PRICING SUPPLEMENT
Dated June 25, 2024
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-261476
(To Prospectus dated December 29, 2021,
Prospectus Supplement dated December 29, 2021
Underlier Supplement dated December 29, 2021
and Product Supplement dated December 29, 2021)
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Investment Description
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Features
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☐ |
Enhanced Exposure to Positive Underlying Return up to the Maximum Gain: At maturity, the Securities provide exposure to any positive underlying return multiplied by the
upside gearing, up to the maximum gain.
|
☐ |
Contingent Repayment of Principal at Maturity with Buffered Downside Market Exposure: If the underlying return is zero or negative and the final level is equal to or
greater than the downside threshold, BNS will pay you a cash payment per Security at maturity equal to the principal amount. If, however, the underlying return is negative and 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, resulting in a percentage loss on your principal amount equal to the percentage that the final level is less than the initial level in excess
of the buffer and, in extreme situations, you could lose almost 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.
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Key Dates
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Trade Date*
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June 25, 2024 |
Settlement Date* |
June 28, 2024 |
Final Valuation Date** | June 25, 2026 |
Maturity Date**
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June 30, 2026 |
*
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We expect to deliver the Securities against payment on the third business day following the trade date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as
amended, trades in the secondary market generally are required to settle in 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 three business days (T+3), to specify alternative settlement arrangements
to prevent a failed settlement of the secondary market trade.
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**
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Subject to postponement in the event of a market disruption event, as described in the accompanying product supplement.
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Security Offering
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Underlying
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Bloomberg
Ticker
|
Maximum Gain
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Maximum Payment at
Maturity per Security
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Upside Gearing
|
Initial
Level
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Downside
Threshold
|
Buffer
|
CUSIP
|
ISIN
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S&P 500® Index
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SPX
|
24.00%
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$12.40
|
2.00
|
5,469.30
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4,922.37 which is 90% of the Initial Level
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10%
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06418K413
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US06418K4132
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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 S&P 500® Index
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$5,339,500.00
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$10.00
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$0.00
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$0.00
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$5,339,500.00
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$10.00
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Scotia Capital (USA) Inc. |
UBS Financial Services Inc.
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Additional Information about BNS and the Securities
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♦ |
Product Supplement (Market-Linked Notes, Series A) dated December 29, 2021:
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♦ |
Underlier Supplement dated December 29, 2021:
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♦ |
Prospectus Supplement dated December 29, 2021:
|
♦ |
Prospectus dated December 29, 2021:
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Investor Suitability
|
♦ |
You fully understand and are willing to accept the risks inherent in an investment in the Securities, including the risk of loss of almost all of your investment.
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♦ |
You can tolerate a loss of some or almost all of your investment in the Securities and are willing to make an investment that has downside market risk similar to that of a hypothetical investment in the underlying or the stocks
comprising the underlying (the “underlying constituents”), subject to the buffer.
|
♦ |
You believe that the level of the underlying will appreciate over the term of the Securities and that the percentage of appreciation, when multiplied by the upside gearing, is unlikely to exceed the maximum gain indicated on the
cover hereof.
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♦ |
You understand and accept that your potential return is limited to the maximum gain and you are willing to invest in the Securities based on the maximum gain indicated on the cover hereof.
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♦ |
You are willing to invest in the Securities based on the downside threshold (and corresponding buffer) and upside gearing indicated on the cover hereof.
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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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♦ |
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 almost all of your 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 some or almost all of your investment in the Securities or are unwilling to make an investment that has downside market risk similar to that of a hypothetical investment in the underlying or the
underlying constituents, subject to the buffer.
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♦ |
You believe that the level of the underlying will decline during the term of the Securities and is likely to be less than the downside threshold on the final valuation date, or you believe that the level of the underlying will
appreciate over the term of the Securities by more than the maximum gain indicated on the cover hereof.
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♦ |
You seek an investment that has unlimited return potential without a cap on appreciation or you are unwilling to invest in the Securities based on the maximum gain indicated on the cover hereof.
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♦ |
You are unwilling to invest in the Securities based on the downside threshold (and corresponding buffer) or upside gearing indicated on the cover hereof.
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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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Issuer
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The Bank of Nova Scotia
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Issue
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Senior Note Program, Series A
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Agents
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Scotia Capital (USA) Inc. (“SCUSA”) and UBS Financial Services Inc. (“UBS”)
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Principal
Amount
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$10 per Security (subject to a minimum investment of 100 Securities)
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Term
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Approximately 2 years.
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Underlying
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S&P 500® Index
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Maximum
Gain
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24.00%
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Maximum Payment at Maturity per Security
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$12.40
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Upside Gearing
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2.00
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Buffer
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10%
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Payment at Maturity (per Security)
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If the underlying return is positive, BNS will pay you an amount in cash equal to:
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$10 × (1 + the lesser of (a) Underlying Return × Upside Gearing and (b) Maximum Gain)
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If the underlying return is zero or negative and the final level is equal to or greater than the downside threshold, BNS will pay
you an amount in cash equal to:
Principal Amount of $10
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If the underlying return is negative and the final level is less than the downside threshold, BNS will pay you an amount in cash
that is less than your principal amount, equal to:
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$10 × [1 + (Underlying Return + Buffer)]
In this scenario, you will suffer a percentage loss on your principal amount equal to the percentage that the final level is less
than the initial level in excess of the buffer and, in extreme situations, you could lose almost all of your investment in the Securities.
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|
Underlying Return
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The quotient, expressed as a percentage, of the following formula:
Final Level − Initial Level
Initial Level
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Initial Level(1)
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The closing level of the underlying on the trade date, as indicated on the cover hereof.
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Final Level(1)
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The closing level of the underlying on the final valuation date.
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Downside Threshold(1)
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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.
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(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
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A day other than a Saturday or Sunday or a day on which banking institutions in New York City are authorized or required by law to close
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Tax Redemption
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Notwithstanding anything to the contrary in the accompanying product supplement, the provision set forth under “General Terms of the Notes—Payment of Additional Amounts”
and “General Terms of the Notes—Tax Redemption” shall not apply to the Securities.
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Canadian Bail-in
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The Securities are not bail-inable debt securities under the CDIC Act.
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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 “buffer value”, respectively, each as defined in the accompanying product supplement. In addition to those terms, the following two sentences are also so incorporated into the master note: BNS confirms
that it fully understands and is able to calculate the effective annual rate of interest applicable to the Securities based on the methodology for calculating per annum rates provided for in the Securities. BNS irrevocably agrees not
to plead or assert Section 4 of the Interest Act (Canada), whether by way of defense or otherwise, in any proceeding relating to the Securities.
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Trade Date
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The initial level is observed and the final terms of the Securities are set.
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Maturity Date
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The final level is observed on the final valuation date and the underlying return is calculated.
If the underlying return is positive, BNS will pay you an amount in cash per Security equal to:
$10 × (1 + the lesser of (a) Underlying Return × Upside Gearing and (b) Maximum Gain)
If the underlying return is zero or negative and the final level is equal to or greater than the downside threshold, BNS will pay
you an amount in cash per Security equal to:
Principal Amount of $10
If the underlying return is negative and 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, equal to:
$10 × [1 + (Underlying Return + Buffer)]
In this scenario, you will suffer a percentage loss on your principal amount equal to the percentage that the final level is less
than the initial level in excess of the buffer and, in extreme situations, you could lose almost all of your investment in the Securities.
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Key Risks
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♦ |
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 underlying return is negative and the final level is less than the downside threshold, you will lose a percentage of your
principal amount equal to the percentage that the final level is less than the initial level in excess of the buffer and, in extreme situations, you could lose almost all of your investment in the Securities.
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♦ |
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 downside threshold. All payments on the Securities are subject to the creditworthiness of BNS.
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♦ |
The upside gearing applies 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 upside gearing, subject to the maximum gain, and the percentage return you realize may be less than the then-current underlying return multiplied by the upside gearing, even
if such percentage return is positive and less than the maximum gain. You can receive the full benefit of the upside gearing, subject to the maximum gain, only if you hold your Securities to maturity.
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♦ |
Your potential return on the Securities is limited to the maximum gain — The return potential of the Securities 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 upside gearing, exceeds the maximum gain and your return on the Securities may be less than that of a hypothetical direct investment in the underlying.
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♦ |
No interest payments — BNS will not pay any interest with respect to the Securities.
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♦ |
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 some or almost all of your investment in the Securities.
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♦ |
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 benefit from any positive underlying return in excess of an amount that, when multiplied by the upside gearing, exceeds the maximum gain. Furthermore, 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.
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♦ |
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.
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♦ |
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 initial level 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 constituents. You should be willing to accept the risks of owning equities in general and the underlying constituents in particular, and the risk of
losing some or almost all of your investment in the Securities.
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♦ |
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.
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♦ |
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 herein
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.
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♦ |
BNS and the Agents cannot control actions by the index sponsor and the index sponsor has no obligation to consider your interests — None of BNS, UBS or our or their respective affiliates are
affiliated with the index sponsor or have any ability to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods or policies relating to the calculation of the underlying. 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.
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♦ |
BNS’ initial estimated value of the Securities at the time of pricing (when the terms of your Securities were set on the trade date) is lower than the issue price of the Securities — BNS’ initial
estimated value of the Securities is only an estimate. The issue price of the Securities exceeds BNS’ initial estimated value. The difference between the issue price of the Securities and BNS’ initial estimated value reflects costs associated
with selling and structuring the Securities, as well as hedging its obligations under the Securities. Therefore, the economic terms of the Securities are less favorable to you than they would have been if these expenses had not been paid or
had been lower.
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♦ |
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.
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♦ |
BNS’ initial estimated value of the Securities does not represent future values of the Securities and may differ from others’ (including SCUSA’s) estimates — BNS’ initial estimated value of the
Securities was determined by reference to its internal pricing models when the terms of the Securities were set. These pricing models consider certain factors, such as BNS’ internal funding rate on the trade date, the expected term of the
Securities, market conditions and other relevant factors existing at that time, and BNS’ assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and
assumptions (including the pricing models and assumptions used by SCUSA) could provide valuations for the Securities that are different, and perhaps materially lower, from BNS’ initial estimated value. Therefore, the price at which SCUSA
would buy or sell your Securities (if SCUSA makes a market, which it is not obligated to do) may be materially lower than BNS’ initial estimated value. In addition, market conditions and other relevant factors in the future may change, and
any assumptions may prove to be incorrect.
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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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♦ |
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, depending on your broker,
may be less than the valuation provided on your customer account statement — SCUSA’s estimated value of the Securities is determined by reference to its pricing models and takes into account BNS’ internal funding rate. 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 value provided by SCUSA on its customer account statements is based on these pricing models As a result, depending on your broker, SCUSA or its affiliates may offer
to buy or sell the Securities in the secondary market at a price that is less than the valuation provided on your broker’s. customer account statements. Investors should inquire as to the valuation provided on their customer account statement
provided by unaffiliated dealers, including UBS. As described above, SCUSA and its affiliates intend, but are not required, to make a market in the Securities and may stop making a market at any time.
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♦ |
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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♦ |
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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♦ |
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.
|
♦ |
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 constituent may adversely affect the performance of the underlying or applicable underlying constituent and, therefore, the
market value of, and any amount payable on, the Securities. See “— Risks Relating to Hedging Activities and Conflicts of Interest — Hedging activities by BNS and SCUSA may negatively impact investors in the Securities and cause our respective
interests and those of our clients and counterparties to be contrary to those of investors in the Securities“ for additional information regarding hedging-related transactions and trading.
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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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♦ |
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 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.
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♦ |
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.
|
Hypothetical Examples and Return Table of the Securities at Maturity
|
Term:
|
Approximately 2 years
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Initial Level:
|
5,000
|
Downside Threshold:
|
4,500 (90% of the Initial Level)
|
Upside Gearing:
|
2.00
|
Buffer:
|
10.00%
|
Maximum Gain
|
24.00%
|
Range of Underlying Return:
|
-100% to 40%
|
Underlying
|
Payment and Return at Maturity
|
||
Final Level
|
Underlying Return
|
Payment at Maturity
|
Security Total Return at Maturity
|
7,000.00
|
40.00%
|
$12.40
|
24.00%
|
6,500.00
|
30.00%
|
$12.40
|
24.00%
|
6,000.00
|
20.00%
|
$12.40
|
24.00%
|
5600.00
|
12.00%
|
$12.40
|
24.00%
|
5,450.00
|
9.00%
|
$11.80
|
18.00%
|
5,300.00
|
6.00%
|
$11.20
|
12.00%
|
5,150.00
|
3.00%
|
$10.60
|
6.00%
|
5,000.00
|
0.00%
|
$10.00
|
0.00%
|
4,850.00
|
-3.00%
|
$10.00
|
0.00%
|
4,700.00
|
-6.00%
|
$10.00
|
0.00%
|
4,550.00
|
-9.00%
|
$10.00
|
0.00%
|
4,500.00
|
-10.00%
|
$10.00
|
0.00%
|
4,000.00
|
-20.00%
|
$9.00
|
-10.00%
|
3,500.00
|
-30.00%
|
$8.00
|
-20.00%
|
3,000.00
|
-40.00%
|
$7.00
|
-30.00%
|
2,500.00
|
-50.00%
|
$6.00
|
-40.00%
|
2,000.00
|
-60.00%
|
$5.00
|
-50.00%
|
1,500.00
|
-70.00%
|
$4.00
|
-60.00%
|
1,000.00
|
-80.00%
|
$3.00
|
-70.00%
|
500.00
|
-90.00%
|
$2.00
|
-80.00%
|
0.00
|
-100.00%
|
$1.00
|
-90.00%
|
Information About the Underlying
|
The S&P 500® Index
|
What Are the Tax Consequences of the Securities?
|
Material Canadian Income Tax Consequences
|
Additional Information Regarding Estimated Value of the Securities
|
Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)
|
Validity of the Securities
|
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