Subject to Completion
PRELIMINARY PRICING SUPPLEMENT
Dated May 7, 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)
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Investment Description
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Features
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❑
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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.
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❑
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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.
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Key Dates*
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Trade Date**
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May 10, 2024
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Settlement Date**
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May 15, 2024
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Observation Dates
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Quarterly, callable after 12 months (see page 2)
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Final Valuation Date
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May 10, 2029
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Maturity Date
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May 15, 2029
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*
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Expected. See page P-2 for additional details.
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**
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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 two business days (T+2), 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 two business days 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.
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Note Offering |
Underlying Asset
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Bloomberg
Ticker
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Call Return Rate*
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Initial
Level
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Call Threshold Level
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Downside
Threshold
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CUSIP
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ISIN
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Nasdaq-100 Index®
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NDX
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8.00% - 8.60% per annum
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•
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100.00% of the Initial Level
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75.00% of the Initial Level
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06418K215
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US06418K2151
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Offering of Notes
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Issue Price to Public
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Underwriting Discount(1)(2)
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Proceeds to The Bank of Nova Scotia(1)(2)
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Total
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Per Note
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Total
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Per Note
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Total
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Per Note
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Notes linked to the Nasdaq-100 Index®
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$•
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$10.00
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$•
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$0.25
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$•
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$9.75
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(1)
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Scotia Capital (USA) Inc. (“SCUSA”), our affiliate, will purchase the Notes at the principal amount and, as part of the distribution of the Notes, will 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.
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(2)
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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.
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Scotia Capital (USA) Inc.
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UBS Financial Services Inc.
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Additional Information About BNS and the Notes
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Investor Suitability
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♦
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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.
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♦
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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 a hypothetical
investment in the underlying asset or the stocks comprising the underlying asset (the “underlying constituents”).
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♦
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You are willing to invest in the Notes based on the call threshold level and downside threshold indicated on the cover hereof.
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♦
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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.
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♦
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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 if the call return rate was set equal to the bottom of the range indicated on the cover hereof (the actual call return rate will be
set on the trade date).
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♦
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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.
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♦
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You do not seek guaranteed current income from your investment and are willing to forgo any dividends paid on the underlying constituents.
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♦
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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.
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♦
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You understand and are willing to accept the risks associated with the underlying asset.
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♦
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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.
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♦
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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.
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♦
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You require an investment designed to provide a full return of principal at maturity.
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♦
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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 a hypothetical
investment in the underlying asset or the underlying constituents.
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♦
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You are unwilling to invest in the Notes based on the call threshold level or downside threshold specified on the cover hereof.
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♦
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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.
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♦
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You believe that the final level will be less than the downside threshold.
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♦
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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 if
the call return rate was set equal to the bottom of the range indicated on the cover hereof (the actual call return rate will be set on the trade date).
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♦
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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.
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♦
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You seek guaranteed current income from this investment or prefer to receive any dividends paid on the underlying constituents.
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♦
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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.
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♦
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You do not understand or are unwilling to accept the risks associated with the underlying asset.
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♦
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You are unwilling to assume the credit risk of BNS for all payments under the Notes, including any repayment of principal.
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Preliminary Terms |
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”). See “Supplemental Plan of Distribution (Conflicts of Interest);
Secondary Markets (if any)” herein for additional information.
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Principal
Amount
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$10 per Note
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Term
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Approximately 5 years, unless subject to an automatic call. In the event that we make any change to the expected trade date and settlement date, the calculation agent may
adjust the observation dates (including the final valuation date), as well as the potential call settlement dates (including the maturity date) to ensure that the stated term of the Notes remains the same.
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Underlying
Asset |
The Nasdaq-100 Index®
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Automatic
Call Feature
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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.
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Call Return
Rate |
The call return rate will be between 8.00% – 8.60% per annum (the actual call return rate will be set on the trade date).
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Call Return
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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 (the actual call return rate will be
set on the trade date).
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Call Price
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The call price equals the principal amount per Note plus the applicable call return.
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Observation Date(1)
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Call Settlement
Date(1)(2)
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Call
Return
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Call Price
(per Note) |
May 16, 2025
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May 20, 2025
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8.00%
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$10.80
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August 11, 2025
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August 13, 2025
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10.00%
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$11.00
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November 10, 2025
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November 13, 2025
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12.00%
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$11.20
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February 10, 2026
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February 12, 2026
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14.00%
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$11.40
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May 11, 2026
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May 13, 2026
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16.00%
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$11.60
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August 10, 2026
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August 12, 2026
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18.00%
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$11.80
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November 10, 2026
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November 13, 2026
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20.00%
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$12.00
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February 10, 2027
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February 12, 2027
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22.00%
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$12.20
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May 10, 2027
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May 12, 2027
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24.00%
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$12.40
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August 10, 2027
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August 12, 2027
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26.00%
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$12.60
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November 10, 2027
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November 15, 2027
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28.00%
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$12.80
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February 10, 2028
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February 14, 2028
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30.00%
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$13.00
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May 10, 2028
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May 12, 2028
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32.00%
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$13.20
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August 10, 2028
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August 14, 2028
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34.00%
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$13.40
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November 10, 2028
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November 14, 2028
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36.00%
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$13.60
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February 12, 2029
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February 14, 2029
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38.00%
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$13.80
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Final Valuation Date
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Maturity Date
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40.00%
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$14.00
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(1) |
Subject to the market disruption event provisions set forth 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” and “General Terms of the Notes— Market Disruption Events” in the accompanying product supplement.
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(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.
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Payment at
Maturity
(per Note)
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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.
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Underlying
Return
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The quotient, expressed as a percentage, of the following formula:
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Call
Threshold
Level(1)
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A specified level of the underlying asset that is equal to the initial level, as specified on the cover hereof.
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Downside
Threshold(1)
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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.
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Initial Level(1)
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The closing level of the underlying asset on the trade date.
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Final Level(1)
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The closing level of the underlying asset on the final valuation date.
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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 Notes.
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Canadian
Bail-in
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The Notes 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 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.
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Investment Timeline
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Trade Date
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The initial level of the underlying asset is observed and the final terms of the Notes are set.
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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.
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Maturity Date
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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.
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Key Risks
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♦ |
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.
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♦ |
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.
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♦ |
No interest payments — BNS will not pay any interest with respect to the Notes.
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♦ |
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.
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♦ |
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 are 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.
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♦ |
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.
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♦ |
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 and its underlying constituents and their issuers (each, an “underlying constituent issuer”), such as stock
price volatility, earnings and 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 underlying asset and underlying constituents.
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♦ |
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
downside risks associated with the relevant market(s) tracked by the underlying asset in general and the underlying constituents in particular, and the risk of losing a significant portion or all of your investment.
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♦ |
The underlying asset reflects price return, not total return — The return on your Notes is based on the performance of the underlying asset, which reflects the changes in
the market prices of the underlying constituents. Your Notes are not, however, linked to 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 any dividend component.
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♦ |
The Notes are subject to risks associated with non-U.S. securities — The Notes are subject to risks associated with non-U.S. securities because the underlying asset is
comprised, in part, of non-U.S. companies. Market developments may affect non-U.S. markets differently from U.S. securities markets and 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. Securities issued by non-U.S. companies are subject to political, economic, financial and social factors that may be unique to the particular
country. These factors, which could negatively affect the applicable underlying constituents 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.
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♦ |
BNS and the Agents cannot control actions by the index sponsor and the index sponsor has no obligation to consider your interests — None of BNS, UBS or our or their
respective affiliates are affiliated with the index sponsor 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 underlying asset. The 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 any amount
payable on, the Notes.
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♦ |
Changes affecting the underlying asset could have an adverse effect on the market value of, and any amount payable on, the Notes — The policies of the index sponsor as
specified under “Information About the Underlying Asset” (the “index sponsor”), concerning additions, deletions and substitutions of the underlying constituents and the manner in which the index sponsor takes account of certain changes
affecting those underlying constituents may adversely affect the level of the underlying asset. The policies of the index sponsor with respect to the calculation of the underlying asset could also adversely affect the level of the underlying
asset. The index sponsor may discontinue or suspend calculation or dissemination of the underlying asset. Any such actions could have an adverse effect on the market value of, and any amount payable on, the Notes.
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♦ |
BNS’ initial estimated value of the Notes at the time of pricing (when the terms of your Notes are set on the trade date) will be 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 will exceed 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.
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♦ |
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
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♦ |
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 is determined by reference to its internal pricing models when the terms of the Notes are 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.
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♦ |
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 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 asset over the full term of the Notes, (ii) volatility of the level of the
underlying asset and their 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 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 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 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.
|
♦ |
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 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
constituents, 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 5 years
|
Call Return Rate:
|
8.00% per annum
|
Observation Dates:
|
Quarterly (callable after 12 months)
|
Initial Level:
|
18,000
|
Call Threshold Level:
|
18,000 (which is 100.00% of the Initial Level)
|
Downside Threshold:
|
13,500 (which is 75.00% of the Initial Level)
|
Date
|
Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
18,500 (equal to or greater than Call Threshold Level)
|
$10.80 (Call Price)
|
||
Total Payment:
|
$10.80 (8.00% total return)
|
Date
|
Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
15,250 (less than Call Threshold Level)
|
$0.00
|
||
Second Observation Date
|
16,400 (less than Call Threshold Level)
|
$0.00
|
||
Third Observation Date
|
18,100 (equal to or greater than Call Threshold Level)
|
$11.20 (Call Price)
|
||
Total Payment:
|
$11.20 (12.00% total return)
|
Date
|
Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
15,150 (less than Call Threshold Level)
|
$0.00
|
||
Second through Sixteenth Observation Date
|
Various (all less than Call Threshold Level)
|
$0.00
|
||
Final Valuation Date
|
19,250 (equal to or greater than Call Threshold Level and Downside Threshold)
|
$14.00 (Call Price)
|
||
Total Payment:
|
$14.00 (40.00% total return)
|
Date
|
Closing Level
|
Payment (per Note)
|
||
First Observation Date
|
16,150 (less than Call Threshold Level)
|
$0.00
|
||
Second through Sixteenth Observation Date
|
Various (all less than Call Threshold Level)
|
$0.00
|
||
Final Valuation Date
|
16,800 (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
|
16,550 (less than Call Threshold Level)
|
$0.00
|
||
Second through Sixteenth Observation Date
|
Various (all less than Call Threshold Level)
|
$0.00
|
||
Final Valuation Date
|
7,200 (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
|
Nasdaq-100 Index®
|
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)
|
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