |
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Maturity Valuation Period: |
Five scheduled calculation days shortly before the maturity date. |
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Fees and Charges: |
The underwriting discount of |
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Calculation Agent: |
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Capped Notes with Absolute RetuBuffer TS-2
Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
The terms and risks of the notes are contained in this term sheet and in the following:
■Product supplement EQUITY LIRN-1 dated
https://www.sec.gov/Archives/edgar/data/9631/000183988224038306/bns_424b2-21308.htm
■Prospectus supplement dated
http://www.sec.gov/Archives/edgar/data/9631/000183988224038303/bns_424b3-21311.htm
■Prospectus dated
https://www.sec.gov/Archives/edgar/data/9631/000119312524253771/d875135d424b3.htm
These documents (together, the "Note Prospectus") have been filed as part of a registration statement with the
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: |
The notes may not be an appropriate investment for you if: |
■You anticipate that the Index will either increase moderately from the Starting Value to the Ending Value or decrease from the Starting Value to an Ending Value that is equal to or greater than the Threshold Value. ■You are willing to risk a substantial loss of principal if the Index decreases from the Starting Value to an Ending Value that is below the Threshold Value. ■You accept that the retuon the notes will be capped. ■You are willing to forgo 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 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. |
■You believe that the Index will decrease from the Starting Value to an Ending Value that is below the Threshold Value or that it will not increase sufficiently over the term of the notes to provide you with your desired return. ■You seek 100% principal repayment or preservation of capital. ■You seek an uncapped retuon 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 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 concerning an investment in the notes.
Capped Notes with Absolute RetuBuffer TS-3
Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
Hypothetical Payout Profile and Examples of Payments at Maturity
The graph below is based on hypothetical numbers and values.
Capped Notes with Absolute RetuBuffer |
This graph reflects the returns on the notes, based on the Participation Rate of 100.00%, a hypothetical Threshold Value of 91.00% (the midpoint of the Threshold Value range of [94.00% to 88.00%] of the Starting Value) and the Capped Value of This graph has been prepared for purposes of illustration only. |
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 retubased on a hypothetical Starting Value of 100.00, a hypothetical Threshold Value of 91.00, the Participation Rate of 100.00%, the Capped Value of
For recent actual levels of the Index, see "The Index" section below. The Index is a price retuindex and as such the Ending Value 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.
Ending Value |
Percentage Change from the Starting Value to the Ending Value |
Redemption Amount per Unit |
Total Rate of Retuon the Notes |
0.00 |
-100.00% |
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-91.00% |
25.00 |
-75.00% |
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-66.00% |
50.00 |
-50.00% |
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-41.00% |
60.00 |
-40.00% |
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-31.00% |
70.00 |
-30.00% |
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-21.00% |
80.00 |
-20.00% |
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-11.00% |
90.00 |
-10.00% |
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-1.00% |
91.00(1) |
-9.00% |
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9.00% |
95.00 |
-5.00% |
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5.00% |
100.00(2) |
0.00% |
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0.00% |
102.00 |
2.00% |
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2.00% |
105.00 |
5.00% |
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5.00% |
110.00 |
10.00% |
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10.00% |
112.00 |
12.00% |
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12.00% |
120.00 |
20.00% |
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12.00% |
130.00 |
30.00% |
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12.00% |
140.00 |
40.00% |
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12.00% |
150.00 |
50.00% |
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12.00% |
(1)This is the hypothetical Threshold Value.
(2)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.
(3)Any positive retubased on the appreciation of the Index cannot exceed the returepresented by the Capped Value.
Capped Notes with Absolute RetuBuffer TS-4
Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
Redemption Amount Calculation Examples
Example 1 |
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The Ending Value is 60.00, or 60.00% of the Starting Value: |
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Starting Value: 100.00 |
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Threshold Value: 91.00 |
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Ending Value: 60.00 |
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= |
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Example 2 |
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The Ending Value is 95.00, or 95.00% of the Starting Value: |
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Starting Value: 100.00 |
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Threshold Value: 91.00 |
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Ending Value: 95.00 |
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= |
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Example 3 |
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The Ending Value is 102.00, or 102.00% of the Starting Value: |
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Starting Value: 100.00 |
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Ending Value: 102.00 |
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= |
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Example 4 |
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The Ending Value is 130.00, or 130.00% of the Starting Value: |
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Starting Value: 100.00 |
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Ending Value: 130.00 |
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= |
Capped Notes with Absolute RetuBuffer TS-5
Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
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 LIRN-1, page S-2 of the prospectus supplement, and page 8 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 Index as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed retuof principal.
■Your retuon the notes may be less than the yield you could eaby owning a conventional fixed or floating rate debt security of comparable maturity.
■Your potential for a positive retubased on the depreciation of the Index is limited by the Threshold Value and may be less than that of a comparable investment that takes a short position directly in the Index (or the stocks included in the Index). In addition, the absolute value retufeature applies only if the Ending Value is less than the Starting Value but greater than or equal to the Threshold Value. Because the Threshold Value is [94.00% to 88.00%] of the Starting Value, any positive retudue to the depreciation of the Index is limited to [6.00% to 12.00%] (the actual Threshold Value, and by extension, the cap on the positive retudue to the depreciation of the Index, will be determined on the pricing date). Any decline in the Ending Value from the Starting Value by more than [6.00% to 12.00%] will result in a loss, rather than a positive return, on the notes. In contrast, for example, a short position in the Index (or the stocks included in the Index) would allow you to receive the full benefit of any decrease in the level of the Index (or the stocks included in the Index).
■Your investment retubased on any increase in the level of the Index is limited to the returepresented by the Capped Value and may be less than a comparable investment directly in the stocks included in the Index.
Market Measure-Related Risks
■The 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.
■You will have no rights of a holder of the securities included in the Index, or of a holder with a short position directly in the Index (or 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.
■While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the Index, 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 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.
Valuation-and Market-Related Risks
■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-14.
■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 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.
■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
Capped Notes with Absolute RetuBuffer TS-6
Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
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 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.
■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.
■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
■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, "
Capped Notes with Absolute RetuBuffer TS-7
Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
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,
TheS&P 500®Index
General
The Index includes a representative sample of 500 leading companies in leading industries of the
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.)
Calculation of the Index
The Index is calculated using a base-weighted aggregate methodology. The Index is a price retuindex. The value of the Index 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 Index multiplied by the float-adjusted number of shares of such stock included in the Index, and the denominator of which is the divisor, which is described more fully below.
The Index is also sometimes called a "base-weighted index" because of its use of a divisor. The "divisor" is a value calculated by the Index sponsor that is intended to maintain conformity in index values over time and is adjusted for all changes in the index stocks' share capital after the "base date." The level of the Index reflects the total market value of all index stocks relative to the index's base date of 1941-43. The Index sponsor set the base value of the Index on the base date at 10.
Maintenance of the Index
In order to keep the Index comparable over time, the Index sponsor engages in an index maintenance process. The Index maintenance process involves changing the constituents, adjusting the number of shares used to calculate the Index, 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 Index sponsor are divisor adjustments and adjustments to the number of shares (including float adjustments) used to calculate the Index. 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 index stocks following the event. In order that the level of the Index not be affected by the altered market value (which could be an increase or decrease) of the affected index stock, the Index sponsor derives a new divisor by dividing the post-event market value of the index stocks by the pre-event index value, which has the effect of reducing the Index'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 Index that are employed by the Index sponsor include an unadjusted market capitalization of
Changes to the Number of Shares of a Constituent
Capped Notes with Absolute RetuBuffer TS-8
Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
The index maintenance process also involves tracking the changes in the number of shares included for each of the index 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 Index 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 Index sponsor updates the share totals of companies in the Index as required by any changes in the float-adjusted number of shares outstanding. The Index 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 Index. In addition, any changes over 5% in the current common shares outstanding for the index companies are carefully reviewed by the Index sponsor on a weekly basis, and when appropriate, an immediate adjustment is made to the divisor.
In addition, the Index is float-adjusted, meaning that the share counts used in calculating the Index reflect only those shares available to investors rather than all of a company's outstanding shares. To this end, the Index 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
●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 Index. Certain corporate actions require the Index sponsor to recalculate the share count or the float adjustment or to make an adjustment to the divisor to prevent the value of the Index from changing as a result of the corporate action. This helps ensure that the movement of the Index does not reflect the corporate actions of individual companies in the Index. Several types of corporate actions, and their related adjustments, are listed in the table below.
Corporate Action |
Share Count Revision Required? |
Divisor Adjustment Required? |
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Stock split |
Yes - share count is revised to reflect new count. |
No - share count and price changes are off-setting |
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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 |
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Spin-off if spun-off company is not being added to the Index |
No |
Yes - divisor adjustment reflects decline in index market value (i.e. value of the spun-off unit) |
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Spin-off if spun-off company is being added to the Index and no company is being removed |
No |
No |
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Spin-off if spun-off company is being added to the Index and another company is being removed |
No. |
Yes - divisor adjustment reflects deletion |
Capped Notes with Absolute RetuBuffer TS-9
Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
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 |
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Change in IWF |
No |
Yes - divisor change reflects the change in market value caused by the change to an IWF |
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Company added to or deleted from the Index |
No. |
Yes - divisor is adjusted by the net change in market value |
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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 Index sponsor will calculate the closing level of the Index 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 Index. If an exchange fails to open due to unforeseen circumstances, the Index will use the prior day's closing prices. If all exchanges fail to open, the Index sponsor may determine not to publish the Index for that day.
Capped Notes with Absolute RetuBuffer TS-10
Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
Historical Data
The following graph shows the daily historical performance of the Index in 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
S&P® is a registered trademark of
The notes are not sponsored, endorsed, sold or promoted by
S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX 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,
Capped Notes with Absolute RetuBuffer TS-11
Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
MLPF&S, BOFAS, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX 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.
Capped Notes with Absolute RetuBuffer TS-12
Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
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:
●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.
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.
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Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
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.
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
BofAS has advised us that the hedging arrangements will include a hedging related charge of approximately
For further information, see "Risk Factors - Conflict-Related Risks" beginning on page PS-18 and "Use of Proceeds and Hedging" on page PS-22 of product supplement EQUITY LIRN-1.
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Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
Summary of Canadian Federal Income Tax Consequences
See "Supplemental Discussion of Canadian Federal Income Tax Consequences" in product supplement EQUITY LIRN-1. In addition to the assumptions, limitations and conditions described therein, such discussion 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.
Based on certain factual representations received from us, our special
Notice 2008-2. In 2007, the
Proposed Legislation. In 2007, legislation was introduced in
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.
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Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
retuor 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.
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 897. We will not attempt to ascertain whether the issuer of any security included in the Index would be treated as a "
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.
FATCA. The Foreign Account Tax Compliance Act ("FATCA") was enacted on
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Capped Notes with Absolute RetuBuffer Linked to the S&P 500® Index due June, 2026 |
required), among other things, to disclose the identity of any
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
Capped Notes with Absolute RetuBuffer TS-17
Attachments
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