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Silver Elephant Mining Corp. — Capital/Financing Update 2020
Nov 17, 2020
43875_rns_2020-11-17_4b573b12-9fb8-4b41-bba1-55c252b2379f.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. ACCI1549 dated November 17, 2020
(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, due on December 15, 2027
(non principal protected note securities)
Maximum Can$12,000,000 (120,000 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 $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 $96.03 per $100 of Principal Amount, which is less than the issue price. The estimated initial value is equal to 96.03% of the Principal Amount, being equivalent to a $0.57 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 November 12, 2020, the dividends and/or distributions paid on account of the Reference Asset in the Reference Portfolio represented an annual indicative yield of 1.36%, representing an aggregate yield of approximately 9.52% 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, due on December 15, 2027 Principal Amount: $100 Minimum $1,000 (10 Note Securities) Subscription:
2
Auto Callable Contingent Income type:
Maturity-Monitored Barrier
Issuance Date:
December 1, 2020, subject to postponement in certain circumstances as described in the Prospectus Supplement and the Prospectus.
Maturity Date:
December 15, 2027
Reference Portfolio:
| Reference Asset name | Reference Asset ticker |
Price Source |
Closing Level |
Reference Asset type |
Reference Asset Weight |
|---|---|---|---|---|---|
| Units of the iShares® Core S&P 500 Index ETF (CAD-Hedged) |
XSP | TSX | 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: Canadian 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 $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.
3
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 | June 8, 2021 | 10.00% | June 15, 2021 |
| Call Valuation Date 2 | July 8, 2021 | 10.00% | July 15, 2021 |
| Call Valuation Date 3 | August 9, 2021 | 10.00% | August 16, 2021 |
| Call Valuation Date 4 | September 8, 2021 |
10.00% | September 15, 2021 |
| Call Valuation Date 5 | October 7, 2021 | 10.00% | October 15, 2021 |
| Call Valuation Date 6 | November 5, 2021 | 10.00% | November 15, 2021 |
| Call Valuation Date 7 | December 8, 2021 | 10.00% | December 15, 2021 |
| Call Valuation Date 8 | January 10, 2022 | 10.00% | January 17, 2022 |
| Call Valuation Date 9 | February 8, 2022 | 10.00% | February 15, 2022 |
| Call Valuation Date 10 |
March 8, 2022 | 10.00% | March 15, 2022 |
| Call Valuation Date 11 |
April 8, 2022 | 10.00% | April 18, 2022 |
| Call Valuation Date 12 |
May 9, 2022 | 10.00% | May 16, 2022 |
| Call Valuation Date 13 |
June 8, 2022 | 10.00% | June 15, 2022 |
| Call Valuation Date 14 |
July 8, 2022 | 10.00% | July 15, 2022 |
| Call Valuation Date 15 |
August 8, 2022 | 10.00% | August 15, 2022 |
| Call Valuation Date 16 |
September 8, 2022 |
10.00% | September 15, 2022 |
| Call Valuation Date 17 |
October 7, 2022 | 10.00% | October 17, 2022 |
| Call Valuation Date 18 |
November 7, 2022 | 10.00% | November 15, 2022 |
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| Call Valuation Date 19 |
December 8, 2022 | 10.00% | December 15, 2022 |
|---|---|---|---|
| Call Valuation Date 20 |
January 9, 2023 | 10.00% | January 16, 2023 |
| Call Valuation Date 21 |
February 8, 2023 | 10.00% | February 15, 2023 |
| Call Valuation Date 22 |
March 8, 2023 | 10.00% | March 15, 2023 |
| Call Valuation Date 23 |
April 10, 2023 | 10.00% | April 17, 2023 |
| Call Valuation Date 24 |
May 8, 2023 | 10.00% | May 15, 2023 |
| Call Valuation Date 25 |
June 8, 2023 | 10.00% | June 15, 2023 |
| Call Valuation Date 26 |
July 10, 2023 | 10.00% | July 17, 2023 |
| Call Valuation Date 27 |
August 8, 2023 | 10.00% | August 15, 2023 |
| Call Valuation Date 28 |
September 8, 2023 |
10.00% | September 15, 2023 |
| Call Valuation Date 29 |
October 6, 2023 | 10.00% | October 16, 2023 |
| Call Valuation Date 30 |
November 7, 2023 | 10.00% | November 15, 2023 |
| Call Valuation Date 31 |
December 8, 2023 | 10.00% | December 15, 2023 |
| Call Valuation Date 32 |
January 8, 2024 | 10.00% | January 15, 2024 |
| Call Valuation Date 33 |
February 8, 2024 | 10.00% | February 15, 2024 |
| Call Valuation Date 34 |
March 8, 2024 | 10.00% | March 15, 2024 |
| Call Valuation Date 35 |
April 8, 2024 | 10.00% | April 15, 2024 |
| Call Valuation Date 36 |
May 8, 2024 | 10.00% | May 15, 2024 |
5
| Call Valuation Date 37 |
June 10, 2024 | 10.00% | June 17, 2024 |
|---|---|---|---|
| Call Valuation Date 38 |
July 8, 2024 | 10.00% | July 15, 2024 |
| Call Valuation Date 39 |
August 8, 2024 | 10.00% | August 15, 2024 |
| Call Valuation Date 40 |
September 9, 2024 |
10.00% | September 16, 2024 |
| Call Valuation Date 41 |
October 7, 2024 | 10.00% | October 15, 2024 |
| Call Valuation Date 42 |
November 7, 2024 | 10.00% | November 15, 2024 |
| Call Valuation Date 43 |
December 9, 2024 | 10.00% | December 16, 2024 |
| Call Valuation Date 44 |
January 8, 2025 | 10.00% | January 15, 2025 |
| Call Valuation Date 45 |
February 10, 2025 | 10.00% | February 18, 2025 |
| Call Valuation Date 46 |
March 10, 2025 | 10.00% | March 17, 2025 |
| Call Valuation Date 47 |
April 8, 2025 | 10.00% | April 15, 2025 |
| Call Valuation Date 48 |
May 8, 2025 | 10.00% | May 15, 2025 |
| Call Valuation Date 49 |
June 9, 2025 | 10.00% | June 16, 2025 |
| Call Valuation Date 50 |
July 8, 2025 | 10.00% | July 15, 2025 |
| Call Valuation Date 51 |
August 8, 2025 | 10.00% | August 15, 2025 |
| Call Valuation Date 52 |
September 8, 2025 |
10.00% | September 15, 2025 |
| Call Valuation Date 53 |
October 7, 2025 | 10.00% | October 15, 2025 |
| Call Valuation Date 54 |
November 7, 2025 | 10.00% | November 17, 2025 |
6
| Call Valuation Date 55 |
December 8, 2025 | 10.00% | December 15, 2025 |
|---|---|---|---|
| Call Valuation Date 56 |
January 8, 2026 | 10.00% | January 15, 2026 |
| Call Valuation Date 57 |
February 9, 2026 | 10.00% | February 17, 2026 |
| Call Valuation Date 58 |
March 9, 2026 | 10.00% | March 16, 2026 |
| Call Valuation Date 59 |
April 8, 2026 | 10.00% | April 15, 2026 |
| Call Valuation Date 60 |
May 8, 2026 | 10.00% | May 15, 2026 |
| Call Valuation Date 61 |
June 8, 2026 | 10.00% | June 15, 2026 |
| Call Valuation Date 62 |
July 8, 2026 | 10.00% | July 15, 2026 |
| Call Valuation Date 63 |
August 10, 2026 | 10.00% | August 17, 2026 |
| Call Valuation Date 64 |
September 8, 2026 |
10.00% | September 15, 2026 |
| Call Valuation Date 65 |
October 7, 2026 | 10.00% | October 15, 2026 |
| Call Valuation Date 66 |
November 6, 2026 | 10.00% | November 16, 2026 |
| Call Valuation Date 67 |
December 8, 2026 | 10.00% | December 15, 2026 |
| Call Valuation Date 68 |
January 8, 2027 | 10.00% | January 15, 2027 |
| Call Valuation Date 69 |
February 8, 2027 | 10.00% | February 16, 2027 |
| Call Valuation Date 70 |
March 8, 2027 | 10.00% | March 15, 2027 |
| Call Valuation Date 71 |
April 8, 2027 | 10.00% | April 15, 2027 |
| Call Valuation Date 72 |
May 10, 2027 | 10.00% | May 17, 2027 |
7
| Call Valuation Date 73 |
June 8, 2027 | 10.00% | June 15, 2027 |
|---|---|---|---|
| Call Valuation Date 74 |
July 8, 2027 | 10.00% | July 15, 2027 |
| Call Valuation Date 75 |
August 9, 2027 | 10.00% | August 16, 2027 |
| Call Valuation Date 76 |
September 8, 2027 |
10.00% | September 15, 2027 |
| Call Valuation Date 77 |
October 7, 2027 | 10.00% | October 15, 2027 |
| Call Valuation Date 78 |
November 5, 2027 | 10.00% | November 15, 2027 |
| Final Valuation Date | December 8, 2027 | 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%
8
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 $0.555 (equivalent to 0.555% 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 |
|---|---|---|---|
| January 8, 2021 | -30.00% | $0.555 | January 15, 2021 |
| February 8, 2021 | -30.00% | $0.555 | February 16, 2021 |
| March 8, 2021 | -30.00% | $0.555 | March 15, 2021 |
| April 8, 2021 | -30.00% | $0.555 | April 15, 2021 |
| May 10, 2021 | -30.00% | $0.555 | May 17, 2021 |
| June 8, 2021 | -30.00% | $0.555 | June 15, 2021 |
| July 8, 2021 | -30.00% | $0.555 | July 15, 2021 |
| August 9, 2021 | -30.00% | $0.555 | August 16, 2021 |
| September 8, 2021 | -30.00% | $0.555 | September 15, 2021 |
| October 7, 2021 | -30.00% | $0.555 | October 15, 2021 |
| November 5, 2021 | -30.00% | $0.555 | November 15, 2021 |
| December 8, 2021 | -30.00% | $0.555 | December 15, 2021 |
| January 10, 2022 | -30.00% | $0.555 | January 17, 2022 |
| February 8, 2022 | -30.00% | $0.555 | February 15, 2022 |
| March 8, 2022 | -30.00% | $0.555 | March 15, 2022 |
| April 8, 2022 | -30.00% | $0.555 | April 18, 2022 |
| May 9, 2022 | -30.00% | $0.555 | May 16, 2022 |
| June 8, 2022 | -30.00% | $0.555 | June 15, 2022 |
| July 8, 2022 | -30.00% | $0.555 | July 15, 2022 |
| August 8, 2022 | -30.00% | $0.555 | August 15, 2022 |
| September 8, 2022 | -30.00% | $0.555 | September 15, 2022 |
| October 7, 2022 | -30.00% | $0.555 | October 17, 2022 |
9
| November 7, 2022 | -30.00% | $0.555 | November 15, 2022 |
|---|---|---|---|
| December 8, 2022 | -30.00% | $0.555 | December 15, 2022 |
| January 9, 2023 | -30.00% | $0.555 | January 16, 2023 |
| February 8, 2023 | -30.00% | $0.555 | February 15, 2023 |
| March 8, 2023 | -30.00% | $0.555 | March 15, 2023 |
| April 10, 2023 | -30.00% | $0.555 | April 17, 2023 |
| May 8, 2023 | -30.00% | $0.555 | May 15, 2023 |
| June 8, 2023 | -30.00% | $0.555 | June 15, 2023 |
| July 10, 2023 | -30.00% | $0.555 | July 17, 2023 |
| August 8, 2023 | -30.00% | $0.555 | August 15, 2023 |
| September 8, 2023 | -30.00% | $0.555 | September 15, 2023 |
| October 6, 2023 | -30.00% | $0.555 | October 16, 2023 |
| November 7, 2023 | -30.00% | $0.555 | November 15, 2023 |
| December 8, 2023 | -30.00% | $0.555 | December 15, 2023 |
| January 8, 2024 | -30.00% | $0.555 | January 15, 2024 |
| February 8, 2024 | -30.00% | $0.555 | February 15, 2024 |
| March 8, 2024 | -30.00% | $0.555 | March 15, 2024 |
| April 8, 2024 | -30.00% | $0.555 | April 15, 2024 |
| May 8, 2024 | -30.00% | $0.555 | May 15, 2024 |
| June 10, 2024 | -30.00% | $0.555 | June 17, 2024 |
| July 8, 2024 | -30.00% | $0.555 | July 15, 2024 |
| August 8, 2024 | -30.00% | $0.555 | August 15, 2024 |
| September 9, 2024 | -30.00% | $0.555 | September 16, 2024 |
| October 7, 2024 | -30.00% | $0.555 | October 15, 2024 |
| November 7, 2024 | -30.00% | $0.555 | November 15, 2024 |
| December 9, 2024 | -30.00% | $0.555 | December 16, 2024 |
10
| January 8, 2025 | -30.00% | $0.555 | January 15, 2025 |
|---|---|---|---|
| February 10, 2025 | -30.00% | $0.555 | February 18, 2025 |
| March 10, 2025 | -30.00% | $0.555 | March 17, 2025 |
| April 8, 2025 | -30.00% | $0.555 | April 15, 2025 |
| May 8, 2025 | -30.00% | $0.555 | May 15, 2025 |
| June 9, 2025 | -30.00% | $0.555 | June 16, 2025 |
| July 8, 2025 | -30.00% | $0.555 | July 15, 2025 |
| August 8, 2025 | -30.00% | $0.555 | August 15, 2025 |
| September 8, 2025 | -30.00% | $0.555 | September 15, 2025 |
| October 7, 2025 | -30.00% | $0.555 | October 15, 2025 |
| November 7, 2025 | -30.00% | $0.555 | November 17, 2025 |
| December 8, 2025 | -30.00% | $0.555 | December 15, 2025 |
| January 8, 2026 | -30.00% | $0.555 | January 15, 2026 |
| February 9, 2026 | -30.00% | $0.555 | February 17, 2026 |
| March 9, 2026 | -30.00% | $0.555 | March 16, 2026 |
| April 8, 2026 | -30.00% | $0.555 | April 15, 2026 |
| May 8, 2026 | -30.00% | $0.555 | May 15, 2026 |
| June 8, 2026 | -30.00% | $0.555 | June 15, 2026 |
| July 8, 2026 | -30.00% | $0.555 | July 15, 2026 |
| August 10, 2026 | -30.00% | $0.555 | August 17, 2026 |
| September 8, 2026 | -30.00% | $0.555 | September 15, 2026 |
| October 7, 2026 | -30.00% | $0.555 | October 15, 2026 |
| November 6, 2026 | -30.00% | $0.555 | November 16, 2026 |
| December 8, 2026 | -30.00% | $0.555 | December 15, 2026 |
| January 8, 2027 | -30.00% | $0.555 | January 15, 2027 |
| February 8, 2027 | -30.00% | $0.555 | February 16, 2027 |
11
| March 8, 2027 | -30.00% | $0.555 | March 15, 2027 |
|---|---|---|---|
| April 8, 2027 | -30.00% | $0.555 | April 15, 2027 |
| May 10, 2027 | -30.00% | $0.555 | May 17, 2027 |
| June 8, 2027 | -30.00% | $0.555 | June 15, 2027 |
| July 8, 2027 | -30.00% | $0.555 | July 15, 2027 |
| August 9, 2027 | -30.00% | $0.555 | August 16, 2027 |
| September 8, 2027 | -30.00% | $0.555 | September 15, 2027 |
| October 7, 2027 | -30.00% | $0.555 | October 15, 2027 |
| November 5, 2027 | -30.00% | $0.555 | November 15, 2027 |
| December 8, 2027 | -30.00% | $0.555 | December 15, 2027 |
| Potential sum of Coupon Payments over the term of the Note Securities |
$46.62 |
Coupon Payment Frequency:
Monthly
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: $1.00 per Note Security (1.00% of the Principal Amount of each Note Security sold). Dealers: National Bank Financial Inc. and Desjardins Securities Inc. (the “Dealers”). Desjardins Securities Inc. 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 $0.15 per Note Security (up to 0.15% of the Principal Amount of each Note Fee: Security sold).
Early Trading $2.40 per Note Security, declining every 10 days by $0.20 to be $0.00 after 120 days Charge: from and including the Issuance Date.
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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 period ended June 30, 2020, the management expense ratio which includes the management fee payable by the Reference Fund to BlackRock Canada for acting as its trustee, manager and portfolio adviser, represented an annual rate of 0.10% of the Reference Fund’s average daily net asset value during the relevant period.
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. Fundserv: NBC21525. 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.
iShares® Core S&P 500 Index ETF (CAD-Hedged)
The iShares® Core S&P 500 Index ETF (CAD-Hedged) (the “Reference Fund”) is an exchange-traded fund established as a trust under the laws of the Province of Ontario. While the Reference Fund is a mutual fund under Canadian securities legislation, it has been granted exemptive relief from certain provisions of Canadian securities legislation applicable to conventional mutual funds. The units of the Reference Fund are listed on the TSX® under the symbol “XSP”. BlackRock Asset Management Canada Limited (“BlackRock Canada”) is the trustee, manager and portfolio adviser of the Reference Fund and is responsible for the day-to-day administration of the Reference Fund.
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The Reference Fund seeks to provide long-term capital growth by replicating, to the extent possible, the performance of the S&P 500 Hedged to Canadian Dollars Index (the "Index"), net of expenses. Under normal market conditions, the Reference Fund will primarily invest in securities of one or more exchange-traded funds managed by BlackRock Canada or an affiliate and/or U.S. equity securities. In addition to or as an alternative to this strategy, the Reference Fund may also invest by employing a replicating strategy, a sampling strategy and/or through the use of derivatives. The Reference Fund employs a currency hedging strategy with respect to U.S. dollar currency exposure.
Further information about the Reference Fund is available on the following website: www.blackrock.com/ca and information from this website is not incorporated by reference into this Pricing Supplement.
S&P 500 Hedged to Canadian Dollars Index
The Index is provided by S&P Dow Jones Indices LLC and is a market capitalization-weighted index of equity securities of 500 of the largest U.S. public issuers, hedged to Canadian dollars (on a monthly basis). The S&P 500 Index, which forms the basis for the Index, is commonly used as a measure of broad U.S. stock market performance. Weighting adjustments due to changes in free floating shares outstanding are generally made on a quarterly basis. Issuers are added and deleted to the Index on an as-needed basis.
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.
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 November 12, 2020. 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 2019 below refers to the year as measured from December 31, 2018 to December 31, 2019.
| 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Units of the iShares® Core S&P 500 Index ETF (CAD- Hedged) |
12.19% | -0.97% | 13.42% | 30.31% | 12.25% | -1.26% | 9.09% | 18.89% | -7.89% | 27.05% | 7.66% |
The following table shows the price performance of the Reference Asset included in the Reference Portfolio from the period beginning on November 12, 2010 and ending on November 12, 2020. 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 iShares® Core S&P 500 Index ETF (CAD- Hedged) |
1.81% | 4.56% | 22.36% | 11.45% | 11.48% | 9.05% | 11.38% | 10.08% | 10.75% |
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The following is a chart illustrating the historical 1-Year and 3-Month volatility of the Reference Asset from the period beginning on November 12, 2010 and ending on November 12, 2020, Historical volatility is not a guarantee of future volatility.
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Historical 1-Year & 3-Month Volatility of the units of the iShares® Core
S&P 500 Index ETF (CAD-Hedged)
70%
3-month volatility
60%
1-year volatility
50%
40%
30%
20%
10%
0%
November 10 November 11 November 12 November 13 November 14 November 15 November 16 November 17 November 18 November 19 November 20
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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.
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.
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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 Canada 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 SEDAR, a filing system developed for the Canadian Securities Administrators that provides access to most public securities documents and information filed by public companies and investment funds with the Canadian Securities Administrators. SEDAR’s website is www.sedar.com. 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
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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.
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:
- (i) the unaudited interim condensed consolidated financial statements of the Bank for the third quarter ended July 31, 2020, which include comparative unaudited interim condensed consolidated financial statements of the Bank for the third quarter ended July 31, 2019, together with the Management’s Discussion and Analysis as contained in the Bank’s Report to Shareholders for the Third Quarter 2020.
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 September 9, 2020, the Bank completed the issuance of $500 million of Limited Recourse Capital Notes, Series 1 (non-viability contingent capital (NVCC)) (Subordinated Indebtedness) (the “Notes”). Concurrently with the issuance of the Notes, the Bank has also issued Non-Cumulative 5-Year Fixed Rate Reset First Preferred Shares, Series 44 (non-viability contingent capital (NVCC)) (the “Series 44 Preferred Shares”) to be held by Computershare Trust Company of Canada as trustee for a newly-formed trust (the “Limited Recourse Trust”). In case of non-payment of interest on or principal of the Notes when due, the recourse of each Note holder will be limited to that holder’s proportionate share of the Limited Recourse Trust’s assets, which will consist of Series 44 Preferred Shares except in limited circumstances. The purpose of the sale of the Notes is to enlarge the Bank’s Tier 1 capital base with a view to optimizing the Bank’s capital structure within the parameters prescribed by the Superintendent for bank capital requirements. The net proceeds from the sale of the Notes will be added to the Bank’s general funds and will be utilized for general banking purposes.
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COVID-19 RISK FACTOR
On March 11, 2020, the World Health Organization declared the outbreak of a strain of novel coronavirus disease, COVID-19, a global pandemic. Governments worldwide adopted emergency measures designed to contain the outbreak, including widespread business closures, travel restrictions, border closures, quarantines and social distancing measures.
The spread of COVID-19 has had disruptive and adverse effects in countries in which the Bank operates and the global economy more widely, as well as causing increased volatility and declines in financial markets, disruption of global supply chains, a sharp and sudden rise in unemployment, and an economic slowdown. Governments, monetary authorities and regulators have taken actions to support the economy and the financial system, including taking fiscal and monetary measures to increase liquidity and support incomes, and regulatory flexibility measures in respect of capital and liquidity requirements for financial institutions. If the COVID-19 pandemic is prolonged the adverse impact on the global economy could deepen, augmenting financial market volatility, corporate insolvency risks and negative household wealth impacts.
The continuation or worsening of the economic conditions caused by the COVID-19 pandemic could have a significant adverse effect on the business, results of operations, corporate reputation and financial condition of institutions active in the financial services sector such as the Bank. Some of the potential adverse impacts include important changes in consumer behavior, reduced demand for financial products and services; changes to payment terms leading to reduced margins or unprofitable loans; increased borrower defaults leading to increased credit losses and lower mortgaged property values; constraints on liquidity and capital; and business disruption and reputational harm resulting from an inability for the Bank’s workforce to work effectively (due to illness, quarantines, or other restrictions related to the pandemic) or from disruptions to key suppliers of goods and services to the Bank.
The extent to which the COVID-19 pandemic negatively affects the Bank’s business, results of operations, corporate reputation and financial condition, including its regulatory capital and liquidity ratios and ability to meet regulatory and other requirements, the global economy and financial markets, will depend on future developments that are highly uncertain and cannot be predicted. These future developments include the scope, severity and duration of the pandemic, actions and measures taken by governmental, monetary and regulatory authorities and other third parties in response to the pandemic and the impact and effectiveness of those actions and measures.
Such negative impacts could result in losses on the Note Securities and adverse effects on liquidity in the market for the Note Securities which may adversely affect the ability to resell the Note Securities. More specifically, such negative impacts could have a material adverse effect on the level of the Reference Asset and constituents of the Reference Asset 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. Note Securities linked to the Reference Asset or constituents thereof that are concentrated in a particular industry or geographic area that is more significantly impacted by the pandemic could experience a greater decline in value and potential for loss.
The pandemic may also cause disruptions to financial markets such as interruptions, limitations, breakdowns, suspensions or the permanent discontinuance of trading on any exchange or trading system on which the Reference Asset or constituents thereof are traded which may adversely affect the level or price for such Reference Asset or constituents thereof and therefore the amounts that may be payable on the Note Securities and the value of the Note Securities on or prior to maturity. Such occurrences may also lead to the determination that a Market Disruption Event has occurred which could lead to disruptions in the valuation of the Reference Asset or a Reimbursement Under Special Circumstances.
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