Subject to Completion
PRELIMINARY PRICING SUPPLEMENT
Dated May 16, 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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☐ |
Potential for Periodic Contingent Coupons — BNS will pay a contingent coupon on a coupon payment date only if the closing level of each underlying asset is equal to
or greater than its coupon barrier on the applicable observation date (including the final valuation date). Otherwise, if the closing level of any underlying asset is less than its coupon barrier on the applicable observation date,
no contingent coupon will be paid for the relevant coupon payment date.
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☐ |
Automatic Call Feature — BNS will automatically call the Notes and pay you the principal amount of your Notes plus the contingent coupon otherwise due on the related
coupon payment date if the closing level of each underlying asset is equal to or greater than its initial level on any observation date (quarterly, callable after 6 months) prior to the final valuation date. If the Notes were
previously subject to an automatic call, no further payments will be owed to you under the Notes.
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☐ |
Contingent Repayment of Principal at Maturity with Potential for Full Downside Market Exposure — If the Notes have not been subject to an automatic call and the
final level of each underlying asset is equal to or greater than its downside threshold, BNS will repay you the principal amount per Note at maturity. If, however, the Notes are not subject to an automatic call and the final level
of any underlying asset is less than its 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 of the least performing underlying asset 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 17, 2024
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Settlement Date**
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May 22, 2024
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Observation Dates
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Quarterly (callable after 6 months) (see page P-4)
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Final Valuation Date
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May 17, 2029
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Maturity Date
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May 22, 2029
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* |
Expected. See page P-2 for additional details.
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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 (the “Exchange Act”), 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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Notice to investors: the Notes are significantly riskier than conventional debt instruments. The issuer is not necessarily
obligated to repay the principal amount of the Notes at maturity, and the Notes may have the same downside market risk as that of the least performing underlying asset. This market risk is in addition to the credit risk inherent in
purchasing a debt obligation of BNS. You should not purchase the Notes if you do not understand or are not comfortable with the significant risks involved in investing in the Notes.
You should carefully consider the risks described under “Key Risks” beginning on page P-5 and under “Additional Risk Factors
Specific to the Notes” beginning on page PS-6 of the accompanying product supplement and “Risk Factors” beginning on page S-2 of the accompanying prospectus supplement and on page 7 of the accompanying prospectus. Events relating to any
of those risks, or other risks and uncertainties, could adversely affect the market value of, and the return on, your Notes. You may lose a significant portion or all of your investment in the Notes. The Notes will not be listed or
displayed on any securities exchange or any electronic communications network.
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Note Offering
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Underlying Assets
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Bloomberg
Tickers
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Contingent
Coupon Rate
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Initial
Levels
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Coupon
Barriers
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Downside
Thresholds
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CUSIP
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ISIN
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Shares of the SPDR® S&P 500®
ETF Trust
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SPY
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7.50% - 8.00% per
annum
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$•
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70.00% of its Initial Level
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70.00% of its Initial Level
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06418K249
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US06418K2490
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Shares of the Utilities Select
Sector SPDR® Fund
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XLU
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$•
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70.00% of its Initial Level
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70.00% of its Initial Level
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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 least performing of the shares of the SPDR® S&P
500® ETF Trust and the shares of the Utilities Select Sector SPDR® Fund
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$•
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$10.000
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$•
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$0.225
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$•
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$9.775
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(1) |
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
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) |
UBS or one of its affiliates is to conduct hedging activities for us in connection with the Notes. These amounts exclude any profits to UBS, BNS or any of our or their respective affiliates from hedging. See “Key
Risks” and “Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)” herein for additional considerations relating to hedging activities.
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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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♦ |
Product Supplement (Market-Linked Notes, Series A) dated December 29, 2021:
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♦ |
Underlier Supplement dated December 29, 2021:
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♦ |
Prospectus Supplement dated December 29, 2021:
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♦ |
Prospectus dated December 29, 2021:
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Investor Suitability
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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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♦ |
You understand and accept that an investment in the Notes is linked to the performance of the least performing underlying asset and not a basket of the underlying assets, that you will be exposed to the
individual market risk of each underlying asset on each observation date and on the final valuation date and that you will lose a significant portion or all of your investment if the final level of any underlying asset is less than its
downside threshold.
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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 an investment in the least performing
underlying asset or the assets comprising such underlying asset (its “underlying constituents”).
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♦ |
You are willing to receive few or no contingent coupons and believe that the closing level of each underlying asset will be equal to or greater than its coupon barrier on the specified observation dates and
that the final level of each underlying asset will be equal to or greater than its downside threshold.
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♦ |
You can accept that the risks of each underlying asset are not mitigated by the performance of any other underlying asset and the risks of investing in securities with a return based on the performance of
multiple underlying assets.
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♦ |
You understand and accept that you will not participate in any appreciation in the level of any underlying asset and that your potential return is limited to any contingent coupons.
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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 levels of the underlying assets.
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♦ |
You are willing to invest in the Notes based on the downside thresholds and coupon barriers specified on the cover hereof and if the contingent coupon rate was set equal to the bottom of the range indicated on
the cover hereof (the actual contingent coupon rate will be set on the trade date).
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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 assets or the underlying constituents.
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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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♦ |
You understand and are willing to accept the risks associated with the underlying assets.
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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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♦ |
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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♦ |
You do not understand or are unwilling to accept that an investment in the Notes is linked to the performance of the least performing underlying asset and not a basket of the underlying assets, that you will
be exposed to the individual market risk of each underlying asset on each observation date and on the final valuation date and that you will lose a significant portion or all of your investment if the final level of any underlying asset
is less than its downside threshold.
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♦ |
You require an investment designed to provide a full return of principal at maturity.
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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 an investment in the least performing
underlying asset or its underlying constituents.
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♦ |
You are unwilling to receive few or no contingent coupons during the term of the Notes and believe that the closing level of at least one underlying asset will decline during the term of the Notes and is
likely to be less than its coupon barrier on at least one observation date or that the final level of any underlying asset will be less than its downside threshold.
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♦ |
You cannot accept that the risks of each underlying asset are not mitigated by the performance of any other underlying asset or the risks of investing in securities with a return based on the performance of
multiple underlying assets.
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♦ |
You seek an investment that participates in the full appreciation in the levels of the underlying assets or that has unlimited return potential.
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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 levels of the underlying assets.
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♦ |
You are unwilling to invest in the Notes based on the downside thresholds or coupon barriers specified on the cover hereof or if the contingent coupon rate was set equal to the bottom of the range indicated on
the cover hereof (the actual contingent coupon rate will be set on the trade date).
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♦ |
You seek guaranteed current income from this investment or prefer to receive any dividends paid on the underlying assets or the underlying constituents.
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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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♦ |
You do not understand or are unwilling to accept the risks associated with the underlying assets.
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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
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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”). 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 related coupon payment dates (including the maturity date) to ensure that the stated term of the Notes remains the same.
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Underlying
Assets
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The shares of the SPDR® S&P 500® ETF Trust and the shares of the Utilities Select Sector SPDR® Fund.
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Contingent
Coupon and
Contingent
Coupon Rate
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If the closing level of each underlying asset is equal to or greater than its coupon barrier on any observation date (including the
final valuation date), BNS will pay you the contingent coupon applicable to such observation date on the related coupon payment date.
If the closing level of any underlying asset is less than its coupon barrier on any observation date (including the final valuation
date), the contingent coupon applicable to such observation date will not accrue or be payable and BNS will not make any payment to you on the related coupon payment date.
The contingent coupon will be a fixed amount based upon equal periodic installments at a per annum rate (the “contingent coupon rate”) and will be set on the trade date.
The table below sets forth the range of the contingent coupon rate and contingent coupon for the Notes that would be applicable to each observation date on which the closing level of each underlying asset is equal to or greater than
its coupon barrier. The actual contingent coupon rate and contingent coupon will be set on the trade date.
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Contingent Coupon Rate
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7.50% to 8.00%
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Contingent Coupon
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$0.1875 to $0.2000
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Contingent coupons on the Notes are not guaranteed. BNS will not pay you the contingent coupon for any observation date on which the closing level of any underlying
asset is less than its coupon barrier.
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Automatic Call
Feature
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BNS will automatically call the Notes if the closing level of each underlying asset on any observation date (quarterly, callable after 6 months) prior to the final
valuation date is equal to or greater than its initial level.
If the Notes are subject to an automatic call, BNS will pay you on the corresponding coupon payment date (which will be the “call settlement date”) a cash payment per
Note equal to your principal amount plus the contingent coupon otherwise due on such date (the “call settlement amount”). Following an automatic call, no further payments will be made on the Notes.
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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 of each underlying asset
is equal to or greater than its 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 of any underlying asset is
less than its downside threshold, BNS will pay you a cash payment that is less than the principal amount, if anything, equal to:
$10 × (1 + Underlying Return of the Least Performing Underlying Asset)
In this case, you will suffer a percentage loss on your principal amount equal to the underlying return of the least performing
underlying asset regardless of the underlying return of any other underlying asset and, in extreme situations, you could lose your entire investment in the Notes.
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Least Performing
Underlying Asset
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The underlying asset with the lowest underlying return as compared to any other underlying asset.
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Underlying Return
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For each underlying asset, the quotient, expressed as a percentage, of the following formula:
Final Level – Initial Level
Initial Level
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Downside
Threshold(1)
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For each underlying asset, a specified level of the underlying asset that is less than its initial level, equal to a percentage of its initial level, as specified on the
cover hereof.
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Coupon Barrier(1)
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For each underlying asset, a specified level of the underlying asset that is less than its initial level, equal to a percentage of its initial level, as specified on the
cover hereof.
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Initial Level(1)
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The closing level of each underlying asset on the trade date.
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Final Level(1)
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The closing level of each underlying asset on the final valuation date.
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Trading Day
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With respect to an underlying asset, 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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(1) |
As determined by the calculation agent and as may be determined or adjusted by the calculation agent in certain special circumstances, as described under “Additional Terms of the Notes” herein.
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Investment Timeline
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Trade Date
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The initial level of each underlying asset is observed and the final terms of the Notes are set.
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Observation Dates
(Quarterly, callable
after 6 months)
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If the closing level of each underlying asset is equal to or greater than its coupon barrier on any observation date (including the final valuation date), BNS will pay you
a contingent coupon on the applicable coupon payment date.
The Notes will be subject to an automatic call if the closing level of each underlying asset on any observation date (quarterly, callable after 6 months) prior to the
final valuation date is equal to or greater than its initial level.
If the Notes are subject to an automatic call, BNS will pay you a cash payment per Note on the call settlement date equal to $10 plus the contingent coupon otherwise due
on such 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 of each underlying asset is observed on the final valuation date and the underlying return of each underlying asset is calculated.
If the Notes are not subject to an automatic call and the final level of each underlying asset is
equal to or greater than its 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 of any underlying asset is
less than its 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 of the Least Performing Underlying Asset)
In this case, you will suffer a percentage loss on your principal amount equal to the underlying return of the least performing
underlying asset regardless of the underlying return of any other underlying asset and, in extreme situations, you could lose your entire investment in the Notes.
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Observation Dates(1)(2), Coupon Payment Dates(1)(2)(3) and Call Settlement Dates(1)(2)(3)
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Observation Dates
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Coupon
Payment Dates
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Observation Dates
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Coupon
Payment Dates
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Observation Dates
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Coupon
Payment Dates
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August 19, 2024*
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August 21, 2024*
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May 18, 2026
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May 20, 2026
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February 17, 2028
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February 22, 2028
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November 18, 2024*
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November 20, 2024
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August 17, 2026
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August 19, 2026
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May 17, 2028
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May 19, 2028
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February 18, 2025
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February 20, 2025
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November 17, 2026
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November 19, 2026
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August 17, 2028
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August 21, 2028
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May 19, 2025
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May 21, 2025
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February 17, 2027
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February 19, 2027
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November 17, 2028
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November 21, 2028
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August 18, 2025
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August 20, 2025
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May 17, 2027
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May 19, 2027
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February 20, 2029
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February 22, 2029
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November 17, 2025
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November 19, 2025
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August 17, 2027
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August 19, 2027
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Final Valuation Date
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Maturity Date
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February 17, 2026
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February 19, 2026
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November 17, 2027
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November 19, 2027
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* |
The Notes are not callable until the first potential call settlement date, which is November 20, 2024.
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(1) |
Subject to the market disruption event provisions set forth under “Additional Terms of the Notes” herein.
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(2) |
If you are able to sell your Notes in the secondary market on an observation date, the purchaser of the Notes will be deemed to be the record holder on the applicable record date and therefore you will not be
entitled to any contingent coupon paid on the corresponding coupon payment date. If an observation date listed above is not a trading day, such date will be the next following trading day. If an observation date is postponed with respect to
an underlying asset, the corresponding payment date for the Notes will also be postponed to maintain the same number of business days between such dates as existed prior to such postponement(s).
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(3) |
Two business days following each observation date (as any such date may be postponed with respect to any underlying asset), except that the coupon payment date for the final valuation date is the maturity date.
If a coupon payment date or call settlement date is not a business day, such date will be the next following business day.
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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 necessarily make periodic coupon payments or repay the principal amount of
the Notes at maturity. If the Notes are not subject to an automatic call and the final level of any underlying asset is less than its downside threshold, you will lose a percentage of your principal amount equal to the underlying return of
the least performing underlying asset 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 level of each underlying asset is equal to or greater than its downside threshold. All
payments on the Notes are subject to the creditworthiness of BNS.
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♦ |
You may not receive any contingent coupons with respect to your Notes — BNS will not necessarily make periodic coupon payments on the Notes. BNS will pay a contingent
coupon for each observation date on which the closing level of each underlying asset is equal to or greater than its coupon barrier. If the closing level of any underlying asset is less than its coupon barrier on any observation date, BNS
will not pay you the contingent coupon applicable to such observation date. If the closing level of any underlying asset is less than its coupon barrier on each of the observation dates, BNS will not pay you any contingent coupons during
the term of, and you will not receive a positive return on, your Notes. Generally, this non-payment of the contingent coupon coincides with a period of greater risk of principal loss on your Notes.
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♦ |
Your potential return on the Notes is limited to any contingent coupons, you will not participate in any appreciation of any underlying asset and you will not receive dividend
payments on any underlying asset or have the same rights as holders of any underlying asset or underlying constituents — The return potential of the Notes is limited to the pre-specified contingent coupon rate, regardless of any
appreciation in the level of any underlying asset. In addition, your return on the Notes will vary based on the number of observation dates, if any, on which the requirements of the contingent coupon have been met prior to maturity or an
automatic call. Further, if the Notes are subject to an automatic call, you will not receive any contingent coupons or any other payment in respect of any observation dates after the applicable call settlement date. 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 may be subject to the decline of the least performing underlying asset even though you cannot participate in any appreciation in the level of any underlying asset or underlying constituents. As a result, the return on an
investment in the Notes could be less than the return on a hypothetical direct investment in any or all of the underlying assets or underlying constituents. In addition, as an owner of the Notes, you will not receive or be entitled to
receive any dividend payments or other distributions on any underlying asset during the term of the Notes, and any such dividends or distributions will not be factored into the calculation of any payments on your Notes. Similarly, you will
not have voting rights or any other rights of a holder of any underlying asset or any underlying constituents.
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♦ |
A higher contingent coupon rate or lower downside threshold or coupon barrier may reflect greater expected volatility of the underlying assets, and greater expected volatility
generally indicates an increased risk of loss at maturity — The economic terms for the Notes, including the contingent coupon rate, coupon barriers and downside thresholds, are based, in part, on the expected volatility of each
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 each underlying asset. The greater the expected volatility of each underlying asset as of the trade
date, the greater the expectation is as of that date that the closing level of each underlying asset could be less than its coupon barrier on any observation date and that the final level of each underlying asset could be less than its
downside threshold and, as a consequence, indicates an increased risk of not receiving a contingent coupon and an increased risk of loss, respectively. All things being equal, this greater expected volatility will generally be reflected in
a higher contingent coupon rate than the yield payable on our conventional debt securities with a similar maturity or on otherwise comparable securities, and/or lower downside thresholds and/or coupon barriers than those terms on otherwise
comparable securities. Therefore, a relatively higher contingent coupon rate may indicate an increased risk of loss. Further, relatively lower downside thresholds and/or coupon barriers may not necessarily indicate that the Notes have a
greater likelihood of a return of principal at maturity and/or paying contingent coupons. You should be willing to accept the downside market risk of the least performing 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 each underlying asset is equal to or greater than its initial level on certain
observation dates prior to the final valuation date, as set forth under “Observation Dates, Coupon Payment Dates and Call Settlement Dates” herein. Because the Notes could be subject to an automatic call, 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 contingent coupon 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 an underlying asset and the shorter time remaining for the level of any such underlying
asset to recover. Such periods generally coincide with a period of greater risk of principal loss on your Notes.
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♦ |
You are exposed to the market risk of each underlying asset — Your return on the Notes is not linked to a basket consisting of the underlying assets. Rather, it will be
contingent upon the performance of each individual underlying asset. Unlike an instrument with a return linked to a basket of common stocks or other underlying securities, in which risk is mitigated and diversified among all of the
components of the basket, you will be exposed equally to the risks related to each underlying asset. Poor performance by any underlying asset over the term of the Notes will negatively affect your return and will not be offset or mitigated
by a positive performance by any other underlying asset. For instance, you may receive a negative return equal to the underlying return of the least performing underlying asset if the Notes are not subject to an automatic call and the
closing level of any underlying asset is less than its downside threshold, even if the underlying return of any other underlying asset is positive or has not declined as much. Accordingly, your investment is subject to the market risk of
each underlying asset.
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♦ |
Because the Notes are linked to the least performing underlying asset, you are exposed to a greater risk of no contingent coupons and losing a significant portion or all of your
investment at maturity than if the Notes were linked to a single underlying asset — The risk that you will not receive any contingent coupons and lose a significant portion or all of your investment in the Notes is greater if you
invest in the Notes than the risk of investing in substantially similar securities that are linked to the performance of a single underlying asset. With more underlying assets, it is more likely that the closing level of any underlying
asset will be less than its coupon barrier on any observation date or decline to a closing level that is less than its downside threshold than if the Notes were linked to a single underlying asset.
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♦ |
Market risk — The return on the Notes, which may be negative, is directly linked to the performance of the underlying assets and
indirectly linked to the value of the underlying constituents. The level of the underlying assets can rise or fall sharply due to factors specific to the underlying assets, its underlying constituents and their issuers (each, an “underlying
constituent issuer”) and the sponsors of the underlying assets (each, its “sponsor”) 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 assets, the underlying constituents and the sponsors of the underlying assets. For additional information regarding the underlying assets, please see “Information About the Underlying Assets” herein and the
SEC filings relating to the underlying asset. We urge you to review financial and other information filed regarding the underlying assets periodically by with the SEC.
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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 levels of the underlying assets will rise or fall and there can be no assurance that the closing level of each underlying asset will be equal to or greater than its coupon barrier on any observation date, or, if
the Notes are not subject to an automatic call, that the final level of each underlying asset will be equal to or greater than its downside threshold. The level of each 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 markets tracked by each such underlying asset in general and
the underlying assets and its underlying constituents in particular, and the risk of losing a significant portion or all of your investment.
|
♦ |
There are risks associated with underlying assets that are ETFs — Although shares of each underlying asset are listed for trading on a national securities exchange as
specified herein under “Information About the Underlying Assets”, and a number of similar products have been traded on such exchange or other securities exchanges for varying periods of time, there is no assurance that an active trading
market will continue for the shares of such underlying asset or that there will be liquidity in the trading market. In addition:
|
♦ |
The Notes are subject to risks associated with the utilities sector — All or substantially all of the underlying constituents held by the Utilities Select Sector SPDR®
Fund are issued by companies whose primary business is directly associated with the utilities sector. The assets of the Utilities Select Sector SPDR® Fund will be concentrated in the utilities sector, which means that it will be
more affected by the performance of the utilities sector than a fund that is more diversified. Utility companies are affected by supply and demand, operating costs, government regulation, environmental factors, liabilities for environmental
damage and general civil liabilities, and rate caps or rate changes. Although rate changes of a regulated utility usually fluctuate in approximate correlation with financing costs, due to political and regulatory factors rate changes
ordinarily occur only following a delay after the changes in financing costs. This factor will tend to favorably affect a regulated utility company’s earnings and dividends in times of decreasing costs, but conversely, will tend to
adversely affect earnings and dividends when costs are rising. The value of regulated utility equity securities may tend to have an inverse relationship to the movement of interest rates. Certain utility companies have experienced full or
partial deregulation in recent years. These utility companies are frequently more similar to industrial companies in that they are subject to greater competition and have been permitted by regulators to diversify outside of their original
geographic regions and their traditional lines of business. These opportunities may permit certain utility companies to earn more than their traditional regulated rates of return. Some companies, however, may be forced to defend their core
business and may be less profitable. In addition, natural disasters, terrorist attacks, government intervention or other factors may render a utility company’s equipment unusable or obsolete and negatively impact profitability.
|
♦ |
There is no affiliation among the underlying constituent issuers, the sponsor of the target indices or the underlying assets and us or the Agents — BNS, the Agents and our
other or their respective affiliates may currently, or from time to time in the future, engage in business with the underlying constituent issuers, the sponsors of the target indices or the underlying assets. None of us, the Agents or any
of our other or their respective affiliates have participated in the preparation of any publicly available information or made any “due diligence” investigation or inquiry with respect to the underlying assets or its underlying
constituents. You should make your own investigation into the underlying assets, sponsors of the target indices and the underlying assets and the underlying constituent issuers. See the section below entitled “Information About the
Underlying Assets” herein for additional information about the underlying assets.
|
♦ |
BNS and the Agents cannot control actions by the sponsor of any underlying asset that may adjust the underlying asset in a way that could adversely affect the market value of,
and return on, the Notes, and the sponsor of any underlying asset has no obligation to consider your interests — The sponsor of any underlying asset may from time to time be called upon to make certain policy decisions or
judgments with respect to the implementation of its policies concerning the calculation of the net asset value of its underlying asset, additions, deletions or substitutions of its underlying constituents and the manner in which changes
affecting its target index are reflected in such underlying asset that could affect the market price of the shares of such underlying asset, and therefore, the return on the Notes. The return on the Notes and their market value could also
be affected if such sponsor of an underlying asset changes these policies, for example, by changing the manner in which it calculates the net asset value of such underlying asset, or if such sponsor of the underlying asset discontinues or
suspends calculation or publication of the net asset value of such underlying asset, in which case it may become difficult or inappropriate to determine the market value of your Notes. See also “— Risks Relating to Hedging Activities and
Conflicts of Interest — Following certain events, the calculation agent can make adjustments to an underlying asset and the terms of the Notes that may adversely affect the market value of, and return on, the Notes” herein.
|
♦ |
Changes affecting the target index could have an adverse effect on the market value of, and return on, the Notes — The sponsor of an underlying asset’s target index owns
such target index and is responsible for the design and maintenance of such target index. The policies of the sponsor concerning the calculation of such target index, including decisions regarding the addition, deletion or substitution of
the equity securities included in such target index, could affect the level of such target index and, consequently, could affect the market price of the shares of an underlying asset and, therefore, the amount payable on the Notes and their
market value. The sponsor may discontinue or suspend calculation or dissemination of its target index. Any such actions could have a material adverse effect on the market value of, and return on, the Notes.
|
♦ |
BNS and the Agents cannot control actions by any sponsor of a target index and no sponsor has any obligation to consider your interests — BNS and its affiliates are not
affiliated with any sponsor of a target index and have no 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 such target
index. No sponsor of any target index is 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 negatively affect the market value of, and return
on, your Notes.
|
♦ |
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.
|
♦ |
Neither BNS’ nor SCUSA’s estimated value of the Notes at any time is determined by reference to credit spreads or the borrowing rate BNS would pay for its conventional fixed-rate
debt securities — BNS’ initial estimated value of the Notes and SCUSA’s estimated value of the Notes at any time are determined by reference to BNS’ internal funding rate. The internal funding rate used in the determination of the
estimated value of the Notes generally represents a discount from the credit spreads for BNS’ conventional fixed-rate debt securities and the borrowing rate BNS would pay for its conventional fixed-rate debt securities. This discount is
based on, among other things, BNS’ view of the funding value of the Notes as well as the higher issuance, operational and ongoing liability management costs of the Notes in comparison to those costs for BNS’ conventional fixed-rate debt. If
the interest rate implied by the credit spreads for BNS’ conventional fixed-rate debt securities, or the borrowing rate BNS would pay for its conventional fixed-rate debt securities were to be used, BNS would expect the economic terms of
the Notes to be more favorable to you. Consequently, the use of an internal funding rate for the Notes increases the estimated value of the Notes at any time and has an adverse effect on the economic terms of the Notes.
|
♦ |
BNS’ initial estimated value of the Notes does not represent future values of the Notes and may differ from others’ (including SCUSA’s) estimates — BNS’ initial estimated value of the Notes 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
assets, correlation of the underlying assets, dividend rates, interest rates and other factors. Different pricing models and assumptions (including the pricing models and assumptions used by SCUSA) could provide valuations for the Notes
that are different, and perhaps materially lower, from BNS’ initial estimated value. Therefore, the price at which SCUSA would buy or sell your Notes (if SCUSA makes a market, which it is not obligated to do) may be materially lower than
BNS’ initial estimated value. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect.
|
♦ |
The Notes have limited liquidity — The Notes will not be listed on any securities exchange or automated quotation system. Therefore, there may be little or no secondary
market for the Notes. SCUSA and any other affiliates of BNS intend, but are not required, to make a market in the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes
easily. Because we do not expect that other broker-dealers will participate in the secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which SCUSA is willing to
purchase the Notes from you. If at any time SCUSA does not make a market in the Notes, it is likely that there would be no secondary market for the Notes. Accordingly, you should be willing to hold your Notes to maturity.
|
♦ |
The price at which SCUSA would buy or sell the Notes (if SCUSA makes a market, which it is not obligated to do) will be based on SCUSA’s estimated value of the Notes and may be
greater than BNS’ valuation of the Notes at that time, greater than any other secondary market prices provided by unaffiliated dealers (if any) and, depending on your broker, greater than the valuation provided on your customer account
statements — SCUSA’s estimated value of the Notes is determined by reference to its pricing models and takes into account BNS’ internal funding rate. The price at which SCUSA would initially buy or sell the Notes in the secondary
market (if SCUSA makes a market, which it is not obligated to do) may exceed (i) SCUSA’s estimated value of the Notes at the time of pricing, (ii) any secondary market prices provided by unaffiliated dealers, potentially including UBS, and
(ii) depending on your broker, the valuation provided on your customer account statement. The price that SCUSA may initially offer to buy such Notes following issuance will exceed the valuations indicated by its internal pricing models due
to the inclusion for a limited period of time of the aggregate value of the costs associated with structuring and selling the Notes, including the underwriting discount, hedging costs, issuance costs and theoretical projected trading
profit. The portion of such amounts included in any secondary market price will decline to zero on a straight line basis over a period ending no later than the date specified under “Supplemental Plan of Distribution (Conflicts of Interest);
Secondary Markets (if any).” Thereafter, if SCUSA buys or sells the Notes it will do so at prices that reflect the estimated value determined by reference to SCUSA’s pricing models at that time. The price at which SCUSA will buy or sell the
Notes at any time also will reflect its then current bid and ask spread for similar sized trades of structured notes. The temporary positive differential relative to SCUSA’s internal pricing models arises from requests from and arrangements
made by BNS and the Agents. As described above, SCUSA and its affiliates 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 levels of the underlying assets over the full term of the Notes, (ii) volatility of the levels
of the underlying assets and the market’s perception of future volatility of the underlying assets, (iii) the correlation of the underlying assets and the market’s perception of future correlation of the underlying assets, (iv) changes in
interest rates generally, (v) any actual or anticipated changes in our credit ratings or credit spreads, (vi) dividend yields on the underlying assets and (vii) time remaining to maturity. In particular, because the provisions of the Notes
relating to the contingent coupons and the payment at maturity behave like options, the value of the Notes will vary in ways which are non-linear and may not be intuitive.
|
♦ |
Hedging activities by BNS and UBS may negatively impact investors in the Notes and cause our respective interests and those of our clients and counterparties to be contrary to
those of investors in the Notes — We, or one of our affiliates, and UBS, or one of its affiliates, have hedged or will hedge our obligations under the Notes. Such hedging transactions may include entering into swap or similar
agreements, purchasing shares of the underlying assets and/or the underlying constituents and/or purchasing futures, options and/or other instruments linked to one or more underlying assets and/or the underlying constituents. We, UBS or one
or more of our or their respective affiliates also expects to adjust the hedge by, among other things, purchasing or selling any of the foregoing, and perhaps other instruments linked to one or more underlying assets and/or one or more of
the underlying constituents, at any time and from time to time, and to unwind the hedge by selling any of the foregoing on or before the final valuation date. We, UBS or one or more of our or their respective affiliates may also enter into,
adjust and unwind hedging transactions relating to other basket- or index-linked Notes whose returns are linked to changes in the levels of one or more underlying assets and/or underlying constituents. Any of these hedging activities may
adversely affect the levels of such underlying assets—directly or indirectly by affecting the price of their underlying constituents — and therefore the market value of the Notes and the amount you will receive, if any, on the Notes.
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♦ |
Following certain events, the calculation agent can make adjustments to an underlying asset and the terms of the Notes that may adversely affect the market value of, and return on,
the Notes — Following certain events affecting an underlying asset, the calculation agent may make adjustments to its initial level, coupon barrier, downside threshold and/or final level, as applicable, and any other term of the
Notes and, in some instances, may replace such underlying asset. However, the calculation agent will not make an adjustment in response to every event that could affect an underlying asset. If an event occurs that does not require the
calculation agent to make an adjustment, the market value of, and return on, the Notes may be materially and adversely affected. In addition, all determinations and calculations concerning any such adjustments will be made by the
calculation agent. You should be aware that the calculation agent may make any such adjustment, determination or calculation in a manner that differs from that discussed herein as necessary to achieve an equitable result. Following certain
events relating to an underlying asset, such as its discontinuance, a delisting or suspension of trading, or a material modification, the return on the Notes may be based on a share of another ETF, on a basket of securities, futures
contracts, commodities and/or other assets that the calculation agent determines is comparable to the affected ETF’s underlying constituents or on an alternative calculation of such ETF. The occurrence of any such event and the consequent
adjustments may materially and adversely affect the value of, and return on, the Notes. For more information, see “Additional Terms of the Notes” herein.
|
♦ |
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 assets and/or the value of the Notes. You should assume
that we or they will, at present or in the future, provide such services or otherwise engage in transactions with, among others, us and the underlying constituent issuers, or transact in securities or instruments or with parties that are
directly or indirectly related to these entities. These services could include making loans to or equity investments in those companies, providing financial advisory or other investment banking services, or issuing research reports. Any of
these financial market activities may, individually or in the aggregate, have an adverse effect on the level of the underlying assets and the market for your Notes, and you should expect that our interests and those of the Agents and/or our
or their respective affiliates, clients or counterparties, will at times be adverse to those of investors in the Notes.
|
♦ |
Potential impact on price by BNS or the Agents — Trading or transactions by BNS, the Agents or our or their respective affiliates in the underlying assets 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 assets or any underlying constituents may adversely affect the
levels of the underlying assets or underlying constituents and, therefore, the market value of the Notes, the likelihood of a contingent coupon being paid on any coupon payment date and of the Notes being called on a 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 contingent coupon is payable to you on any coupon payment date and the payment at maturity of the Notes, if any, based on observed closing levels of the
underlying assets. The calculation agent can postpone the determination of the closing level or final level of an underlying asset (and therefore the related coupon payment date or maturity date, as applicable) if a market disruption event
occurs and is continuing with respect to such 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 assets to which the Notes are linked.
|
♦ |
Credit risk of BNS — The Notes are senior unsecured debt obligations of BNS and are not, either directly or indirectly, an obligation of any third party. Any payment to
be made on the Notes, including any repayment of principal, depends on the ability of BNS to satisfy its obligations as they come due. As a result, BNS’ actual and perceived creditworthiness may affect the market value of the Notes. If BNS
were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes and you could lose your entire investment in the Notes.
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♦ |
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.
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♦ |
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.
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Hypothetical Examples of How the Notes Might Perform
|
Principal Amount:
|
$10
|
Term:
|
Approximately 5 years
|
Contingent Coupon Rate:
|
7.50% per annum (or 1.875% per quarter)
|
Contingent Coupon:
|
$0.1875 per quarter
|
Observation Dates:
|
Quarterly (callable after 6 months)
|
Initial Level:
|
|
Underlying Asset A:
Underlying Asset B:
|
$530.00
$70.00
|
Coupon Barrier:
|
|
Underlying Asset A:
Underlying Asset B:
|
$371.00 (which is equal to 70.00% of its Initial Level)
$49.00 (which is equal to 70.00% of its Initial Level)
|
Downside Threshold:
|
|
Underlying Asset A:
Underlying Asset B:
|
$371.00 (which is equal to 70.00% of its Initial Level)
$49.00 (which is equal to 70.00% of its Initial Level)
|
Date
|
Closing Level
|
Payment (per Note)
|
|||
First Observation Date
|
Underlying Asset A: $600.00 (equal to or greater than Coupon Barrier and Initial Level)
Underlying Asset B: $105.00 (equal to or greater than Coupon Barrier and Initial Level)
|
$0.1875 (Contingent Coupon – Not Callable)
|
|||
Second Observation Date
|
Underlying Asset A: $620.00 (equal to or greater than Coupon Barrier and Initial Level)
Underlying Asset B: $110.00 (equal to or greater than Coupon Barrier and Initial Level)
|
$10.1875 (Call Settlement Amount)
|
|||
Total Payment:
|
$10.375 (3.75% total return)
|
Date
|
Closing Level
|
Payment (per Note)
|
|||
First Observation Date
|
Underlying Asset A: $450.00 (equal to or greater than Coupon Barrier; less than Initial
Level)
Underlying Asset B: $60.00 (equal to or greater than Coupon Barrier; less than Initial
Level)
|
$0.1875 (Contingent Coupon)
|
|||
Second through Nineteenth Observation Dates
|
Underlying Asset A: Various (all equal to or greater than Coupon Barrier and Initial Level)
Underlying Asset B: Various (all less than Coupon Barrier and Initial Level)
|
$0.00
|
|||
Final Valuation Date
|
Underlying Asset A: $400.00 (equal to or greater than Coupon Barrier and Downside Threshold)
Underlying Asset B: $60.00 (equal to or greater than Coupon Barrier and Downside Threshold)
|
$10.1875 (Payment at Maturity)
|
|||
Total Payment:
|
$10.375 (3.75% total return)
|
Date
|
Closing Level
|
Payment (per Note)
|
|||
First Observation Date
|
Underlying Asset A: $400.00 (equal to or greater than Coupon Barrier; less than Initial
Level)
Underlying Asset B: $60.00 (equal to or greater than Coupon Barrier; less than Initial
Level)
|
$0.1875 (Contingent Coupon)
|
|||
Second through Nineteenth Observation Dates
|
Underlying Asset A: Various (all equal to or greater than Coupon Barrier and Initial Level)
Underlying Asset B: Various (all less than Coupon Barrier and Initial Level)
|
$0.00
|
|||
Final Valuation Date
|
Underlying Asset A: $212.00 (less than Coupon Barrier and Downside Threshold)
Underlying Asset B: $63.00 (equal to or greater than Coupon Barrier and Downside Threshold)
|
$10 × [1 + Underlying Return of the Least Performing Underlying Asset] =
$10 × [1 + (-60.00%)] =
$10 × 0.40 =
$4.00 (Payment at Maturity)
|
|||
Total Payment:
|
$4.1875 (58.125% loss)
|
Information About the Underlying Assets
|
SPDR® S&P 500® ETF Trust
|
Utilities Select Sector SPDR® Fund
|
Correlation of the Underlying Assets
|
What Are the Tax Consequences of the Notes?
|
Material Canadian Income Tax Consequences
|
Additional Terms of the Notes
|
a suspension, absence or material limitation of trading in an underlying asset in the primary market for such underlying asset for more than two hours of trading or during the one hour before the close of
trading in that market;
|
a suspension, absence or material limitation of trading in options or futures contracts, if available, relating to an underlying asset or to the target index of an underlying asset;
|
the occurrence or existence of a suspension, absence or material limitation of trading in the underlying constituents which then comprise 20% or more of the value of the underlying constituents of an underlying
asset on the primary exchange(s) for such underlying constituents for more than two hours of trading or during the one hour before the close of trading of such exchanges; or
|
in any other event, if the calculation agent determines that the event materially interferes with our ability, UBS’ ability or the ability of any of our respective affiliates to (1) maintain or unwind all or a
material portion of a hedge with respect to the Notes that we, UBS or our respective affiliates have effected or may effect or (2) effect trading in any underlying asset generally.
|
a price change exceeding limits set by that market,
|
an imbalance of orders relating to those contracts, or
|
a disparity in bid and ask quotes relating to those contracts,
|
a limitation on the hours or numbers of days of trading in an underlying asset or options on that underlying asset, as applicable, in the primary market for those instruments, but only if the limitation results
from an announced change in the regular business hours of the relevant market; or
|
a decision to permanently discontinue trading in the option or futures contracts relating to an underlying asset, to its target index or its underlying constituents.
|
a subdivision, consolidation or reclassification of an underlying asset or a free distribution or dividend of shares of an underlying asset to existing holders of an underlying asset by way of bonus,
capitalization or similar issue;
|
a distribution or dividend to existing holders of an underlying asset of:
|
■ |
additional shares of an underlying asset as described under “— Stock Dividends or Distributions” below,
|
■ |
other share capital or securities granting the right to payment of dividends and/or proceeds of liquidation of the respective underlying asset issuer equally or proportionately with such payments to holders of
an underlying asset, as applicable, or
|
■ |
any other type of securities, rights or warrants in any case for payment (in cash or otherwise) at less than the prevailing market price as determined by the calculation agent;
|
the declaration by the respective underlying asset issuer of an extraordinary or special dividend or other distribution, whether in cash or additional shares of an underlying asset, as applicable, or other
assets;
|
a repurchase by the respective underlying asset issuer of its equity, whether out of profits or capital and whether the consideration for such repurchase is cash, securities or otherwise;
|
a consolidation of the respective underlying asset issuer with another company; and
|
any other similar event that may have a diluting or concentrative effect on the theoretical value of an underlying asset.
|
stock dividends described under “— Stock Dividends or Distributions” above;
|
issuances of transferable rights and warrants with respect to an underlying asset as described under “— Transferable Rights and Warrants” below; and
|
extraordinary cash dividends described below.
|
for an extraordinary cash dividend that is paid in lieu of a regular quarterly dividend, the amount of the extraordinary cash dividend per share of underlying asset minus the amount per share of underlying asset
of the immediately preceding dividend, if any, that was not an extraordinary dividend for an underlying asset; or
|
for an extraordinary cash dividend that is not paid in lieu of a regular quarterly dividend, the amount per share of the extraordinary cash dividend.
|
(a) |
an underlying asset is reclassified or changed, including, without limitation, as a result of the issuance of tracking stock by its underlying asset issuer;
|
(b) |
an underlying asset issuer or any surviving entity or subsequent surviving entity of such issuer (a “successor entity”), has been subject to a merger, consolidation or other combination and either is not the
surviving entity or is the surviving entity but the outstanding shares (other than shares owned or controlled by the other party to the transaction) immediately prior to the event collectively represent less than 50% of the outstanding
shares immediately following that event;
|
(c) |
any statutory share exchange involving outstanding shares of an underlying asset issuer or any successor entity and the securities of another entity occurs, other than as part of an event described in clause (b)
above;
|
(d) |
an underlying asset issuer or any successor entity sells or otherwise transfers its property and assets as an entirety or substantially as an entirety to another entity;
|
(e) |
an underlying asset issuer or any successor entity effects a spin-off, that is, issues equity securities of another issuer to all holders of the underlying asset, other than as part of an event described in
clauses (b), (c) or (d) above (a “spin-off event”);
|
(f) |
an underlying asset issuer or any successor entity is liquidated, dissolved or wound up or is subject to a proceeding under any applicable bankruptcy, insolvency or other similar law; or
|
(g) |
a tender or exchange offer or going private transaction is commenced for all the outstanding shares of an underlying asset issuer or any successor entity and is consummated for all or substantially all of such
shares.
|
“Successor underlying asset(s)” which are equity security(ies) listed or approved for trading on a major U.S. exchange or market which satisfy clauses (i) and (ii) of the substitute selection criteria set forth
below under “— Delisting of, Suspension of Trading in, or Change in Law Affecting, an Underlying Asset”; and
|
“Non-stock distribution property” which is cash and/or any other property, assets or securities including, without limitation, equity securities that do not meet the criteria for successor underlying assets,
equity securities that are not listed or admitted to trading on any major U.S. exchange or market or securities issued by a non-U.S. company that are quoted and traded in a non-U.S. currency.
|
If a reorganization event with respect to an underlying asset occurs and the relevant distribution property, after making any applicable election, consists solely of a successor underlying asset(s), then the
determination of the closing levels and/or final level, as applicable, will be made by the calculation agent based upon the amount and value of such successor underlying asset(s) that a hypothetical holder of the underlying asset prior to
the reorganization event would have been entitled to or deemed to receive in, or as a result of, the reorganization event.
|
If a reorganization event with respect to an underlying asset occurs and the relevant distribution property, after making any applicable election, consists of (i) a successor underlying asset(s) and (ii)
non-stock distribution property, then, on the effective date of such reorganization event, the calculation agent will allocate the value of the non-stock distribution property to the successor underlying asset(s). In this case, the number
of shares of the successor underlying asset(s) attributable to an underlying asset as a result of a reorganization event will be increased by the value of the non-stock distribution property as of the effective date of the reorganization
event divided by the closing level of the applicable successor underlying asset(s) on the effective date of such reorganization event. Notwithstanding the foregoing if the value of the non-stock distribution property represents 10% or less
of the value of the distribution property received by, resulting from or otherwise retained by a hypothetical holder of an underlying asset as of the effective date of the reorganization event the calculation agent will not make the
allocation in the previous sentence. In both cases, the determination of the closing levels and/or final level, as applicable, will be made by the calculation agent based upon the amount and value of the distribution property (reallocated
to the successor underlying asset(s) as described in this bullet and in the sentence following the third bullet, as applicable) that a hypothetical holder of the underlying asset prior to the reorganization event would have been entitled to
or deemed to receive in, or as a result of, the reorganization event.
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If a reorganization event occurs with respect to an underlying asset and the relevant distribution property, after making any applicable election, consists solely of non-stock distribution property, then the
determination of the closing levels and/or final level, as applicable, will be made by the calculation agent based upon the amount, type and value of the distribution property that a hypothetical holder of the underlying asset prior to the
reorganization event would have been entitled to or deemed to receive in, or as a result of, the reorganization event. Notwithstanding the foregoing, the calculation agent may replace the underlying asset with a substitute security (as
defined under “— Delisting of, Suspension of Trading in, or Change in Law Affecting, an Underlying Asset” below). If the calculation agent selects a substitute security, such substitute security will be deemed to be the relevant underlying
asset and the calculation agent will make adjustments in the manner described under “— Delisting of, Suspension of Trading in, or Change in Law Affecting, an Underlying Asset” below and to the extent the substitute security is quoted and
traded in a non-U.S. currency, the calculation agent will make currency conversions as described for non-U.S. securities below. Alternatively, the calculation agent may determine that no substitute security exists, as set forth below, and,
in that situation may deem the closing level of the applicable underlying asset on the trading day (subject to the market disruption event provisions set forth above) immediately prior to the effective date of the reorganization event (or,
if such closing level is not determinable, as estimated by the calculation agent) to be the closing level of such underlying asset on each remaining trading day to, and including, any observation date.
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Additional Information Regarding Estimated Value of the Notes
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Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)
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