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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Bank Nova Scotia Halifax | NYSE:BNS | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-0.36 | -0.66% | 54.44 | 54.93 | 54.33 | 54.82 | 882,360 | 01:00:00 |
PRICING SUPPLEMENT
Dated June 14, 2024
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-261476
(To Prospectus dated December 29, 2021,
Prospectus Supplement dated December 29, 2021,
Underlier Supplement dated December 29, 2021
and Product Supplement dated December 29, 2021)
|
Investment Description
|
Features
|
☐ |
Automatic Call Feature — BNS will automatically call the Notes if the basket closing level on any observation date (quarterly,
callable after 12 months), including the final valuation date, is equal to or greater than the call threshold level, which is equal to the initial basket level. If the Notes are subject to an automatic call, BNS will pay on the
applicable call settlement date a cash payment per Note equal to the call price for the relevant observation date. The call return increases the longer the Notes are outstanding. Following an automatic call, no further payments will
be owed to you under the Notes.
|
☐ |
Contingent Repayment of Principal at Maturity with Potential for Full Downside Market Exposure — If (i) the Notes have not been
subject to an automatic call at or prior to maturity and (ii) the final basket level is equal to or greater than the downside threshold, BNS will pay you a cash payment per Note at maturity equal to the principal amount. If, however,
the Notes are not subject to an automatic call and the final basket level is less than the downside threshold, BNS will pay you a cash payment per Note at maturity that is less than the principal amount, if anything, resulting in a
percentage loss on your principal amount equal to the basket return and, in extreme situations, you could lose your entire investment in the Notes. The contingent repayment of principal applies only if you hold the Notes to maturity.
Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of BNS.
|
Key Dates
|
Trade Date*
|
June 14, 2024
|
Settlement Date*
|
June 18, 2024
|
Observation Dates**
|
Quarterly, callable after 12 months (see page 2)
|
Final Valuation Date**
|
June 14, 2029
|
Maturity Date**
|
June 18, 2029
|
*
|
We expect to deliver the Notes against payment on the second business day following the trade date. Under Rule 15c6-1 of the Securities Exchange Act of
1934, as amended, trades in the secondary market generally are required to settle in one business day (T+1), unless the parties to a trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes in the
secondary market on any date prior to one business day before delivery of the Notes will be required, by virtue of the fact that each Note initially will settle in two business days (T+2), to specify alternative settlement
arrangements to prevent a failed settlement of the secondary market trade.
|
**
|
Subject to postponement in the event of a market disruption event, as described under “Additional Terms of the Securities” herein.
|
|
Note Offering
|
Underlying Basket
|
Basket
Weighting
|
Call Return Rate*
|
Initial Basket
Level
|
Call Threshold Level
|
Downside
Threshold
|
CUSIP
|
ISIN
|
An Unequally Weighted Basket of 5 Equity Indices (see page P-2 for further details)
|
Unequally Weighted (see page P-2 for further details)
|
8.75% per annum
|
100.00
|
100.00, which is 100.00% of the Initial Basket Level
|
75.00, which is 75.00% of the Initial Basket Level
|
06418K389
|
US06418K3894
|
Offering of Notes
|
Issue Price to Public
|
Underwriting Discount(1)(2)
|
Proceeds to The Bank of Nova Scotia(1)(2)
|
|||
Total
|
Per Note
|
Total
|
Per Note
|
Total
|
Per Note
|
|
Notes linked to an Unequally Weighted Basket of Equity Indices
|
$2,332,500.00
|
$10.00
|
$58,312.50
|
$0.25
|
$2,274,187.50
|
$9.75
|
(1)
|
Scotia Capital (USA) Inc. (“SCUSA”), our affiliate, has agreed to purchase the Notes at the principal amount and, as part of the distribution of the Notes, has agreed
to sell the Notes to UBS Financial Services Inc. (“UBS”) at the principal amount less the discount specified in the table above. See “Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)” herein for
additional information.
|
(2)
|
UBS or one of its affiliates is to conduct hedging activities for us in connection with the Notes. These amounts exclude any profits to UBS, BNS or any of our or their
respective affiliates from hedging. See “Key Risks” and “Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)” herein for additional considerations relating to hedging activities.
|
Scotia Capital (USA) Inc.
|
UBS Financial Services Inc.
|
Additional Information About BNS and the Notes
|
♦ |
Product Supplement (Market-Linked Notes, Series A) dated December 29, 2021:
|
♦ |
Underlier Supplement dated December 29, 2021:
|
♦ |
Prospectus Supplement dated December 29, 2021:
|
♦ |
Prospectus dated December 29, 2021:
|
Investor Suitability
|
♦ |
You fully understand and are willing to accept the risks inherent in an investment in the Notes, including the risk of loss of a significant portion or all of your investment in the Notes.
|
♦ |
You can tolerate a loss of a significant portion or all of your investment in the Notes and are willing to make an investment that may have the same downside market risk as that of a hypothetical investment in
the underlying basket, the basket assets or in the stocks comprising the basket assets (the “underlying constituents”).
|
♦ |
You are willing to invest in the Notes based on the call threshold level and downside threshold indicated on the cover hereof.
|
♦ |
You believe that the basket closing level will be equal to or greater than the call threshold level on one of the specified observation dates, including the final valuation date, and you believe that the level
of the underlying basket will increase over the term of the Notes by a percentage that is less than the applicable call return.
|
♦ |
You understand and accept that you will not earn any positive return unless the Notes are automatically called, you will not participate in any increase in the level of the underlying basket beyond the
applicable call return, and you are willing to invest in the Notes based on the call return rate indicated on the cover hereof.
|
♦ |
You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in the level(s) of the underlying basket, the basket assets and the prices
of the underlying constituents.
|
♦ |
You do not seek guaranteed current income from your investment and are willing to forgo any dividends paid on the underlying constituents.
|
♦ |
You are willing to invest in Notes that may be subject to an automatic call and you are otherwise willing to hold such Notes to maturity and you accept that there may be little or no secondary market for the
Notes.
|
♦ |
You seek an investment with exposure to companies in the Eurozone, Japan, the United Kingdom, Switzerland and Australia.
|
♦ |
You understand and are willing to accept the risks associated with the underlying basket and the basket assets.
|
♦ |
You are willing to assume the credit risk of BNS for all payments under the Notes, and understand that if BNS defaults on its obligations you may not receive any amounts due to you including any repayment of
principal.
|
♦ |
You do not fully understand or are not willing to accept the risks inherent in an investment in the Notes, including the risk of loss of a significant portion or all of your investment in the Notes.
|
♦ |
You require an investment designed to provide a full return of principal at maturity.
|
♦ |
You cannot tolerate a loss of a significant portion or all of your investment in the Notes or are unwilling to make an investment that may have the same downside market risk as that of a hypothetical
investment in the underlying basket, the basket assets or the underlying constituents.
|
♦ |
You are unwilling to invest in the Notes based on the call threshold level or downside threshold specified on the cover hereof.
|
♦ |
You believe that the level of the underlying basket will decline during the term of the Notes and that the basket closing level will be less than the call threshold level on the specified observation dates,
including the final valuation date, or you believe that the level of the underlying basket will increase over the term of the Notes by a percentage that is greater than the applicable call return.
|
♦ |
You believe that the final basket level will be less than the downside threshold.
|
♦ |
You seek an investment that participates in the full increase in the level of the underlying basket or that has unlimited return potential, or you are unwilling to invest in the Notes based on the call return
rate indicated on the cover hereof.
|
♦ |
You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in the level(s) of the underlying basket, the basket assets or the prices
of the underlying constituents.
|
♦ |
You seek guaranteed current income from this investment or prefer to receive any dividends paid on the underlying constituents.
|
♦ |
You are unable or are unwilling to invest in Notes that may be subject to an automatic call, you are otherwise unable or unwilling to hold the Notes to maturity or you seek an investment for which there will
be an active secondary market for the Notes.
|
♦ |
You do not seek an investment with exposure to companies in the Eurozone, Japan, the United Kingdom, Switzerland or Australia.
|
♦ |
You do not understand or are unwilling to accept the risks associated with the underlying basket or the basket assets.
|
♦ |
You are unwilling to assume the credit risk of BNS for all payments under the Notes, including any repayment of principal.
|
Final Terms
|
Issuer
|
The Bank of Nova Scotia
|
Issue
|
Senior Note Program, Series A
|
Agents
|
Scotia Capital (USA) Inc. (“SCUSA”) and UBS Financial Services Inc. (“UBS”). See “Supplemental Plan of Distribution (Conflicts of Interest); Secondary
Markets (if any)” herein for additional information.
|
Principal
Amount
|
$10 per Note
|
Term
|
Approximately 5 years, unless subject to an automatic call.
|
Underlying
Basket
|
The following table lists each basket asset and its corresponding Bloomberg ticker, basket weighting and initial asset level.
|
Basket Asset
|
Bloomberg
Ticker
|
Basket
Weighting
|
Initial Asset
Level(1)
|
|
EURO STOXX 50® Index
|
SX5E
|
40.00%
|
4,839.14
|
|
Nikkei 225 Index
|
NKY
|
25.00%
|
38,814.56
|
|
FTSE® 100 Index
|
UKX
|
17.50%
|
8,146.86
|
|
Swiss Market Index
|
SMI
|
10.00%
|
12,044.59
|
|
S&P/ASX 200
|
AS51
|
7.50%
|
7,724.258
|
Automatic Call
Feature
|
BNS will automatically call the Notes if the basket closing level on any observation date (quarterly, callable after 12 months), including the final valuation date, is
equal to or greater than the call threshold level.
If the Notes are subject to an automatic call, BNS will pay on the call settlement date a cash payment per Note equal to the call price for the relevant observation
date. Following an automatic call, no further payments will be made on the Notes.
|
Call Return
Rate
|
8.75% per annum
|
Call Return
|
As set forth in the table below. The call return increases the longer the Notes are outstanding and is based upon the call return rate.
|
Call Price
|
The call price equals the principal amount per Note plus the applicable call return.
|
Observation Date(2)
|
Call Settlement Date(2)
|
Call Return
|
Call Price
(per Note)
|
|
June 20, 2025
|
June 24, 2025
|
8.750%
|
$10.8750
|
|
September 15, 2025
|
September 17, 2025
|
10.938%
|
$11.0938
|
|
December 15, 2025
|
December 17, 2025
|
13.125%
|
$11.3125
|
|
March 16, 2026
|
March 18, 2026
|
15.313%
|
$11.5313
|
|
June 15, 2026
|
June 17, 2026
|
17.500%
|
$11.7500
|
|
September 14, 2026
|
September 16, 2026
|
19.688%
|
$11.9688
|
|
December 14, 2026
|
December 16, 2026
|
21.875%
|
$12.1875
|
|
March 15, 2027
|
March 17, 2027
|
24.063%
|
$12.4063
|
|
June 14, 2027
|
June 16, 2027
|
26.250%
|
$12.6250
|
|
September 14, 2027
|
September 16, 2027
|
28.438%
|
$12.8438
|
|
December 14, 2027
|
December 16, 2027
|
30.625%
|
$13.0625
|
|
March 14, 2028
|
March 16, 2028
|
32.813%
|
$13.2813
|
|
June 14, 2028
|
June 16, 2028
|
35.000%
|
$13.5000
|
|
September 14, 2028
|
September 18, 2028
|
37.188%
|
$13.7188
|
|
December 14, 2028
|
December 18, 2028
|
39.375%
|
$13.9375
|
|
March 14, 2029
|
March 16, 2029
|
41.563%
|
$14.1563
|
|
Final Valuation Date
|
Maturity Date
|
43.750%
|
$14.3750
|
Payment at
Maturity (per
Note)
|
If the Notes are not subject to an automatic call and the final basket level is equal to or greater than the downside threshold,
BNS will pay you a cash payment equal to:
Principal Amount of $10
If the Notes are not subject to an automatic call and the final basket level is less than the downside threshold, BNS will pay
you a cash payment that is less than the principal amount, if anything, equal to:
$10 × (1 + Basket Return)
In this case, you will suffer a percentage loss on your principal amount equal to the basket return and, in extreme situations,
you could lose your entire investment in the Notes.
|
Basket Return
|
The quotient, expressed as a percentage, of the following formula:
|
Initial Basket
Level
|
100.00
|
Final Basket
Level
|
The basket closing level on the final valuation date, as determined by the calculation agent.
|
Basket Closing
Level
|
As calculated on an observation date or the final valuation date, as applicable, the basket closing level will be calculated as follows:
100 × [1 + (the sum of each Basket Asset Return multiplied by its Basket Weighting)]
|
Basket Asset
Return
|
With respect to each basket asset, the quotient, expressed as a percentage, of the following formula:
|
Closing Asset
Level
|
With respect to each basket asset, the closing asset level for such basket asset on an observation date or final valuation date, as applicable, as determined by the
calculation agent and as may be adjusted as described under “Additional Terms of the Notes” herein.
|
Call Threshold
Level(1)
|
A specified level of the underlying basket that is equal to the initial basket level, as specified on the cover hereof.
|
Downside
Threshold(1)
|
A specified level of the underlying basket that is less than the initial basket level, equal to a percentage of the initial basket level, as specified on the cover
hereof.
|
Trading Day
|
As specified in the product supplement under “General Terms of the Notes — Special Calculation Provisions — Trading Day”.
|
Business Day
|
A day other than a Saturday or Sunday or a day on which banking institutions in New York City are authorized or required by law to close
|
Tax
Redemption
|
Notwithstanding anything to the contrary in the accompanying product supplement, the provision set forth under “General Terms of the Notes — Payment of Additional
Amounts” and “General Terms of the Notes — Tax Redemption” shall not apply to the Notes.
|
Canadian Bail-
in
|
The Notes are not bail-inable debt securities under the CDIC Act.
|
Terms
Incorporated
|
All of the terms appearing above the item under the caption “General Terms of the Notes” in the accompanying product supplement, as modified by this pricing
supplement, and for purposes of the foregoing, references herein to “underlying basket”, “basket asset”, “underlying constituents”, “closing asset level”, “basket return”, “downside threshold” and “observation dates” mean “reference
asset”, “basket component”, “reference asset constituents”, “closing value”, “reference asset return”, “barrier value” and “valuation dates”, respectively, each as defined in the accompanying product supplement. In addition to those
terms, the following two sentences are also so incorporated into the master note: BNS confirms that it fully understands and is able to calculate the effective annual rate of interest applicable to the Notes based on the methodology for
calculating per annum rates provided for in the Notes. BNS irrevocably agrees not to plead or assert Section 4 of the Interest Act (Canada), whether by way of defense or otherwise, in any proceeding relating to the Notes.
|
(1)
|
With respect to each basket asset, the closing asset level for such basket asset on the trade date as determined by the calculation agent and as may be adjusted as
described under “Additional Terms of the Notes” herein.
|
(2) |
Subject to the market disruption event provisions set forth under “Additional Terms of the Notes” herein. If an observation date is postponed, the related call settlement date will be postponed such that the
number of business days between such observation date and the related call settlement date remain the same. If a call settlement date is not a business day, such date will be the next following business day.
|
Investment Timeline
|
Trade Date
|
The initial asset level of each basket asset is observed and the initial basket level and the final terms of the Notes are set.
|
|
Observation Dates
(Quarterly, callable after 12 months)
|
The Notes will be subject to an automatic call if the basket closing level on any observation date (quarterly, callable after 12 months), including
the final valuation date, is equal to or greater than the call threshold level.
If the Notes are subject to an automatic call, BNS will pay on the call settlement date a cash payment per Note equal to the call price for the
relevant observation date. Following an automatic call, no further payments will be made on the Notes.
|
|
Maturity Date
|
The closing asset level for each basket asset is observed on the final valuation date and each basket asset return and the basket return are
calculated.
If the Notes are not subject to an automatic call and the final basket level is equal to or greater than the downside
threshold, BNS will pay you a cash payment per Note at maturity equal to:
Principal Amount of $10
If the Notes are not subject to an automatic call and the final basket level is less than the downside threshold, BNS will pay you a cash payment per Note at maturity that is less than the principal amount, if anything, equal to:
$10 × (1 + Basket Return)
In this case, you will suffer a percentage loss on your principal amount equal to the basket return and, in
extreme situations, you could lose your entire investment in the Notes.
|
|
Key Risks
|
♦ |
Risk of loss at maturity — The Notes differ from ordinary debt securities in that BNS will not make periodic coupon payments and will not necessarily repay the principal
amount of the Notes at maturity. If the Notes are not subject to an automatic call and the final basket level is less than the downside threshold, you will lose a percentage of your principal amount equal to the basket return and, in
extreme situations, you could lose your entire investment in the Notes.
|
♦ |
The contingent repayment of principal applies only at maturity — You should be willing to hold your Notes to an automatic call or maturity. If you are able to sell your
Notes prior to an automatic call or maturity in the secondary market, you may have to sell them at a loss relative to your investment even if the then-current level of the underlying basket is equal to or greater than the downside threshold
and call threshold level. All payments on the Notes are subject to the creditworthiness of BNS.
|
♦ |
No interest payments — BNS will not pay any interest with respect to the Notes.
|
♦ |
Your potential return on the Notes is limited to any call return and you will not participate in any increase in the level of the underlying basket or any underlying constituent —
The return potential of the Notes is limited to the pre-specified call return resulting from an automatic call regardless of any increase in the level of the underlying basket. Investors will not participate in any increase in the level of
the underlying basket from the initial basket level beyond the call return, if applicable, which may be significant. The Notes will be subject to an automatic call only if the basket closing level on any observation date (including the
final valuation date) is equal to or greater than the call threshold level. In addition, because the call return increases the longer the Notes have been outstanding, the call price payable with respect to earlier observation dates is less
than the call price payable with respect to later observation dates. The earlier the Notes are subject to an automatic call, if at all, the lower your return will be. Because the Notes may be subject to an automatic call as early as the
first potential call settlement date, the total return on the Notes could be less than if the Notes remained outstanding until maturity. Furthermore, if the Notes are not subject to an automatic call, you will not receive any positive
return and you will be fully exposed to the decline in the level of the underlying basket if the final basket level is less than the downside threshold.
|
♦ |
A higher call return rate or lower downside threshold or call threshold level may reflect greater expected volatility of the underlying basket, and greater expected volatility
generally indicates an increased risk of loss at maturity — The economic terms for the Notes, including the call return rate, call threshold level and downside threshold, are based, in part, on the expected volatility of the
underlying basket at the time the terms of the Notes were set. “Volatility” refers to the frequency and magnitude of changes in the level of the underlying basket. The greater the expected volatility of the underlying basket as of the trade
date, the greater the expectation is as of that date that the basket closing level or the final basket level, as applicable, of the underlying basket could be less than the call threshold level on any observation date (including the final
valuation date) and that the final basket level could be less than the downside threshold and, as a consequence, indicates an increased risk of the Notes not being subject to an automatic call and an increased risk of loss, respectively.
All things being equal, this greater expected volatility will generally be reflected in a higher call return rate than the yield payable on our conventional debt securities with a similar maturity or on otherwise comparable securities,
and/or a lower downside threshold and/or call threshold level than those terms on otherwise comparable securities. Therefore, a relatively higher call return rate may indicate an increased risk of loss. Further, a relatively lower downside
threshold and/or call threshold level may not necessarily indicate that the Notes have a greater likelihood of a return of principal at maturity and/or being automatically called. You should be willing to accept the downside market risk as
that of the underlying basket and the potential to lose a significant portion or all of your investment in the Notes.
|
♦ |
Reinvestment risk — The Notes will be subject to an automatic call if the basket closing level is equal to or greater than the call threshold level on any observation date
(including the final valuation date). Because the Notes could be subject to an automatic call as early as the first potential call settlement date, the term of your investment may be limited. In the event that the Notes are subject to an
automatic call, there is no guarantee that you would be able to reinvest the proceeds at a comparable return and/or with a comparable call return rate for a similar level of risk. In addition, to the extent you are able to reinvest such
proceeds in an investment comparable to the Notes, you may incur transaction costs such as dealer discounts and hedging costs built into the price of the new Notes. Generally, however, the longer the Notes remain outstanding, the less
likely the Notes will be subject to an automatic call due to the decline in the level of the underlying basket and the shorter time remaining for the level of the underlying basket to recover. Such periods generally coincide with a period
of greater risk of principal loss on your Notes.
|
♦ |
Owning the Notes is not the same as owning the underlying constituents — The return on your Notes may not reflect the return you would realize if you actually owned the
underlying constituents. For instance, you will not receive or be entitled to receive any dividend payments or other distributions paid to holders of the underlying constituents during the term of the Notes, and any such dividends or
distributions will not be factored into the calculation of the payment at maturity on your Notes. In addition, as an owner of the Notes, you will not have voting rights or any other rights that a holder of the underlying constituents may
have.
|
♦ |
Market risk — The return on the Notes, which may be negative, is directly linked to the performance of the underlying basket (and,
therefore, the basket assets) and indirectly linked to the performance of the underlying constituents. The level of the basket assets (and therefore, the level of the underlying basket) can rise or fall sharply due to factors specific to
the basket assets and their underlying constituents and their issuers (each, an “underlying constituent issuer”), such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management
changes and decisions and other events, as well as general market factors, such as general stock market or commodity market volatility and levels, interest rates and economic, political and other conditions. You, as an investor in the
Notes, should conduct your own investigation into the basket assets and underlying constituents.
|
♦ |
There can be no assurance that the investment view implicit in the Notes will be successful — It is impossible to predict whether
and the extent to which the levels of the underlying basket assets will rise or fall and there can be no assurance that the basket closing level will be equal to or greater than the call threshold level on any observation date, including
the final valuation date. The level of the underlying basket will be influenced by complex and interrelated political, economic, financial and other factors that affect the basket assets and their underlying constituent issuers. You
should be willing to accept the downside risks associated with the relevant market(s) tracked by the underlying basket in general and the underlying constituents in particular, and the risk of losing a significant portion or all of your
investment.
|
♦ |
The underlying basket is unequally weighted, and changes in the levels of the basket assets may offset each other — The underlying basket is unequally weighted; thus, an
increase in the level of one or more basket assets may be offset by a smaller increase or a decline in the level of one or more other basket assets. As a result, the basket return could be negative even if some basket assets perform
positively. Because the basket assets are not equally weighted, increases in lower weighted basket assets may be offset by even small decreases in more heavily weighted basket assets. Specifically, the performance of the EURO STOXX®
50 Index will have a significantly larger impact on the return on the Notes than the performance of any other basket asset.
|
♦ |
Correlation (or lack of correlation) among the basket assets may adversely affect your return on the Notes — “Correlation” is a measure of the degree to which the returns
of a pair of assets are similar to each other over a given period in terms of timing and direction. Movements in the levels of the basket assets may not correlate with each other. At a time when the level of a basket asset increases, the
level of another basket asset may not increase as much, or may even decline. Therefore, in calculating the underlying basket’s performance on an observation date or on the final valuation date, as applicable, an increase in the level of one
basket asset may be moderated, wholly offset or reversed by a lesser increase, or by a decline, in the level of another basket asset. Further, high correlation of movements in the levels of the basket assets could adversely affect your
return on the Notes during periods of negative performance of the basket assets. Changes in the correlation of the basket assets may adversely affect the market value of, and any amount payable on, your Notes.
|
♦ |
The Notes are subject to non-U.S. securities market risk — The underlying basket is subject to risks associated with non-U.S.
securities markets, specifically the regions of the Eurozone, Japan, the United Kingdom, Switzerland and Australia. An investment in the Notes linked directly or indirectly to the value of securities issued by non-U.S. companies involves
particular risks. Generally, non-U.S. securities markets may be more volatile than U.S. securities markets, and market developments may affect non-U.S. markets differently from U.S. securities markets. Direct or indirect government
intervention to stabilize these non-U.S. markets, as well as cross shareholdings in non-U.S. companies, may affect trading prices and volumes in those markets. There is generally less publicly available information about non-U.S. companies
than about those U.S. companies that are subject to the reporting requirements of the SEC, and non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to
U.S. reporting companies. Securities prices in non-U.S. countries are subject to political, economic, financial and social factors that may be unique to the particular country. These factors, which could negatively affect the non-U.S.
securities markets, include the possibility of recent or future changes in the non-U.S. government’s economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other non-U.S. laws or restrictions
applicable to non-U.S. companies or investments in non-U.S. equity securities and the possibility of fluctuations in the rate of exchange between currencies. Moreover, certain aspects of a particular non-U.S. economy may differ favorably or
unfavorably from the U.S. economy in important respects, such as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
|
♦ |
The Notes will not be adjusted for changes in exchange rates related to the U.S. dollar, which might affect the basket assets — Although the basket assets all include stocks
that are traded in currencies other than the U.S. dollar, the Notes are denominated in U.S. dollars. The calculation of the amount payable on the Notes at maturity will not be adjusted for changes in the exchange rates between the U.S.
dollar and any of the currencies in which such underlying constituents are denominated. Changes in exchange rates, however, may reflect changes in various non-U.S. economies that in turn may affect the levels of the basket assets and,
accordingly, the amount payable on the Notes. You will not benefit from any appreciation of the currencies in which underlying constituents are denominated relative to the U.S. dollar, which you would have had you owned such stocks
directly.
|
♦ |
The basket assets reflect price return, not total return — The return on your Notes is based on the performance of the underlying basket and, therefore, the basket assets,
each of which reflects the changes in the market prices of its underlying constituents. None of the basket assets are a “total return” index or strategy, which, in addition to reflecting those price returns, would also reflect any dividends
paid on the underlying constituents. The return on your Notes will not include such a total return feature or dividend component.
|
♦ |
Changes affecting a basket asset could have an adverse effect on the market value of, and any amount payable on, the Notes — The policies of the sponsors of the basket
assets (each, an “index sponsor”, and together, the “index sponsors”) as specified under “Information About the Underlying Basket and the Basket Assets” herein, concerning additions, deletions and substitutions of their underlying
constituents and the manner in which the index sponsors take account of certain changes affecting those underlying constituents may adversely affect the level of the basket assets. The policies of an index sponsor with respect to the
calculation of a basket asset could also adversely affect the level of such basket asset and, therefore, the level of the underlying basket. The index sponsors may discontinue or suspend calculation or dissemination of the basket assets.
Any such actions could have an adverse effect on the market value of, and any amount payable on, the Notes.
|
♦ |
BNS and the Agents cannot control actions by the index sponsors or, except to the extent the common stock of the parent company of UBS is included in a basket asset, any underlying
constituent issuer and none of the index sponsors or any other underlying constituent issuer have any obligation to consider your interests — None of BNS, UBS or our or their respective affiliates are affiliated with the index
sponsors or have any ability to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods or policies relating to the calculation of the basket assets. In addition, except to the
extent the common stock of UBS’ parent is included in the Swiss Market Index, none of BNS, UBS or our or their respective affiliates are affiliated with any underlying constituent issuer or have any ability to control or predict their
actions or their public disclosure of information, whether contained in SEC filings or otherwise. None of the index sponsors or any other underlying constituent issuer are involved in the Notes offering in any way and none have any
obligation to consider your interest as an owner of the Notes in taking any actions that might affect the market value of, and any amount payable on, the Notes.
|
♦ |
BNS’ initial estimated value of the Notes at the time of pricing (when the terms of your Notes were set on the trade date) is lower than the issue price of the Notes —
BNS’ initial estimated value of the Notes is only an estimate. The issue price of the Notes exceeds BNS’ initial estimated value. The difference between the issue price of the Notes and BNS’ initial estimated value reflects costs
associated with selling and structuring the Notes, as well as hedging its obligations under the Notes. Therefore, the economic terms of the Notes are less favorable to you than they would have been if these expenses had not been paid or
had been lower.
|
♦ |
Neither BNS’ nor SCUSA’s estimated value of the Notes at any time is determined by reference to credit spreads or the borrowing rate BNS would pay for its conventional fixed-rate
debt securities — BNS’ initial estimated value of the Notes and SCUSA’s estimated value of the Notes at any time are determined by reference to BNS’ internal funding rate. The internal funding rate used in the determination of the
estimated value of the Notes generally represents a discount from the credit spreads for BNS’ conventional fixed-rate debt securities and the borrowing rate BNS would pay for its conventional fixed-rate debt securities. This discount is
based on, among other things, BNS’ view of the funding value of the Notes as well as the higher issuance, operational and ongoing liability management costs of the Notes in comparison to those costs for BNS’ conventional fixed-rate debt. If
the interest rate implied by the credit spreads for BNS’ conventional fixed-rate debt securities, or the borrowing rate BNS would pay for its conventional fixed-rate debt securities were to be used, BNS would expect the economic terms of
the Notes to be more favorable to you. Consequently, the use of an internal funding rate for the Notes increases the estimated value of the Notes at any time and has an adverse effect on the economic terms of the Notes.
|
♦ |
BNS’ initial estimated value of the Notes does not represent future values of the Notes and may differ from others’ (including SCUSA’s) estimates — BNS’ initial estimated
value of the Notes was determined by reference to its internal pricing models when the terms of the Notes were set. These pricing models consider certain factors, such as BNS’ internal funding rate on the trade date, the expected term of
the Notes, market conditions and other relevant factors existing at that time, and BNS’ assumptions about market parameters, which can include volatility of the basket assets, dividend rates, interest rates and other factors. Different
pricing models and assumptions (including the pricing models and assumptions used by SCUSA) could provide valuations for the Notes that are different, and perhaps materially lower, from BNS’ initial estimated value. Therefore, the price at
which SCUSA would buy or sell your Notes (if SCUSA makes a market, which it is not obligated to do) may be materially lower than BNS’ initial estimated value. In addition, market conditions and other relevant factors in the future may
change, and any assumptions may prove to be incorrect.
|
♦ |
The Notes have limited liquidity — The Notes will not be listed on any securities exchange or automated quotation system. Therefore, there may be little or no secondary
market for the Notes. SCUSA and any other affiliates of BNS intend, but are not required, to make a market in the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes
easily. Because we do not expect that other broker-dealers will participate in the secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which SCUSA is willing to
purchase the Notes from you. If at any time SCUSA does not make a market in the Notes, it is likely that there would be no secondary market for the Notes. Accordingly, you should be willing to hold your Notes to maturity.
|
♦ |
The price at which SCUSA would buy or sell the Notes (if SCUSA makes a market, which it is not obligated to do) will be based on SCUSA’s estimated value of the Notes and may be
greater than BNS’ valuation of the Notes at that time, greater than any other secondary market prices provided by unaffiliated dealers (if any) and, depending on your broker, greater than the valuation provided on your customer account
statements — SCUSA’s estimated value of the Notes is determined by reference to its pricing models and takes into account BNS’ internal funding rate. The price at which SCUSA would initially buy or sell the Notes in the secondary
market (if SCUSA makes a market, which it is not obligated to do) may exceed (i) SCUSA’s estimated value of the Notes at the time of pricing, (ii) any secondary market prices provided by unaffiliated dealers, potentially including UBS, and
(ii) depending on your broker, the valuation provided on your customer account statement. The price that SCUSA may initially offer to buy such Notes following issuance will exceed the valuations indicated by its internal pricing models due
to the inclusion for a limited period of time of the aggregate value of the costs associated with structuring and selling the Notes, including the underwriting discount, hedging costs, issuance costs and theoretical projected trading
profit. The portion of such amounts included in any secondary market price will decline to zero on a straight line basis over a period ending no later than the date specified under “Supplemental Plan of Distribution (Conflicts of Interest);
Secondary Markets (if any).” Thereafter, if SCUSA buys or sells the Notes it will do so at prices that reflect the estimated value determined by reference to SCUSA’s pricing models at that time. The price at which SCUSA will buy or sell the
Notes at any time also will reflect its then current bid and ask spread for similar sized trades of structured notes. The temporary positive differential relative to SCUSA’s internal pricing models arises from requests from and arrangements
made by BNS and the Agents. As described above, SCUSA and its affiliates intend, but are not required to make a market for the Notes and may stop making a market at any time. SCUSA reflects this temporary positive differential on its
customer account statements. Investors should inquire as to the valuation provided on customer account statements provided by unaffiliated dealers, including UBS.
|
♦ |
The price of the Notes prior to maturity will depend on a number of factors and may be substantially less than the principal amount — Because structured notes, including the
Notes, can be thought of as having a debt component and a derivative component, factors that influence the values of debt instruments and options and other derivatives will also affect the terms and features of the Notes at issuance and the
market price of the Notes prior to maturity. Some of these factors include, but are not limited to: (i) actual or anticipated changes in the level of the underlying basket (and the levels of the basket assets) over the full term of the
Notes, (ii) volatility of the levels of the basket assets and the prices of the underlying constituents and the market's perception of future volatility of the foregoing, (iii) changes in interest rates generally, (iv) any actual or
anticipated changes in our credit ratings or credit spreads, (v) dividend yields on the underlying constituents and (vi) time remaining to maturity. In particular, because the provisions of the Notes relating to the call return and the
payment at maturity behave like options, the value of the Notes will vary in ways which are non-linear and may not be intuitive.
|
♦ |
Hedging activities by BNS and UBS may negatively impact investors in the Notes and cause our respective interests and those of our clients and counterparties to be contrary to
those of investors in the Notes — We or one of our affiliates, and UBS or one of its affiliates, have hedged or will hedge our obligations under the Notes. Such hedging transactions may include entering into swap or similar
agreements, purchasing shares of the underlying constituents and/or purchasing futures, options and/or other instruments linked to the basket assets and/or one or more of the underlying constituents. We, UBS or one or more of our or their
respective affiliates also expects to adjust the hedge by, among other things, purchasing or selling any of the foregoing, and perhaps other instruments linked to the basket assets and/or one or more of the underlying constituents, at any
time and from time to time, and to unwind the hedge by selling any of the foregoing on or before the final valuation date. We, UBS or one or more of our or their respective affiliates may also enter into, adjust and unwind hedging
transactions relating to other basket- or index-linked Notes whose returns are linked to changes in the level of the underlying basket (and the levels of the basket assets) and/or one or more of the underlying constituents. Any of these
hedging activities may adversely affect the level of the underlying basket (and the levels of the basket assets) — directly or indirectly by affecting the price of the underlying constituents — and therefore the market value of the Notes
and the amount you will receive, if any, on the Notes.
|
♦ |
We, the Agents and our or their respective affiliates regularly provide services to, or otherwise have business relationships with, a broad client base, which has included and may
include us and the underlying constituent issuers and the market activities by us, the Agents or our or their respective affiliates for our or their own respective accounts or for our or their respective clients could negatively impact
investors in the Notes — We, the Agents and our or their respective affiliates regularly provide a wide range of financial services, including financial advisory, investment advisory and transactional services to a substantial and
diversified client base. As such, we each may act as an investor, investment banker, research provider, investment manager, investment advisor, market maker, trader, prime broker or lender. In those and other capacities, we, the Agents
and/or our or their respective affiliates purchase, sell or hold a broad array of investments, actively trade securities (including the Notes or other securities that we have issued), the underlying constituents, derivatives, loans, credit
default swaps, indices, baskets and other financial instruments and products for our or their own respective accounts or for the accounts of our or their respective customers, and we will have other direct or indirect interests, in those
securities and in other markets that may not be consistent with your interests and may adversely affect the level of the underlying basket assets and/or the value of the Notes. You should assume that we or they will, at present or in the
future, provide such services or otherwise engage in transactions with, among others, us and the underlying constituent issuers, or transact in securities or instruments or with parties that are directly or indirectly related to these
entities. These services could include making loans to or equity investments in those companies, providing financial advisory or other investment banking services, or issuing research reports. Any of these financial market activities may,
individually or in the aggregate, have an adverse effect on the level of the underlying basket assets and the market for your Notes, and you should expect that our interests and those of the Agents and/or our or their respective affiliates,
clients or counterparties, will at times be adverse to those of investors in the Notes.
|
♦ |
Potential impact on price by BNS or the Agents — Trading or transactions by BNS, the Agents or our or their respective affiliates in the basket assets, underlying
constituents, listed and/or over-the-counter options, futures, exchange-traded funds or other instruments with returns linked to the performance of the basket assets or any underlying constituent may adversely affect the performance of the
basket asset or applicable underlying constituent and, therefore, the market value of, and any amount payable on, the Notes, the likelihood of the Notes being automatically called and receiving the call return on any call settlement date..
See “— Risks Relating to Hedging Activities and Conflicts of Interest — Hedging activities by BNS and UBS may negatively impact investors in the Notes and cause our respective interests and those of our clients and counterparties to be
contrary to those of investors in the Notes” for additional information regarding hedging-related transactions and trading.
|
♦ |
The calculation agent will have significant discretion with respect to the Notes, which may be exercised in a manner that is adverse to your interests — The calculation
agent will be an affiliate of BNS. The calculation agent will determine whether the Notes are automatically called and the call return is payable to you on any call settlement date and the payment at maturity of the Notes, if any, based on
observed closing asset levels of the basket assets. The calculation agent can postpone the determination of a closing asset level of a basket asset (and therefore the related call settlement date or maturity date, as applicable) if a market
disruption event occurs and is continuing with respect to the underlying basket on any observation date (including the final valuation date).
|
♦ |
Potentially inconsistent research, opinions or recommendations by BNS or the Agents — BNS, the Agents and our or their respective affiliates may publish research from time
to time on financial markets and other matters that may influence the value of the Notes, or express opinions or provide recommendations that are inconsistent with purchasing or holding the Notes. Any research, opinions or recommendations
expressed by BNS, the Agents or our or their respective affiliates may not be consistent with each other and may be modified from time to time without notice. Investors should make their own independent investigation of the merits of
investing in the Notes and the underlying basket assets to which the Notes are linked.
|
♦ |
Credit risk of BNS — The Notes are senior unsecured debt obligations of BNS and are not, either directly or indirectly, an obligation of any third party. Any payment to be
made on the Notes, including any repayment of principal, depends on the ability of BNS to satisfy its obligations as they come due. As a result, BNS’ actual and perceived creditworthiness may affect the market value of the Notes. If BNS
were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes and you could lose your entire investment in the Notes.
|
♦ |
BNS is subject to the resolution authority under the CDIC Act — Although the Notes are not bail-inable debt securities under the CDIC Act, as described elsewhere in this
pricing supplement, BNS remains subject generally to Canadian bank resolution powers under the CDIC Act. Under such powers, the Canada Deposit Insurance Corporation may in certain circumstances take actions that could negatively impact
holders of the Notes and result in a loss on your investment. See “Risk Factors — Risks Related to the Bank’s Debt Securities” in the accompanying prospectus for more information.
|
♦ |
Uncertain tax treatment — Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax advisor about your tax situation. See “Material
Canadian Income Tax Consequences” and “What Are the Tax Consequences of the Notes?” herein.
|
Hypothetical Examples of How the Notes Might Perform
|
Principal Amount:
|
$10.00
|
|
Term:
|
Approximately 5 years
|
|
Call Return Rate:
|
8.75% per annum
|
|
Observation Dates:
|
Quarterly (callable after 12 months)
|
|
Initial Basket Level:
|
100
|
|
Call Threshold Level:
|
100 (which is 100.00% of the Initial Basket Level)
|
|
Downside Threshold:
|
75 (which is 75.00% of the Initial Basket Level)
|
Date
|
Basket Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
125 (equal to or greater than Call Threshold Level)
|
$10.875 (Call Price)
|
||
Total Payment:
|
$10.875 (8.75% total return)
|
Date
|
Basket Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
95 (less than Call Threshold Level)
|
$0.00
|
||
Second Observation Date
|
90 (less than Call Threshold Level)
|
$0.00
|
||
Third Observation Date
|
105 (equal to or greater than Call Threshold Level)
|
$11.3125 (Call Price)
|
||
Total Payment:
|
$11.3125 (13.125% total return)
|
Date
|
Basket Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
80 (less than Call Threshold Level)
|
$0.00
|
||
Second through Sixteenth Observation Date
|
Various (all less than Call Threshold Level)
|
$0.00
|
||
Final Valuation Date
|
120 (equal to or greater than Call Threshold Level and Downside Threshold)
|
$14.375 (Call Price)
|
||
Total Payment:
|
$14.375 (43.75% total return)
|
Date
|
Basket Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
85 (less than Call Threshold Level)
|
$0.00
|
||
Second through Sixteenth Observation Date
|
Various (all less than Call Threshold Level)
|
$0.00
|
||
Final Valuation Date
|
80 (less than Call Threshold Level and equal to or greater than Downside Threshold)
|
$10.00 (Payment at Maturity)
|
||
Total Payment:
|
$10.00 (0.00% total return)
|
Date
|
Basket Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
95 (less than Call Threshold Level)
|
$0.00
|
||
Second through Sixteenth Observation Date
|
Various (all less than Call Threshold Level)
|
$0.00
|
||
Final Valuation Date
|
40 (less than Call Threshold Level and Downside Threshold)
|
$10.00 × (1 + Basket Return)
= $10.00 × [1 + (-60.00%)]
= $10.00 × 0.40
= $4.00 (Payment at Maturity)
|
||
Total Payment:
|
$4.00 (60.00% loss)
|
Information About the Underlying Basket and the Basket Assets
|
What Are the Tax Consequences of the Notes?
|
Material Canadian Income Tax Consequences
|
Additional Information Regarding Estimated Value of the Notes
|
Additional Terms of the Notes
|
➢ |
a suspension, absence or material limitation of trading in a material number of underlying constituents (including without limitation any option or futures contract), for more than two hours of trading or during
the one hour before the close of trading in the applicable market or markets for such underlying constituents;
|
➢ |
a suspension, absence or material limitation of trading in option or futures contracts relating to the basket asset or to a material number of underlying constituents in the primary market or markets for those
contracts;
|
➢ |
any event that disrupts or impairs the ability of market participants in general (i) to effect transactions in, or obtain market values for a material number of underlying constituents or (ii) to effect
transactions in, or obtain market values for, futures or options contracts relating to the basket asset or a material number of underlying constituents in the primary market or markets for those options or contracts;
|
➢ |
a change in the settlement price of any option or futures contract included in the basket asset by an amount equal to the maximum permitted price change from the previous day’s settlement price;
|
➢ |
the settlement price is not published for any individual option or futures contract included in the basket asset;
|
➢ |
the basket asset is not published; or
|
➢ |
in any other event, if the calculation agent determines that the event materially interferes with our ability, UBS’ ability or the ability of any of our respective affiliates to (1) maintain or unwind all or a
material portion of a hedge with respect to the Notes that we, UBS or our respective affiliates have effected or may effect or (2) effect trading in the underlying constituents and instruments linked to the basket asset generally.
|
➢ |
a limitation on the hours or numbers of days of trading on trading in options or futures contracts relating to the basket asset or to a material number of underlying constituents in the primary market or markets
for those contracts, but only if the limitation results from an announced change in the regular business hours of the applicable market or markets; and
|
➢ |
a decision to permanently discontinue trading in the option or futures contracts relating to the basket asset, in any underlying constituents or in any option or futures contracts related to such underlying
constituents.
|
➢ |
If an index sponsor discontinues publication of a basket asset; or
|
➢ |
a change in law occurs with respect to a basket asset or one or more underlying constituents or an index sponsor otherwise modifies or reconstitutes a basket asset or one or more underlying constituents in
response to what otherwise would have been a change in law,
|
Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)
|
Validity of the Notes
|
1 Year Bank Nova Scotia Halifax Chart |
1 Month Bank Nova Scotia Halifax Chart |
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