June 2024
Preliminary Pricing Supplement
Dated May 29, 2024
Registration Statement No. 333-261476
Filed pursuant to Rule 424(b)(2)
(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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SUMMARY TERMS
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Issuer:
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The Bank of Nova Scotia (“BNS”)
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Issue:
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Senior Note Program, Series A
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Underlying index:
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S&P 500® Index (Bloomberg Ticker: “SPX”)
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Aggregate principal amount:
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$·
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Stated principal amount:
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$1,000.00 per Trigger PLUS
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Issue price:
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$1,000.00 per Trigger PLUS (see “Commissions and issue price” below)
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Minimum investment:
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$1,000 (1 Trigger PLUS)
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Coupon:
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None
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Pricing date:
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June 14, 2024
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Original issue date:
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June 20, 2024 (3 business days after the pricing date). Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle
in one business day (“T+1”), unless the parties to a trade expressly agree otherwise. Accordingly, purchasers who wish to trade Trigger PLUS in the secondary market on any date prior to one business day before delivery of the Trigger PLUS
will be required, by virtue of the fact that the Trigger PLUS 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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Valuation date:
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June 30, 2026, subject to postponement in the event of a market disruption event as described in the accompanying product supplement.
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Maturity date:
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July 6, 2026, subject to postponement in the event of a market disruption event, as described in the accompanying product supplement
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Payment at maturity per Trigger
PLUS:
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■ If the final index value is greater than the initial index value:
$1,000.00 + leveraged upside payment
In no event will the payment at maturity exceed the maximum payment at maturity.
■ If the final index value is less than or equal to the initial index value but greater than or equal to the trigger level:
$1,000.00 + ($1,000.00 × absolute underlying return)
In this scenario, you will receive a 1% positive return on the Trigger PLUS for each 1%
negative return on the underlying index. In no event will this amount exceed the stated principal amount plus $200.00. You will not benefit from the leverage feature in this scenario.
■ If the final index value is less than the trigger level:
$1,000.00 + ($1,000.00 × underlying return)
If the final index value is less than the trigger level, you will lose 1% for every 1% that
the final index value falls below the initial index value and you could lose up to your entire investment in the Trigger PLUS.
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Underlying return:
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(final index value − initial index value) / initial index value
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Absolute underlying return:
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The absolute value of the underlying return. For example, a -5% underlying return will result in a +5% absolute underlying return.
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Leverage factor:
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150%
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Leveraged upside payment:
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$1,000.00 × leverage factor × underlying return
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Maximum gain:
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18.90%
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Maximum payment at maturity:
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$1,189.00 per Trigger PLUS (118.90% of the stated principal amount)
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Trigger level:
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80% of the initial index value
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Initial index value:
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The index closing value of the underlying index on the pricing date, as determined by the calculation agent and as may be adjusted as described under “General Terms of the Notes —
Unavailability of the Closing Value of a Reference Asset; Adjustments to a Reference Asset — Unavailability of the Closing Value of a Reference Index; Alternative Calculation Methodology”, as described in the accompanying product
supplement.
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Final index value:
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The index closing value of the underlying index on the valuation date, as determined by the calculation agent and as may be adjusted as described under “General Terms of the Notes —
Unavailability of the Closing Value of a Reference Asset; Adjustments to a Reference Asset — Unavailability of the Closing Value of a Reference Index; Alternative Calculation Methodology”, as described in the accompanying product
supplement.
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CUSIP/ISIN:
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06417YZ36 / US06417YZ361
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Listing:
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The Trigger PLUS will not be listed or displayed on any securities exchange or any electronic communications network.
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Calculation agent:
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Scotia Capital Inc.
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Agent:
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Scotia Capital (USA) Inc. (“SCUSA”), an affiliate of BNS. See “Supplemental information regarding plan of distribution (conflicts of interest); secondary markets (if any).”
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Estimated value on the pricing
date:
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Expected to be between $938.35 and $968.35 per stated principal amount, which will be less than the issue price listed above. See “Additional Information About the Trigger PLUS — Additional information regarding
estimated value of the Trigger PLUS” herein and “Risk Factors — Risks Relating to Estimated Value and Liquidity” beginning on page 9 of this document for additional information. The actual value of your Trigger PLUS at any time will reflect
many factors and cannot be predicted with accuracy.
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Commissions and issue price:
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Price to Public(1)
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Fees and Commissions(1)
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Proceeds to Issuer
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Per Trigger PLUS:
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$1,000.00
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$20.00(a)
$5.00(b)
$25.00
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$975.00
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Total:
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$·
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$•
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$·
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(1) |
SCUSA will purchase the Trigger PLUS at the stated principal amount and, as part of the distribution of the Trigger PLUS, will sell all of the Trigger PLUS to Morgan
Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”) at an underwriting discount which reflects:
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(a) |
a fixed sales commission of $20.00 per $1,000.00 stated principal amount of Trigger PLUS that Morgan Stanley Wealth Management sells and
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(b) |
a fixed structuring fee of $5.00 per $1,000.00 stated principal amount of Trigger PLUS that Morgan Stanley Wealth Management sells,
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
■ |
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:
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
■ |
As an alternative to direct exposure to the underlying index that enhances returns for a certain range of positive performance of the underlying index, subject to the maximum payment at maturity; however, by investing in the Trigger
PLUS, you will not be entitled to receive any dividends paid with respect to the stocks comprising the underlying index (the “index constituent stocks”) or any interest payments, and your return will not exceed the maximum payment at
maturity. You should carefully consider whether an investment that does not provide for any dividends, interest payments or exposure to the positive performance of the underlying index beyond a value that, when multiplied by the leverage
factor, exceeds the maximum gain is appropriate for you.
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To enhance returns and potentially outperform the underlying index in a moderately bullish or moderately bearish scenario.
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To achieve similar levels of upside exposure to the underlying index as a direct investment, subject to the maximum payment at maturity, while using fewer dollars by taking advantage of the leverage factor.
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To provide an unleveraged positive return for a limited range of negative performance of the underlying index.
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If the final index value is less than the trigger level, the Trigger PLUS are exposed on a 1:1 basis to the negative performance of the underlying index.
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Maturity:
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Approximately 2 years
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Leverage factor:
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150% (applicable only if the final index value is greater than the initial index value)
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Maximum payment at maturity:
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$1,189.00 per Trigger PLUS (118.90% of the stated principal amount)
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Maximum gain:
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18.90%
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Trigger level:
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80% of the initial index value
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Coupon:
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None
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Minimum payment at maturity:
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None. Investors may lose up to their entire investment in the Trigger PLUS.
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Listing:
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The Trigger PLUS will not be listed or displayed on any securities exchange or any electronic communications network.
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Leveraged Upside
Performance up to a Cap
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The Trigger PLUS offer investors an opportunity to capture enhanced returns relative to a direct investment in the underlying index or the index constituent stocks, within a certain range of
positive performance.
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Absolute Return Feature
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The Trigger PLUS offer investors an opportunity to earn an unleveraged positive return if the final index value is less than or equal to the initial index value but greater than or equal to the trigger level. You will not benefit from the leverage feature in this scenario.
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Upside Scenario if the
Underlying Index Increases
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If the final index value is greater than the initial index value, at maturity you will receive the stated principal amount of $1,000.00 plus the leveraged upside payment, subject to the
maximum payment at maturity of $1,189.00 per Trigger PLUS (118.90% of the stated principal amount).
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Absolute Return Scenario
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If the final index value is less than the initial index value but is greater than or equal to the trigger level, which is 80% of the initial index value, at maturity you will receive a 1%
positive return for each 1% negative return of the underlying index. For example, if the final index value is 5% less than the initial
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
index value, the Trigger PLUS will provide a total positive return of 5% at maturity. The maximum return you may receive in this scenario is a positive 20% return at maturity.
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Downside Scenario
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If the final index value is less than the trigger level, at maturity you will receive significantly less than the stated principal amount, if anything, resulting in a percentage loss of your
investment equal to the underlying return. For example, if the underlying return is -35%, each Trigger PLUS will redeem for $650.00, or 65% of the stated principal amount. There is no minimum payment on the
Trigger PLUS and you could lose up to your entire investment in the Trigger PLUS.
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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■ |
You fully understand and are willing to accept the risks of an investment in the Trigger PLUS, including the risk that you may lose up to 100% of your investment in the Trigger PLUS
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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, if the final index value is less than the trigger level, has the same downside market risk as that of a direct
investment in the underlying index or the index constituent stocks
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You believe that the final index value will be greater than or equal to the initial index value and understand and accept that any upside return that you earn on the Trigger PLUS will not exceed the maximum gain, or you believe that the
final index value will be less than the initial index value but greater than or equal to the trigger level and understand and accept that any further decrease of the final index value will result in a loss of a significant portion or all of
your investment
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You can tolerate fluctuations in the market prices of the Trigger PLUS prior to maturity that may be similar to or exceed the fluctuations in the value of the underlying index
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You do not seek current income from your investment and are willing to forgo any dividends paid on any index constituent stocks
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You are willing and able to hold the Trigger PLUS to maturity, a term of approximately 2 years, and accept that there may be little or no secondary market for the Trigger PLUS
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You understand and are willing to accept the risks associated with the underlying index
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You are willing to assume the credit risk of BNS for all payments under the Trigger PLUS, and you 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 unwilling to accept the risks of an investment in the Trigger PLUS, including the risk that you may lose up to 100% of your investment
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You require an investment that provides for full or contingent protection against loss of principal
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You are not willing to make an investment that, if the final index value is less than the trigger level, has the same downside market risk as that of a direct investment in the underlying index or the index constituent stocks
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You believe that the final index value will be less than the trigger level
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You seek an investment that has an unlimited return potential, or you do not understand or cannot accept that your potential upside return on the Trigger PLUS is limited to the maximum gain or that your potential positive return from the
absolute return feature is limited by the trigger level
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You cannot tolerate fluctuations in the market price of the Trigger PLUS prior to maturity that may be similar to or exceed the fluctuations in the value of the underlying index
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You seek current income from your investment or prefer to receive the dividends paid on the index constituent stocks
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You are unable or unwilling to hold the Trigger PLUS to maturity, a term of approximately 2 years, or seek an investment for which there will be an active secondary market
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You do not understand or are not willing to accept the risks associated with the underlying index
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You are not willing to assume the credit risk of BNS for all payments under the Trigger PLUS, including any repayment of principal
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
Stated principal amount:
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$1,000.00 per Trigger PLUS
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Leverage factor:
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150%
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Hypothetical initial index value:
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5,000
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Maximum payment at maturity:
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$1,189.00 per Trigger PLUS
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Maximum gain:
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18.90%
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Trigger level:
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4,000, which is 80% of the initial index value
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Minimum payment at maturity:
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None
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Final index value
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5,250
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Underlying return
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(5,250 – 5,000) / 5,000 = 5.00%
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Payment at maturity
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= $1,000.00 + leveraged upside payment, subject to the maximum payment at maturity
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= $1,000.00 + ($1,000.00 × leverage factor × underlying return), subject to the maximum payment at maturity
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= $1,000.00 + ($1,000.00 × 150% × 5.00%), subject to the maximum payment at maturity
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= $1,075.00
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Final index value
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7,500
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Underlying return
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(7,500 – 5,000) / 5,000 = 50.00%
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Payment at maturity
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= $1,000.00 + leveraged upside payment, subject to the maximum payment at maturity
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= $1,000.00 + ($1,000.00 × leverage factor × underlying return), subject to the maximum payment at maturity
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= maximum payment at maturity of $1,189.00 per Trigger PLUS
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
Final index value
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4,750
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Underlying return
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(4,750 – 5,000) / 5,000 = -5.00%
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Payment at maturity
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= $1,000.00 + ($1,000.00 × absolute underlying return)
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= $1,000.00 + ($1,000.00 × |-5.00%|)
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= $1,050.00
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Final index value
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2,000
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Underlying return
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(2,000 – 5,000) / 5,000 = -60.00%
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Payment at maturity
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= $1,000.00 + ($1,000.00 × underlying return)
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= $1,000.00 + ($1,000.00 × -60.00%)
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= $1,000.00 - $600.00
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= $400.00
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
■ |
Risk of loss at maturity; you may lose up to your entire investment. The Trigger PLUS differ from ordinary debt securities in that BNS will not necessarily repay the stated principal amount of the
Trigger PLUS at maturity. BNS will pay you the stated principal amount of your Trigger PLUS at maturity only if the final index value is greater than or equal to the trigger level. If the final index value is less than the trigger level,
you will lose 1% of your principal for every 1% that the final index value falls below the initial index value. You may lose up to your entire investment in the Trigger PLUS.
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■ |
The stated payout from the issuer applies only at maturity. You should be willing to hold your Trigger PLUS to maturity. The stated payout, including the benefit of the upside leverage and
absolute return features, is available only if you hold your Trigger PLUS to maturity. If you are able to sell your Trigger PLUS prior to maturity in the secondary market, you may have to sell them at a loss relative to your investment in
the Trigger PLUS even if the then-current value of the underlying index is greater than or equal to the trigger level.
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■ |
The potential upside return on the Trigger PLUS is limited to the maximum gain. The potential upside return of the Trigger PLUS is limited to the maximum gain. Therefore, you will not benefit from
any positive underlying return in excess of an amount that, when multiplied by the leverage factor, exceeds the maximum gain. Your return on the Trigger PLUS may be less than that of a hypothetical direct investment in the underlying index
or the index constituent stocks.
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■ |
The potential positive return on the Trigger PLUS from any negative performance of the underlying index is limited by the trigger level and the return on the Trigger PLUS may change significantly despite
only a small difference in the degree of change of the final index value relative to the initial index value. If the final index value is less than or equal to the initial index value but greater than or equal to the trigger level,
you will receive at maturity $10 plus a return equal to the absolute underlying return, which will reflect a 1% positive return for each 1% negative return on the underlying index. You will not benefit from the leverage feature in this
scenario. However, due to the trigger level, your return from the absolute return feature is effectively limited to 20% and the return on the Trigger PLUS may change significantly despite only a small difference in the degree of change of
the final index value relative to the initial index value. While a final index value that is greater than or equal to the trigger level will result in a positive return equal to the absolute underlying return, a further decline of the final
index value to less than the trigger level would instead result in a percentage loss on the Trigger PLUS that is equal to the underlying return. The return on the Trigger PLUS in these two scenarios is significantly different despite only a
small relative difference in the underlying return.
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■ |
You will not receive any interest payments. BNS will not pay any interest with respect to the Trigger PLUS.
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The amount payable on the Trigger PLUS is not linked to the value of the underlying index at any time other than the valuation date. The final index value will be based on the index closing value
on the valuation date, subject to postponement for non-trading days and certain market disruption events. Even if the value of the underlying index performs favorably to you prior to the valuation date but then drops by the valuation date,
the payment at maturity may be less, and may be significantly less, than it would have been had the payment at maturity been linked to the value of the underlying index prior to such drop. Although the actual value of the underlying index
on the stated maturity date or at other times during the term of the Trigger PLUS may be more favorable to you than the index closing value on the valuation date, the payment at maturity will be based solely on the index closing value on
the valuation date.
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■ |
Owning the Trigger PLUS is not the same as owning the index constituent stocks. The return on your Trigger PLUS may not reflect the return you would realize if you actually owned the index
constituent stocks. For instance, you will not benefit from any positive underlying return in excess of an amount that, when multiplied by the leverage factor, exceeds the maximum gain. Furthermore, you will not receive or be entitled to
receive any dividend payments or other distributions paid on the index constituent stocks, and any such dividends or distributions will not be factored into the calculation of the payment at maturity on your Trigger PLUS. In addition, as an
owner of the Trigger PLUS, you will not have voting rights or any other rights that a holder of the index constituent stocks may have.
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
■ |
The absolute return feature is not the same as taking a short position directly in the underlying index or any index constituent stocks. The return on your Trigger PLUS will not reflect the return
you may realize if you actually took a short position directly in the underlying index or any index constituent stocks. Unlike a direct short position in the underlying index or the index constituent stocks, which would entitle you to fully
benefit from any depreciation of the underlying index or such index constituent stocks, you will not benefit from any depreciation of the underlying index beyond an underlying return of -20.00%. To the contrary, an underlying return of less
than -20.00% will expose you on a 1-for-1 basis to the negative performance of the underlying index, and you will lose some or all of your investment in the Trigger PLUS, as described above.
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■ |
An investment in the Trigger PLUS involves market risk associated with the underlying index. The return on the Trigger PLUS, which may be negative, is linked to the performance of the underlying
index and indirectly linked to the value of the index constituent stocks. The value of the underlying index can rise or fall sharply due to factors specific to the underlying index or its index constituent stocks and their issuers (the
“index constituent stock issuers”), such as stock or commodity price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market
factors, such as general stock market or commodity market volatility and values, interest rates and economic, political and other conditions. You, as an investor in the Trigger PLUS, should make your own investigation into the underlying
index and the index constituent stocks.
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■ |
There can be no assurance that the investment view implicit in the Trigger PLUS will be successful. It is impossible to predict whether and the extent to which the value of the underlying index
will rise or fall and there can be no assurance that the final index value will be greater than or equal to the trigger level. The final index value (and therefore the underlying return) will be influenced by complex and interrelated
political, economic, financial and other factors that affect the index constituent stock issuers. You should be willing to accept the risks associated with the relevant markets tracked by the underlying index in general and each index
constituent stock in particular, and the risk of losing a significant portion or all of your investment in the Trigger PLUS.
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■ |
The underlying index reflects price return, not total return. The return on the Trigger PLUS is based on the performance of the underlying index, which reflects the changes in the market prices of
the index constituent stocks. It is 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 index constituent stocks. The return on the
Trigger PLUS will not include such a total return feature or dividend component.
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■ |
Changes affecting the underlying index could have an adverse effect on the market value of, and any amount payable on, the Trigger PLUS. The policies of the index sponsor as specified under
“Information About the Underlying Index” (the “index sponsor”), concerning additions, deletions and substitutions of the index constituent stocks and the manner in which the index sponsor takes account of certain changes affecting those
index constituent stocks may adversely affect the value of the underlying index. The policies of the index sponsor with respect to the calculation of the underlying index could also adversely affect the value of the underlying index. The
index sponsor may discontinue or suspend calculation or dissemination of the underlying index. Any such actions could have an adverse effect on the market value of, and any amount payable on, the Trigger PLUS.
|
■ |
There is no affiliation between the index sponsor and BNS, and BNS is not responsible for any disclosure by such index sponsor. We or our affiliates may currently, or from time to time engage in
business with the index sponsor. However, we and our affiliates are not affiliated with the index sponsor and have no ability to control or predict its actions. You, as an investor in the Trigger PLUS, should conduct your own independent
investigation of the index sponsor and the underlying index. The index sponsor is not involved in the Trigger PLUS offered hereby in any way and has no obligation of any sort with respect to your Trigger PLUS. The index sponsor has no
obligation to take your interests into consideration for any reason, including when taking any actions that might affect the value of, and any amounts payable on, your Trigger PLUS.
|
■ |
BNS’ initial estimated value of the Trigger PLUS at the time of pricing (when the terms of your Trigger PLUS are set on the pricing date) will be lower than the issue price of the Trigger PLUS. BNS’
initial estimated value of the Trigger PLUS is only an estimate. The issue price of the Trigger PLUS will exceed BNS’ initial estimated value. The difference between the issue price of the Trigger PLUS and BNS’ initial estimated value
reflects costs associated with selling and structuring the Trigger PLUS, as well as hedging its obligations under the Trigger PLUS. Therefore, the economic terms of the Trigger PLUS 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 Trigger PLUS 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 Trigger PLUS and SCUSA’s estimated value of the Trigger PLUS at any time are determined by reference to BNS’ internal funding rate. The internal funding rate used in the determination of the
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
■ |
BNS’ initial estimated value of the Trigger PLUS does not represent future values of the Trigger PLUS and may differ from others’ (including SCUSA’s) estimates. BNS’ initial estimated value of the
Trigger PLUS is determined by reference to its internal pricing models when the terms of the Trigger PLUS are set. These pricing models consider certain factors, such as BNS’ internal funding rate on the pricing date, the expected term of
the Trigger PLUS, market conditions and other relevant factors existing at that time, and BNS’ assumptions about market parameters, which can include volatility of the underlying index, 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 Trigger PLUS that are different, and perhaps materially lower, from BNS’ initial estimated value.
Therefore, the price at which SCUSA would buy or sell your Trigger PLUS (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 Trigger PLUS have limited liquidity. The Trigger PLUS will not be listed on any securities exchange or automated quotation system. Therefore, there may be little or no secondary market for the
Trigger PLUS. SCUSA and any other affiliates of BNS intend, but are not required, to make a market in the Trigger PLUS. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Trigger PLUS
easily. Because we do not expect that other broker-dealers will participate in the secondary market for the Trigger PLUS, the price at which you may be able to trade your Trigger PLUS is likely to depend on the price, if any, at which SCUSA
is willing to purchase the Trigger PLUS from you. If at any time SCUSA does not make a market in the Trigger PLUS, it is likely that there would be no secondary market for the Trigger PLUS. Accordingly, you should be willing to hold your
Trigger PLUS to maturity.
|
■ |
The price at which SCUSA would buy or sell your Trigger PLUS (if SCUSA makes a market, which it is not obligated to do) will be based on SCUSA’s estimated value of your Trigger PLUS. SCUSA’s
estimated value of the Trigger PLUS 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 your Trigger PLUS in the secondary market (if SCUSA
makes a market, which it is not obligated to do) exceeds SCUSA’s estimated value of your Trigger PLUS at the time of pricing. As agreed by SCUSA and the distribution participants, this excess is expected to decline to zero over the period
specified under “Additional Information About the Trigger PLUS — Supplemental information regarding plan of distribution (conflicts of interest); secondary markets (if any)”. Thereafter, if SCUSA buys or sells your Trigger PLUS 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 your Trigger PLUS at any time also will reflect its then-current bid and ask spread for
similar sized trades of structured notes. If SCUSA calculated its estimated value of your Trigger PLUS by reference to BNS’ credit spreads or the borrowing rate BNS would pay for its conventional fixed-rate debt securities (as opposed to
BNS’ internal funding rate), the price at which SCUSA would buy or sell your Trigger PLUS (if SCUSA makes a market, which it is not obligated to do) could be significantly lower.
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
■ |
The price of the Trigger PLUS prior to maturity will depend on a number of factors and may be substantially less than the stated principal amount. The price at which the Trigger PLUS may be sold prior to maturity will depend on a number of factors. Some of these factors include, but are not limited to: (i) actual or anticipated changes in
the value of the underlying index over the full term of the Trigger PLUS, (ii) volatility of the value of the underlying index and the index constituent stocks 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 index constituent stocks and (vi) time remaining to maturity. In particular, because the provisions of
the Trigger PLUS relating to the payment at maturity behave like options, the value of the Trigger PLUS will vary in ways which are non-linear and may not be intuitive.
|
■ |
Payments on the Trigger PLUS are subject to the credit risk of BNS. The Trigger PLUS 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 Trigger PLUS, 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 Trigger PLUS. If BNS were to default on its obligations, you may not receive any amounts owed to you under the terms of the Trigger PLUS and you could lose your entire investment in the Trigger PLUS.
|
■ |
Hedging activities by BNS and SCUSA may negatively impact investors in the Trigger PLUS and cause our respective interests and those of our clients and
counterparties to be contrary to those of investors in the Trigger PLUS. We, SCUSA or one or more of our other affiliates has hedged or expects to hedge our obligations under the Trigger PLUS. Such hedging transactions may include
entering into swap or similar agreements, purchasing shares of the index constituent stocks and/or purchasing futures, options and/or other instruments linked to the underlying index and/or one or more of the index constituent stocks. We,
SCUSA or one or more of our other 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 index and/or one or more of the index
constituent stocks, at any time and from time to time, and to unwind the hedge by selling any of the foregoing on or before the valuation date. We, SCUSA or one or more of our other affiliates may also enter into, adjust and unwind hedging
transactions relating to other basket- or index-linked securities whose returns are linked to changes in the value of the underlying index and/or one or more underlying index and/or the index constituent stocks. Any of these hedging
activities may adversely affect the value of the underlying index—directly or indirectly by affecting the price of their index constituent stocks — and therefore the market value of the Trigger PLUS and the amount you will receive, if any,
on the Trigger PLUS.
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
■ |
We, SCUSA and our other affiliates regularly provide services to, or otherwise have business relationships with, a broad client base, which has included and may include us and the index constituent stock
issuers and the market activities by us, SCUSA or our other affiliates for our or their own respective accounts or for our clients could negatively impact investors in the Trigger PLUS. We, SCUSA and our other 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, SCUSA and/or our other affiliates purchase, sell or hold a broad array of investments, actively trade
securities (including the Trigger PLUS or other securities that we have issued), the index constituent stocks, 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 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 value of the
underlying index and/or the value of the Trigger PLUS. 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 index constituent stock
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 value of the underlying index and the market for your Trigger
PLUS, and you should expect that our interests and those of SCUSA and/or our other affiliates, clients or counterparties, will at times be adverse to those of investors in the Trigger PLUS.
|
■ |
Activities conducted by BNS and its affiliates may impact the value of the underlying index and the value of the Trigger PLUS. Trading or transactions by BNS, SCUSA or our other affiliates in the
underlying index or any index constituent stocks, listed and/or over-the-counter options, futures, exchange-traded funds or other instruments with returns linked to the performance of the underlying index or any index constituent stocks may
adversely affect the value of the underlying index or index constituent stocks and, therefore, the market value of the Trigger PLUS. See “— Hedging activities by BNS and SCUSA may negatively impact investors in the Trigger PLUS and cause
our respective interests and those of our clients and counterparties to be contrary to those of investors in the Trigger PLUS” for additional information regarding hedging-related transactions and trading.
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■ |
The calculation agent will have significant discretion with respect to the Trigger PLUS, 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 the payment at maturity of the Trigger PLUS, if any, based on the observed final index value. The calculation agent can postpone the determination of the final index value (and
therefore the related maturity date) if a market disruption event occurs and is continuing with respect to the underlying index on the valuation date.
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■ |
BNS and its affiliates may publish research or make opinions or recommendations that are inconsistent with an investment in the Trigger PLUS. BNS, SCUSA and our other affiliates may publish
research from time to time on financial markets and other matters that may influence the value of the Trigger PLUS, or express opinions or provide recommendations that are inconsistent with purchasing or holding the Trigger PLUS. Any
research, opinions or recommendations expressed by BNS, SCUSA or our other 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 Trigger PLUS and the underlying index to which the Trigger PLUS are linked.
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■ |
Uncertain tax treatment. Significant aspects of the tax treatment of the Trigger PLUS are uncertain. You should consult your tax advisor about your tax situation. See “Additional Information About
the Trigger PLUS — Tax Considerations” and “— Material Canadian Income Tax Consequences” herein.
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
Bloomberg Ticker Symbol:
|
SPX <Index>
|
52 Week High (on May 21, 2024):
|
5,321.41
|
Current Index Value:
|
5,306.04
|
52 Week Low (on October 27, 2023):
|
4,117.37
|
52 Weeks Ago (on May 26, 2023):
|
4,205.45
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
S&P 500® Index
|
High
|
Low
|
Period End
|
||
2019
|
|||||
First Quarter
|
2,854.88
|
2,447.89
|
2,834.40
|
||
Second Quarter
|
2,954.18
|
2,744.45
|
2,941.76
|
||
Third Quarter
|
3,025.86
|
2,840.60
|
2,976.74
|
||
Fourth Quarter
|
3,240.02
|
2,887.61
|
3,230.78
|
||
2020
|
|||||
First Quarter
|
3,386.15
|
2,237.40
|
2,584.59
|
||
Second Quarter
|
3,232.39
|
2,470.50
|
3,100.29
|
||
Third Quarter
|
3,580.84
|
3,115.86
|
3,363.00
|
||
Fourth Quarter
|
3,756.07
|
3,269.96
|
3,756.07
|
||
2021
|
|||||
First Quarter
|
3,974.54
|
3,700.65
|
3,972.89
|
||
Second Quarter
|
4,297.50
|
4,019.87
|
4,297.50
|
||
Third Quarter
|
4,536.95
|
4,258.49
|
4,307.54
|
||
Fourth Quarter
|
4,793.06
|
4,300.46
|
4,766.18
|
||
2022
|
|||||
First Quarter
|
4,796.56
|
4,170.70
|
4,530.41
|
||
Second Quarter
|
4,582.64
|
3,666.77
|
3,785.38
|
||
Third Quarter
|
4,305.20
|
3,585.62
|
3,585.62
|
||
Fourth Quarter
|
4,080.11
|
3,577.03
|
3,839.50
|
||
2023
|
|||||
First Quarter
|
4,179.76
|
3,808.10
|
4,109.31
|
||
Second Quarter
|
4,450.38
|
4,055.99
|
4,450.38
|
||
Third Quarter
|
4,588.96
|
4,273.53
|
4,288.05
|
||
Fourth Quarter
|
4,783.35
|
4,117.37
|
4,769.83
|
||
2024
|
|||||
First Quarter
|
5,254.35
|
4,688.68
|
5,254.35
|
||
Second Quarter (through May 28, 2024)
|
5,321.41
|
4,967.23
|
5,306.04
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
S&P 500® Index – Daily Index Closing Values
January 1, 2019 to May 28, 2024
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
Additional Provisions:
|
||||
Trustee:
|
Computershare Trust Company, N.A.
|
|||
Calculation agent:
|
Scotia Capital Inc.
|
|||
Trading day:
|
As specified in the product supplement under “General Terms of the Notes — Special Calculation Provisions — Trading Day”.
|
|||
Business day:
|
A day other than a Saturday or Sunday or a day on which banking institutions in New York City are authorized or required by law to close.
|
|||
Tax redemption:
|
Notwithstanding anything to the contrary in the accompanying product supplement, the provisions 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 Trigger PLUS.
|
|||
Canadian bail-in:
|
The Trigger PLUS are not bail-inable debt securities under the CDIC Act.
|
|||
Terms incorporated:
|
All of the terms appearing above the item under the caption “General Terms of the Notes” in the accompanying product supplement, as modified by this
document, and for purposes of the foregoing, the terms used herein mean the corresponding terms as defined in the accompanying product supplement, as specified below:
|
|||
Term used herein
|
Corresponding term in the accompanying
product supplement
|
|||
underlying index
|
reference asset
|
|||
index constituent stocks
|
reference asset constituents
|
|||
stated principal amount
|
principal amount
|
|||
original issue date
|
issue date
|
|||
valuation date
|
final valuation date
|
|||
index closing value
|
closing value
|
|||
initial index value
|
initial value
|
|||
final index value
|
final value
|
|||
underlying return
|
reference asset return
|
|||
trigger level
|
barrier value
|
|||
leverage factor
|
participation rate
|
|||
Additional information regarding
estimated value of the Trigger
PLUS:
|
On the cover page of this pricing supplement, BNS has provided the initial estimated value range for the Trigger PLUS. This range of estimated values was determined by
reference to BNS’ internal pricing models, which take into consideration certain factors, such as BNS’ internal funding rate on the pricing date and BNS’ assumptions about market parameters. For more information about the initial estimated
value, see “Risk Factors — Risks Relating to Estimated Value and Liquidity” herein.
The economic terms of the Trigger PLUS are based on BNS’ internal funding rate, which is the rate BNS would pay to borrow funds through the issuance of similar market-linked
securities and the economic terms of certain related hedging arrangements. Due to these factors, the issue price you pay to purchase the Trigger PLUS will be greater than the initial estimated value of the Trigger PLUS. BNS’ internal
funding rate is typically lower than the rate BNS would pay when it issues conventional fixed rate debt securities as discussed further under “Risk Factors — Risks Relating to Estimated Value and Liquidity — Neither BNS’ nor SCUSA’s
estimated value of the Trigger PLUS 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’ use of its internal funding rate reduces the economic
terms of the Trigger PLUS to you. We urge you to read the “Risk Factors” in this pricing supplement for additional information.
|
|||
Material Canadian income tax
consequences:
|
See “Supplemental Discussion of Canadian Tax Consequences” in the accompanying product supplement for a discussion of the material Canadian income tax consequences of an
investment in the Trigger PLUS. In addition to the assumptions, limitations and conditions described therein, such discussion assumes that a Non-Resident Holder is not an entity in respect of which BNS is a “specified entity” as defined in
proposals to amend the Income Tax Act (Canada) (the “Act”) released by the Minister of Finance (Canada) on November 28, 2023 with respect to “hybrid mismatch arrangements”, as defined (the “Hybrid Mismatch Proposals”). In general terms, the
Hybrid Mismatch Proposals provide that two entities will be treated as specified entities in respect of one another if one entity, directly or indirectly, holds a 25% equity interest in the other entity, or a third entity, directly or
indirectly, holds a 25% equity interest in both entities.
Such discussion further assumes that no amount paid or payable to a Non-Resident Holder will be the deduction component of a “hybrid mismatch arrangement” under which the
payment arises within the meaning of proposed paragraph 18.4(3)(b) of the Act contained in the Hybrid Mismatch Proposals.
Investors should note that the Hybrid Mismatch Proposals are in consultation form, are highly complex, and there remains significant uncertainty as to their interpretation and
application. There can be no assurance that the Hybrid Mismatch Proposals will be enacted in their current form, or at all.
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
Tax considerations:
|
The U.S. federal income tax consequences of your investment in the Trigger PLUS are uncertain. There are no statutory provisions, regulations,
published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as the Trigger PLUS. Some of these tax consequences are summarized
below, but we urge you to read the more detailed discussion in “Material U.S. Federal Income Tax Consequences”, in the accompanying product supplement and to discuss the tax consequences of your particular situation with your tax advisor. This discussion is based upon the U.S. Internal Revenue Code of 1986, as amended (the “Code”), final, temporary and proposed U.S. Department of the Treasury (the “Treasury”) regulations, rulings and decisions,
in each case, as available and in effect as of the date hereof, all of which are subject to change, possibly with retroactive effect. Tax consequences under state, local and non-U.S. laws are not addressed herein. No ruling from the U.S.
Internal Revenue Service (the “IRS”) has been sought as to the U.S. federal income tax consequences of your investment in the Trigger PLUS, and the following discussion is not binding on the IRS.
U.S. Tax Treatment. Pursuant to the terms of the Trigger PLUS, BNS and you agree, in the absence of a statutory or regulatory change
or an administrative determination or judicial ruling to the contrary, to characterize your Trigger PLUS as prepaid derivative contracts with respect to the underlying index. If your Trigger PLUS are so treated, you should generally
recognize long-term capital gain or loss if you hold your Trigger PLUS for more than one year (and, otherwise, short-term capital gain or loss) upon the taxable disposition (including cash settlement) of your Trigger PLUS, in an amount
equal to the difference between the amount you receive at such time and the amount you paid for your Trigger PLUS. The deductibility of capital losses is subject to limitations.
Based on certain factual representations received from us, our special U.S. tax counsel, Fried, Frank, Harris, Shriver & Jacobson LLP, is of the opinion
that it would be reasonable to treat your Trigger PLUS in the manner described above. However, because there is no authority that specifically addresses the tax treatment of the Trigger PLUS, it is possible that your Trigger PLUS could
alternatively be treated for tax purposes as a single contingent payment debt instrument, or pursuant to some other characterization, such that the timing and character of your income from the Trigger PLUS could differ materially and
adversely from the treatment described above, as described further under “Material U.S. Federal Income Tax Consequences”, in the accompanying product supplement. There may be also a risk that the IRS could assert that the Trigger PLUS
should not give rise to long-term capital gain or loss because the Trigger PLUS offer, at least in part, short exposure to the underlying index.
Except to the extent otherwise required by law, BNS intends to treat your Trigger PLUS for U.S. federal income tax purposes in accordance with the treatment described above
and under “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement, unless and until such time as the Treasury and the IRS determine that some other treatment is more appropriate.
Notice 2008-2. In 2007, the IRS released a notice that may affect the taxation of holders of the Trigger PLUS. According to Notice
2008-2, the IRS and the Treasury are actively considering whether a holder of an instrument such as the Trigger PLUS should be required to accrue ordinary income on a current basis. It is not possible to determine what guidance they will
ultimately issue, if any. It is possible, however, that under such guidance, holders of the Trigger PLUS will ultimately be required to accrue income currently and this could be applied on a retroactive basis. The IRS and the Treasury are
also considering other relevant issues, including whether additional gain or loss from such instruments should be treated as ordinary or capital, whether non-U.S. holders of such instruments should be subject to withholding tax on any
deemed income accruals, and whether the special “constructive ownership rules” of Section 1260 of the Code should be applied to such instruments. Both U.S. and non-U.S. holders are urged to consult their tax advisors concerning the
significance, and the potential impact, of the above considerations.
Medicare Tax on Net Investment Income. U.S. holders that are individuals, estates or certain trusts are subject to an additional 3.8%
tax on all or a portion of their “net investment income,” or “undistributed net investment income” in the case of an estate or trust, which may include any income or gain realized with respect to the Trigger PLUS, to the extent of their net
investment income or undistributed net investment income (as the case may be) that, when added to their other modified adjusted gross income, exceeds $200,000 for an unmarried individual, $250,000 for a married taxpayer filing a joint
return (or a surviving spouse), $125,000 for a married individual filing a separate return or the dollar amount at which the highest tax bracket begins for an estate or trust. The 3.8% Medicare tax is determined in a different manner than
the regular income tax. U.S. holders should consult their tax advisors as to the consequences of the 3.8% Medicare tax.
Specified Foreign Financial Assets. U.S. holders may be subject to reporting obligations with respect to their Trigger PLUS if they
do not hold their Trigger PLUS in an account maintained by a financial institution and the aggregate value of their Trigger PLUS and certain other “specified foreign financial assets” (applying certain attribution rules) exceeds an
applicable threshold. Significant penalties can apply if a U.S. holder is required to disclose its Trigger PLUS and fails to do so.
Non-U.S. Holders. Subject to Section 871(m) of the Code and “FATCA”, discussed below, if you are a non-U.S. holder you should
generally not be subject to U.S. withholding tax with respect to
|
||
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
payments on your Trigger PLUS or to generally applicable information reporting and backup withholding requirements with respect to payments on your Trigger PLUS if you comply
with certain certification and identification requirements as to your non-U.S. status (by providing us (and/or the applicable withholding agent) with a fully completed and duly executed applicable IRS Form W-8). Subject to Section 897 of
the Code and Section 871(m) of the Code, discussed below, gain realized from the taxable disposition of a Trigger PLUS generally should not be subject to U.S. tax unless (i) such gain is effectively connected with a trade or business
conducted by you in the U.S., (ii) you are a non-resident alien individual and are present in the U.S. for 183 days or more during the taxable year of such taxable disposition and certain other conditions are satisfied or (iii) you have
certain other present or former connections with the U.S.
Section 897. We will not attempt to ascertain whether any index constituent stock issuer would be treated as a “United States real
property holding corporation” (“USRPHC”) within the meaning of Section 897 of the Code. We also have not attempted to determine whether the Trigger PLUS should be treated as “United States real property interests” (“USRPI”) as defined in
Section 897 of the Code. If any such entity and/or the Trigger PLUS were so treated, certain adverse U.S. federal income tax consequences could possibly apply, including subjecting any gain to a non-U.S. holder in respect of a Trigger PLUS
upon a taxable disposition of the Trigger PLUS to the U.S. federal income tax on a net basis, and the proceeds from such a taxable disposition to a 15% withholding tax. Non-U.S. holders should consult their tax advisors regarding the
potential treatment of any index constituent stock issuer as a USRPHC and/or the Trigger PLUS as USRPI.
Section 871(m). A 30% withholding tax (which may be reduced by an applicable income tax treaty) is imposed under Section 871(m) of the
Code on certain “dividend equivalents” paid or deemed paid to a non-U.S. holder with respect to a “specified equity-linked instrument” that references one or more dividend-paying U.S. equity securities or indices containing U.S. equity
securities. The withholding tax can apply even if the instrument does not provide for payments that reference dividends. Treasury regulations provide that the withholding tax applies to all dividend equivalents paid or deemed paid on
specified equity-linked instruments that have a delta of one (“delta-one specified equity-linked instruments”) issued after 2016 and to all dividend equivalents paid or deemed paid on all other specified equity-linked instruments issued
after 2017. However, the IRS has issued guidance that states that the Treasury and the IRS intend to amend the effective dates of the Treasury regulations to provide that withholding on dividend equivalents paid or deemed paid will not
apply to specified equity-linked instruments that are not delta-one specified equity-linked instruments and are issued before January 1, 2027.
Based on the nature of the underlying index and our determination that the Trigger PLUS are not “delta-one” with respect to the underlying index or any index constituent
stocks, our special U.S. tax counsel is of the opinion that the Trigger PLUS should not be delta-one specified equity-linked instruments and thus should not be subject to withholding on dividend equivalents. Our determination is not binding
on the IRS, and the IRS may disagree with this determination. Furthermore, the application of Section 871(m) of the Code will depend on our determinations on the date the terms of the Trigger PLUS are set. If withholding is required, we
will not make payments of any additional amounts.
Nevertheless, after the date the terms are set, it is possible that your Trigger PLUS could be deemed to be reissued for tax purposes upon the occurrence of certain events
affecting the underlying index, any index constituent stocks or your Trigger PLUS, and following such occurrence your Trigger PLUS could be treated as delta-one specified equity-linked instruments that are subject to withholding on dividend
equivalents. It is also possible that withholding tax or other tax under Section 871(m) of the Code could apply to the Trigger PLUS under these rules. If you enter, or have entered, into other transactions in respect of the underlying
index, any index constituent stocks or the Trigger PLUS should consult your tax advisor regarding the application of Section 871(m) of the Code to your Trigger PLUS in the context of your other transactions.
Because of the uncertainty regarding the application of the 30% withholding tax on dividend equivalents to the Trigger PLUS, you are urged to consult your
tax advisor regarding the potential application of Section 871(m) of the Code and the 30% withholding tax to an investment in the Trigger PLUS.
FATCA. The Foreign Account Tax Compliance Act (“FATCA”) was enacted on March 18, 2010, and imposes a 30% U.S. withholding tax on
“withholdable payments” (i.e., certain U.S.-source payments, including interest (and original issue discount), dividends, other fixed or determinable annual or periodical gain, profits, and income, and on the gross proceeds from a
disposition of property of a type which can produce U.S.-source interest or dividends) and “passthru payments” (i.e., certain payments attributable to withholdable payments) made to certain foreign financial institutions (and certain of
their affiliates) unless the payee foreign financial institution agrees (or is required), among other things, to disclose the identity of any U.S. individual with an account at the institution (or the relevant affiliate) and to annually
report certain information about such account. FATCA also requires withholding agents making withholdable payments to certain foreign entities that do not disclose the name, address, and taxpayer identification number of any substantial
U.S. owners (or do not certify that they do not have any substantial U.S. owners) to withhold tax at a rate of 30%. Under certain circumstances, a holder may be eligible for refunds or credits of such taxes.
Pursuant to final and temporary Treasury regulations and other IRS guidance, the withholding and reporting requirements under FATCA will generally apply to certain
“withholdable payments”, will
|
Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
not apply to gross proceeds on a sale or disposition, and will apply to certain foreign passthru payments only to the extent that such payments are made after the date that is
two years after final regulations defining the term “foreign passthru payment” are published. If withholding is required, we (or the applicable paying agent) will not be required to pay additional amounts with respect to the amounts so
withheld. Foreign financial institutions and non-financial foreign entities located in jurisdictions that have an intergovernmental agreement with the U.S. governing FATCA may be subject to different rules.
Investors should consult their tax advisors about the application of FATCA, in particular if they may be classified as financial institutions (or if they hold their Trigger
PLUS through a foreign entity) under the FATCA rules.
Backup Withholding and Information Reporting. The proceeds received from a taxable disposition of the Trigger PLUS will be subject to
information reporting unless you are an “exempt recipient” and may also be subject to backup withholding at the rate specified in the Code if you fail to provide certain identifying information (such as an accurate taxpayer number, if you
are a U.S. holder) or meet certain other conditions.
Amounts withheld under the backup withholding rules are not additional taxes and may be refunded or credited against your U.S. federal income tax liability, provided the
required information is furnished to the IRS.
U.S. Federal Estate Tax Treatment of Non-U.S. Holders. A Trigger PLUS may be subject to U.S. federal estate tax if an individual
non-U.S. holder holds the Trigger PLUS at the time of his or her death. The gross estate of a non-U.S. holder domiciled outside the U.S. includes only property situated in the U.S. Individual non-U.S. holders should consult their tax
advisors regarding the U.S. federal estate tax consequences of holding the Trigger PLUS at death.
Proposed Legislation. In 2007, legislation was introduced in Congress that, if it had been enacted, would have required holders of
Trigger PLUS purchased after the bill was enacted to accrue interest income over the term of the Trigger PLUS despite the fact that there will be no interest payments over the term of the Trigger PLUS.
Furthermore, in 2013, the House Ways and Means Committee released in draft form certain proposed legislation relating to financial instruments. If it had been enacted, the
effect of this legislation generally would have been to require instruments such as the Trigger PLUS to be marked to market on an annual basis with all gains and losses to be treated as ordinary, subject to certain exceptions.
It is not possible to predict whether any similar or identical bills will be enacted in the future, or whether any such bill would affect the tax treatment of your Trigger
PLUS. You are urged to consult your tax advisor regarding the possible changes in law and their possible impact on the tax treatment of your Trigger PLUS.
Both U.S. and non-U.S. holders are urged to consult their tax advisors concerning the application of U.S. federal income tax laws to their particular
situations, as well as any tax consequences of the purchase, beneficial ownership and disposition of the Trigger PLUS arising under the laws of any state, local, non-U.S. or other taxing jurisdiction (including that of BNS).
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Supplemental information
regarding plan of distribution
(conflicts of interest); secondary
markets (if any):
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SCUSA, our affiliate, will purchase the Trigger PLUS at the stated principal amount and, as part of the distribution of the Trigger PLUS, will sell the Trigger PLUS to Morgan
Stanley Wealth Management with an underwriting discount of $25.00 reflecting a fixed sales commission of $20.00 and fixed structuring fee of $5.00 per $1,000.00 stated principal amount of Trigger PLUS that Morgan Stanley Wealth Management
sells. BNS or an affiliate may also pay a fee to LFT Securities, LLC, an entity in which an affiliate of Morgan Stanley Wealth Management has an ownership interest, for providing certain electronic platform services with respect to this
offering.
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BNS, SCUSA or any other affiliate of BNS may use this document, the accompanying product supplement and the accompanying prospectus in a market-making transaction for any
Trigger PLUS after their initial sale. In connection with the offering, BNS, SCUSA, any other affiliate of BNS or any other securities dealers may distribute this document, the accompanying product supplement and the accompanying prospectus
electronically. Unless BNS or its agent informs the purchaser otherwise in the confirmation of sale, this document, the accompanying product supplement and the accompanying prospectus are being used in a market-making transaction.
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Conflicts of Interest — SCUSA is an affiliate of BNS and, as such, has a “conflict of
interest” in this offering within the meaning of the Financial Industry Regulatory Authority, Inc. (“FINRA”) Rule 5121. In addition, BNS will receive the gross proceeds from the initial public offering of the Trigger PLUS, thus creating an
additional conflict of interest within the meaning of FINRA Rule 5121. Consequently, the offering is being conducted in compliance with the provisions of FINRA Rule 5121. SCUSA is not permitted to sell securities in this offering to an
account over which it exercises discretionary authority without the prior specific written approval of the account holder.
In the ordinary course of their various business activities, SCUSA, and its affiliates may make or hold a broad array of investments and actively trade debt and equity
securities (or related derivative securities) and financial instruments (including bank loans) for their own account and for the accounts of their customers, and such investment and securities activities may involve securities and/or
instruments of BNS. SCUSA, and its affiliates may also make investment recommendations and/or publish or express independent research views in respect of such securities or instruments
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Dual Directional Trigger PLUS Based on the Value of the S&P 500® Index due on or about July 6, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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and may at any time hold, or recommend to clients that they acquire, long and/or short positions in such securities and instruments.
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SCUSA and its affiliates may offer to buy or sell the Trigger PLUS in the secondary market (if any) at prices greater than BNS’ internal
valuation — The value of the Trigger PLUS at any time will vary based on many factors that cannot be predicted. However, the price (not including SCUSA’s or any affiliates’ customary bid-ask
spreads) at which SCUSA or any affiliate would offer to buy or sell the Trigger PLUS immediately after the pricing date in the secondary market is expected to exceed the initial estimated value of the Trigger PLUS as determined by reference
to our internal pricing models. The amount of the excess will decline to zero on a straight line basis over a period ending no later than 6 weeks after the pricing date, provided that SCUSA may shorten the period based on various factors,
including the magnitude of purchases and other negotiated provisions with selling agents. Notwithstanding the foregoing, SCUSA and its affiliates intend, but are not required, to make a market for the Trigger PLUS and may stop making a
market at any time. For more information about secondary market offers and the initial estimated value of the Trigger PLUS, see “Risk Factors” herein.
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Prohibition of sales to EEA retail
investors:
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The Trigger PLUS are not intended to be offered, sold or otherwise made available to and should not be offered, sold or otherwise made available to any retail investor in the
European Economic Area (“EEA”). For these purposes, a retail investor means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU, as amended (“MiFID II”); (ii) a customer
within the meaning of Directive (EU) 2016/97, as amended, where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified investor as defined in Regulation (EU)
2017/1129, as amended. Consequently no key information document required by Regulation (EU) No 1286/2014, as amended (the “PRIIPs Regulation”), for offering or selling the Trigger PLUS or otherwise making them available to retail investors
in the EEA has been prepared and therefore offering or selling the Trigger PLUS or otherwise making them available to any retail investor in the EEA may be unlawful under the PRIIPs Regulation.
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Prohibition of sales to United
Kingdom retail investors:
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The only categories of person in the United Kingdom to whom this document may be distributed are those persons who (i) have professional experience in matters relating to
investments falling within the definition of investment professionals (as defined in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (as amended, the “Financial Promotion Order”)), (ii) are
persons falling within Article 49(2)(a) to (d) (“high net worth companies, unincorporated associations etc.”) of the Financial Promotion Order, or (iii) are persons to whom an invitation or inducement to engage in investment activity
(within the meaning of section 21 of the Financial Services and Markets Act 2000 (“FSMA”)) in connection with the issue or sale of any securities may otherwise lawfully be communicated or caused to be communicated (all such persons in
(i)-(iii) above together being referred to as “Relevant Persons”). This document is directed only at Relevant Persons and must not be acted on or relied on by persons who are not Relevant Persons. Any investment or investment activity to
which this document relates is available only to Relevant Persons and will be engaged in only with Relevant Persons. This document may only be provided to persons in the United Kingdom in circumstances where section 21(1) of FSMA does not
apply to BNS. The Trigger PLUS are not being offered to “retail investors” within the meaning of the Packaged Retail and Insurance-based Investment Products Regulations 2017 and accordingly no Key Information Document has been produced
under these regulations.
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June 2024
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Page 20
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