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Name | Symbol | Market | Type |
---|---|---|---|
Bank Nova Scotia Halifax (PK) | USOTC:BNSPF | OTCMarkets | Preference Share |
Price Change | % Change | Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 18.71 | 18.59 | 37.74 | 0.00 | 01:00:00 |
PRICING SUPPLEMENT
Dated June 21, 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,
and Product Supplement dated December 29, 2021)
|
Investment Description
|
Features
|
❑
|
Automatic Call Feature — BNS will automatically call the Notes if the closing level of the underlying asset 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 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 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 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 underlying 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 21, 2024
|
Settlement Date*
|
June 26, 2024
|
Observation Dates**
|
Quarterly, callable after 12 months (see page 2)
|
Final Valuation Date**
|
June 22, 2026
|
Maturity Date**
|
June 25, 2026
|
*
|
We expect to deliver the Notes against payment on the third 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 three business days (T+3), 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 in the accompanying product supplement.
|
|
Note Offering
|
Underlying Asset
|
Bloomberg
Ticker
|
Call Return Rate*
|
Initial
Level
|
Call Threshold Level
|
Downside
Threshold
|
CUSIP
|
ISIN
|
Shares of the Invesco S&P 500® Equal Weight ETF
|
RSP
|
7.65% per annum
|
$165.59
|
165.59, which is 100.00% of the Initial Level
|
124.19, which is 75.00% of the Initial Level
|
06418K421
|
US06418K4215
|
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 the shares of the Invesco S&P 500® Equal Weight ETF
|
$2,775,000.00
|
$10.00
|
$48,562.50
|
$0.175
|
$2,726,437.50
|
$9.825
|
(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) |
This
amount excludes any profits to BNS, SCUSA or any of our other affiliates from hedging. See “Key Risks — Risks Relating to Estimated Value and Liquidity” and “— Risks Relating to Hedging Activities and Conflicts of Interest” 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:
|
♦ |
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 and are willing to make an investment that may have the same downside market risk as that of an investment in the underlying asset
or the assets comprising the underlying asset (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 closing level of the underlying asset 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 asset 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 asset 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 of the underlying asset.
|
♦ |
You do not seek guaranteed current income from your investment and are willing to forgo any dividends paid on the underlying asset or 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 understand and are willing to accept the risks associated with the underlying asset.
|
♦ |
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 or are unwilling to make an investment that may have the same downside market risk as that of an investment in the underlying
asset 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 asset will decline during the term of the Notes and that the 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 asset will increase over the term of the Notes by a percentage that is greater than the applicable call return.
|
♦ |
You believe that the final level will be less than the downside threshold.
|
♦ |
You seek an investment that participates in the full increase in the level of the underlying asset 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 of the underlying asset.
|
♦ |
You seek guaranteed current income from this investment or prefer to receive any dividends paid on the underlying asset or 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 understand or are unwilling to accept the risks associated with the underlying asset.
|
♦ |
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 2 years, unless subject to an automatic call.
|
Underlying
Asset
|
The shares of the Invesco S&P 500® Equal Weight ETF
|
Automatic
Call Feature
|
BNS will automatically call the Notes if the closing level of the underlying asset 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
|
7.65% 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(1)
|
Call Settlement Date(1)(2)
|
Call Return
|
Call Price
(per Note)
|
June 27, 2025
|
July 1, 2025
|
7.650%
|
$10.7650
|
September 22, 2025
|
September 24, 2025
|
9.563%
|
$10.9563
|
December 22, 2025
|
December 24, 2025
|
11.475%
|
$11.1475
|
March 23, 2026
|
March 25, 2026
|
13.388%
|
$11.3388
|
June 22, 2026
|
June 25, 2026
|
15.300%
|
$11.5300
|
(1) |
As determined by the calculation agent and as may be adjusted by the calculation agent in the case of certain adjustment events as described under “General Terms of the Notes — Unavailability of the Closing
Value of a Reference Asset; Adjustments to a Reference Asset — Unavailability of the Closing Value of a Reference Equity”, “— Adjustments to a Reference ETF” and “— Anti-Dilution Adjustments Relating to a Reference Equity” in the
accompanying product supplement.
|
(2) |
If any observation date is postponed, the related call settlement date will be postponed such that the number of business days between the observation date and the 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.
|
Payment at
Maturity
(per Note)
|
If the Notes are not subject to an automatic call and the final 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 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 + Underlying Return)
In this case, you will suffer a percentage loss on your principal amount equal to the underlying return and, in extreme situations,
you could lose your entire investment in the Notes.
|
Underlying
Return
|
The quotient, expressed as a percentage, of the following formula:
Final Level – Initial Level
Initial Level
|
Call
Threshold
Level(1)
|
A specified level of the underlying asset that is equal to the initial level, as specified on the cover hereof.
|
Downside
Threshold(1)
|
A specified level of the underlying asset that is less than the initial level, equal to a percentage of the initial level, as specified on the cover hereof.
|
Initial Level(1)
|
The closing level of the underlying asset on the trade date, as specified on the cover hereof.
|
Final Level(1)
|
The closing level of the underlying asset on the final valuation date.
|
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 asset”, “underlying constituents”, “closing level”, “underlying return”, “downside threshold” and “observation dates” mean “reference asset”, “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.
|
Investment Timeline
|
Trade Date
|
The initial level of the underlying asset is observed 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 closing level of the underlying asset 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 final level is observed on the final valuation date and the underlying return is calculated.
If the Notes are not subject to an automatic call and the final 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 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 + Underlying Return)
In this case, you will suffer a percentage loss on your principal amount equal to the underlying 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 level is less than the downside threshold, you will lose a percentage of your principal amount equal to the underlying 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 asset 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 asset 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 asset. Investors will not participate in any increase in the closing
level of the underlying asset from the initial level beyond the call return, if applicable, which may be significant. The Notes will be subject to an automatic call only if the closing level of the underlying asset 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 asset if the final level is less than the downside threshold. In addition, as an owner of the Notes, you will not have voting rights or any other
rights of a holder of any underlying constituent.
|
♦ |
A higher call return rate or lower downside threshold or call threshold level may reflect greater expected volatility of the underlying asset, 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 asset 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 asset. The greater the expected volatility of the underlying asset as of the trade
date, the greater the expectation is as of that date that the closing level or the final level, as applicable, of the underlying asset could be less than the call threshold level on any observation date (including the final valuation date)
and that the final 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
asset 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 closing level of the underlying asset 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 securities. 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 asset and the shorter time remaining for the level of the underlying asset to recover. Such periods generally
coincide with a period of greater risk of principal loss on your Notes.
|
♦ |
Market risk — The return on the Notes, which may be negative, is directly linked to the performance of the
underlying asset and indirectly linked to the value of the underlying constituents. The level of the underlying asset can rise or fall sharply due to factors specific to the underlying asset, the sponsor of the underlying asset (the
“underlying sponsor”) and its underlying constituents and their issuers (each, an “underlying constituent issuer”), such as stock price volatility, earnings and financial conditions, corporate,
|
♦ |
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 level of the underlying asset will rise or fall and there can be no assurance that the closing level or the final level, as applicable, of the underlying asset 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 asset will be influenced by complex and interrelated political, economic, financial and other factors that affect the underlying constituent
issuers. You should be willing to accept the risks of owning equities in general and the underlying asset and underlying constituents in particular, and the risk of losing a significant portion or all of your investment in the Notes.
|
♦ |
There are risks associated with an underlying asset that is an ETF — Although the shares of the underlying asset are listed for
trading on a national securities exchange and a number of similar products have been traded on national securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the underlying
asset or that there will be liquidity in the trading market. In addition:
|
♦ |
There is no affiliation among the underlying constituent issuers, the target index sponsor or the underlying sponsor and us or the Agents — BNS, the Agents and our other
or their respective affiliates may currently, or from time to time in the future, engage in business with the underlying constituent issuers, the target index sponsor or the underlying sponsor. None of us, the Agents or any of our other or
their respective affiliates have participated in the preparation of any publicly available information or made any “due diligence” investigation or inquiry with respect to the underlying asset or its underlying constituents. You should make
your own investigation into the underlying asset, underlying sponsor and the underlying constituent issuers. See the section below entitled “Information About the Underlying Asset” herein for additional information about the underlying
asset.
|
♦ |
BNS cannot control actions by the underlying sponsor and the underlying sponsor has no obligation to consider your interests — The underlying sponsor may from time to time
be called upon to make certain policy decisions or judgments with respect to the implementation of its policies concerning the calculation of the net asset value of the underlying asset, additions, deletions or substitutions of its
underlying constituents and the manner in which changes affecting the target index are reflected in the underlying asset that could affect the market price of the shares of the underlying asset, and therefore, the return on the Notes. The
return on the Notes and their market value could also be affected if the underlying sponsor changes these policies, for example,
|
♦ |
Changes affecting the target index could have an adverse effect on the market value of, and return on, the Notes — The target index sponsor owns the target index and is
responsible for the design and maintenance of the target index. The policies of the target index sponsor concerning the calculation of the target index, including decisions regarding the addition, deletion or substitution of the equity
securities included in the target index, could affect the level of the target index and, consequently, could affect the market price of the underlying asset and, therefore, the market value of, and return on, the Notes. The target index
sponsor may discontinue or suspend calculation or dissemination of its target index. Any such actions could have an adverse effect on the market value of, and return on, the Notes.
|
♦ |
BNS and the Agents cannot control actions by the target index sponsor and the target index sponsor has no obligation to consider your interests — None of BNS, UBS or our
or their respective affiliates are affiliated with the target index sponsor and 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 target index. The target index sponsor is not involved in the Notes offering in any way and has no obligation to consider your interest as an owner of the Notes in taking any actions that might affect the market value
of, and return 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 underlying asset, 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,
|
♦ |
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 asset over the full term of the Notes, (ii) volatility of the level of
the underlying asset and 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 asset 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 SCUSA 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, SCUSA or one or more of our other affiliates has hedged or expects to hedge our obligations under the Notes. Such hedging transactions may include entering into swap or similar agreements,
purchasing shares of the underlying asset, the underlying constituents and/or purchasing futures, options and/or other instruments linked to the underlying asset and/or one or more of the underlying constituents. We, SCUSA 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 underlying asset 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, SCUSA 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 asset and/or one or more of the underlying constituents. Any of these hedging activities may
adversely affect the level of the underlying asset—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.
|
♦ |
The calculation agent can make antidilution and other adjustments that may adversely affect the market value of, and return on, the Notes — For antidilution and certain
other events (including, but not limited to, a modification to the methodology of the underlying asset or its target index) affecting the underlying asset, the calculation agent may make adjustments to its initial level, call threshold
level, downside threshold, closing level and/or final level, as applicable, and any other term of the Notes. However, the calculation agent will not make an adjustment in response to every corporate event that could affect the underlying
asset. If an event occurs that does not require the calculation agent to make an adjustment, the market value of, and any payment on, the Notes may be materially and adversely affected. In addition, all determinations and calculations
concerning any such adjustments will be made by the calculation agent. You should be aware that the calculation agent may make any such adjustment, determination or calculation in a manner that differs from that discussed in the
accompanying product supplement or this document as necessary to achieve an equitable result. The occurrence of any antidilution or reorganization event and the consequent adjustments may materially and adversely affect the value of, and
any amounts payable 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 sponsor and/or 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 asset, 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 asset 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 asset 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 underlying asset or any underlying
constituent, listed and/or over-the-counter options, futures, exchange-traded funds or other instruments with returns linked to the performance of the underlying asset or any underlying constituents may adversely affect the level of the
underlying asset or underlying constituents and, therefore, the market value of the Notes, the likelihood of the Notes being automatically called and receiving the call return on any call settlement date. See “— Hedging activities by BNS
and SCUSA 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 levels of the underlying asset. The calculation agent can postpone the determination of the closing level or final level (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 asset 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 asset 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 2 years
|
Call Return Rate:
|
7.65% per annum
|
Observation Dates:
|
Quarterly (callable after 12 months)
|
Initial Level:
|
$160
|
Call Threshold Level:
|
$160 (which is 100.00% of the Initial Level)
|
Downside Threshold:
|
$120 (which is 75.00% of the Initial Level)
|
Date
|
Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
$180 (equal to or greater than Call Threshold Level)
|
$10.765 (Call Price)
|
||
Total Payment:
|
$10.765 (7.65% total return)
|
|||
Date
|
Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
$125 (less than Call Threshold Level)
|
$0.00
|
||
Second Observation Date
|
$140 (less than Call Threshold Level)
|
$0.00
|
||
Third Observation Date
|
$170 (equal to or greater than Call Threshold Level)
|
$11.1475 (Call Price)
|
||
Total Payment:
|
$11.1475 (11.475% total return)
|
|||
Date
|
Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
$150 (less than Call Threshold Level)
|
$0.00
|
||
Second through Fourth Observation Date
|
Various (all less than Call Threshold Level)
|
$0.00
|
||
Final Valuation Date
|
$250 (equal to or greater than Call Threshold Level and Downside Threshold)
|
$11.53 (Call Price)
|
||
Total Payment:
|
$11.53 (15.30% total return)
|
Date
|
Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
$150 (less than Call Threshold Level)
|
$0.00
|
||
Second through Fourth Observation Date
|
Various (all less than Call Threshold Level)
|
$0.00
|
||
Final Valuation Date
|
$120.00 (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
|
Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
$140 (less than Call Threshold Level)
|
$0.00
|
||
Second through Fourth Observation Date
|
Various (all less than Call Threshold Level)
|
$0.00
|
||
Final Valuation Date
|
$64 (less than Call Threshold Level and Downside Threshold)
|
$10.00 × (1 + Underlying 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 Asset
|
Invesco S&P 500® Equal Weight ETF
|
What Are the Tax Consequences of the Notes?
|
Material Canadian Income Tax Consequences
|
Additional Information Regarding Estimated Value of the Notes
|
Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)
|
Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)
|
1 Year Bank Nova Scotia Halifax (PK) Chart |
1 Month Bank Nova Scotia Halifax (PK) Chart |
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