H-SOURCE HOLDINGS LTD — Capital/Financing Update 2021

Jun 16, 2021

The National Bank of Canada (the “Bank”) short form base shelf prospectus dated July 9, 2020, as amended or supplemented (the “Prospectus”), the prospectus supplement to the Prospectus dated July 10, 2020 (the “Prospectus Supplement”) and the pricing supplement No. ACCI2159 dated June 15, 2021 (the “Pricing Supplement”) (together, the “Prospectus”), containing important information relating to the Note Securities described in this document, have been filed with the securities regulatory authorities in each of the provinces and territories of Canada. A copy of the Prospectus is required to be delivered with this document. This document does not provide full disclosure of all material facts relating to the Note Securities offered. Prospective investors should read the Prospectus, and any amendment thereto, for disclosure of those facts, especially risk factors relating to the Note Securities offered, before making an investment decision. Capitalized terms used herein and not otherwise defined have the meaning ascribed thereto in the Pricing Supplement, the Prospectus Supplement and the Prospectus. The Note Securities constitute Index Linked Note Securities under the Prospectus. NBC Auto Callable Contingent Income Note Securities (no direct currency exposure; price return) Program.

NBC NOTE SECURITIES

NBC Auto Callable Contingent Income Note Securities (Maturity-Monitored Barrier) linked to the Solactive United States Big Banks AR Index, due on July 7, 2025

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Linked to the 4-year term Callable monthly
(Starting in January 2022)
Solactive United
States Big Banks AR
Index
Potential Coupon Maturity-Monitored
Payments: Barrier:
$5.52 p.a. -40.00%
Paid monthly
ISSUANCE DATE:
June 16, 2021 to June 30, 2021 July 7, 2021
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OFFER PERIOD:

June 16, 2021 to June 30, 2021

INVESTMENT HIGHLIGHTS:

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Reference Portfolio: Reference Asset ticker Reference Asset Reference Asset name Price Source Closing Level Reference Asset type from Bloomberg Weight Solactive United States Big Banks AR Index SOUSBBAR Solactive AG Closing level Index 100% Reference Index: The Reference Asset is the Solactive United States Big Banks AR Index, which aims to track the gross total return performance of the Solactive United States Big Banks Index TR, calculated in USD, reduced by a synthetic dividend of 27 index points per annum calculated daily in arrears. Barrier: -40.00% Coupon Payment Threshold: -40.00% Coupon Payment Frequency: Monthly Call Frequency: Monthly, starting in January 2022 Call Threshold: 5.00% Participation Factor: 0.00% Currency: Canadian dollars Early Trading Charge: $2.40 per Note Security, declining every 10 days by $0.20 to be $0.00 after 120 days from and including the Issuance Date Daily secondary market available under normal market conditions

As of June 7, 2021, the dividends and/or distributions paid on account of all of the issuers or constituents of the TR Index represented an annual indicative yield of approximately 1.82%, representing an aggregate yield of approximately 7.28% over the term of the Note Securities, assuming that the yield remains constant and the dividends and/or distributions are not reinvested. An investment in the Note Securities does not represent a direct or indirect investment in any of the constituent securities that comprise the TR Index. Holders have no right or entitlement to the dividends or distributions paid on such securities.

The performance of the Reference Index will vary higher or lower from the performance of the TR Index over the term of the Note Securities depending on whether the impact of the dividends and other distributions reinvested in the TR Index is greater or less than the impact the Adjusted Return Factor has on the Closing Level over the term of the Note Securities.

• → Should you have any questions, do not hesitate to contact your advisor.

FUNDSERV CODE: NBC22136

The Closing Level of the Reference Index on June 7, 2021 was 1,596.22. The Adjusted Return Factor divided by the Closing Level of the Reference Index was therefore equal to 1.69% on June 7, 2021. Over the term of the Note Securities, the sum of the Adjusted Return Factor of 27 points per annum will be approximately 108 index points, representing 6.77% of the Closing Level of the Reference Index on June 7, 2021.

Dated June 15, 2021

2

Sample return calculations

The following are hypothetical examples included for illustration purposes only. The amounts and all other variables used are hypothetical and are not forecasts or projections. No assurance can be given that the results shown in these examples will be achieved.

Example 1

Cash Flow Summary	Cash Flow Summary
Sum of Coupon Payments	$2.76 (6 Coupon Payments)
Maturity Redemption Payment	$50.00
Total Payments	$52.76 (Annual compounded return of -14.77%)

Example 2

Cash Flow Summary	Cash Flow Summary
Sum of Coupon Payments	$5.98 (13 Coupon Payments)
Maturity Redemption Payment	$100.00
Total Payments	$105.98 (Annual compounded return of 1.46%)

Example 3

Cash Flow Summary	Cash Flow Summary
Sum of Coupon Payments	$5.52 (12 Coupon Payments)
Maturity Redemption Payment	$100.00
Total Payments	$105.52 (Annual compounded return of 1.35%)

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Example 4
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Cash Flow Summary	Cash Flow Summary
Sum of Coupon Payments	$5.52 (12 Coupon Payments)
Maturity Redemption Payment	$100.00
Total Payments	$105.52 (Annual compounded return of 5.52%)

Summary of the Offering

Issuer:	National Bank of Canada
Issuer Credit	Long-Term Non Bail-inable Senior Debt rated DBRS: AA (low) / S&P: A / Moody’s: Aa3 / Fitch: AA-
Rating:	The Note Securities have not been rated by any rating agencies.
Principal Amount:	$100
Minimum Subscription:	$1,000 (10 Note Securities)
Auto Callable
Contingent Income	Maturity-Monitored Barrier
Type:
Currency:	Canadian dollars
Issuance Date:	July 7, 2021
Final Valuation Date:	June 26, 2025
Maturity Date:	July 7, 2025
Maturity	The Maturity Redemption Payment per Note Security will be as follows:
Redemption Payment:	(i) if the Reference Portfolio Return is equal to or higher than the Call Threshold on a Call Valuation Date, the Note Securities will be automatically called on the applicable Call Date and the Maturity Redemption Payment will be equal to $100 x [1 + Variable Return];
	or
	(ii) if the Note Securities are not automatically called and the Reference Portfolio Return is positive on the Final Valuation Date, the
	Maturity Redemption Payment will be equal to $100 x [1 + Variable Return]; or
	(iii) if the Note Securities are not automatically called and the Reference Portfolio Return is nil or negative but equal to or higher than the
	Barrier on the Final Valuation Date, the Maturity Redemption Payment will be equal to $100; or
	(iv) if the Note Securities are not automatically called and the Reference Portfolio Return is negative and lower than the Barrier on the
	Final Valuation Date, the Maturity Redemption Payment will be equal to $100 x [1 + Reference Portfolio Return].
	Except for the Coupon Payments during the term of the Note Securities, investors should understand from the foregoing that they will be entitled
	to a single payment under the Note Securities on either the Maturity Date or a Call Date. If the Note Securities are automatically called the
	investment in the Note Securities will terminate as of the applicable Call Date and as such, Holders will receive the Maturity Redemption Payment
	applicable to such Call Date and not the Maturity Redemption Payment that they would have otherwise been entitled to on a subsequent Call Date
	or on the Maturity Date if the Note Securities had not been called.

Notwithstanding the foregoing, the Maturity Redemption Payment will be subject to a minimum of 1% of the Principal Amount.

Variable Return:	A percentage calculated as follows:	A percentage calculated as follows:
	(i)	where the Reference Portfolio Return on a given Call Valuation Date or on the Final Valuation Date is less than or equal to the Variable
		Return Threshold, the Variable Return will be equal to 0%; or
	(ii)	where the Reference Portfolio Return on a given Call Valuation Date or on the Final Valuation Date is greater than the Variable Return
		Threshold, the Variable Return will be equal to the product of (i) the Participation Factor and (ii) the amount by which the Reference
		Portfolio Return exceeds the Variable Return Threshold.
Participation Factor:	0.00%

4

Barrier:	-40.00%
Variable Return Threshold:	0.00%
Reference	On any day, the weighted average return of the Reference Assets calculated as the sum of the Weighted Reference Asset Return of each of the
Portfolio Return:	Reference Assets comprising the Reference Portfolio.
Weighted Reference Asset Return:	For each Reference Asset contained in the Reference Portfolio and on any day, the product of (i) the Reference Asset Return and (ii) the Reference Asset Weight.
Reference Asset	For each Reference Asset contained in the Reference Portfolio and on any day, a number, expressed as a percentage, calculated as follows:
Return:
	(Closing Level / Initial Level) – 1
Initial Level:	The Closing Level on the Issuance Date.
Final Level:	The Closing Level on the Call Valuation Date and the Final Valuation Date.
Potential Coupon	Provided that the Reference Portfolio Return is equal to or higher than the Coupon Payment Threshold on the applicable Coupon Payment Valuation
Payments:	Date, Holders will be entitled to receive Coupon Payments of $0.46 (equivalent to 0.46% of the Principal Amount of each Note Security) on each
	Coupon Payment Date, as set forth in the Pricing Supplement.
Dealers:	National Bank Financial Inc. (“NBF”) and CIBC World Markets Inc. (the “Dealers”). CIBC World Markets Inc. will act as Independent Dealer. The
	Dealers will act as agents in connection with the offering and sale of the Note Securities.
Listing and	The Note Securities will not be listed on any securities exchange or quotation system. NBF intends to maintain until the Final Valuation Date (or
Secondary Market:	until a Call Valuation Date, if the Note Securities are automatically called (i.e. redeemed) prior to the Maturity Date), under normal market
	conditions, a daily secondary market for the Note Securities. If the price or the level of a Reference Asset is not published or, in an applicable
	case, if trading in a Reference Asset is disrupted or suspended, or if any other Market Disruption Event occurs, NBF will generally deem that normal
	market conditions do not exist. NBF may, in its sole discretion, stop maintaining a market for the Note Securities at any time without any prior
	notice to Holders. There can be no assurance that a secondary market will develop or, if one develops, that it will be liquid.
	In addition, any sale of Note Securities facilitated by NBF may be subject to an early trading charge, deductible from the sale proceeds of the
	Note Securities. Holders who have purchased Note Securities using the Fundserv network will be limited to the Fundserv network to sell Note
	Securities. Holders will thereby need to initiate an irrevocable request to sell the Note Securities to NBF. Provided the order is received before
	1:00 p.m. (Montreal time), or such other time as may be established by NBF (the “Sale Deadline Time”) on any Business Day, the request will be
	treated on the same day. Any request received after such time or on a day that is not a Business Day will be deemed to be a request sent and
	received before the Sale Deadline Time on the following Business Day.
Early Trading Charge:	$2.40 per Note Security, declining every 10 days by $0.20 to be $0.00 after 120 days from and including the Issuance Date.
Eligibility for Investment:	Eligible for RRSPs, RRIFs, RESPs, RDSPs, DPSPs and TFSAs. See “Eligibility for Investment” in the Prospectus.

5

Suitability for Investment

The Note Securities are not suitable for all investors. In determining whether the Note Securities are a suitable investment for you please consider that:

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• the Note Securities provide no guaranteed Coupon Payments and if the Reference Portfolio Return is lower than the Coupon Payment Threshold on a Coupon Payment Valuation Date, you will receive no Coupon Payment on the related Coupon Payment Date, and you will receive no Coupon Payments over the term of the Note Securities if this occurs on all Coupon Payment Valuation Dates;

• the Note Securities provide no protection for your original principal investment and if (i) the Reference Portfolio Return is lower than the Call Threshold on every Call Valuation Date and is lower than the Barrier on the Final Valuation Date, and (ii) the sum of the resulting Maturity Redemption Payment and the aggregate Coupon Payments paid during the term of the Note Securities is less than the Principal Amount, you will receive an amount which is less than your original principal investment over the term of the Note Securities;

• in a scenario where the Reference Portfolio Return is equal to or higher than the Call Threshold on a Call Valuation Date or positive on the Final Valuation Date, there will be no Variable Return paid if the Reference Portfolio Return on such date is not above the Variable Return Threshold;

• any positive Reference Portfolio Return in excess of the Variable Return Threshold on a Call Valuation Date or on the Final Valuation Date will be multiplied by a Participation Factor which will result in a Holder receiving less than 100% of such excess positive Reference Portfolio Return, if the Participation Factor is less than 100%;

• your Note Securities will be redeemed automatically prior to the Maturity Date if on any Call Valuation Date the Reference Portfolio Return is equal to or higher than the Call Threshold;

• your investment strategy should be consistent with the investment features of the Note Securities;

• your investment time horizon should correspond with the term of the Note Securities; and

• your investment will be subject to the risk factors summarized in the section "Risk Factors" in the Pricing Supplement, the Prospectus Supplement and the Prospectus.

Risk Factors

The Note Securities differ from conventional debt and fixed income investments; repayment of the entire Principal Amount is not guaranteed. The Note Securities entail downside risk and are not designed to be alternatives to conventional debt or fixed income investments or money market instruments.

Investing in the Note Securities involves risks that are described under “Risk Factors” in the Prospectus Supplement and the Prospectus, including, without limitation, the section therein entitled “Certain Risk Factors related to the Index Linked Note Securities”. Purchasers are urged to read the information about these risks, together with the other information in the Pricing Supplement, the Prospectus Supplement and the Prospectus, before investing in the Note Securities. Holders who are not prepared to accept the risks described in the Prospectus Supplement and the Prospectus should not invest in the Note Securities.

Use of the Reference Asset

The Reference Index is the intellectual property (including any registered trademarks) of Solactive AG, which is used under license. The Note Securities are not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regards to the results of using the Reference Index and/or Reference Index trade mark or the Reference Index Price at any time or in any other respect.

NOTICE

The Note Securities will not constitute deposits that are insured under the Canada Deposit Insurance Corporation Act or any other deposit insurance regime designed to ensure the payment of all or a portion of a deposit upon insolvency of the deposit taking institution.

Amounts paid to Holders will depend on the performance of the Reference Portfolio. None of the Bank, its affiliates, the Dealers, or any other person or entity guarantees that Holders will receive an amount equal to their original investment in the Note Securities or guarantees that any return will be paid on the Note Securities. Since the Note Securities are not protected and the Principal Amount will be at risk (other than the minimum Maturity Redemption Payment of 1% of the Principal Amount), it is possible that Holders could lose some or substantially all of their original investment in the Note Securities.

For the various risks associated with such an investment, please see the “Risk Factors” section of this document and the “Risk Factors” section in the Pricing Supplement, the Prospectus Supplement and the Prospectus. Any prospective investor must be able to bear the risks involved and must meet the suitability requirements of the Note Securities. Please see the section “Suitability of the Note Securities for Investors” in the Pricing Supplement and the Prospectus Supplement.

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