The information in this preliminary pricing supplement is not complete and may be changed. We may not sell these Securities until the pricing supplement,
the accompanying product supplement, underlier supplement, prospectus supplement and prospectus (collectively, the “Offering Documents”) are delivered in final form. The Offering Documents are not an offer to sell these Securities and we are not
soliciting offers to buy these Securities in any state where the offer or sale is not permitted.
 |
Subject to Completion
PRELIMINARY PRICING SUPPLEMENT
Dated June 18, 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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The Bank of Nova Scotia $● Trigger Step Securities
Linked to the Nikkei 225 Index due on or about June 29, 2029
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Investment Description
|
The Bank of Nova Scotia Trigger Step Securities (the “Securities”) are senior unsecured debt securities issued by The Bank of Nova Scotia (“BNS” or the “issuer”)
linked to the Nikkei 225 Index (the “underlying”). The amount you receive at maturity will be based on the direction and percentage change in the closing level of the underlying from the initial level to the final level (the “underlying return”)
and whether the closing level of the underlying on the final valuation date (the “final level”) is less than the step barrier or downside threshold. If the final level is equal to or greater than the step barrier, BNS will pay you a cash payment
per Security at maturity equal to the principal amount plus a percentage return equal to the greater of (i) the step return and (ii) the underlying return. If the final level is less than the step barrier
but equal to or greater than the downside threshold, BNS will pay you a cash payment per Security at maturity equal to the principal amount. If, however, the final level is less than the downside threshold, BNS will pay you a cash payment per
Security at maturity that is less than the principal amount, if anything, resulting in a percentage loss of your principal amount equal to the underlying return and, in extreme situations, you could lose your entire investment in the Securities. Investing in the Securities involves significant risks. The Securities do not pay interest. You may lose a significant portion or all of your investment in the Securities. The contingent repayment of principal applies
only if you hold the Securities to maturity. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness of BNS. If BNS were to default on its payment obligations you may not receive any amounts owed to
you under the Securities and you could lose your entire investment in the Securities.
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Features
|
 |
Participation in the Positive Underlying Return with Step Return Feature: At maturity, if the final level is equal to or greater than the step barrier, the Securities
provide a percentage return equal to the greater of (i) the step return and (ii) the underlying return.
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| |
Contingent Repayment of Principal at Maturity with Potential for Full Downside Market Exposure: If the final level is less than the step barrier but equal to or greater
than the downside threshold, BNS will pay you a cash payment per Security at maturity equal to the principal amount. If, however, the final level is less than the downside threshold, BNS will pay you a cash payment per Security at
maturity that is less than the principal amount, if anything, resulting in a percentage loss of your principal amount equal to the underlying return and, in extreme situations, you could lose your entire investment in the Securities.
The contingent repayment of principal applies only if you hold the Securities to maturity. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness of BNS.
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Key Dates*
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| Trade Date** | June 26, 2024 |
| Settlement Date** | June 28, 2024 |
| Final Valuation Date | June 27, 2029 |
| Maturity Date | June 29, 2029 |
| * |
Expected. See page P-2 for additional details.
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| ** |
We expect to deliver the Securities against payment on or about the second business day following the trade date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary
market generally are required to settle in one business day (T+1), unless the parties to a trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Securities in the secondary market on any date prior to one
business day before delivery of the Securities will be required, by virtue of the fact that each Security initially will settle in two business days (T+2), to specify alternative settlement arrangements to prevent a failed settlement of
the secondary market trade.
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Notice to investors: the Securities are significantly riskier than conventional debt instruments. The issuer is not necessarily obligated to repay the principal amount of the
Securities at maturity, and the Securities may have the same downside market risk as that of the underlying. This market risk is in addition to the credit risk inherent in purchasing a debt obligation of BNS. You should not purchase the Securities
if you do not understand or are not comfortable with the significant risks involved in investing in the Securities.
You should carefully consider the risks described under “Key Risks” beginning on page P-3 herein 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 Securities. You may lose a significant portion or all of your investment in the Securities. The Securities will not be listed or displayed on any securities exchange
or any electronic communications network.
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Security Offering
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The final terms of the Securities will be set on the trade date. The Securities are offered at a minimum investment of 100 Securities at $10 per Security
(representing a $1,000 investment), and integral multiples of $10 in excess thereof.
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Underlying
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Bloomberg
Ticker
|
Step Return
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Initial Level
|
Step Barrier
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Downside Threshold
|
CUSIP
|
ISIN
|
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Nikkei 225 Index
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NKY
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63.00% – 68.00%
|
•
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100.00% of the Initial Level
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75.00% of the Initial Level
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06418K405
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US06418K4058
|
The initial estimated value of your Securities at the time the terms of your Securities are set on the trade date is expected to be between $9.03 and $9.33 per
principal amount, which will be less than the issue price to public listed below. See “Additional Information Regarding Estimated Value of the Securities” herein and “Key Risks — Risks Relating to Estimated Value and Liquidity” beginning on page
P-4 of this document for additional information. The actual value of your Securities at any time will reflect many factors and cannot be predicted with accuracy.
See “Additional Information About BNS and the Securities” on page P-ii. The Securities will have the terms set forth in the
accompanying product supplement, prospectus supplement, underlier supplement and prospectus, each dated December 29, 2021, and this document.
Neither the Securities and Exchange Commission (the “SEC”) nor any other regulatory body has approved or disapproved of these Securities or passed upon the adequacy
or accuracy of this document, the accompanying product supplement, underlier supplement, prospectus supplement or prospectus. Any representation to the contrary is a criminal offense.
The Securities are not insured by the Canada Deposit Insurance Corporation (the “CDIC”) pursuant to the Canada Deposit Insurance Corporation Act (the “CDIC Act”) or the U.S. Federal
Deposit Insurance Corporation or any other government agency of Canada, the U.S. or any other jurisdiction. The Securities are not bail-inable debt securities under the CDIC Act.
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Offering of Securities
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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 Security
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Total
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Per Security
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Total
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Per Security
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|
|
Securities linked to the Nikkei 225 Index
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$•
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$10.00
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$•
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$0.35
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$•
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$9.65
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(1)
|
Scotia Capital (USA) Inc. (“SCUSA”), our affiliate, will purchase the Securities at the principal amount and, as part of the distribution of the Securities, will sell the Securities 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)
|
This amount excludes any profits to BNS, SCUSA or any of our other affiliates from hedging. See “Key Risks” and “Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets
(if any)” herein for additional considerations relating to hedging activities.
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| Scotia Capital (USA) Inc. | UBS Financial Services Inc. |
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Additional Information About BNS and the Securities
|
The Securities may vary from the terms described in the accompanying prospectus, prospectus supplement, underlier supplement and product supplement in several important ways. You should read this
pricing supplement carefully, including the documents incorporated by reference herein. In the event of any conflict between this pricing supplement and any of the foregoing, the following hierarchy will govern: first, this pricing supplement;
second, the accompanying product supplement; third, the accompanying underlier supplement; fourth, the accompanying prospectus supplement; and last, the accompanying prospectus. You may access these documents on the SEC website at www.sec.gov as
follows (or if that address has changed, by reviewing our filings for the relevant date on the SEC website).
This pricing supplement, together with the documents listed below, contains the terms of the Securities and supersedes all prior or contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the
matters set forth in “Key Risks” herein, in “Additional Risk Factors Specific to the Securities” of the accompanying product supplement and in “Risk Factors” of the accompanying prospectus supplement and of the accompanying prospectus, as the
Securities involve risks not associated with conventional debt securities.
We urge you to consult your investment, legal, tax, accounting and other advisors concerning an investment in the Securities in light of your particular circumstances.
You may access these documents on the SEC website at www.sec.gov as follows:
| ♦ |
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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References to “BNS”, “we”, “our” and “us” refer only to The Bank of Nova Scotia and not to its consolidated subsidiaries and references to the “Trigger Step Securities” or the
“Securities” refer to the Securities that are offered hereby. Also, references to the “accompanying product supplement” mean the BNS product supplement, dated December 29, 2021, references to the “accompanying underlier supplement” mean the BNS
underlier supplement, dated December 29, 2021, references to the “accompanying prospectus supplement” mean the BNS prospectus supplement, dated December 29, 2021 and references to the “accompanying prospectus” mean the BNS prospectus, dated December
29, 2021.
BNS reserves the right to change the terms of, or reject any offer to purchase, the Securities prior to their issuance. In the event of any changes to the terms of the Securities, BNS will notify you
and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case BNS may reject your offer to purchase.
P-ii
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Investor Suitability
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The Securities may be suitable for you if:
| ♦ |
You fully understand and are willing to accept the risks inherent in an investment in the Securities, including the risk of loss of your entire investment.
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| ♦ |
You can tolerate a loss of a significant portion or all of your investment in the Securities and are willing to make an investment that may have the same downside market risk as that of a hypothetical investment in the underlying or
the stocks comprising the underlying (the “underlying constituents”).
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| ♦ |
You believe that the level of the underlying will appreciate over the term of the Securities.
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| ♦ |
You are willing to invest in the Securities based on the step barrier and downside threshold indicated on the cover hereof, and if the step return was set equal to the bottom of the range indicated on the cover hereof (the actual
step return will be set on the trade date).
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| ♦ |
You can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the level of the underlying.
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| ♦ |
You do not seek current income from your investment and are willing to forgo any dividends paid on the underlying constituents.
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| ♦ |
You understand and are willing to accept the risks associated with the underlying.
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| ♦ |
You are willing to hold the Securities to maturity and accept that there may be little or no secondary market for the Securities.
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| ♦ |
You are willing to assume the credit risk of BNS for all payments under the Securities, and understand that if BNS defaults on its obligations you may not receive any amounts due to you including any repayment of principal.
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The Securities may not be suitable for you if:
| ♦ |
You do not fully understand or are not willing to accept the risks inherent in an investment in the Securities, including the risk of loss of your entire investment.
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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 in the Securities or are unwilling to make an investment that may have the same downside market risk as that of a hypothetical investment in the underlying
or the underlying constituents.
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| ♦ |
You believe that the level of the underlying will decline during the term of the Securities and that the final level is likely to be less than the downside threshold.
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| ♦ |
You are unwilling to invest in the Securities based on the step barrier or downside threshold indicated on the cover hereof, or if the step return were set equal to the bottom of the range indicated on the cover hereof (the actual
step return will be set on the trade date).
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| ♦ |
You cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the level of the underlying.
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| ♦ |
You do not understand or are not willing to accept the risks associated with the underlying.
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| ♦ |
You seek current income from your investment or prefer to receive any dividends paid on the underlying constituents.
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| ♦ |
You are unable or unwilling to hold the Securities to maturity or you seek an investment for which there will be an active secondary market.
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| ♦ |
You are not willing to assume the credit risk of BNS for all payments under the Securities, including any repayment of principal.
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|
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The investor suitability considerations identified above are not exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances and you
should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability of an investment in the Securities in light of your particular circumstances. You should
review “Information About the Underlying” herein for more information on the underlying. You should also review “Key Risks” herein and the more detailed “Additional Risk Factors Specific to the Notes” in the accompanying product supplement and
“Risk Factors” in the accompanying prospectus supplement and of the accompanying prospectus for risks related to an investment in the Securities.
P-1
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Preliminary Terms
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Issuer
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The Bank of Nova Scotia
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|
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Issue
|
Senior Note Program, Series A
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|
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Agents
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Scotia Capital (USA) Inc. (“SCUSA”) and UBS Financial Services Inc. (“UBS”)
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|
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Principal
Amount
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$10 per Security
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|
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Term
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Approximately 5 years. In the event that we make any change to the expected trade date and settlement date, the calculation agent may adjust the final valuation date and maturity date to
ensure that the stated term of the Securities remains the same.
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|
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Underlying
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Nikkei 225 Index
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|
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Step Return
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Between 63.00% and 68.00%. The actual step return will be determined on the trade date.
|
|
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Payment at
Maturity (per
Security)
|
If the final level is equal to or greater than the step barrier, BNS will pay you an amount in cash equal to:
|
|
|
$10 × (1 + the greater of (i) the Step Return and (ii) the Underlying Return)
|
||
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If the final level is less than the step barrier but equal to or greater than the downside threshold, BNS will pay you an amount
in cash equal to:
Principal Amount of $10
|
||
|
If the final level is less than the downside threshold, BNS will pay you an amount in cash that is less than your principal
amount, if anything, equal to:
|
||
|
$10 × (1 + Underlying Return)
In this scenario, you will suffer a percentage loss on your principal amount equal to the underlying return and, in extreme situations, you could lose your entire investment in the Securities.
|
||
|
Underlying
Return
|
The quotient, expressed as a percentage, of the following formula:
 |
|
|
Initial Level(1)
|
The closing level of the underlying on the trade date.
|
|
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Final Level(1)
|
The closing level of the underlying on the final valuation date.
|
|
|
Step Barrier(1)
|
A specified level of the underlying that is equal to the initial level, as indicated on the cover hereof.
|
|
|
Downside
Threshold(1)
|
A specified level of the underlying that is less than the initial level, equal to a percentage of the initial level, as indicated on the cover hereof.
|
|
|
(1) 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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Business Day
|
A day other than a Saturday or Sunday or a day on which banking institutions in New York City are authorized or required by law to close
|
|
Tax
Redemption
|
Notwithstanding anything to the contrary in the accompanying product supplement, the provision set forth under “General Terms of the Notes—Payment of Additional Amounts”
and “General Terms of the Notes—Tax Redemption” shall not apply to the Securities.
|
|
Canadian Bail-in
|
The Securities are not bail-inable debt securities under the CDIC Act.
|
|
Terms
Incorporated
|
All of the terms appearing above the item under the caption “General Terms of the Notes” in the accompanying product supplement, as modified by this pricing supplement,
and for purposes of the foregoing, references herein to “underlying”, “underlying constituents”, “closing level”, “underlying return” and “downside threshold” mean “reference asset”, “reference asset constituents”, “closing value”
“reference asset return” and “barrier value”, respectively, each as defined in the accompanying product supplement. In addition to those terms, the following two sentences are also so incorporated into the master note: BNS confirms that
it fully understands and is able to calculate the effective annual rate of interest applicable to the Securities based on the methodology for calculating per annum rates provided for in the Securities. BNS irrevocably agrees not to
plead or assert Section 4 of the Interest Act (Canada), whether by way of defense or otherwise, in any proceeding relating to the Securities.
|
|
Investment Timeline
|
|
Trade Date
|
The initial level is observed and the final terms of the Securities are set.
|
|
 |
||
|
Maturity Date
|
The final level is observed on the final valuation date and the underlying return is calculated.
If the final level is equal to or greater than the step barrier, BNS will pay you an amount in cash per Security equal to:
$10 × (1 + the greater of (i) the Step Return and (ii) the Underlying Return)
If the final level is less than the step barrier but equal to or greater than the downside threshold, BNS will pay you an amount in
cash per Security equal to:
Principal Amount of $10
If the final level is less than the downside threshold, BNS will pay you an amount in cash per Security that is less than your
principal amount, if anything, equal to:
$10 × (1 + Underlying Return)
In this scenario, you will suffer a percentage loss on your principal amount equal to the underlying return and, in extreme
situations, you could lose your entire investment in the Securities.
|
|
|
Investing in the Securities involves significant risks. You may lose a significant portion or all of your investment in the Securities. Specifically, if the final level is less than
the downside threshold, you will lose a percentage of your principal amount equal to the underlying return and, in extreme situations, you could lose all of your investment in the Securities. Any payment on the Securities, including any repayment
of principal, is subject to the creditworthiness of BNS. If BNS were to default on its payment obligations, you may not receive any amounts owed to you under the Securities and you could lose your entire investment in the Securities.
P-2
|
Key Risks
|
Risks Relating to Return Characteristics
| ♦ |
Risk of loss at maturity — The Securities differ from ordinary debt securities in that BNS will not necessarily repay the principal amount of the Securities. BNS will pay you the principal amount of
your Securities in cash at maturity only if the final level is equal to or greater than the downside threshold. If the final level is less than the downside threshold, you will lose a percentage of your principal amount equal to the
underlying return and, in extreme situations, you could lose your entire investment in the Securities.
|
| ♦ |
The contingent repayment of principal applies only at maturity — You should be willing to hold your Securities to maturity. The stated payout by the issuer is available only if you hold your
Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market, you may have to sell them at a loss relative to your investment in the Securities even if the then-current level of the underlying is
equal to or greater than the step barrier or downside threshold.
|
| ♦ |
The step return and potential participation in appreciation of the underlying apply only at maturity — You should be willing to hold your Securities to maturity. If you are able to sell your
Securities prior to maturity in the secondary market, the price you receive will likely not reflect the full economic value of the step return or the participation in the underlying return in excess of the step return, even if such return is
positive. You can receive the full benefit of such features only if you hold your Securities to maturity.
|
| ♦ |
No interest payments — BNS will not pay any interest with respect to the Securities.
|
| ♦ |
Greater expected volatility generally indicates an increased risk of loss at maturity — “Volatility” refers to the frequency and magnitude of changes in the level of the underlying. The greater the
expected volatility of the underlying as of the trade date, the greater the expectation is as of that date that the final level could be less than the downside threshold and, as a consequence, indicates an increased risk of loss. However, the
underlying's volatility can change significantly over the term of the Securities, and a relatively lower downside threshold may not necessarily indicate that the Securities have a greater likelihood of a return of principal at maturity. You
should be willing to accept the downside market risk of the underlying and the potential to lose a significant portion or all of your investment in the Securities.
|
| ♦ |
Owning the Securities is not the same as owning the underlying constituents — The return on your Securities may not reflect the return you would realize if you actually owned the underlying
constituents. For instance, you will not receive or be entitled to receive any dividend payments or other distributions paid to holders of the underlying constituents during the term of the Securities, and any such dividends or distributions
will not be factored into the calculation of the payment at maturity on your Securities. In addition, as an owner of the Securities, you will not have voting rights or any other rights that a holder of the underlying constituents may have.
|
Risks Relating to Characteristics of the Underlying
| ♦ |
Market risk — The return on the Securities, which may be negative, is directly linked to the performance of the underlying and indirectly linked to the performance of the underlying constituents, and
will depend on whether, and the extent to which, the underlying return is positive or negative. The level of the underlying can rise or fall sharply due to factors specific to the underlying, its underlying constituents and their issuers
(each, an “underlying constituent issuer”), such as stock price volatility, earnings and financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market
factors, such as general stock market or commodity market volatility and levels, interest rates and economic, political and other conditions. You, as an investor in the Securities, should conduct your own investigation into the underlying and
underlying constituents.
|
| ♦ |
There can be no assurance that the investment view implicit in the Securities will be successful — It is impossible to predict whether and the extent to which the level of the underlying will rise
or fall and there can be no assurance that the final level will be equal to or greater than the step barrier or downside threshold. The performance of the underlying from the initial level to the final level will be influenced by complex and
interrelated political, economic, financial and other factors that affect the underlying constituent issuers. You should be willing to accept the risks of owning equities in general and the underlying constituents in particular, and the risk
of losing a significant portion or all of your investment in the Securities.
|
| ♦ |
The underlying reflects price return, not total return — The return on your Securities is based on the performance of the underlying, which reflects the changes in the market prices of the underlying
constituents. Your Securities are not, however, linked to a “total return” index or strategy, which, in addition to reflecting those price returns, would also reflect any dividends paid on the underlying constituents. The return on your
Securities will not include such a total return feature or any dividend component.
|
| ♦ |
The Securities are subject to non-U.S. securities market risk — The underlying is subject to risks associated with non-U.S. securities markets, specifically the regions of Japan. An investment in
the Securities linked directly or indirectly to the value of securities issued by non-U.S. companies involves particular risks. Generally, non-U.S. securities markets may be more volatile than U.S. securities markets, and market developments
may affect non-U.S. markets differently from U.S. securities markets. Direct or indirect government intervention to stabilize these non-U.S. markets, as well as cross shareholdings in non-U.S. companies, may affect trading prices and volumes
in those markets. There is generally less publicly available information about non-U.S. companies than about those U.S. companies that are subject to the reporting requirements of the SEC, and non-U.S. companies are subject to accounting,
auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies. Securities prices in non-
|
P-3
U.S. countries are subject to political, economic, financial and social factors that may be unique to the particular country. These factors, which could negatively affect the non-U.S.
securities markets, include the possibility of recent or future changes in the non-U.S. government’s economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other non-U.S. laws or restrictions applicable to
non-U.S. companies or investments in non-U.S. equity securities and the possibility of fluctuations in the rate of exchange between currencies. Moreover, certain aspects of a particular non-U.S. economy may differ favorably or unfavorably from the
U.S. economy in important respects, such as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
| ♦ |
The Securities will not be adjusted for changes in exchange rates related to the U.S. dollar, which might affect the underlying — Although the underlying includes stocks that are traded in currencies
other than the U.S. dollar, the Securities are denominated in U.S. dollars. The calculation of the amount payable on the Securities at maturity will not be adjusted for changes in the exchange rates between the U.S. dollar and any of the
currencies in which such underlying constituents are denominated. Changes in exchange rates, however, may reflect changes in various non-U.S. economies that in turn may affect the level of the underlying and, accordingly, the return on, the
Securities. You will not benefit from any appreciation of the currencies in which underlying constituents are denominated relative to the U.S. dollar, which you would have had you owned such stocks directly.
|
| ♦ |
Changes affecting the underlying could have an adverse effect on the market value of, and any amount payable on, the Securities — The policies of the sponsor of the underlying as specified under
“Information About the Underlying” (the “index sponsor”), concerning additions, deletions and substitutions of the underlying constituents and the manner in which the index sponsor takes account of certain changes affecting those underlying
constituents may adversely affect the level of the underlying. The policies of the index sponsor with respect to the calculation of the underlying could also adversely affect the level of the underlying. The index sponsor may discontinue or
suspend calculation or dissemination of the underlying. Any such actions could have an adverse effect on the market value of, and any amount payable on, the Securities.
|
| ♦ |
BNS and the Agents cannot control actions by the index sponsor and the index sponsor has no obligation to consider your interests — None of BNS, UBS or our or their respective affiliates are
affiliated with the index sponsor or have any ability to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods or policies relating to the calculation of the underlying. The index
sponsor is not involved in the Securities offering in any way and has no obligation to consider your interest as an owner of the Securities in taking any actions that might affect the market value of, and any amount payable on, the
Securities.
|
Risks Relating to Estimated Value and Liquidity
| ♦ |
BNS’ initial estimated value of the Securities at the time of pricing (when the terms of your Securities are set on the trade date) will be lower than the issue price of the Securities — BNS’ initial
estimated value of the Securities is only an estimate. The issue price of the Securities will exceed BNS’ initial estimated value. The difference between the issue price of the Securities and BNS’ initial estimated value reflects costs
associated with selling and structuring the Securities, as well as hedging its obligations under the Securities. Therefore, the economic terms of the Securities are less favorable to you than they would have been if these expenses had not
been paid or had been lower.
|
| ♦ |
Neither BNS’ nor SCUSA’s estimated value of the Securities at any time is determined by reference to credit spreads or the borrowing rate BNS would pay for its conventional fixed-rate debt securities —
BNS’ initial estimated value of the Securities and SCUSA’s estimated value of the Securities at any time are determined by reference to BNS’ internal funding rate. The internal funding rate used in the determination of the estimated value of
the Securities generally represents a discount from the credit spreads for BNS’ conventional fixed-rate debt securities and the borrowing rate BNS would pay for its conventional fixed-rate debt securities. This discount is based on, among
other things, BNS’ view of the funding value of the Securities as well as the higher issuance, operational and ongoing liability management costs of the Securities in comparison to those costs for BNS’ conventional fixed-rate debt. If the
interest rate implied by the credit spreads for BNS’ conventional fixed-rate debt securities, or the borrowing rate BNS would pay for its conventional fixed-rate debt securities were to be used, BNS would expect the economic terms of the
Securities to be more favorable to you. Consequently, the use of an internal funding rate for the Securities increases the estimated value of the Securities at any time and has an adverse effect on the economic terms of the Securities.
|
| ♦ |
BNS’ initial estimated value of the Securities does not represent future values of the Securities and may differ from others’ (including SCUSA’s) estimates — BNS’ initial estimated value of the
Securities is determined by reference to its internal pricing models when the terms of the Securities are set. These pricing models consider certain factors, such as BNS’ internal funding rate on the trade date, the expected term of the
Securities, market conditions and other relevant factors existing at that time, and BNS’ assumptions about market parameters, which can include volatility of the underlying, dividend rates, interest rates and other factors. Different pricing
models and assumptions (including the pricing models and assumptions used by SCUSA) could provide valuations for the Securities that are different, and perhaps materially lower, from BNS’ initial estimated value. Therefore, the price at which
SCUSA would buy or sell your Securities (if SCUSA makes a market, which it is not obligated to do) may be materially lower than BNS’ initial estimated value. In addition, market conditions and other relevant factors in the future may change,
and any assumptions may prove to be incorrect.
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| ♦ |
The Securities have limited liquidity — The Securities will not be listed on any securities exchange or automated quotation system. Therefore, there may be little or no secondary market for the
Securities. SCUSA and any other affiliates of BNS intend, but are not required, to make a market in the Securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Securities easily.
Because we do not expect that other broker-dealers will participate in the secondary market for the Securities, the price at which you may be able to trade your Securities is likely to depend on the price, if any, at which SCUSA is willing to
purchase the Securities from you. If at any time SCUSA does not make a market in the Securities, it is likely that there would be no secondary market for the Securities. Accordingly, you should be willing to hold your Securities to maturity.
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P-4
| ♦ |
The price at which SCUSA would buy or sell the Securities (if SCUSA makes a market, which it is not obligated to do) will be based on SCUSA’s estimated value of the Securities and may be greater than BNS’
valuation of the Securities at that time, greater than any other secondary market prices provided by unaffiliated dealers (if any) and, depending on your broker, greater than the valuation provided on your customer account statements
— SCUSA’s estimated value of the Securities is determined by reference to its pricing models and takes into account BNS’ internal funding rate. The price at which SCUSA would initially buy or sell the Securities in the secondary market (if
SCUSA makes a market, which it is not obligated to do) may exceed (i) SCUSA’s estimated value of the Securities at the time of pricing, (ii) any secondary market prices provided by unaffiliated dealers, potentially including UBS, and (ii)
depending on your broker, the valuation provided on your customer account statement. The price that SCUSA may initially offer to buy such Securities following issuance will exceed the valuations indicated by its internal pricing models due to
the inclusion for a limited period of time of the aggregate value of the costs associated with structuring and selling the Securities, including the underwriting discount, hedging costs, issuance costs and theoretical projected trading
profit. The portion of such amounts included in any secondary market price will decline to zero on a straight line basis over a period ending no later than the date specified under “Supplemental Plan of Distribution (Conflicts of Interest);
Secondary Markets (if any).” Thereafter, if SCUSA buys or sells the Securities it will do so at prices that reflect the estimated value determined by reference to SCUSA’s pricing models at that time. The price at which SCUSA will buy or sell
the Securities at any time also will reflect its then current bid and ask spread for similar sized trades of structured notes. The temporary positive differential relative to SCUSA’s internal pricing models arises from requests from and
arrangements made by BNS and the Agents. As described above, SCUSA and its affiliates intend, but are not required, to make a market for the Securities and may stop making a market at any time. SCUSA reflects this temporary positive
differential on its customer account statements. Investors should inquire as to the valuation provided on customer account statements provided by unaffiliated dealers, including UBS.
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SCUSA’s pricing models consider certain variables, including principally BNS’ internal funding rate, interest rates (forecasted, current and historical rates), volatility of the
underlying, price-sensitivity analysis and the time to maturity of the Securities. These pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. As a result, the actual value you
would receive if you sold your Securities in the secondary market, if any, to others may differ, perhaps materially, from the estimated value of the Securities determined by reference to SCUSA’s models, taking into account BNS’ internal funding rate,
due to, among other things, any differences in pricing models or assumptions used by others. If SCUSA calculated its estimated value of the Securities 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 the Securities (if SCUSA makes a market, which it is not obligated to do) could be significantly lower.
In addition to the factors discussed above, the value and quoted price of the Securities at any time will reflect many factors and cannot be predicted. If SCUSA makes a market in the
Securities, the price quoted by SCUSA would reflect any changes in market conditions and other relevant factors, including any deterioration in BNS’ creditworthiness or perceived creditworthiness. These changes may adversely affect the value of the
Securities, including the price you may receive for the Securities in any market making transaction. To the extent that SCUSA makes a market in the Securities, the quoted price will reflect the estimated value determined by reference to SCUSA’s
pricing models at that time, plus or minus SCUSA’s then current bid and ask spread for similar sized trades of structured notes (and subject to the declining excess amount described above). Furthermore, if you sell your Securities, you will likely be
charged a commission for secondary market transactions, or the price will likely reflect a dealer discount. This commission or discount will further reduce the proceeds you would receive for your Securities in a secondary market sale.
| ♦ |
The price of the Securities prior to maturity will depend on a number of factors and may be substantially less than the principal amount — Because structured notes, including the Securities, can be
thought of as having a debt component and a derivative component, factors that influence the values of debt instruments and options and other derivatives will also affect the terms and features of the Securities at issuance and the market
price of the Securities prior to maturity. Some of these factors include, but are not limited to: (i) actual or anticipated changes in the level of the underlying over the full term of the Securities, (ii) volatility of the level of the
underlying and the prices of the underlying constituents and the market's perception of future volatility of the foregoing, (iii) changes in interest rates generally, (iv) any actual or anticipated changes in our credit ratings or credit
spreads, (v) dividend yields on the underlying constituents and (vi) time remaining to maturity. In particular, because the provisions of the Securities relating to the payment at maturity behave like options, the value of the Securities will
vary in ways which are non-linear and may not be intuitive.
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Depending on the actual or anticipated level of the underlying and other relevant factors, the market value of the Securities may decrease and you may receive substantially less than
the principal amount if you sell your Securities prior to maturity regardless of the level of the underlying at such time.
Risks Relating to Hedging Activities and Conflicts of Interest
| ♦ |
Hedging activities by BNS and SCUSA may negatively impact investors in the Securities and cause our respective interests and those of our clients and counterparties to be contrary to those of investors in
the Securities — We, SCUSA or one or more of our other affiliates has hedged or expects to hedge our obligations under the Securities. Such hedging transactions may include entering into swap or similar agreements, purchasing shares
of the underlying constituents and/or purchasing futures, options and/or other instruments linked to the underlying and/or one or more of the underlying constituents. We, SCUSA or one or more of our or their respective affiliates also expects
to adjust the hedge by, among other things, purchasing or selling any of the foregoing, and perhaps other instruments linked to the underlying and/or one or more of the underlying constituents, at any time and from time to time, and to unwind
the hedge by selling any of the foregoing on or before the final valuation date. We, SCUSA or one or more of our or their respective affiliates may also enter into, adjust and unwind hedging transactions relating to other basket- or
index-linked Securities whose returns are linked to changes in the level of the underlying and/or one or more of the underlying constituents. Any of these hedging activities may adversely affect the level of the underlying — directly or
indirectly by affecting the price of the underlying constituents — and therefore the market value of the Securities and the amount you will receive, if any, on the Securities.
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P-5
You should expect that these transactions will cause BNS, SCUSA or our other affiliates, or our or their respective clients or counterparties, to have economic interests and incentives that do
not align with, and that may be directly contrary to, those of an investor in the Securities. None of BNS, SCUSA or any of our other affiliates will have any obligation to take, refrain from taking or cease taking any action with respect to these
transactions based on the potential effect on an investor in the Securities, and any of the foregoing may receive substantial returns with respect to these hedging activities while the market value of, and return on, the Securities declines.
| ♦ |
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
Securities — 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 Securities 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 and/or the value of the Securities. 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 and the market for your Securities, 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 Securities.
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You should expect that we, the Agents, and our or their respective affiliates, in providing these services, engaging in such transactions, or acting for our or their own respective
accounts, may take actions that have direct or indirect effects on the Securities or other securities that we may issue, the underlying constituents or other securities or instruments similar to or linked to the foregoing, and that such actions could
be adverse to the interests of investors in the Securities. In addition, in connection with these activities, certain personnel within us, the Agents or our or their respective affiliates may have access to confidential material non-public
information about these parties that would not be disclosed to investors in the Securities.
We, the Agents and our or their respective affiliates regularly offer a wide array of securities, financial instruments and other products into the marketplace, including existing or
new products that are similar to the Securities or other securities that we may issue, the underlying constituents or other securities or instruments similar to or linked to the foregoing. Investors in the Securities should expect that we, the Agents
and our or their respective affiliates offer securities, financial instruments, and other products that may compete with the Securities for liquidity or otherwise.
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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 constituents, listed and/or over-the-counter
options, futures or other instruments with returns linked to the performance of the underlying or any underlying constituents may adversely affect the performance of the underlying or applicable underlying constituent and, therefore, the
market value of, and return on, the Securities. See “— Risks Relating to Hedging Activities and Conflicts of Interest— Hedging activities by BNS and SCUSA may negatively impact investors in the Securities and cause our respective interests
and those of our clients and counterparties to be contrary to those of investors in the Securities” for additional information regarding hedging-related transactions and trading.
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| ♦ |
The calculation agent will have significant discretion with respect to the Securities, which may be exercised in a manner that is adverse to your interests — The calculation agent will be an
affiliate of BNS. The calculation agent can postpone the determination of the final level on the final valuation date if a market disruption event occurs and is continuing on that day.
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| ♦ |
Potentially inconsistent research, opinions or recommendations by BNS or the Agents — BNS, the Agents and our or their respective affiliates may publish research from time to time on financial
markets and other matters that may influence the value of the Securities, or express opinions or provide recommendations that are inconsistent with purchasing or holding the Securities. Any research, opinions or recommendations expressed by
BNS, the Agents or our or their respective affiliates may not be consistent with each other and may be modified from time to time without notice. Investors should make their own independent investigation of the merits of investing in the
Securities and the underlying to which the Securities are linked.
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Risks Relating to General Credit Characteristics
| ♦ |
Credit risk of BNS — The Securities are senior unsecured debt obligations of BNS and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the
Securities, including any repayment of principal at maturity, depends on the ability of BNS to satisfy its obligations as they come due. As a result, BNS’ actual and perceived creditworthiness may affect the market value of the Securities. If
BNS were to default on its obligations, you may not receive any amounts owed to you under the terms of the Securities and you could lose your entire investment in the Securities.
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| ♦ |
BNS is subject to the resolution authority under the CDIC Act — Although the Securities are not bail-inable debt securities under the CDIC Act, as described elsewhere in this pricing supplement, BNS
remains subject generally to Canadian bank resolution powers under the CDIC Act. Under such powers, the Canada Deposit Insurance Corporation may in certain circumstances take actions that
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P-6
could negatively impact holders of the Securities and result in a loss on your investment. See “Risk Factors — Risks Related to the Bank’s Debt Securities” in the
accompanying prospectus for more information.
Risks Relating to Canadian and U.S. Federal Income Taxation
| ♦ |
Uncertain tax treatment — Significant aspects of the tax treatment of the Securities are uncertain. You should consult your tax advisor about your tax situation. See “Material Canadian Income Tax
Consequences” and “What Are the Tax Consequences of the Securities?” herein.
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P-7
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Hypothetical Examples and Return Table of the Securities at Maturity
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The below examples and table are based on hypothetical terms. The actual terms will be set on the trade date and will be indicated on the cover
of the final pricing supplement.
The examples and table below illustrate the payment at maturity for a $10 Security on a hypothetical offering of the Securities, with the following assumptions (amounts
may have been rounded for ease of analysis):
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Term:
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Approximately 5 years
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|
Initial Level:
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40,000
|
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Step Barrier:
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40,000 (100% of the Initial Level)
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Downside Threshold:
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30,000 (75% of the Initial Level)
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Step Return:
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63.00%
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Range of Underlying Return:
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-100% to 80%
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Example 1: The Underlying Return is 20%.
Because the final level is equal to or greater than the step barrier and the underlying return is less than the step return, the payment at maturity per Security will be calculated as follows:
$10 × (1 + the greater of: (i) 63.00% and (ii) 20%)
= $10 × (1 + 63.00%)
= $16.30 per Security (total return of 63.00%).
Example 2: The Underlying Return is 70%.
Because the final level is equal to or greater than the step barrier and the underlying return is greater than the step return, the payment at maturity per Security will be calculated as follows:
$10 × (1 + the greater of: (i) 63.00% and (ii) 70%)
= $10 × (1 + 70%)
= $17.00 per Security (total return of 70.00%).
Example 3: The Underlying Return is -20% and the Final Level is equal to or greater than the Downside Threshold.
Because the final level is less than the step barrier but equal to or greater than the downside threshold, the payment at maturity per Security will be equal to the principal amount of
$10 (total return of 0%).
Example 4: The Underlying Return is -60% and the Final Level is less than the Downside Threshold.
Because the final level is less than the downside threshold, the payment at maturity per Security will be less than the principal amount, if anything, calculated as follows:
$10 × (1 + -60.00%)
= $10 × 0.4
= $4 per Security (loss of 60.00%).
In this scenario, you will suffer a percentage loss on your principal amount equal to the underlying return and, in extreme situations, you could
lose your entire investment in the Securities.
P-8
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Underlying
|
Payment and Return at Maturity
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||
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Final Level
|
Underlying Return
|
Payment at Maturity
|
Security Total Return at Maturity
|
|
72,000.00
|
80.00%
|
$18.00
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80.00%
|
|
68,000.00
|
70.00%
|
$17.00
|
70.00%
|
|
65,200.00
|
63.00%
|
$16.30
|
63.00%
|
|
64,000.00
|
60.00%
|
$16.30
|
63.00%
|
|
60,000.00
|
50.00%
|
$16.30
|
63.00%
|
|
56,000.00
|
40.00%
|
$16.30
|
63.00%
|
|
52,000.00
|
30.00%
|
$16.30
|
63.00%
|
|
48,000.00
|
20.00%
|
$16.30
|
63.00%
|
|
44,000.00
|
10.00%
|
$16.30
|
63.00%
|
|
40,000.00
|
0.00%
|
$16.30
|
63.00%
|
|
38,000.00
|
-5.00%
|
$10.00
|
0.00%
|
|
36,000.00
|
-10.00%
|
$10.00
|
0.00%
|
|
34,000.00
|
-15.00%
|
$10.00
|
0.00%
|
|
32,000.00
|
-20.00%
|
$10.00
|
0.00%
|
|
30,000.00
|
-25.00%
|
$10.00
|
0.00%
|
|
28,000.00
|
-30.00%
|
$7.00
|
-30.00%
|
|
24,000.00
|
-40.00%
|
$6.00
|
-40.00%
|
|
20,000.00
|
-50.00%
|
$5.00
|
-50.00%
|
|
16,000.00
|
-60.00%
|
$4.00
|
-60.00%
|
|
12,000.00
|
-70.00%
|
$3.00
|
-70.00%
|
|
8,000.00
|
-80.00%
|
$2.00
|
-80.00%
|
|
4,000.00
|
-90.00%
|
$1.00
|
-90.00%
|
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
Investing in the Securities involves significant risks. You may lose a significant portion or all of your investment in the Securities. Specifically, if the final
level is less than the downside threshold, you will lose a percentage of your principal amount equal to the underlying return and, in extreme situations, you could lose all of your investment in the Securities. Any payment on the Securities,
including any repayment of principal, is subject to the creditworthiness of BNS. If BNS were to default on its payment obligations, you may not receive any amounts owed to you under the Securities and you could lose your entire investment in the
Securities.
P-9
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Information About the Underlying
|
Nikkei 225 Index
We have derived all information contained herein regarding the Nikkei 225 Index (“NKY”), including without limitation, its make-up, method of calculation and changes in its underlying constituents from
publicly available information. Such information reflects the policies of, and is subject to change by, Nikkei Inc. (“Nikkei” or its “index sponsor”), and/or its affiliates.
The NKY is a stock index that measures the composite price performance of selected Japanese stocks. The NKY is based on 225 underlying stocks listed in the First Section of the Tokyo Stock Exchange,
representing a broad cross-section of Japanese industries. Please see “Indices — The Nikkei 225 Index” in the accompanying underlier supplement for additional information regarding the NKY, its index sponsor and our license agreement with respect to
the NKY. Additional information regarding the NKY, including its sectors, sector weightings and top underlying constituents, may be available on Nikkei’s website.
Historical Information
The graph below illustrates the performance of the underlying for the period from January 1, 2014 through June 14, 2024, based on the daily closing levels as reported by Bloomberg
Professional® service (“Bloomberg”), without independent verification. The closing level of the underlying on June 14, 2024 was 38,814.56 (the “hypothetical initial level”). The dotted lines respectively represent the hypothetical step
barrier of 38,814.56, which is equal to 100% of the hypothetical initial level, and the hypothetical downside threshold of 29,110.92, which is equal to 75% of the hypothetical initial level. The actual initial level, step barrier and downside
threshold will be determined on the trade date. Past performance of the underlying is not indicative of the future performance of the underlying during the term of the Securities.
P-10
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What Are the Tax Consequences of the Securities?
|
U.S. Tax Treatment. Pursuant to the terms of the Securities, 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 Securities as prepaid derivative contracts with respect to the underlying. If your Securities are so treated, you should generally recognize long-term capital gain or loss if you
hold your Securities for more than one year (and, otherwise, short-term capital gain or loss) upon the taxable disposition (including cash settlement) of your Securities, in an amount equal to the difference between the amount you receive at such
time and the amount you paid for your Securities. 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 Securities in the manner described above. However, because there is no authority that specifically addresses the tax treatment of the Securities, it is possible that your Securities 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 Securities 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.
Section 1297. We will not attempt to ascertain whether any underlying constituent issuer would be treated as a “passive foreign investment company” (a “PFIC”)
within the meaning of Section 1297 of the Code. If any such entity were so treated, certain adverse U.S. federal income tax consequences might apply to U.S. holders upon the taxable disposition (including cash settlement) of the Securities. U.S.
holders should refer to information filed with the SEC or an equivalent governmental authority by such entities and consult their tax advisors regarding the possible consequences to them if any such entity is or becomes a PFIC.
Except to the extent otherwise required by law, BNS intends to treat your Securities for U.S. federal income tax purposes in accordance with the treatment described above and under “Material U.S.
Federal Income Tax Consequences”, including the section “— Securities Treated as Prepaid Derivatives or Prepaid Forwards”, 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 Securities. According to Notice 2008-2, the IRS and the
Treasury are actively considering whether a holder of an instrument such as the Securities 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 Securities 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 Securities, 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 Securities
if they do not hold their Securities in an account maintained by a financial institution and the aggregate value of their Securities 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 Securities 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 payments on your Securities or to generally applicable information reporting and backup withholding requirements with respect to payments on your Securities 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 871(m) of the Code, discussed below, gain realized from the
taxable disposition of a Security 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.,
P-11
(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 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 and our determination that the Securities are not “delta-one” with respect to the underlying or any underlying
constituents, our special U.S. tax counsel is of the opinion that the Securities 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 Securities 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 Securities could be deemed to be reissued for tax purposes upon the occurrence of
certain events affecting the underlying, any underlying constituents or your Securities, and following such occurrence your Securities 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 Securities
under these rules. If you enter, or have entered, into other transactions in respect of the underlying, any underlying constituents or the Securities, you should consult your tax advisor regarding the application of Section 871(m) of the Code to your
Securities in the context of your other transactions.
Because of the uncertainty regarding the application of the 30% withholding tax on dividend equivalents to the Securities, 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 Securities.
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 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 Securities
through a foreign entity) under the FATCA rules.
Backup Withholding and Information Reporting. The proceeds received from a taxable disposition of the Securities 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 Security may be subject to U.S. federal estate tax if an individual non-U.S. holder holds the Security
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 Securities at death.
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Proposed Legislation. In 2007, legislation was introduced in Congress that, if it had been enacted, would have required holders of Securities
purchased after the bill was enacted to accrue interest income over the term of the Securities despite the fact that there will be no interest payments over the term of the Securities.
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 Securities 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 Securities.
You are urged to consult your tax advisor regarding the possible changes in law and their possible impact on the tax treatment of your Securities.
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 Securities arising under the laws of any state, local, non-U.S. or other taxing jurisdiction (including that of BNS and those of the underlying constituent issuers).
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Material Canadian Income Tax Consequences
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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.
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Additional Information Regarding Estimated Value of the Securities
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The economic terms of the Securities (including the step barrier and downside threshold) 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, the underwriting discount and the economic terms of certain related hedging arrangements. Due to these factors, the original issue price you pay to purchase the Securities will be greater than the initial estimated
value of the Securities. BNS’ internal funding rate is typically lower than the rate BNS would pay when it issues conventional fixed rate debt securities as discussed further herein under “Key Risks — Risks Relating to Estimated Value and Liquidity —
Neither BNS’ nor SCUSA’s estimated value of the Securities at any time is determined by reference to credit spreads or the borrowing rate BNS would pay for its conventional fixed-rate debt securities”. BNS’ use of its internal funding rate reduces
the economic terms of the Securities to you.
We urge you to read the “Key Risks — Risks Relating to Estimated Value and Liquidity “ in this pricing supplement for additional information.
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Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)
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In addition, SCUSA and our other affiliates may use the accompanying product supplement, underlier supplement, prospectus supplement and prospectus to which this pricing supplement relates in
market-making transactions after the initial sale of the Securities. While SCUSA intends to make a market in the Securities, it is under no obligation to do so and may discontinue any market-making activities at any time without notice. See “Key
Risks — Risks Relating to Estimated Value and Liquidity — The Securities have limited liquidity” herein and the sections titled “Supplemental Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement and prospectus
supplement for additional information.
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 Securities, 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, UBS and their respective 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, UBS
and their respective affiliates may also make investment recommendations and/or publish or express independent research views in respect of such securities or instruments and may at any time hold, or recommend to clients that they acquire, long
and/or short positions in such securities and instruments.
SCUSA and its affiliates may offer to buy or sell the Securities in the secondary market (if any) at prices greater than BNS’ internal valuation — The value of
the Securities 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 Securities
immediately after the trade date in the secondary market is expected to exceed the initial estimated value of the Securities 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 12 months after the trade 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 Securities and may stop making a market at any time. For more information about secondary market offers and the initial estimated value of the Securities,
see “Key Risks — Risks Relating to Estimated Value and Liquidity” herein.
Prohibition of Sales to EEA Retail Investors — The Securities 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 Securities or otherwise
making them available to retail investors in the EEA has been prepared and therefore offering or selling the Securities or otherwise making them available to any retail investor in the EEA may be unlawful under the PRIIPs Regulation.
Prohibition of Sales to United Kingdom Retail Investors — 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 Securities 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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