Variable Return
The Variable Return calculation is the formula used to determine the Variable Return on the Notes at the Maturity Date. The Variable Return per Note is calculated as follows:
Variable Return = Principal Amount x Participation Rate x Index Return |
The Participation Rate is equal to 125%.
The Index Return is the percentage increase or decrease in the Closing Value of the Index from the Issue Date to the Calculation Date.
Performance Commentary
As at April 13, 2010 the performance of the BNS Deutsche Bank X-Alpha™ Index Linked Deposit Notes, Series 2 on a NAV basis has been -14.32% since inception. Positive alpha returns were generated by UK Growth Alpha (1.2%) and UK Value Alpha (2.2%). Negative alpha returns were from US Growth Alpha (-0.5%), US Value Alpha (-4.2%), Euro Growth Alpha (-0.6%), Euro Value Alpha (-2.5%), Japan Value Alpha (-2.6%) and Japan Growth Alpha (-1.2%). Due to a decrease in volatility in the last few months, exposures of all the Alpha indices is on the higher side so the performance impact of alpha returns on the X-Alpha Index is increased. The volatility targeting mechanism has lead to an increase in the exposures as volatility is on the decline.. In addition, the Canadian yield curve has sold off this year decreasing the value of the zero coupon component of the Notes and causing a further reduction in the NAV of the note.
Index Performance
| Index |
Weight |
Initial Level
06/29/2007 |
Current Level
09/07/2010 |
Index Performance |
| Deutsche Bank’s proprietary X-Alpha US Dollar Excess Return Index |
100.00% |
2,183.49 |
$2,066.30
|
-5.37% |
| Overall Return |
|
|
|
-5.37% |
| Indicative Variable Return * |
|
|
|
$0.00 |
* This value assumes all current prices remain unchanged
Note: An investment in principal protected notes may not be suitable for all investors. Important information about these investments is contained in the Information Statement of each note. Investors should obtain and carefully read a copy prior to investing, paying particular attention to the associated risks. Past performance is not indicative of future returns. Commissions, trailing commissions, management fees and expenses all may be associated with these investments. Principal is guaranteed at maturity only for products purchased at their issue price and held to maturity. The investment return on the notes, if any, is uncertain in that an investor may not receive more than return of the principal amount at maturity. A person should reach a decision to invest in the notes only after carefully considering with his or her advisor, the suitability of this investment in light of his or her investment objectives and the information set out in the respective Information Statement.
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