|
Pricing Supplement dated July 17, 2024
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-261476
(To Product Supplement No. WF-1 dated August 29, 2022,
Prospectus Supplement dated December 29, 2021
and Prospectus dated December 29, 2021)
|
 |
|||
|
The Bank of Nova Scotia
Senior Note Program, Series A
Equity Linked Securities
|
||||
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
||||
|
■
Linked to the common stock of NVIDIA Corporation (the “Underlying Stock”)
■
Unlike ordinary debt securities, the securities do not pay interest, do not repay a fixed amount of principal at maturity and are subject to potential automatic call upon the
terms described below. Whether the securities are automatically called for a fixed call premium or, if not automatically called, the maturity payment amount, will depend, in each case, on the performance of the Underlying Stock.
■ Automatic Call. If the stock closing price of the Underlying Stock on the call date occurring approximately one year after issuance is greater
than or equal to the starting price, the securities will be automatically called for the face amount plus a call premium of 30.30% of the face amount
■
Maturity Payment Amount. If the securities are not automatically called, you will receive a maturity payment amount that
could be greater than, equal to or less than the face amount depending on the ending price of the Underlying Stock as follows:
■
If the ending price is greater than the starting price, you will receive the face amount plus a positive return equal to 150%
of the percentage increase in the price of the Underlying Stock from the starting price
■
If the ending price is less than or equal to the starting price, but greater than or equal to 60% of the starting price (the “threshold price”), you will receive the face amount
■
If the ending price is less than the threshold price, you will have full downside exposure to the decrease in the price of the
Underlying Stock from its starting price and you will lose more than 40%, and possibly all, of the face amount of your securities
■
Investors may lose a significant portion or all of the face amount
■
If the securities are automatically called, the positive return on the securities will be limited to the call premium, and you will not participate in any appreciation
of the Underlying Stock, which may be significant. If the securities are automatically called, you will no longer have the opportunity to participate in any appreciation of the Underlying Stock at the upside participation rate
■
All payments on the securities are subject to the credit risk of The Bank of Nova Scotia (the “Bank”)
■
No periodic interest payments or dividends
■
No exchange listing; designed to be held to maturity
|
||||
The estimated value of the securities as determined by the Bank as of the pricing date is $965.20 (96.52%) per security. See “The Bank’s Estimated Value of the
Securities” in this pricing supplement for additional information.
The securities have complex features and investing in the securities involves risks not associated with an investment in conventional debt securities. See “Selected
Risk Considerations” beginning on page P-9 herein and “Risk Factors” beginning on page PS-3 of the accompanying product supplement, beginning on page S-2 of the accompanying prospectus supplement and on page 7 of the accompanying prospectus.
Scotia Capital (USA) Inc., our affiliate, has agreed to purchase the securities from the Bank for distribution to other registered broker dealers including Wells
Fargo Securities, LLC (“WFS”). Scotia Capital (USA) Inc. or any of its affiliates or agents may use this pricing supplement in market-making transactions in securities after their initial sale. If you are buying securities from Scotia Capital (USA)
Inc. or another of its affiliates or agents, this pricing supplement may be used in a market-making transaction. See “Supplemental Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
The securities are senior unsecured debt obligations of the Bank, and, accordingly, all payments are subject to credit risk. The securities are not insured by the
Canada Deposit Insurance Corporation pursuant to the Canada Deposit Insurance Corporation Act (the “CDIC Act”) or the U.S. Federal Deposit Insurance Corporation or any other governmental agency of Canada, the United States or any other
jurisdiction.
Neither the Securities and Exchange Commission nor any state securities commission or other regulatory body has approved or disapproved of these securities or
passed upon the accuracy or adequacy of this pricing supplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
|
Original Offering Price
|
Agent Discount(1)
|
Proceeds to The Bank of Nova Scotia(2)
|
|
|
Per Security
|
$1,000.00
|
$25.75
|
$974.25
|
|
Total
|
$6,773,000.00
|
$174,404.75
|
$6,598,595.25
|
| (1) |
Scotia Capital (USA) Inc. or one of our affiliates has agreed to purchase the aggregate face amount of the securities and as part of the distribution, has agreed to sell the securities to WFS at a discount of
$25.75 (2.575%) per security. WFS will provide selected dealers, which may include Wells Fargo Advisors (“WFA”, the trade name of the retail brokerage business of Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial
Network, LLC), with a selling concession of $20.00 (2.00%) per security, and WFA will receive a distribution expense fee of $0.75 (0.075%) per security for securities sold by WFA. In respect of certain securities sold in this offering, we
will pay a fee of up to $2.00 per security to selected securities dealers in consideration for marketing and other services in connection with the distribution of the securities to other securities dealers. See “Terms of the
Securities—Agents” herein and “Supplemental Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement for additional information.
|
| (2) |
Excludes any profits from hedging. For additional considerations relating to hedging activities see “Selected Risk Considerations — Risks Relating To The Estimated Value Of The Securities And Any Secondary
Market — The Inclusion of Dealer Spread and Projected Profit from Hedging in the Original Offering Price is Likely to Adversely Affect Secondary Market Prices” in this pricing supplement.
|
| Scotia Capital (USA) Inc. | Wells Fargo Securities |
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
 |
|
Terms of the Securities
|
|
Issuer:
|
The Bank of Nova Scotia (the “Bank”).
|
||
|
Market Measure:
|
Common stock of NVIDIA Corporation (the “Underlying Stock”).
|
||
|
Pricing Date:
|
July 17, 2024.
|
||
|
Issue Date:
|
July 22, 2024.
Delivery of the securities will be made against payment for the securities on the issue date, which is more than one business day following the pricing date.
Notwithstanding anything to the contrary in the accompanying product supplement, 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,
unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the securities on any date prior to one business day before delivery will be required to specify alternative settlement arrangements
to prevent a failed settlement.
|
||
|
Original Offering Price:
|
$1,000 per security.
|
||
|
Face Amount:
|
$1,000 per security. References in this pricing supplement to a “security” are to a security with a face amount of $1,000.
|
||
|
Automatic Call:
|
If the stock closing price of the Underlying Stock on the call date is greater than or equal to the starting price, the securities will be automatically called and, on the
call settlement date, you will be entitled to receive a cash payment per security in U.S. dollars equal to the face amount plus the call premium.
If the securities are automatically called, the positive return on the securities will be limited to the call premium, and you will not participate in
any appreciation of the Underlying Stock, which may be significant. If the securities are automatically called, you will no longer have the opportunity to participate in any appreciation of the Underlying Stock at the upside participation
rate.
If the securities are automatically called, they will cease to be outstanding on the call settlement date and you will have no further rights under the securities after
the call settlement date. You will not receive any notice from us if the securities are automatically called.
|
||
|
Call Date:
|
July 22, 2025, subject to postponement as described below under “—Market Disruption Events and Postponement Provisions” below
|
||
|
Call Premium:
|
30.30% of the face amount, or $303.00 per $1,000 face amount of the securities
|
||
|
Call Settlement Date:
|
Three business days after the call date (as the call date may be postponed pursuant to “—Market Disruption Events and Postponement Provisions” below, if applicable)
|
||
|
Final Calculation Day:
|
July 19, 2027, subject to postponement as described below under “—Market Disruption Events and Postponement Provisions” below
|
||
|
Stated Maturity Date:
|
July 22, 2027, subject to postponement. The securities are not subject to repayment at the option of any holder of the securities prior to the stated maturity date.
|
||
|
Maturity Payment
Amount:
|
If the securities are not
automatically called, then on the stated maturity date, you will be entitled to receive a cash payment per security in U.S. dollars equal to the maturity payment amount. The “maturity payment amount” per security will equal:
• if the ending price is greater than the starting price:
$1,000 + ($1,000 × underlying stock return × upside participation rate);
• if the ending price is less than or equal to the starting price,
but greater than or equal to the threshold price:
$1,000; or
• if the ending price is less than the threshold price:
$1,000 + ($1,000 × underlying stock return)
If the securities are not automatically called and the ending price is less than the threshold price, you will have full downside exposure to the
decrease in the price of the Underlying Stock from the starting price and will lose more than 40%, and possibly all, of the face amount of your securities at maturity.
|
P-2
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
|
Stock Closing Price:
|
Stock closing price, closing price and adjustment factor have the meanings set forth under “General Terms of the Securities—Certain Terms for Securities Linked to an
Underlying Stock—Certain Definitions” in the accompanying product supplement.
|
||
|
Starting Price:
|
$117.99, the stock closing price of the Underlying Stock on the pricing date
|
||
|
Ending Price:
|
The “ending price” will be the stock closing price of the Underlying Stock on the final calculation day.
|
||
|
Threshold Price:
|
$70.794, which is equal to 60% of the starting price
|
||
|
Upside Participation
Rate:
|
150%
|
||
|
Underlying Stock
Return:
|
The “underlying stock return” is the percentage change from the starting price to the ending price, measured as follows:
ending price – starting price
starting price
|
||
|
Market Disruption
Events and
Postponement
Provisions:
|
The call date and the final calculation day are subject to postponement due to non-trading days and the occurrence of a market disruption event. In addition, the call
settlement date or stated maturity date will be postponed if the call date or the final calculation day, respectively, is postponed and will be adjusted for non-business days.
For more information regarding adjustments to the call date, the final calculation day, the call settlement date and the stated maturity date, see “General Terms of the
Securities—Consequences of a Market Disruption Event; Postponement of a Calculation Day—Securities Linked to a Single Market Measure” and “—Payment Dates” in the accompanying product supplement. For purposes of the accompanying product
supplement, each of the call date and the final calculation day is a “calculation day,” and the call settlement date and the stated maturity date is a “payment date.” In addition, for information regarding the circumstances that may result
in a market disruption event, see “General Terms of the Securities—Certain Terms for Securities Linked to an Underlying Stock—Market Disruption Events” in the accompanying product supplement.
|
||
|
Calculation Agent:
|
Scotia Capital Inc., an affiliate of the Bank
|
||
|
Material Tax
Consequences:
|
For a discussion of Canadian income tax considerations to a holder of owning the securities, see “Canadian Income Tax Consequences” herein. For a discussion of United
States federal income tax considerations to a holder’s ownership and disposition of the securities, see “U.S. Federal Income Tax Consequences” herein.
|
||
|
Tax Redemption:
|
The Bank (or its successor) may redeem the securities, in whole but not in part, at a redemption price determined by the Calculation Agent in a manner reasonably
calculated to preserve your and our relative economic position, if it is determined that changes in tax laws of Canada (or the jurisdiction of organization of the successor to the Bank) or of any political subdivision or taxing authority
thereof or therein affecting taxation or their interpretation will result in the Bank (or its successor) becoming obligated to pay additional amounts with respect to the securities. See “Tax Redemption” in the accompanying product
supplement.
|
||
|
Agents:
|
Scotia Capital (USA) Inc. and Wells Fargo Securities, LLC.
Scotia Capital (USA) Inc. or one of our affiliates has agreed to purchase the aggregate face amount of the securities and as part of the distribution, has agreed to sell
the securities to WFS at a discount of $25.75 (2.575%) per security. WFS will provide selected dealers, which may include WFA, with a selling concession of $20.00 (2.00%) per security, and WFA will receive a distribution expense fee of
$0.75 (0.075%) per security for securities sold by WFA.
In addition, in respect of certain securities sold in this offering, we will pay a fee of up to $2.00 per security to selected securities dealers in consideration for
marketing and other services in connection with the distribution of the securities to other securities dealers.
See also “Supplemental Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
The price at which you purchase the securities includes costs that the Bank, the Agents or their respective affiliates expect to incur and profits that the Bank, the
Agents or their respective affiliates expect to realize in connection with hedging activities related to the securities, as set forth above. These costs and profits will likely reduce the secondary market price, if any secondary market
develops, for the securities. As a result, you may experience an immediate and substantial decline in the market value of your securities on the pricing date. See “Selected Risk Considerations — Risks Relating To The Estimated Value Of The
Securities And Any Secondary Market — The Inclusion of Dealer Spread and Projected Profit from Hedging in the Original Offering Price is Likely to Adversely Affect Secondary Market Prices” in this pricing supplement.
|
P-3
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
|
Status:
|
The securities will constitute direct, senior, unsubordinated and unsecured obligations of the Bank ranking pari passu with all
other direct, senior, unsecured and unsubordinated indebtedness of the Bank from time to time outstanding (except as otherwise prescribed by law). Holders will not have the benefit of any insurance under the provisions of the CDIC Act, the
U.S. Federal Deposit Insurance Act or under any other deposit insurance regime.
|
||
|
Listing:
|
The securities will not be listed on any securities exchange or automated quotation system
|
||
|
Use of Proceeds:
|
General corporate purposes
|
||
|
Clearance and
Settlement:
|
The Depository Trust Company
|
||
|
Canadian Bail-in:
|
The securities are not bail-inable debt securities under the CDIC Act
|
||
|
Denominations:
|
$1,000 and any integral multiple of $1,000.
|
||
|
CUSIP / ISIN:
|
06417Y4N6 / US06417Y4N67
|
P-4
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
|
Additional Information about the Issuer and the Securities
|
You should read this pricing supplement together with product supplement No. WF-1 dated August 29, 2022, the prospectus supplement dated December 29, 2021 and the prospectus dated December 29, 2021
for additional information about the securities. Information included in this pricing supplement supersedes information in the product supplement, prospectus supplement and prospectus to the extent it is different from that information. Certain
defined terms used but not defined herein have the meanings set forth in the product supplement, prospectus supplement or prospectus. In the event of any conflict, this pricing supplement will control. The securities may vary from the terms described in the accompanying product supplement, prospectus supplement and prospectus in several important ways. You should read this pricing supplement, including the documents incorporated
herein, carefully.
You may access the product supplement, prospectus supplement and prospectus on the SEC website www.sec.gov as follows (or if such address has changed, by reviewing our filing for the relevant date on
the SEC website):
| • |
Product Supplement No. WF-1 dated August 29, 2022:
|
| • |
Prospectus Supplement dated December 29, 2021:
|
| • |
Prospectus dated December 29, 2021:
|
P-5
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
|
Estimated Value of the Securities
|
The Bank’s estimated value of the securities set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical
components: (1) a fixed-income debt component with the same maturity as the securities, valued using our internal funding rate for structured debt described below, and (2) the derivative or derivatives underlying the economic terms of the
securities. The Bank’s estimated value does not represent a minimum price at which the Bank would be willing to buy your securities in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the
Bank’s estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The discount is based on, among other things, our 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 our conventional fixed-rate debt. For additional information, see “Selected Risk Considerations — Risks Relating To The Estimated Value Of The
Securities And Any Secondary Market — The Bank’s Estimated Value Is Not Determined By Reference To Credit Spreads For Our Conventional Fixed-Rate Debt.” The value of the derivative or derivatives underlying the economic terms of the securities is
derived from the Bank’s internal pricing model. This model is dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the Bank’s estimated value of the securities was determined
when the terms of the securities were set based on market conditions and other relevant factors and assumptions existing at that time. See “Selected Risk Considerations — Risks Relating To The Estimated Value Of The Securities And Any Secondary
Market — The Bank’s Estimated Value Does Not Represent Future Values Of The Securities And May Differ From Others’ Estimates.”
The Bank’s estimated value of the securities is lower than the original offering price of the securities because costs associated with selling, structuring and
hedging the securities are included in the original offering price of the securities . These costs include the selling commissions paid to the Agents and other affiliated or unaffiliated dealers, the projected profits that we or our hedge
provider expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities. The profits also include an estimate of the difference between the
amounts we or our hedge provider pay and receive in a hedging transaction with our affiliate and/or an affiliate of WFS in connection with your securities. We pay to such hedge provider amounts based on, but at a discount to, what we would pay to
holders of a non-structured note with a similar maturity. In return for such payment, such hedge provider pays to us the amount we owe under the securities. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our
obligations under the securities. See “Selected Risk Considerations — Risks Relating To The Estimated Value Of The Securities And Any Secondary Market — The Bank’s Estimated Value Of The Securities Is Lower Than The Original Offering Price Of The
Securities” in this pricing supplement.
P-6
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
|
Investor Considerations
|
The securities are not appropriate for all investors. The securities may be an appropriate investment for investors who:
| • |
seek the potential for a fixed return equal to the call premium if the stock closing price of the Underlying Stock as of the call date is equal to or greater than the starting price;
|
| • |
seek 150% leveraged exposure to the upside performance of the Underlying Stock if the securities are not automatically called and the ending price is greater than the starting price;
|
| • |
are willing to accept the risk that, if the securities are not automatically called and the ending price is less than the threshold price, you will be fully exposed to the decline of the Underlying Stock from the starting price and will
lose more than 40%, and possibly all, of the face amount at maturity;
|
| • |
understand that the securities may be automatically called prior to stated maturity and that the term of the securities may be as short as approximately one year;
|
| • |
understand and are willing to accept the full downside risks of the Underlying Stock;
|
| • |
are willing to forgo interest payments on the securities and dividends on the Underlying Stock; and
|
| • |
are willing to hold the securities until maturity or automatic call.
|
The securities may not be an appropriate investment for investors who:
| • |
seek a liquid investment or are unable or unwilling to hold the securities to maturity or automatic call;
|
| • |
are unwilling to accept the risk that the stock closing price of the Underlying Stock as of the call date may be less than the starting price and that the ending price may decline to less than the threshold price;
|
| • |
require full payment of the face amount of the securities at stated maturity;
|
| • |
seek a security with a fixed term;
|
| • |
are unwilling to purchase securities with an estimated value as of the pricing date that is lower than the original offering price;
|
| • |
seek current income over the term of the securities;
|
| • |
are unwilling to accept the risk of exposure to the Underlying Stock;
|
| • |
seek exposure to the Underlying Stock but are unwilling to accept the risk/return trade-offs inherent in the maturity payment amount for the securities;
|
| • |
are unwilling to accept the credit risk of the Bank; or
|
| • |
prefer the lower risk of conventional fixed income investments with comparable maturities issued by companies with comparable credit ratings.
|
The considerations identified above are not exhaustive. Whether or not the securities are an appropriate 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 appropriateness
of an investment in the securities in light of your particular circumstances. You should also review carefully the “Selected Risk Considerations” herein and the “Risk Factors” in the accompanying product
supplement for risks related to an investment in the securities. For more information about the Underlying Stock, please see the section titled “The Underlying Stock” below.
P-7
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
|
Determining Timing and Amount of Payment on the Securities
|
Whether the securities are automatically called on the call date for the call premium will each be determined based on the stock closing price of the Underlying Stock on the call
date as follows:
If the securities have not been automatically called then, at maturity, you will receive a cash payment per security (the maturity payment amount) calculated as follows:
P-8
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
|
Selected Risk Considerations
|
The securities have complex features and investing in the securities will involve risks not associated with an investment in conventional debt securities. Some of the risks that apply to an
investment in the securities are summarized below, but we urge you to read the more detailed explanation of the risks relating to the securities generally in the “Risk Factors” section of the accompanying product supplement. You should reach an
investment decision only after you have carefully considered with your advisors the appropriateness of an investment in the securities in light of your particular circumstances.
Risks Relating To The Securities Generally
If The Securities Are Not Automatically Called And The Ending Price Is Less Than The Threshold Price, You Will Lose Some, And Possibly All, Of The Face Amount Of Your Securities At
Stated Maturity.
We will not repay you a fixed amount on the securities at stated maturity. If the stock closing price of the Underlying Stock is less than the starting price on the call date, the securities will not
be automatically called, and you will receive a maturity payment amount that may be more or less than the face amount of your securities, depending on the ending price (i.e., the stock closing price of the Underlying Stock on the final calculation
day).
If the ending price is less than the threshold price, the maturity payment amount will be reduced by an amount equal to the decline in the price of the Underlying Stock from the starting price
(expressed as a percentage of the starting price). The threshold price for the Underlying Stock is 60% of the starting price. For example, if the Underlying Stock on the final calculation day has declined by 40.1% from the starting price to the
ending price, you will not receive any benefit of the contingent downside protection feature and you will lose 40.1% of the face amount. As a result, you will not receive any protection if the stock closing price of the Underlying Stock on the
final calculation day is less than the threshold price and you will lose some, and possibly all, of the face amount at maturity. This is the case even if the price of the Underlying Stock is greater than or equal to the starting price or the
threshold price at certain times during the term of the securities.
If the securities are not automatically called, even if the ending price is greater than the starting price, the maturity payment amount may only be slightly greater than the face amount and your
return on the securities may be less than the return you would earn if you bought a traditional interest-bearing debt security of the Bank or another issuer with a similar credit rating with the same stated maturity date.
No Periodic Interest Will Be Paid On The Securities.
No periodic payments of interest will be made on the securities. However, if the agreed-upon tax treatment is successfully challenged by the Internal Revenue Service (the “IRS”), you may be
required to recognize taxable income over the term of the securities. You should review the section of this pricing supplement entitled “U.S. Federal Income Tax Consequences.”
If The Securities Are Automatically Called, Your Return Will Be Limited to the Call Premium.
If the securities are automatically called, the return on the securities is limited to the call premium, regardless of the performance of the Underlying Stock. The Underlying Stock may appreciate by
significantly more than the percentage represented by the call premium from the pricing date through the call date, in which case an investment in the securities will underperform a hypothetical alternative investment providing a 1-to-1 return
based on the performance of the Underlying Stock. If the securities are automatically called, you will no longer have the opportunity to participate in any appreciation of the Underlying Stock at the upside participation rate.
You Will Be Subject To Reinvestment Risk.
If your securities are automatically called, the term of the securities may be reduced to as short as approximately one year. There is no guarantee that you would be able to reinvest the proceeds
from an investment in the securities at a comparable return for a similar level of risk in the event the securities are automatically called prior to maturity.
The Call Settlement Date Or The Stated Maturity Date May Be Postponed If The Call Date Or The Final Calculation Day Is Postponed.
The call date or the final calculation day will be postponed if the originally scheduled call date or final calculation day, respectively, is not a trading day or if the calculation agent determines
that a market disruption event has occurred or is continuing on such date. If such a postponement occurs with respect to the call date, then the call settlement date will be the business day that follows such postponed call date by a number of
business days equal to the number of business days between the originally call date and the originally scheduled call settlement date. If such a postponement occurs with respect to the final calculation day, the stated maturity date will be the
later of (i) the initial stated maturity date and (ii) three business days after the final calculation day as postponed.
P-9
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
Risks Relating To An Investment In the Bank’s Debt Securities, Including The Securities
Your Investment Is Subject To The Credit Risk Of The Bank.
The securities are senior unsecured debt obligations of the Bank, and are not, either directly or indirectly, an obligation of any third party. As further described in the accompanying prospectus,
product supplement and prospectus supplement, the securities will rank on a parity with all of the other unsecured and unsubordinated debt obligations of the Bank, except such obligations as may be preferred by operation of law. Any payment to be
made on the securities, including any payment upon an automatic call and the maturity payment amount, depends on the ability of the Bank to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of the Bank
may affect the market value of the securities and, in the event the Bank were to default on its obligations, you may not receive the amounts owed to you under the terms of the securities. If you sell the securities prior to maturity, you may
receive substantially less than the face amount of your securities.
Risks Relating To The Estimated Value Of The Securities And Any Secondary Market
The Inclusion Of Dealer Spread And Projected Profit From Hedging In The Original Offering Price Is Likely To Adversely Affect Secondary Market Prices.
Assuming no change in market conditions or any other relevant factors, the price, if any, at which Scotia Capital (USA) Inc. or any other party is willing to purchase the securities at any time in
secondary market transactions will likely be significantly lower than the original offering price, since secondary market prices are likely to exclude discounts and underwriting commissions paid with respect to the securities and the cost of
hedging our obligations under the securities that are included in the original offering price. The cost of hedging includes the projected profit that we or our hedge provider may realize in consideration for assuming the risks inherent in managing
the hedging transactions. These secondary market prices are also likely to be reduced by the costs of unwinding the related hedging transactions. The profits also include an estimate of the difference between the amounts we or our hedge provider
pay and receive in a hedging transaction with our affiliate and/or an affiliate of WFS in connection with your securities. In addition, any secondary market prices may differ from values determined by pricing models used by Scotia Capital (USA)
Inc. or WFS as a result of dealer discounts, mark-ups or other transaction costs.
WFS has advised us that if it or any of its affiliates makes a secondary market in the securities at any time up to the issue date or during the 3-month period following the issue date, the
secondary market price offered by WFS or any of its affiliates will be increased by an amount reflecting a portion of the costs associated with selling, structuring and hedging the securities that are included in the original offering price.
Because this portion of the costs is not fully deducted upon issuance, WFS has advised us that any secondary market price it or any of its affiliates offers during this period will be higher than it otherwise would be outside of this period, as any
secondary market price offered outside of this period will reflect the full deduction of the costs as described above. WFS has advised us that the amount of this increase in the secondary market price will decline steadily to zero over this 3-month
period. If you hold the securities through an account at WFS or any of its affiliates, WFS has advised us that it expects that this increase will also be reflected in the value indicated for the securities on your brokerage account statement.
The Bank’s Estimated Value Of The Securities Is Lower Than The Original Offering Price Of The Securities.
The Bank’s estimated value is only an estimate using several factors. The original offering price of the securities exceeds the Bank’s estimated value because costs associated with selling and
structuring the securities, as well as hedging the securities, are included in the original offering price of the securities. These costs include the selling commissions and the estimated cost of using a third party hedge provider to hedge our
obligations under the securities. See “The Bank’s Estimated Value of the Securities” in this pricing supplement.
The Bank’s Estimated Value Does Not Represent Future Values Of The Securities And May Differ From Others’ Estimates.
The Bank’s estimated value of the securities was determined by reference to the Bank’s internal pricing models when the terms of the securities were set. This estimated value is based on market
conditions and other relevant factors existing at that time and the Bank’s assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors as well as an estimate of the difference between the
amounts we or our hedge provider pay and receive in a hedging transaction with our affiliate and/or an affiliate of WFS in connection with your securities. Different pricing models and assumptions could provide valuations for securities that are
greater than or less than the Bank’s estimated value. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the securities could change
significantly based on, among other things, changes in market conditions, our creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which the Bank would be willing to buy securities from you in
secondary market transactions. See “The Bank’s Estimated Value of the Securities” in this pricing supplement.
The Bank’s Estimated Value Is Not Determined By Reference To Credit Spreads For Our Conventional Fixed-Rate Debt.
The internal funding rate used in the determination of the Bank’s estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. If the Bank were to use the interest
rate implied by our conventional fixed-rate credit spreads, we would expect the economic terms of the securities to be more favorable to you. Consequently, our use of an internal funding rate has an adverse effect on the terms of the securities and
any secondary market prices of the securities. See “The Bank’s Estimated Value of the Securities” in this pricing supplement.
P-10
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
If The Price Of The Underlying Stock Changes, The Market Value Of Your Securities May Not Change In The Same Manner.
Your securities may trade quite differently from the performance of the Underlying Stock. Changes in the price of the Underlying Stock may not result in a comparable change in the market value of
your securities. We discuss some of the reasons for this disparity under “ — The Price at Which the Securities May Be Sold Prior to Maturity will Depend on a Number of Factors and May Be Substantially Less Than the Amount for Which They Were
Originally Purchased” herein.
The Price At Which The Securities May Be Sold Prior To Maturity Will Depend On A Number Of Factors And May Be Substantially Less Than The Amount For Which They Were Originally
Purchased.
The price at which the securities may be sold prior to maturity will depend on a number of factors. Some of these factors include, but are not limited to: (i) actual or anticipated changes in the
price of the Underlying Stock over the full term of the security, (ii) volatility of the price of the Underlying Stock and the market’s perception of future volatility of the price of the Underlying Stock, (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 Stock and (vi) time remaining to maturity. In particular, because the provisions of the securities relating to the automatic call
feature and the maturity payment amount behave like options, the value of the security will vary in ways which are non-linear and may not be intuitive.
Depending on the actual or anticipated price of the Underlying Stock and other relevant factors, the market value of the securities may decrease and you may receive substantially less than 100.00%
of the original offering price if you sell your securities prior to maturity.
The Securities Lack 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. Scotia Capital (USA) Inc. may,
but is not obligated 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 significantly 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 Scotia Capital (USA) Inc. is willing to purchase the securities
from you. If at any time Scotia Capital (USA) Inc. was not to 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.
Risks Relating To The Underlying Stock
The Securities Will Be Subject To Single Stock Risk.
The price of the Underlying Stock can rise or fall sharply due to factors specific to that Underlying Stock and its issuer (the “Underlying Stock Issuer”), such as stock price volatility, earnings,
financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general stock market volatility and prices, interest rates and economic, political
and other conditions.
Any Payment On The Securities And Whether The Securities Are Automatically Called Will Depend Upon The Performance Of The Underlying Stock And, Therefore, The Securities Are
Subject To The Following Risks, Each As Discussed In More Detail In The Accompanying Product Supplement.
| • |
Investing In The Securities Is Not The Same As Investing In The Underlying Stock. Investing in the securities is not equivalent to investing in the Underlying
Stock. As an investor in the securities, your return will not reflect the return you would realize if you actually owned and held the Underlying Stock for a period similar to the term of the securities because you will not receive any
dividend payments, distributions or any other payments paid on the Underlying Stock. As a holder of the securities, you will not have any voting rights or any other rights that holders of the Underlying Stock would have.
|
| • |
Historical Prices Of The Underlying Stock Should Not Be Taken As An Indication Of The Future Performance Of The Underlying Stock During The Term Of The Securities.
|
| • |
The Securities May Become Linked To The Common Stock Of A Company Other Than An Original Underlying Stock Issuer.
|
| • |
We, The Agents And Our Respective Affiliates Cannot Control Actions By An Underlying Stock Issuer.
|
| • |
We, The Agents And Our Respective Affiliates Have No Affiliation With Any Underlying Stock Issuer And Have Not Independently Verified Their Public Disclosure Of Information.
|
| • |
You Have Limited Anti-dilution Protection.
|
P-11
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
Risks Relating To Hedging Activities And Conflicts Of Interest
A Participating Dealer Or Its Affiliates May Realize Hedging Profits Projected By Its Proprietary Pricing Models In Addition To Any Selling Concession And/Or Any Distribution
Expense Fee, Creating A Further Incentive For The Participating Dealer To Sell The Securities To You.
If any dealer participating in the distribution of the securities (referred to as a “participating dealer”) or any of its affiliates conducts hedging activities for us in connection with the
securities, that participating dealer or its affiliate will expect to realize a projected profit from such hedging activities. If a participating dealer receives a concession and/or any distribution expense fee for the sale of the securities to
you, this projected profit will be in addition to the concession and/or distribution expense fee, creating a further incentive for the participating dealer to sell the securities to you.
| • |
Hedging Activities By The Bank And/Or The Agents 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.
|
| • |
Market Activities By The Bank Or The Agents For Their Own Respective Accounts Or For Their Respective Clients Could Negatively Impact Investors In The Securities.
|
| • |
The Bank, The Agents And Their Respective Affiliates Regularly Provide Services To, Or Otherwise Have Business Relationships With, A Broad Client Base, Which Has Included And May Include Issuers Of An
Underlying Stock, The Sponsor Or Investment Advisor For A Fund And/Or The Issuers Of Securities Included In An Underlying Stock Or Held By A Fund.
|
| • |
Other Investors In The Securities May Not Have The Same Interests As You.
|
| • |
There Are Potential Conflicts Of Interest Between You And The Calculation Agent.
|
Risks Relating To Canadian And U.S. Federal Income Taxation
The Tax Consequences Of An Investment In The Securities Are Unclear.
Significant aspects of the tax treatment of the securities are uncertain. You should consult your tax advisor about your tax situation. See “Canadian Income Tax Consequences” and “U.S. Federal Income
Tax Consequences” in this pricing supplement.
P-12
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
|
Hypothetical Examples and Returns
|
The payout profile, return table and examples below illustrate hypothetical payments upon an automatic call or at stated maturity for a $1,000 face amount security on a hypothetical offering of
securities under various scenarios, with the assumptions set forth in the table below. The terms used for purposes of these hypothetical examples do not represent the actual starting price or threshold price. The hypothetical starting price of
$100.00 has been chosen for illustrative purposes only and does not represent the actual starting price. The actual starting price and threshold price were determined on the pricing date and are set forth under “Terms of the Securities” above. For
historical data regarding the actual closing prices of the Underlying Stock, see the historical information set forth herein. The payout profile, return table and examples below assume that an investor purchases the securities for $1,000 per
security. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
|
Call Premium:
|
30.30% or $303.00 per security
|
||
|
Upside Participation Rate:
|
150.00%
|
||
|
Hypothetical Starting Price:
|
$100.00
|
||
|
Hypothetical Threshold Price:
|
$60.00 (60% of the hypothetical starting price)
|
Hypothetical Payout Profile
P-13
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
Hypothetical Returns
If the securities are automatically called:
If the securities are automatically called prior to stated maturity, you will receive the face amount of your securities plus the call premium, resulting in a pre-tax total rate of return of 30.30%.
If the securities are not automatically called:
|
Hypothetical
ending price
|
Hypothetical underlying stock
return(1)
|
Maturity payment amount per
security
|
Pre-tax total rate of
return(2)
|
|
$200.00
|
100.00%
|
$2,500.00
|
150.00%
|
|
$175.00
|
75.00%
|
$2,125.00
|
112.50%
|
|
$150.00
|
50.00%
|
$1,750.00
|
75.00%
|
|
$140.00
|
40.00%
|
$1,600.00
|
60.00%
|
|
$130.00
|
30.00%
|
$1,450.00
|
45.00%
|
|
$120.00
|
20.00%
|
$1,300.00
|
30.00%
|
|
$110.00
|
10.00%
|
$1,150.00
|
15.00%
|
|
$105.00
|
5.00%
|
$1,075.00
|
7.50%
|
|
$100.00
|
0.00%
|
$1,000.00
|
0.00%
|
|
$90.00
|
-10.00%
|
$1,000.00
|
0.00%
|
|
$80.00
|
-20.00%
|
$1,000.00
|
0.00%
|
|
$70.00
|
-30.00%
|
$1,000.00
|
0.00%
|
|
$60.00
|
-40.00%
|
$1,000.00
|
0.00%
|
|
$59.00
|
-41.00%
|
$590.00
|
-41.00%
|
|
$50.00
|
-50.00%
|
$500.00
|
-50.00%
|
|
$25.00
|
-75.00%
|
$250.00
|
-75.00%
|
|
$0.00
|
-100.00%
|
$0.00
|
-100.00%
|
| (1) |
The underlying stock return is equal to the percentage change from the starting price to the ending price (i.e., the ending price minus the starting price, divided
by the starting price).
|
| (2) |
The hypothetical pre-tax total rate of return is the number, expressed as a percentage, that results from comparing the maturity payment amount per security to the face amount of $1,000.
|
Hypothetical Examples Of Payment Upon An Automatic Call Or At Stated Maturity
Example 1. The stock closing price of the Underlying Stock on the call date is greater than the starting price, and the securities are automatically called on the call date:
|
Underlying Stock
|
||
|
Hypothetical starting price:
|
$100.00
|
|
|
Hypothetical stock closing price on call date:
|
$140.00
|
Because the hypothetical stock closing price of the Underlying Stock on the call date is greater than the hypothetical starting price, the securities are automatically called on
the call date and you will receive on the call settlement date the face amount of your securities plus the call premium of 30.30% of the face amount. Even though the Underlying Stock appreciated by 40.00% from its starting price to its stock
closing price on the call date in this example, your return is limited to the call premium of 30.30%.
On the call settlement date, you would receive $1,303.00 per security.
P-14
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
Example 2. The securities are not automatically called. The ending price is greater than the starting price and the maturity payment amount is greater than the face amount:
|
Underlying Stock
|
||
|
Hypothetical starting price:
|
$100.00
|
|
|
Hypothetical stock closing price on the call date:
|
$75.00
|
|
|
Hypothetical ending price:
|
$110.00
|
|
|
Hypothetical threshold price:
|
$60.00
|
|
|
Hypothetical underlying stock return
(ending price – starting price)/starting price
|
10.00%
|
Because the hypothetical stock closing price of the Underlying Stock on the call date is less than the hypothetical starting price, the securities are not automatically called.
Because the hypothetical ending price is greater than the hypothetical starting price, the maturity payment amount per security would be equal to:
$1,000 + ($1,000 × underlying stock return × upside participation rate)
= $1,000 + ($1,000 × 10.00% × 150.00%)
= $1,150.00
On the stated maturity date, you would receive $1,150.00 per security.
Example 3. The securities are not automatically called. The ending price is less than the starting price but greater than the threshold price and the maturity payment amount is
equal to the face amount:
|
Underlying Stock
|
||
|
Hypothetical starting price:
|
$100.00
|
|
|
Hypothetical stock closing price on the call date:
|
$75.00
|
|
|
Hypothetical ending price:
|
$95.00
|
|
|
Hypothetical threshold price:
|
$60.00
|
|
|
Hypothetical underlying stock return
(ending price – starting price)/starting price
|
-5.00%
|
Because the hypothetical stock closing price of the Underlying Stock on the call date is less than the hypothetical starting price, the securities are not automatically called.
Because the hypothetical ending price is less than the hypothetical starting price, but not by more than the hypothetical threshold price, you would receive the face amount of your securities at stated maturity.
On the stated maturity date, you would receive $1,000.00 per security.
Example 4. The securities are not automatically called. The ending price is less than the threshold price and the maturity payment amount is less than the face amount:
|
Underlying Stock
|
||
|
Hypothetical starting price:
|
$100.00
|
|
|
Hypothetical stock closing price on the call date:
|
$75.00
|
|
|
Hypothetical ending price:
|
$40.00
|
|
|
Hypothetical threshold price:
|
$60.00
|
|
|
Hypothetical underlying stock return
(ending price – starting price)/starting price
|
-60.00%
|
Because the hypothetical stock closing price of the Underlying Stock on the call date is less than the hypothetical starting price, the securities are not automatically called.
Because the hypothetical ending price is less than the hypothetical starting price by more than 40%, you would lose a portion of the face amount of your securities and receive the maturity payment amount equal to:
$1,000 + ($1,000 × underlying stock return)
=$1,000 + ($1,000 × -60.00%)
=$400.00
On the stated maturity date, you would receive $400.00 per security.
P-15
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
|
The Underlying Stock
|
According to publicly available information, NVIDIA Corporation (“NVIDIA”) is a visual computing company that designs and develops graphics processing units and artificial
intelligence. Information filed by NVIDIA with the SEC can be located by reference to its SEC file number: 000-23985, or its CIK Code: 0001045810. NVIDIA’s common stock is listed on the Nasdaq Global Select Market under the ticker symbol “NVDA”.
Historical Information
We obtained the closing prices of the Underlying Stock in the graph below from Bloomberg Professional® service (“Bloomberg”), without independent verification.
The following graph sets forth daily closing prices of the Underlying Stock for the period from January 1, 2019 to July 17, 2024. The closing price on July 17, 2024 was $117.99. The historical
performance of the Underlying Stock should not be taken as an indication of the future performance of the Underlying Stock during the term of the securities.
We have not independently verified the accuracy or completeness of the information obtained from Bloomberg and have not undertaken an independent review or due diligence. The historical performance
of the Underlying Stock should not be taken as an indication of its future performance, and no assurance can be given as to the closing price of the Underlying Stock on any calculation day or its ending price. We cannot give you assurance that the
performance of the Underlying Stock will result in any positive return on your investment.
P-16
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
|
Canadian Income Tax Consequences
|
See “Supplemental Discussion of Canadian Tax Consequences” in the accompanying product supplement. In addition to the assumptions, limitations and conditions described therein, such discussion
assumes that a Non-Resident Holder is not an entity in respect of which the Bank is a “specified entity” as defined in the Income Tax Act (Canada) (the “Act”).
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 paragraph 18.4(3)(b) of the Act.
|
U.S. Federal Income Tax Consequences
|
You should carefully review the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement. The following discussion, when read in combination with that
section, constitutes the full opinion of our special U.S. tax counsel, Fried, Frank, Harris, Shriver & Jacobson, LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the securities.
Due to the absence of statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are
substantially the same as the securities, no assurance can be given that the Internal Revenue Service (“IRS”) or a court will agree with the tax treatment described herein. Pursuant to the terms of the securities, the Bank and you agree, in the
absence of a statutory or regulatory change or an administrative determination or judicial ruling to the contrary, to characterize the securities as prepaid derivative contracts with respect to the Underlying Stock. The U.S. Department of the
Treasury and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future
regulations or other guidance. In addition, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the
securities, including possible alternative tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to Section 871(m) of the Code and FATCA, each as discussed below, a non-U.S. holder should generally not be subject to U.S.
withholding tax with respect to payments on the securities or to generally applicable information reporting and backup withholding requirements with respect to payments on the securities if the non-U.S. holder complies with certain certification
and identification requirements as to their non-U.S. status including providing us (and/or the applicable withholding agent) a properly executed and fully completed applicable IRS Form W-8. Subject to Section 897 of the Code and Section 871(m) of
the Code, discussed below, gain realized from the taxable disposition (including cash settlement) 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 the
non-U.S. holder in the U.S., (ii) the non-U.S. holder is a non-resident alien individual and is 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) the
non-U.S. holder has certain other present or former connections with the U.S.
Section 897. We will not attempt to ascertain whether the Underlying Stock would be treated as a “United States real property holding corporation” (“USRPHC”)
within the meaning of Section 897 of the Code. We also have not attempted to determine whether the securities should be treated as “United States real property interests” (“USRPI”) as defined in Section 897 of the Code. If the Underlying Stock were
so treated, certain adverse U.S. federal income tax consequences could possibly apply, including subjecting any gain to a non-U.S. holder in respect of a security upon a taxable disposition of the security to U.S. federal income tax on a net basis,
and the proceeds from such a taxable disposition to a 15% withholding tax. Non-U.S. holders should consult their tax advisors regarding the potential treatment of any such entity as a USRPHC and the securities as USRPI.
Section 871(m). A 30% withholding tax (which may be reduced by an applicable income tax treaty) is imposed under Section 871(m) of the Code on certain
“dividend equivalents” paid or deemed paid to a non-U.S. holder with respect to a “specified equity-linked instrument” that references one or more dividend-paying U.S. equity securities or indices containing U.S. equity securities. The withholding
tax can apply even if the instrument does not provide for payments that reference dividends. Treasury regulations, as modified by Notice 2020-2, 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 our determination that the securities are not “delta-one” with respect to the Underlying Stock, 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.
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.
P-17
|
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the common stock of NVIDIA Corporation due July 22, 2027
|
|
|
Validity of the Securities
|
In the opinion of Fried, Frank, Harris, Shriver & Jacobson LLP, as special counsel to the Bank, when the securities offered by this pricing supplement have been executed and issued by the Bank
and authenticated by the trustee pursuant to the indenture and delivered, paid for and sold as contemplated herein, the securities will be valid and binding obligations of the Bank, enforceable against the Bank in accordance with their terms,
subject to applicable bankruptcy, insolvency, fraudulent conveyance, reorganization, moratorium, receivership or other laws relating to or affecting creditors’ rights generally, and to general principles of equity (regardless of whether enforcement
is sought in a proceeding at law or in equity). This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this opinion involves matters governed by Canadian law, Fried, Frank, Harris, Shriver &
Jacobson LLP has assumed, without independent inquiry or investigation, the validity of the matters opined on by Osler, Hoskin & Harcourt LLP, Canadian legal counsel for the Bank, in its opinion expressed below. In addition, this opinion is
subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and, with respect to the securities, authentication of the securities and the genuineness of signatures and certain factual matters, all as
stated in the opinion of Fried, Frank, Harris, Shriver & Jacobson LLP dated February 28, 2022 filed with the SEC as an exhibit to the Current Report on Form 6-K on March 1, 2022.
In the opinion of Osler, Hoskin & Harcourt LLP, the issue and sale of the securities has been duly authorized by all necessary corporate action of the Bank in conformity with the Indenture, and
when the securities have been duly executed, authenticated and issued in accordance with the Indenture, and delivered against payment therefor, the securities will be validly issued and, to the extent validity of the securities is a matter governed
by the laws of the Province of Ontario or the federal laws of Canada applicable therein, will be valid obligations of the Bank, subject to the following limitations (i) the enforceability of the Indenture may be limited by the Canada Deposit
Insurance Corporation Act (Canada), the Winding-up and Restructuring Act (Canada) and bankruptcy, insolvency, reorganization, receivership, preference, moratorium, arrangement or winding-up laws or other similar laws affecting the enforcement of
creditors’ rights generally; (ii) the enforceability of the Indenture may be limited by equitable principles, including the principle that equitable remedies such as specific performance and injunction may only be granted in the discretion of a
court of competent jurisdiction; (iii) pursuant to the Currency Act (Canada) a judgment by a Canadian court must be awarded in Canadian currency and that such judgment may be based on a rate of exchange in existence on a day other than the day of
payment; and (iv) the enforceability of the Indenture will be subject to the limitations contained in the Limitations Act, 2002 (Ontario), and such counsel expresses no opinion as to whether a court may find any provision of the Indenture to be
unenforceable as an attempt to vary or exclude a limitation period under that Act. This opinion is given as of the date hereof and is limited to the laws of the Province of Ontario and the federal laws of Canada applicable therein. In addition,
this opinion is subject to customary assumptions about the Trustees’ authorization, execution and delivery of the Indenture and the genuineness of signatures and certain factual matters, all as stated in the letter of such counsel dated December
27, 2021, which has been filed as Exhibit 5.2 to the Bank’s Form F-3/A filed with the SEC on December 27, 2021.
P-18