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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 |
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PRICING SUPPLEMENT
Dated June 26, 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
|
☐ |
Participation in the Positive Basket Return with Step Return Feature: If the basket return is zero or positive, the Securities provide a percentage return at maturity
equal to the greater of (i) the step return and (ii) the basket return.
|
☐ |
Contingent Repayment of Principal at Maturity with Potential for Full Downside Market Exposure: If the basket return is negative and the final basket level is equal to
or greater than the downside threshold, BNS will pay you a cash payment per Security at maturity equal to the principal amount. If, however, the basket return is negative and the final basket level is less than the downside threshold,
BNS will pay you a cash payment per Security at maturity that is less than the principal amount, if anything, resulting in a percentage loss of your principal amount equal to the basket return and, in extreme situations, you could lose
your entire investment in the Securities. The contingent repayment of principal applies only if you hold the Securities to maturity. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness
of BNS.
|
Key Dates
|
Trade Date*
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June 26, 2024
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Settlement Date*
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June 28, 2024
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Final Valuation Date**
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June 27, 2029
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Maturity Date**
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June 29, 2029
|
* |
We expect to deliver the Securities 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 Securities in the secondary market on any date prior to one business
day before delivery of the Securities 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 in the accompanying product supplement.
|
Security Offering
|
Underlying Basket
|
Basket Weighting
|
Step Return
|
Initial Basket
Level
|
Downside Threshold
|
CUSIP
|
ISIN
|
An Equally Weighted Basket of 3 Equity Indices (see page P-2 for further details)
|
Equally Weighted (see page P-2 for further details)
|
45.00%
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100.00
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75.00, which is 75.00% of the Initial Basket Level
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06418K439
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US06418K4397
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Offering of Securities
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Issue Price to Public
|
Underwriting Discount(1)(2)
|
Proceeds to The Bank of Nova Scotia(1)(2)
|
|||
Total
|
Per Security
|
Total
|
Per Security
|
Total
|
Per Security
|
|
Securities linked to an Equally Weighted Basket of Equity Indices
|
$2,041,570.00
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$10.00
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$71,454.95
|
$0.35
|
$1,970,115.05
|
$9.65
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(1)
|
Scotia Capital (USA) Inc. (“SCUSA”), our affiliate, has agreed to purchase the Securities at the principal amount and, as part of the distribution of
the Securities, has agreed to sell the Securities 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” 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 Securities
|
♦ |
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:
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Investor Suitability
|
♦ |
You fully understand and are willing to accept the risks inherent in an investment in the Securities, including the risk of loss of your entire investment.
|
♦ |
You can tolerate a loss of a significant portion or all of your investment in the Securities and are willing to make an investment that has 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 believe that the level of the underlying basket will remain flat or increase over the term of the Securities.
|
♦ |
You are willing to invest in the Securities based on the downside threshold and step return indicated on the cover hereof.
|
♦ |
You can tolerate fluctuations in the price of the Securities 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 current income from your investment and are willing to forgo any dividends paid on the underlying constituents.
|
♦ |
You understand and are willing to accept the risks associated with the underlying basket and the basket assets.
|
♦ |
You are willing to hold the Securities to maturity and accept that there may be little or no secondary market for the Securities.
|
♦ |
You seek an investment with exposure to companies in the Eurozone, Japan and the United States.
|
♦ |
You are willing to assume the credit risk of BNS for all payments under the Securities, 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 Securities, including the risk of loss of your entire investment.
|
♦ |
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 Securities or are unwilling to make an investment that has the same downside market risk as that of a hypothetical investment in the underlying
basket, the basket assets or the underlying constituents.
|
♦ |
You believe that the level of the underlying basket will decline during the term of the Securities and is likely to be less than the initial basket level on the final valuation date.
|
♦ |
You are unwilling to invest in the Securities based on the downside threshold or step return indicated on the cover hereof.
|
♦ |
You cannot tolerate fluctuations in the price of the Securities 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 do not understand or are not willing to accept the risks associated with the underlying basket or the basket assets.
|
♦ |
You seek current income from your investment or prefer to receive any dividends paid on the underlying constituents.
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♦ |
You are unable or unwilling to hold the Securities to maturity or you seek an investment for which there will be an active secondary market.
|
♦ |
You do not seek an investment with exposure to companies in the Eurozone, Japan or the United States.
|
♦ |
You are not willing to assume the credit risk of BNS for all payments under the Securities, including any repayment of principal.
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Final Terms
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Issuer
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The Bank of Nova Scotia
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Issue
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Senior Note Program, Series A
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Agents
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Scotia Capital (USA) Inc. (“SCUSA”) and UBS Financial Services Inc. (“UBS”)
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Principal
Amount
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$10 per Security (subject to a minimum investment of 100 Securities)
|
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Term
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Approximately 5 years.
|
|||
Underlying
Basket
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The following table lists each basket asset and its corresponding Bloomberg ticker, basket weighting and initial asset level.
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|||
Basket Asset
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Bloomberg
Ticker
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Basket
Weighting
|
Initial Asset
Level(1) |
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EURO STOXX 50® Index
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SX5E
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1/3
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4,915.94
|
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Nikkei 225 Index
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NKY
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1/3
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39,667.07
|
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S&P 500® Index
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SPX
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1/3
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5,477.90
|
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Step Return
|
45.00%.
|
|||
Payment at
Maturity
(per
Security)
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If the basket return is zero or positive, BNS will pay you an amount in cash equal to:
|
|||
$10 × (1 + the greater of (i) Step Return and (ii) the Basket Return)
|
||||
If the basket return is negative and the final basket level is equal to or greater than the downside threshold, BNS will pay you an amount in cash
equal to:
Principal Amount of $10
|
||||
If the basket return is negative and the final basket level is less than the downside threshold, BNS will pay you an amount in cash that is less
than your principal amount, if anything, equal to:
|
||||
$10 × (1 + Basket Return)
In this scenario, 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 Securities.
|
||||
Basket
Return
|
The quotient, expressed as a percentage, of the following formula:
Final Basket Level − Initial Basket Level
Initial Basket Level
|
|||
Initial Basket
Level
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100.00
|
|||
Final Basket
Level
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The basket closing level on the final valuation date, as determined by the calculation agent
|
|||
Basket
Closing
Level
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As calculated on the final valuation date, the basket closing level will be calculated as follows:
100 × [1 + (the sum of each Basket Asset Return multiplied by its Basket Weighting)]
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Basket Asset
Return
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With respect to each basket asset, the quotient, expressed as a percentage, of the following formula:
Final Asset Level – Initial Asset Level
Initial Asset Level
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Final Asset
Level
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With respect to each basket asset, the closing asset level for such basket asset on the final valuation date, as determined by the calculation agent and as may be adjusted 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 Index; Alternative Calculation Methodology”, as described in the accompanying
product supplement.
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Downside
Threshold
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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
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Trading Day
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As specified in the product supplement under “General Terms of the Notes — Special Calculation Provisions — Trading Day”
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Business Day
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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
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Tax
Redemption
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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 Securities
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Canadian
Bail-in
|
The Securities are not bail-inable debt securities under the CDIC Act
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Terms
Incorporated
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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” and “downside threshold” mean “reference asset”, “basket component”, “reference asset constituents”, “closing
value”, “reference asset return” and “barrier value”, 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 Securities based on the methodology for calculating per annum rates provided for in the Securities. 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 Securities.
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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 Securities are set.
|
|
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||
Maturity Date
|
The final 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 basket return is zero or positive, BNS will pay you an amount in cash per Security equal to:
$10 × (1 + the greater of (i) Step Return and (ii) the Basket Return)
If the basket return is negative and the final basket level is equal to or greater than the downside threshold, BNS will pay you
an amount in cash per Security equal to:
Principal Amount of $10
If the basket return is negative and the final basket level is less than the downside threshold, BNS will pay you an amount in
cash per Security that is less than your principal amount, if anything, equal to:
$10 × (1 + Basket Return)
In this scenario, 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 Securities.
|
Investing in the Securities involves significant risks. You may lose a significant portion or all of your investment in the Securities. Specifically, if the final basket level is less than the initial basket level, 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 Securities. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness of BNS. If BNS were to default on its payment obligations, you may not receive any amounts owed to you under the Securities and you could lose your entire investment in the Securities. |
Key Risks
|
♦ |
Risk of loss at maturity — The Securities differ from ordinary debt securities in that BNS will not necessarily repay the principal amount of the Securities. BNS will pay you the principal amount
of your Securities in cash at maturity only if the final basket level is equal to or greater than the downside threshold. If the basket return is negative 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 Securities.
|
♦ |
The contingent repayment of principal applies only at maturity — You should be willing to hold your Securities to maturity. The stated payout by the issuer is available only if you hold your
Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market, you may have to sell them at a loss relative to your investment in the Securities even if the then-current level of the underlying
basket is equal to or greater than the initial basket level.
|
♦ |
The step return and potential participation in appreciation of the underlying apply only at maturity — You should be willing to hold your Securities to maturity. If you are able to sell your
Securities prior to maturity in the secondary market, the price you receive will likely not reflect the full economic value of the step return or the participation that the Securities provide in the performance of the basket in excess of
the step return. You can receive the full benefit of such features only if you hold your Securities to maturity.
|
♦ |
No interest payments — BNS will not pay any interest with respect to the Securities.
|
♦ |
Greater expected volatility generally indicates an increased risk of loss at maturity — “Volatility” refers to the frequency and magnitude of changes in the level of the basket assets and
therefore, the underlying basket. The greater the expected volatility of the basket assets as of the trade date, the greater the expectation is as of that date that the final basket level could be less than the downside threshold and, as
a consequence, indicates an increased risk of loss. However, the basket assets’ volatility can change significantly over the term of the Securities, and a relatively lower downside threshold may not necessarily indicate that the
Securities have a greater likelihood of a return of principal at maturity. You should be willing to accept the downside market risk of the underlying basket and the potential to lose a significant portion or all of your investment in the
Securities.
|
♦ |
Owning the Securities is not the same as owning the underlying constituents — The return on your Securities 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 Securities, and any such dividends or
distributions will not be factored into the calculation of the payment at maturity on your Securities. In addition, as an owner of the Securities, 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 Securities, 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, and will depend on whether, and the extent to which, the basket return is positive or negative. 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 Securities, should conduct your own investigation into the basket assets and underlying constituents.
|
♦ |
There can be no assurance that the investment view implicit in the Securities will be successful — It is impossible to predict whether and the extent to which the levels of the basket assets
will rise or fall and, therefore, there can be no assurance that the final basket level will be equal to or greater than the initial basket level or downside threshold. The final basket level 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 risks of owning equities in general and the underlying constituents in
particular, and the risk of losing a significant portion or all of your investment in the Securities.
|
♦ |
Correlation (or lack of correlation) among the basket assets may adversely affect your return on the Securities — “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 the final valuation date, 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 Securities 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 Securities.
|
♦ |
The Securities 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 and Japan. An investment in the Securities 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 Securities will not be adjusted for changes in exchange rates related to the U.S. dollar, which might affect the basket assets — Although certain of the basket assets include stocks that are
traded in currencies other than the U.S. dollar, the Securities are denominated in U.S. dollars. The calculation of the amount payable on the Securities 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 Securities. 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 Securities 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 Securities 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 Securities — 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 Securities.
|
♦ |
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 Securities offering in any way and none have any obligation to consider
your interest as an owner of the Securities in taking any actions that might affect the market value of, and any amount payable on, your Securities.
|
♦ |
BNS’ initial estimated value of the Securities at the time of pricing (when the terms of your Securities were set on the trade date) is lower than the issue price of the Securities — BNS’ initial
estimated value of the Securities is only an estimate. The issue price of the Securities exceeds BNS’ initial estimated value. The difference between the issue price of the Securities and BNS’ initial estimated value reflects costs
associated with selling and structuring the Securities, as well as hedging its obligations under the Securities. Therefore, the economic terms of the Securities are less favorable to you than they would have been if these expenses not
been paid or had been lower.
|
♦ |
Neither BNS’ nor SCUSA’s estimated value of the Securities 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 Securities and SCUSA’s estimated value of the Securities 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 Securities 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 Securities as well as the higher issuance, operational and ongoing liability management costs of the Securities 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 Securities to be more
|
favorable to you. Consequently, the use of an internal funding rate for the Securities increases the estimated value of the Securities at any time and has an adverse effect on the economic terms of the Securities.
|
♦ |
BNS’ initial estimated value of the Securities does not represent future values of the Securities and may differ from others’ (including SCUSA’s) estimates — BNS’ initial estimated value of the
Securities was determined by reference to its internal pricing models when the terms of the Securities were set. These pricing models consider certain factors, such as BNS’ internal funding rate on the trade date, the expected term of the
Securities, market conditions and other relevant factors existing at that time, and BNS’ assumptions about market parameters, which can include volatility, 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 Securities that are different, and perhaps materially lower, from BNS’ initial estimated value. Therefore, the price at which SCUSA
would buy or sell your Securities (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 Securities have limited liquidity — The Securities will not be listed on any securities exchange or automated quotation system. Therefore, there may be little or no secondary market for the
Securities. SCUSA and any other affiliates of BNS intend, but are not required to, make a market in the Securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Securities
easily. Because we do not expect that other broker-dealers will participate in the secondary market for the Securities, the price at which you may be able to trade your Securities is likely to depend on the price, if any, at which SCUSA
is willing to purchase the Securities from you. If at any time SCUSA does not make a market in the Securities, it is likely that there would be no secondary market for the Securities. Accordingly, you should be willing to hold your
Securities to maturity.
|
♦ |
The price at which SCUSA would buy or sell the Securities (if SCUSA makes a market, which it is not obligated to do) will be based on SCUSA’s estimated value of the Securities and may be greater than
BNS’ valuation of the Securities 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 Securities 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 Securities 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 Securities 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 Securities 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 Securities, 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 Securities 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 Securities 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 Securities 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 Securities prior to maturity will depend on a number of factors and may be substantially less than the principal amount — Because structured notes, including the Securities,
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 Securities at issuance and
the market price of the Securities 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 Securities, (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 Securities relating to the payment at maturity behave like options, the
value of the Securities 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 Securities and cause our respective interests and those of our clients and counterparties to be contrary to those of investors
in the Securities — We, SCUSA or one or more of our other affiliates has hedged or expects to hedge our obligations under the Securities. 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, 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 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, 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 Securities 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 Securities and
the amount you will receive, if any, on the Securities.
|
♦ |
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 assets or
applicable underlying constituent and, therefore, the market value of, and any amount payable on, the Securities. See “— Risks Relating to Hedging Activities and Conflicts of Interest — Hedging activities by BNS and SCUSA may negatively
impact investors in the Securities and cause our respective interests and those of our clients and counterparties to be contrary to those of investors in the Securities” for additional information regarding hedging-related transactions
and trading.
|
♦ |
The calculation agent will have significant discretion with respect to the Securities, 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 can postpone the determination of the final basket level on the final valuation date if a market disruption event occurs and is continuing on that day.
|
♦ |
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 Securities, or express opinions or provide recommendations that are inconsistent with purchasing or holding the Securities. 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 Securities and the basket assets to which the Securities are linked.
|
♦ |
Credit risk of BNS — The Securities 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
Securities, including any repayment of principal at maturity, 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
Securities. If BNS were to default on its obligations, you may not receive any amounts owed to you under the terms of the Securities and you could lose your entire investment in the Securities.
|
♦ |
BNS is subject to the resolution authority under the CDIC Act — Although the Securities 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
Securities 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 Securities 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 Securities?” in this pricing supplement.
|
Hypothetical Examples and Return Table of the Securities at Maturity
|
Principal Amount: | $10 |
Term: | Approximately 5 years |
Initial Basket Level: | 100 |
Downside Threshold: | 75 (which is 75% of the Initial Basket Level) |
Step Return: |
45.00%
|
Range of Basket Return: | -100% to 60% |
Underlying Basket
|
Payment and Return at Maturity
|
Final Basket Level
|
Basket Return
|
Payment at Maturity
|
Security Total Return at Maturity
|
150.00
|
50.00%
|
$15.00
|
50.00%
|
145.00
|
45.00%
|
$14.50
|
45.00%
|
140.00
|
40.00%
|
$14.50
|
45.00%
|
130.00
|
30.00%
|
$14.50
|
45.00%
|
120.00
|
20.00%
|
$14.50
|
45.00%
|
110.00
|
10.00%
|
$14.50
|
45.00%
|
100.00
|
0.00%
|
$14.50
|
45.00%
|
90.00
|
-10.00%
|
$10.00
|
0.00%
|
80.00
|
-20.00%
|
$10.00
|
0.00%
|
75.00
|
-25.00%
|
$10.00
|
0.00%
|
70.00
|
-30.00%
|
$7.00
|
-30.00%
|
60.00
|
-40.00%
|
$6.00
|
-40.00%
|
50.00
|
-50.00%
|
$5.00
|
-50.00%
|
40.00
|
-60.00%
|
$4.00
|
-60.00%
|
30.00
|
-70.00%
|
$3.00
|
-70.00%
|
20.00
|
-80.00%
|
$2.00
|
-80.00%
|
10.00
|
-90.00%
|
$1.00
|
-90.00%
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
Information About the Underlying Basket and the Basket Assets
|
What Are the Tax Consequences of the Securities?
|
Material Canadian Income Tax Consequences
|
Additional Information Regarding Estimated Value of the Securities
|
Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)
|
Validity of the Securities
|
1 Year Bank Nova Scotia Halifax (PK) Chart |
1 Month Bank Nova Scotia Halifax (PK) Chart |
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