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Origen Resources Inc. — Capital/Financing Update 2021
Jun 25, 2021
47903_rns_2021-06-25_9fb8a5e3-611f-4ec8-9e29-7b749cd9404c.pdf
Capital/Financing Update
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This Pricing Supplement (the “Pricing Supplement”) together with the short form base shelf prospectus dated July 9, 2020, as amended or supplemented (the “Prospectus”) and the Prospectus Supplement thereto dated July 10, 2020 as amended or supplemented (the “Prospectus Supplement”) to which it relates, and each document incorporated by reference into such prospectus constitutes a public offering of securities only in the jurisdictions where they may be lawfully offered for sale and therein only by persons permitted to sell such securities. No securities commission or similar regulatory authority has in any way passed upon the merits of securities offered hereunder and any representation to the contrary is an offence. The Note Securities to be issued hereunder have not been, and will not be, registered under the United States Securities Act of 1933, as amended and, subject to certain exemptions, may not be offered, sold or delivered, directly or indirectly, in the United States of America to or for the account or benefit of U.S. persons.
Pricing Supplement No. ACCI2189 dated June 25, 2021
(to the short form base shelf prospectus dated July 9, 2020, as supplemented by the Prospectus Supplement entitled NBC Auto Callable Contingent Income Note Securities (no direct currency exposure; price return) Program dated July 10, 2020)
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NATIONAL BANK OF CANADA
NBC Auto Callable Contingent Income Note Securities (no direct currency exposure; price return) Program
NBC Auto Callable Contingent Income Note Securities (Maturity-Monitored Barrier) linked to the American market (USD), due on July 17, 2028
(non principal protected note securities)
Maximum US$15,000,000 (150,000 Note Securities)
No minimum amount of funds must be raised under this offering. This means that the Bank could complete this offering after raising only a small proportion of the offering amount set out above.
This Pricing Supplement supplements the short form base shelf prospectus dated July 9, 2020 relating to Can$5,000,000,000 Medium Term Notes of the Bank, as amended or supplemented, and the Prospectus Supplement dated July 10, 2020. If the information in this Pricing Supplement differs from the information contained in the Prospectus and/or the Prospectus Supplement, you should rely on the information in this Pricing Supplement. Holders should carefully read this Pricing Supplement, the Prospectus Supplement and the accompanying Prospectus to fully understand the information relating to the terms of the Note Securities and other considerations that are important to Holders. All three documents contain information Holders should consider when making their investment decision. The information contained in this Pricing Supplement and the accompanying Prospectus and Prospectus Supplement is current only as of the date of each.
The estimated initial value of the Note Securities as of the date of this Pricing Supplement is US$94.73 per US$100 of Principal Amount, which is less than the issue price. The estimated initial value is equal to 94.73% of the Principal Amount, being equivalent to a US$0.75 annual discount over the term of the Note Securities. The actual value of the Note Securities at any time will reflect many factors, cannot be predicted with accuracy and may be less than this amount. We describe our determination of the estimated initial value in more detail in the Prospectus. The Independent Dealer did not participate in the preparation of the estimated initial value for the Note Securities. See “Description of the Note Securities – Estimated Initial Value of Linked Note Securities” in the Prospectus.
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.
The Note Securities are non principal protected note securities and the Holder may receive an amount that is less than the Principal Amount over the term of the Note Securities. For greater certainty, throughout this Pricing Supplement, “maturity” wherever used herein, shall include Maturity Date, Call Date and Special Reimbursement Date.
The Note Securities constitute direct, unsecured and unsubordinated debt obligations of the Bank ranking pari passu with all other present and future unsecured and unsubordinated indebtedness of the Bank. 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. See “Risk Factors” in the Prospectus Supplement and the Prospectus.
The Note Securities are redeemable automatically on a Call Date depending on the performance of the Reference Portfolio. In addition, the Note Securities may be redeemed by the Bank pursuant to a Reimbursement Under Special Circumstances. See “Description of the Note Securities – Reimbursement Under Special Circumstances and Payment” in the Prospectus.
The Note Securities are not redeemable prior to the Maturity Date except on a Call Date, and except by the Bank pursuant to a Reimbursement Under Special Circumstances. See “Description of the Note Securities – Reimbursement Under Special Circumstances and Payment” in the Prospectus. The Note Securities will not be listed on any securities exchange or quotation system. National Bank Financial Inc. intends to maintain, under normal market conditions, a daily secondary market for the Note Securities. National Bank Financial Inc. may 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. Moreover, Holders selling their Note Securities prior to maturity may be subject to certain fees. See “Secondary Market for the Note Securities” in the Prospectus Supplement.
The Reference Asset Return for the Reference Asset is a price return, and will not take into account dividends and/or distributions paid by the issuer on account of the Reference Asset. As of June 15, 2021, the dividends and/or distributions paid on account of the Reference Asset in the Reference Portfolio represented an annual indicative yield of 1.20%, representing an aggregate yield of approximately 8.40% over the term of the Note Securities, assuming that the yield remains constant and the dividends and/or distributions are not reinvested.
National Bank Financial Inc. is an indirect wholly-owned subsidiary of the Bank. As a result, the Bank is a “related issuer” and a “connected issuer” of National Bank Financial Inc. within the meaning of the securities legislation of certain provinces and territories of Canada. See “Plan of Distribution” in the Prospectus Supplement and in the Prospectus.
Issuer: National Bank of Canada Note Securities NBC Auto Callable Contingent Income Note Securities (Maturity-Monitored Barrier) Offered: linked to the American market (USD), due on July 17, 2028 Principal Amount: US$100 Minimum US$1,000 (10 Note Securities) Subscription:
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Auto Callable Contingent Income type:
Maturity-Monitored Barrier
Issuance Date:
July 15, 2021, subject to postponement in certain circumstances as described in the Prospectus Supplement and the Prospectus.
Maturity Date:
July 17, 2028
Reference Portfolio:
| Reference Asset name | Reference Asset ticker |
Price Source |
Closing Level |
Reference Asset type |
Reference Asset Weight |
|---|---|---|---|---|---|
| Units of the SPDR® S&P 500® ETF Trust |
SPY | NYSE Arca |
Closing price |
Exchange- traded fund |
100.00% |
Moreover, the Note Securities constitute Fund Linked Note Securities under the Prospectus.
Initial Level: Closing Level on the Issuance Date .
Currency:
American dollars
Maturity Redemption Payment:
The Maturity Redemption Payment per Note Security will be as follows:
-
(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 US$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 US$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 US$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 US$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.
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Notwithstanding the foregoing, the Maturity Redemption Payment will be subject to a minimum of 1% of the Principal Amount.
Call Thresholds:
| Valuation Date type | Valuation Date | Call Threshold |
Call Dates |
|---|---|---|---|
| Call Valuation Date 1 | January 10, 2022 | 10.00% | January 18, 2022 |
| Call Valuation Date 2 | February 8, 2022 | 10.00% | February 15, 2022 |
| Call Valuation Date 3 | March 8, 2022 | 10.00% | March 15, 2022 |
| Call Valuation Date 4 | April 8, 2022 | 10.00% | April 18, 2022 |
| Call Valuation Date 5 | May 9, 2022 | 10.00% | May 16, 2022 |
| Call Valuation Date 6 | June 8, 2022 | 10.00% | June 15, 2022 |
| Call Valuation Date 7 | July 8, 2022 | 10.00% | July 15, 2022 |
| Call Valuation Date 8 | August 8, 2022 | 10.00% | August 15, 2022 |
| Call Valuation Date 9 | September 8, 2022 | 10.00% | September 15, 2022 |
| Call Valuation Date 10 | October 7, 2022 | 10.00% | October 17, 2022 |
| Call Valuation Date 11 | November 7, 2022 | 10.00% | November 15, 2022 |
| Call Valuation Date 12 | December 8, 2022 | 10.00% | December 15, 2022 |
| Call Valuation Date 13 | January 9, 2023 | 10.00% | January 17, 2023 |
| Call Valuation Date 14 | February 8, 2023 | 10.00% | February 15, 2023 |
| Call Valuation Date 15 | March 8, 2023 | 10.00% | March 15, 2023 |
| Call Valuation Date 16 | April 10, 2023 | 10.00% | April 17, 2023 |
| Call Valuation Date 17 | May 8, 2023 | 10.00% | May 15, 2023 |
| Call Valuation Date 18 | June 8, 2023 | 10.00% | June 15, 2023 |
| Call Valuation Date 19 | July 10, 2023 | 10.00% | July 17, 2023 |
| Call Valuation Date 20 | August 8, 2023 | 10.00% | August 15, 2023 |
| Call Valuation Date 21 | September 8, 2023 | 10.00% | September 15, 2023 |
| Call Valuation Date 22 | October 6, 2023 | 10.00% | October 16, 2023 |
| Call Valuation Date 23 | November 7, 2023 | 10.00% | November 15, 2023 |
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| Call Valuation Date 24 | December 8, 2023 | 10.00% | December 15, 2023 |
|---|---|---|---|
| Call Valuation Date 25 | January 8, 2024 | 10.00% | January 16, 2024 |
| Call Valuation Date 26 | February 8, 2024 | 10.00% | February 15, 2024 |
| Call Valuation Date 27 | March 8, 2024 | 10.00% | March 15, 2024 |
| Call Valuation Date 28 | April 8, 2024 | 10.00% | April 15, 2024 |
| Call Valuation Date 29 | May 8, 2024 | 10.00% | May 15, 2024 |
| Call Valuation Date 30 | June 10, 2024 | 10.00% | June 17, 2024 |
| Call Valuation Date 31 | July 8, 2024 | 10.00% | July 15, 2024 |
| Call Valuation Date 32 | August 8, 2024 | 10.00% | August 15, 2024 |
| Call Valuation Date 33 | September 9, 2024 | 10.00% | September 16, 2024 |
| Call Valuation Date 34 | October 7, 2024 | 10.00% | October 15, 2024 |
| Call Valuation Date 35 | November 7, 2024 | 10.00% | November 15, 2024 |
| Call Valuation Date 36 | December 9, 2024 | 10.00% | December 16, 2024 |
| Call Valuation Date 37 | January 8, 2025 | 10.00% | January 15, 2025 |
| Call Valuation Date 38 | February 10, 2025 | 10.00% | February 18, 2025 |
| Call Valuation Date 39 | March 10, 2025 | 10.00% | March 17, 2025 |
| Call Valuation Date 40 | April 8, 2025 | 10.00% | April 15, 2025 |
| Call Valuation Date 41 | May 8, 2025 | 10.00% | May 15, 2025 |
| Call Valuation Date 42 | June 9, 2025 | 10.00% | June 16, 2025 |
| Call Valuation Date 43 | July 8, 2025 | 10.00% | July 15, 2025 |
| Call Valuation Date 44 | August 8, 2025 | 10.00% | August 15, 2025 |
| Call Valuation Date 45 | September 8, 2025 | 10.00% | September 15, 2025 |
| Call Valuation Date 46 | October 7, 2025 | 10.00% | October 15, 2025 |
| Call Valuation Date 47 | November 7, 2025 | 10.00% | November 17, 2025 |
| Call Valuation Date 48 | December 8, 2025 | 10.00% | December 15, 2025 |
| Call Valuation Date 49 | January 8, 2026 | 10.00% | January 15, 2026 |
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| Call Valuation Date 50 | February 9, 2026 | 10.00% | February 17, 2026 |
|---|---|---|---|
| Call Valuation Date 51 | March 9, 2026 | 10.00% | March 16, 2026 |
| Call Valuation Date 52 | April 8, 2026 | 10.00% | April 15, 2026 |
| Call Valuation Date 53 | May 8, 2026 | 10.00% | May 15, 2026 |
| Call Valuation Date 54 | June 8, 2026 | 10.00% | June 15, 2026 |
| Call Valuation Date 55 | July 8, 2026 | 10.00% | July 15, 2026 |
| Call Valuation Date 56 | August 10, 2026 | 10.00% | August 17, 2026 |
| Call Valuation Date 57 | September 8, 2026 | 10.00% | September 15, 2026 |
| Call Valuation Date 58 | October 7, 2026 | 10.00% | October 15, 2026 |
| Call Valuation Date 59 | November 6, 2026 | 10.00% | November 16, 2026 |
| Call Valuation Date 60 | December 8, 2026 | 10.00% | December 15, 2026 |
| Call Valuation Date 61 | January 8, 2027 | 10.00% | January 15, 2027 |
| Call Valuation Date 62 | February 8, 2027 | 10.00% | February 16, 2027 |
| Call Valuation Date 63 | March 8, 2027 | 10.00% | March 15, 2027 |
| Call Valuation Date 64 | April 8, 2027 | 10.00% | April 15, 2027 |
| Call Valuation Date 65 | May 10, 2027 | 10.00% | May 17, 2027 |
| Call Valuation Date 66 | June 8, 2027 | 10.00% | June 15, 2027 |
| Call Valuation Date 67 | July 8, 2027 | 10.00% | July 15, 2027 |
| Call Valuation Date 68 | August 9, 2027 | 10.00% | August 16, 2027 |
| Call Valuation Date 69 | September 8, 2027 | 10.00% | September 15, 2027 |
| Call Valuation Date 70 | October 7, 2027 | 10.00% | October 15, 2027 |
| Call Valuation Date 71 | November 5, 2027 | 10.00% | November 15, 2027 |
| Call Valuation Date 72 | December 8, 2027 | 10.00% | December 15, 2027 |
| Call Valuation Date 73 | January 10, 2028 | 10.00% | January 18, 2028 |
| Call Valuation Date 74 | February 8, 2028 | 10.00% | February 15, 2028 |
| Call Valuation Date 75 | March 8, 2028 | 10.00% | March 15, 2028 |
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| Call Valuation Date 76 | April 7, 2028 | 10.00% | April 17, 2028 |
|---|---|---|---|
| Call Valuation Date 77 | May 8, 2028 | 10.00% | May 15, 2028 |
| Call Valuation Date 78 | June 8, 2028 | 10.00% | June 15, 2028 |
| Final Valuation Date | July 10, 2028 | N/A | Maturity Date |
Call Dates:
The dates indicated as such in the Call Thresholds table above.
Call Valuation Dates:
The dates indicated as such in the Call Thresholds table above, subject to postponement in certain circumstances as described in the Prospectus Supplement and the Prospectus.
Final Valuation Date:
The date indicated as such in the Call Thresholds table above, subject to postponement in certain circumstances as described in the Prospectus Supplement and the Prospectus.
Variable Return:
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.
Variable Return 0.00% Threshold:
Participation Factor: 0.00%
Potential Coupon Payments:
Provided that the Reference Portfolio Return is equal to or higher than the Coupon Payment Threshold on the applicable Coupon Payment Valuation Date, Holders will be entitled to receive Coupon Payments of US$0.42 (equivalent to 0.42% of the Principal Amount of each Note Security) on each Coupon Payment Date.
| Coupon Payment Valuation Dates |
Coupon Payment Threshold |
Coupon Payments |
Coupon Payment Dates |
|---|---|---|---|
| August 9, 2021 | -30.00% | US$0.42 | August 16, 2021 |
| September 8, 2021 | -30.00% | US$0.42 | September 15, 2021 |
| October 7, 2021 | -30.00% | US$0.42 | October 15, 2021 |
| November 5, 2021 | -30.00% | US$0.42 | November 15, 2021 |
| December 8, 2021 | -30.00% | US$0.42 | December 15, 2021 |
| January 10, 2022 | -30.00% | US$0.42 | January 18, 2022 |
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| February 8, 2022 | -30.00% | US$0.42 | February 15, 2022 |
|---|---|---|---|
| March 8, 2022 | -30.00% | US$0.42 | March 15, 2022 |
| April 8, 2022 | -30.00% | US$0.42 | April 18, 2022 |
| May 9, 2022 | -30.00% | US$0.42 | May 16, 2022 |
| June 8, 2022 | -30.00% | US$0.42 | June 15, 2022 |
| July 8, 2022 | -30.00% | US$0.42 | July 15, 2022 |
| August 8, 2022 | -30.00% | US$0.42 | August 15, 2022 |
| September 8, 2022 | -30.00% | US$0.42 | September 15, 2022 |
| October 7, 2022 | -30.00% | US$0.42 | October 17, 2022 |
| November 7, 2022 | -30.00% | US$0.42 | November 15, 2022 |
| December 8, 2022 | -30.00% | US$0.42 | December 15, 2022 |
| January 9, 2023 | -30.00% | US$0.42 | January 17, 2023 |
| February 8, 2023 | -30.00% | US$0.42 | February 15, 2023 |
| March 8, 2023 | -30.00% | US$0.42 | March 15, 2023 |
| April 10, 2023 | -30.00% | US$0.42 | April 17, 2023 |
| May 8, 2023 | -30.00% | US$0.42 | May 15, 2023 |
| June 8, 2023 | -30.00% | US$0.42 | June 15, 2023 |
| July 10, 2023 | -30.00% | US$0.42 | July 17, 2023 |
| August 8, 2023 | -30.00% | US$0.42 | August 15, 2023 |
| September 8, 2023 | -30.00% | US$0.42 | September 15, 2023 |
| October 6, 2023 | -30.00% | US$0.42 | October 16, 2023 |
| November 7, 2023 | -30.00% | US$0.42 | November 15, 2023 |
| December 8, 2023 | -30.00% | US$0.42 | December 15, 2023 |
| January 8, 2024 | -30.00% | US$0.42 | January 16, 2024 |
| February 8, 2024 | -30.00% | US$0.42 | February 15, 2024 |
| March 8, 2024 | -30.00% | US$0.42 | March 15, 2024 |
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| April 8, 2024 | -30.00% | US$0.42 | April 15, 2024 |
|---|---|---|---|
| May 8, 2024 | -30.00% | US$0.42 | May 15, 2024 |
| June 10, 2024 | -30.00% | US$0.42 | June 17, 2024 |
| July 8, 2024 | -30.00% | US$0.42 | July 15, 2024 |
| August 8, 2024 | -30.00% | US$0.42 | August 15, 2024 |
| September 9, 2024 | -30.00% | US$0.42 | September 16, 2024 |
| October 7, 2024 | -30.00% | US$0.42 | October 15, 2024 |
| November 7, 2024 | -30.00% | US$0.42 | November 15, 2024 |
| December 9, 2024 | -30.00% | US$0.42 | December 16, 2024 |
| January 8, 2025 | -30.00% | US$0.42 | January 15, 2025 |
| February 10, 2025 | -30.00% | US$0.42 | February 18, 2025 |
| March 10, 2025 | -30.00% | US$0.42 | March 17, 2025 |
| April 8, 2025 | -30.00% | US$0.42 | April 15, 2025 |
| May 8, 2025 | -30.00% | US$0.42 | May 15, 2025 |
| June 9, 2025 | -30.00% | US$0.42 | June 16, 2025 |
| July 8, 2025 | -30.00% | US$0.42 | July 15, 2025 |
| August 8, 2025 | -30.00% | US$0.42 | August 15, 2025 |
| September 8, 2025 | -30.00% | US$0.42 | September 15, 2025 |
| October 7, 2025 | -30.00% | US$0.42 | October 15, 2025 |
| November 7, 2025 | -30.00% | US$0.42 | November 17, 2025 |
| December 8, 2025 | -30.00% | US$0.42 | December 15, 2025 |
| January 8, 2026 | -30.00% | US$0.42 | January 15, 2026 |
| February 9, 2026 | -30.00% | US$0.42 | February 17, 2026 |
| March 9, 2026 | -30.00% | US$0.42 | March 16, 2026 |
| April 8, 2026 | -30.00% | US$0.42 | April 15, 2026 |
| May 8, 2026 | -30.00% | US$0.42 | May 15, 2026 |
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| June 8, 2026 | -30.00% | US$0.42 | June 15, 2026 |
|---|---|---|---|
| July 8, 2026 | -30.00% | US$0.42 | July 15, 2026 |
| August 10, 2026 | -30.00% | US$0.42 | August 17, 2026 |
| September 8, 2026 | -30.00% | US$0.42 | September 15, 2026 |
| October 7, 2026 | -30.00% | US$0.42 | October 15, 2026 |
| November 6, 2026 | -30.00% | US$0.42 | November 16, 2026 |
| December 8, 2026 | -30.00% | US$0.42 | December 15, 2026 |
| January 8, 2027 | -30.00% | US$0.42 | January 15, 2027 |
| February 8, 2027 | -30.00% | US$0.42 | February 16, 2027 |
| March 8, 2027 | -30.00% | US$0.42 | March 15, 2027 |
| April 8, 2027 | -30.00% | US$0.42 | April 15, 2027 |
| May 10, 2027 | -30.00% | US$0.42 | May 17, 2027 |
| June 8, 2027 | -30.00% | US$0.42 | June 15, 2027 |
| July 8, 2027 | -30.00% | US$0.42 | July 15, 2027 |
| August 9, 2027 | -30.00% | US$0.42 | August 16, 2027 |
| September 8, 2027 | -30.00% | US$0.42 | September 15, 2027 |
| October 7, 2027 | -30.00% | US$0.42 | October 15, 2027 |
| November 5, 2027 | -30.00% | US$0.42 | November 15, 2027 |
| December 8, 2027 | -30.00% | US$0.42 | December 15, 2027 |
| January 10, 2028 | -30.00% | US$0.42 | January 18, 2028 |
| February 8, 2028 | -30.00% | US$0.42 | February 15, 2028 |
| March 8, 2028 | -30.00% | US$0.42 | March 15, 2028 |
| April 7, 2028 | -30.00% | US$0.42 | April 17, 2028 |
| May 8, 2028 | -30.00% | US$0.42 | May 15, 2028 |
| June 8, 2028 | -30.00% | US$0.42 | June 15, 2028 |
| July 10, 2028 | -30.00% | US$0.42 | July 17, 2028 |
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| Potential sum of Coupon Payments over the term of the Note Securities |
US$35.28 | |||
|---|---|---|---|---|
Coupon Payment Monthly Frequency: Coupon Payment As set forth under the column entitled “Coupon Payment Valuation Dates” in the table Valuation Dates: above, subject to postponement in certain circumstances as described in the Prospectus Supplement and the Prospectus. Coupon Payment As set forth under the column entitled “Coupon Payment Threshold” in the Potential Threshold: Coupon Payments table above. Coupon Payment As set forth under the column entitled “Coupon Payment Dates” in the Potential Coupon Dates: Payments table above, subject to postponement in certain circumstances as described in the Prospectus Supplement and the Prospectus. Barrier: -30.00% Selling commission: US$2.50 per Note Security (2.50% of the Principal Amount of each Note Security sold). Dealers: National Bank Financial Inc. and Richardson Wealth Limited (the “Dealers”). Richardson Wealth Limited will act as Independent Dealer. The Dealers will act as agents in connection with the offering and sale of the Note Securities. Independent Dealer Up to US$0.15 per Note Security (up to 0.15% of the Principal Amount of each Note Fee: Security sold). Early Trading US$3.60 per Note Security, declining every 10 days by US$0.30 to be US$0.00 after 120 Charge: days from and including the Issuance Date. Fees affecting the The Closing Level of the Reference Asset used to calculate the Reference Portfolio Return Closing Level of the will be net of the fees and expenses charged by or assumed by the Reference Fund, which Reference Asset: will therefore be indirectly assumed by investors in the Note Securities. Such fees and expenses include annual management fees payable by the Reference Fund to its trustee and/or investment advisor, operating expenses and transaction costs of the Reference Fund including brokerage commissions payable on the purchase and sales of the securities held by the Reference Fund. See the disclosure of the fees and expenses in the Reference Fund’s continuous disclosure materials (which are not incorporated herein by reference).
For the year ended September 30, 2020, the annual ordinary operating expenses payable by the Reference Fund represented an annual rate of approximately 0.10% of the Reference Fund’s net asset value. Eligibility for Eligible for RRSPs, RRIFs, RESPs, RDSPs, DPSPs and TFSAs. See “Eligibility for Investment: Investment” in the Prospectus. Form of the Note The Note Securities will be issued as Uncertificated Note Securities. See “Description of Securities: the Note Securities – Form, Registration and Transfer of Note Securities” in the Prospectus and “Description of the Note Securities – Form of Note Securities” in the Prospectus Supplement.
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Fundserv:
NBC22166. Notwithstanding the provision with respect to the interest that would accrue on the funds delivered using the Fundserv network under the heading “Fundserv” in the Prospectus Supplement, in any case, whether or not the Note Securities are purchased using the Fundserv network, no interest or other compensation will be paid to the Holder on such funds delivered prior to the Issuance Date.
Timely Information The Bank will seek to make available at www.nbcstructuredsolutions.ca certain on the Note information regarding the Note Securities. Such information is provided for information Securities: purposes only and will not be incorporated by reference into this Pricing Supplement.
REFERENCE ASSET
The following contains a brief description of the issuer of the Reference Asset, the index it seeks to replicate and tables illustrating the historical price performance and historical volatility of the Reference Asset.
See “Public Information – Fund Linked Note Securities” in the Prospectus. All data and information below is sourced from Bloomberg and/or publicly available sources.
This information is derived solely from publicly available information and none of the Bank, the Dealers or any of their respective affiliates makes any assurances, representations or warranties as to the accuracy, reliability or completeness of such information.
SPDR® S&P 500® ETF Trust
SPDR® S&P 500® ETF Trust (the “Reference Fund”) is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940, as amended. The Reference Fund is an exchange-traded fund, the units of which are listed and traded on the NYSE Arca under the symbol “SPY”.
The Reference Fund seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500® Index (the "Index"). The Reference Fund seeks to achieve its investment objective by holding a portfolio of the common stocks that are included in the Index, with the weight of each stock in the portfolio substantially corresponding to the weight of such stock in the Index. At any time, the portfolio of the Reference Fund will consist of as many of the index securities as is practicable. To maintain the correspondence between the composition and weightings of the portfolio securities and index securities, State Street Global Advisors Trust Company (the "Trustee"), or its parent company, adjusts the portfolio of the Reference Fund from time to time to conform to periodic changes made by S&P Dow Jones Indices LLC to the identity and/or relative weightings of the index securities in the Index. The Trustee or its parent company aggregates certain of these adjustments and makes changes to the portfolio of the Reference Fund at least monthly, or more frequently in the case of significant changes to the Index.
Further information about the Reference Fund is available on the following website: www.spdrs.com and information from this website is not incorporated by reference into this Pricing Supplement.
S&P 500® Index
The Index is a float-adjusted capitalization weighted index of 500 companies calculated under the auspices of the S&P Index Committee of S&P Dow Jones Indices LLC. At any moment in time, the value of the Index equals the aggregate market value of the available float shares outstanding in each of the component 500 index securities, evaluated at their respective last sale prices on their respective listing exchange, divided by a scaling factor which yields a resulting index value in the reported magnitude.
Further information about the Index and its constituent issuers is available on the following website: www.spindices.com and information from this website is not incorporated by reference into this Pricing Supplement.
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Historical Reference Asset Data
The following table shows the calendar year and year-to-date (“ YTD ”) price performance of the Reference Asset which is included in the Reference Portfolio. The YTD price performance is as of June 15, 2021. Historical performance is not a guarantee of future performance. Each year is measured starting from the month of December of the previous year indicated. For example: the year 2020 below refers to the year as measured from December 31, 2019 to December 31, 2020.
| 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Units of the SPDR® S&P 500® ETF Trust |
-0.22% |
13.56% | 29.57% | 11.28% | -0.78% | 9.63% | 19.38% |
-6.35% | 28.79 | % 16.16% |
13.53% |
The following table shows the price performance of the Reference Asset included in the Reference Portfolio from the period beginning on June 15, 2011 and ending on June 15, 2021. The performance for periods that are less than one year is cumulative and is not annualized, and the performance for periods of one year or more is annualized. Historical performance is not a guarantee of future performance.
| 1 month | 3 month | 6 month | 1 year | 2 year | 3 year | 4 year | 5 year | 10 year | |
|---|---|---|---|---|---|---|---|---|---|
| Units of the SPDR® S&P 500® ETF Trust |
1.90% |
7.08% | 14.85% | 38.24% | 21.14% | 15.27% | 14.87% | 15.36% | 12.82% |
The following is a chart illustrating the historical 1-Year and 3-Month volatility of the Reference Asset from the period beginning on June 15, 2011 and ending on June 15, 2021. Historical volatility is not a guarantee of future volatility.
Historical 1-Year & 3-Month Volatility of the units of the SPDR® S&P 500® ETF Trust
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70%
3-month volatility
60% 1-year volatility
50%
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30%
20%
10%
0%
June 11 June 12 June 13 June 14 June 15 June 16 June 17 June 18 June 19 June 20 June 21
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Volatility is the term used to describe the magnitude and frequency of the changes in a security’s value over a given time period. A higher volatility means that a security’s value can potentially be spread out over a larger range of values. This means that the price of the security can change dramatically over a short time period in either direction. A lower volatility means that a security’s value does not fluctuate dramatically, but changes in value at a steady pace over a period of time.
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INVESTMENT STRATEGY SUPPORTING A PURCHASE OF THE NOTE SECURITIES
NBC Auto Callable Contingent Income Note Securities (Maturity-Monitored Barrier)
You should consider a purchase of the Note Securities rather than alternative investments (including a direct purchase of the Reference Asset or exposure to it) if you expect that:
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(i) the Reference Portfolio Return will be equal to or higher than the Coupon Payment Threshold on the Coupon Payment Valuation Dates; and
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(ii) the Reference Portfolio Return will be equal to or higher than the Call Threshold on at least one Call Valuation Date or positive on the Final Valuation Date; or
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(iii) if the Reference Portfolio Return is lower than the Call Threshold on every Call Valuation Date and is negative on the Final Valuation Date, the Reference Portfolio Return will be equal to or higher than the Barrier on the Final Valuation Date.
If your expectations of the Reference Portfolio Return differ from these, you should consider alternative investments rather than an investment in the Note Securities.
SUITABILITY OF THE NOTE SECURITIES FOR INVESTORS
NBC Auto Callable Contingent Income Note Securities (Maturity-Monitored Barrier)
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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(i) 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;
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(ii) 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;
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(iii) 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;
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(iv) 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%;
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(v) 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;
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(vi) your investment strategy should be consistent with the investment features of the Note Securities;
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(vii) your investment time horizon should correspond with the term of the Note Securities; and
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- (viii) your investment will be subject to the risk factors summarized in the section “Risk Factors” in the Prospectus Supplement and the Prospectus.
ABOUT THE ISSUER OF THE REFERENCE ASSET
The issuer of the Reference Asset is a reporting issuer or the equivalent in the United States of America and is required to file periodically certain financial and other information specified by securities legislation. The information provided to or filed electronically with the securities regulatory authorities can be accessed through the EDGAR Database on the Securities and Exchange Commission’s website, a filing system that provides access to most public securities documents and information filed by public companies and investment funds with the Securities and Exchange Commission. The Securities and Exchange Commission’s website is www.sec.gov/edgar.shtml. See “Public Information – Fund Linked Note Securities” in the Prospectus.
This Pricing Supplement relates only to the Note Securities offered hereby and does not relate to the Reference Asset or other securities of the issuer of the Reference Asset. The Bank and the Dealers have not verified the accuracy or completeness of any information contained in such documents and information or determined if there has been any omission by the issuer of the Reference Asset to disclose any facts, information or events which may have occurred prior to or subsequent to the date as of which any information contained in such documents and information has been furnished by the issuer of the Reference Asset which may affect the significance or accuracy of any information contained in any such documents and information. Neither the Bank nor any Dealer makes any representation that such publicly available documents or any other publicly available information regarding the issuer of the Reference Asset or the Reference Asset are accurate or complete.
The issuer of the Reference Asset is not an affiliate of the Bank and its affiliates. The issuer of the Reference Asset has not participated in the preparation of this Pricing Supplement, does not take any responsibility or assume any liability with respect to the accuracy or completeness of any information contained herein and makes no representation regarding the advisability of purchasing the Note Securities.
The Note Securities are not in any way sponsored, endorsed, sold or promoted by the issuer of the Reference Asset. The issuer of the Reference Asset is not responsible for and has not participated in the determination of the timing, pricing or number of Note Securities to be issued. The issuer of the Reference Asset does not have any statutory liability with respect to the accuracy or completeness of any of the information contained in this Pricing Supplement and has no obligation or liability in connection with the administration, marketing or trading of the Note Securities. Investing in the Note Securities is not equivalent to investing directly in the Reference Asset. The issuance of the Note Securities is not a financing for the benefit of the issuer of the Reference Asset or any insiders of the issuer of the Reference Asset.
Prospective investors should independently investigate the issuer of the Reference Asset and decide whether an investment in the Note Securities is appropriate.
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DOCUMENTS INCORPORATED BY REFERENCE
In addition to this Pricing Supplement, the following documents are specifically incorporated by reference into, and form an integral part of, the Prospectus as of the date of this Pricing Supplement:
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(i) the Audited Consolidated Financial Statements for the year ended October 31, 2020, which include comparative consolidated financial statements of the Bank for the year ended October 31, 2019, together with the Independent Auditor’s Report thereon;
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(ii) the Management’s Discussion and Analysis for the year ended October 31, 2020, as contained in the Bank’s 2020 Annual Report;
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(iii) the Bank’s Annual Information Form dated December 1, 2020;
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(iv) the Material Change Report dated January 26, 2021 announcing the appointment of Laurent Ferreira as Chief Operating Officer effective February 1, 2021;
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(v) the Management Proxy Circular dated February 24, 2021 in connection with the Bank’s annual meeting of shareholders held on April 23, 2021; and
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(vi) the unaudited interim condensed consolidated financial statements of the Bank for the second quarter ended April 30, 2021, which include comparative unaudited interim condensed consolidated financial statements of the Bank for the second quarter ended April 30, 2020, together with the Management’s Discussion and Analysis as contained in the Bank’s Report to Shareholders for the Second Quarter 2021.
MARKETING MATERIALS
Any template version of “marketing materials” (as defined in National Instrument 41-101 – General Prospectus Requirements ) filed with the securities regulatory authorities in each of the provinces and territories of Canada in connection with this offering after the date or filing hereof but prior to the termination of the distribution of the Note Securities under this Pricing Supplement (including any amendments to, or an amended version of, the marketing materials) is deemed to be incorporated by reference herein. Any such marketing materials are not part of this Pricing Supplement to the extent that the contents of the marketing materials have been modified or superseded by a statement contained in an amendment to this Pricing Supplement.
CHANGE TO THE CAPITAL OF THE BANK
On June 15, 2021, the Bank announced its intention, subject to approval from the Office of the Superintendent of Financial Institutions, to redeem all of its 16,000,000 issued and outstanding Non-Cumulative 5-Year Rate Reset First Preferred Shares Series 36 (Non-Viability Contingent Capital (NVCC)) on August 15, 2021, for cash at a redemption price of Can$25.00 per share, together with all declared and unpaid dividends.
COVID-19 RISK FACTOR
The COVID-19 pandemic has had disruptive and adverse impacts in the countries where the Bank conducts business and, more broadly, on the global economy. Among other things, COVID-19 sent stock markets into sharp decline and rendered them more volatile, disrupted global supply chains, and provoked a rapid and sudden rise in unemployment and an economic slowdown. The actual impact of the pandemic will depend on future events that are highly uncertain and cannot be predicted. Disruptions caused by COVID-19 could have a material adverse effect on the level of the Reference Asset and constituents of the Reference Asset (if applicable) and the return on the Note Securities. In particular, an increase in market volatility could make it more likely for Note Securities with a Barrier feature for such Barrier to be reached with potential adverse consequences to Holders.
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