The information in this preliminary pricing supplement is not complete and may be changed. We may not sell these Securities until the pricing supplement,
the accompanying product supplement, underlier supplement, prospectus supplement and prospectus (collectively, the “Offering Documents”) are delivered in final form. The Offering Documents are not an offer to sell these Securities and we are not
soliciting offers to buy these Securities in any state where the offer or sale is not permitted.
|
Subject to Completion
PRELIMINARY PRICING SUPPLEMENT
Dated August 5, 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)
|
The Bank of Nova Scotia $● Trigger GEARS
Linked to an Unequally Weighted Basket of Equity Indices due on or about August 20, 2029
The Bank of Nova Scotia Trigger GEARS (the “Securities”) are senior unsecured debt securities issued by The Bank of Nova Scotia (“BNS” or
the “issuer”) linked to an unequally weighted basket (the “underlying basket”) consisting of the following 5 equity indices (each, a “basket asset”, together the “basket assets”), with its basket weighting in parenthesis: EURO STOXX 50®
Index (40.00%), Nikkei 225 Index (25.00%), FTSE® 100 Index (17.50%), Swiss Market Index (10.00%) and S&P/ASX 200 Index (7.50%). The amount you receive at maturity will be based on the direction and percentage
change in the level of the underlying basket from the trade date to the final valuation date (the “basket return”) and whether the closing level of the underlying basket on the final valuation date (the “final basket level”) is less than the
downside threshold. If the basket return is positive, BNS will pay you a cash payment per Security at maturity equal to the principal amount plus a percentage return equal to the basket return multiplied by the upside gearing. If the basket
return is zero or negative and the final basket 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 basket return is negative and the
final basket level is less than the downside threshold, BNS will pay you a cash payment per Security at maturity that is less than the principal amount, if anything, resulting in a percentage loss of your principal amount equal to the basket
return and, in extreme situations, you could lose your entire investment in the Securities. Investing in the Securities involves significant risks. The Securities do not pay interest. You may lose a significant
portion or all of your investment in the Securities. The contingent repayment of principal applies only if you hold the Securities to maturity. Any payment on the Securities, including any repayment of principal, is subject to the
creditworthiness of BNS. If BNS were to default on its payment obligations you may not receive any amounts owed to you under the Securities and you could lose your entire investment in the Securities.
☐ |
Enhanced Exposure to Positive Basket Return: At maturity, the Securities provide exposure to any positive basket return multiplied by the upside gearing.
|
☐ |
Contingent Repayment of Principal at Maturity with Potential for Full Downside Market Exposure: If the basket return is zero or negative and the final basket
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 basket return is negative and the final basket level is less than
the downside threshold, BNS will pay you a cash payment per Security at maturity that is less than the principal amount, if anything, resulting in a percentage loss of your principal amount equal to the basket return and, in
extreme situations, you could lose your entire investment in the Securities. The contingent repayment of principal applies only if you hold the Securities to maturity. Any payment on the Securities, including any repayment of
principal, is subject to the creditworthiness of BNS.
|
Trade Date
|
August 16, 2024
|
Settlement Date
|
August 20, 2024
|
Final Valuation Date
|
August 16, 2029
|
Maturity Date
|
August 20, 2029
|
* |
Expected. See page P-2 for additional details.
|
** |
We expect to deliver the Securities against payment on or about the second business day following the trade date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the
secondary market generally are required to settle in one business day (T+1), unless the parties to a trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Securities in the secondary market on any date
prior to one business day before delivery of the Securities will be required, by virtue of the fact that each Security initially will settle in two business days (T+2), to specify alternative settlement arrangements to prevent
a failed settlement of the secondary market trade.
|
Notice to investors: the Securities are significantly riskier than conventional debt instruments. The issuer is not necessarily obligated to repay the principal
amount of the Securities at maturity, and the Securities may have the same downside market risk as that of a hypothetical investment in the underlying basket. This market risk is in addition to the credit risk inherent in purchasing a debt
obligation of BNS. You should not purchase the Securities if you do not understand or are not comfortable with the significant risks involved in investing in the Securities.
You should carefully consider the risks described under “Key Risks” beginning on page P-4 herein and under “Additional Risk Factors Specific to the Notes”
beginning on page PS-6 of the accompanying product supplement and “Risk Factors” beginning on page S-2 of the accompanying prospectus supplement and on page 7 of the accompanying prospectus. Events relating to any of those risks, or other risks
and uncertainties, could adversely affect the market value of, and the return on, your Securities. You may lose a significant portion or all of your investment in the Securities. The Securities will not be listed or displayed on any securities
exchange or any electronic communications network.
Information about the underlying basket and the basket assets is specified under “Preliminary Terms — Underlying Basket” herein and described in more detail
under “Information About the Underlying Basket and the Basket Assets” herein. The final terms for the Securities will be set on the trade date. The Securities are offered at a minimum investment of $1,000, or 100 Securities at $10 per Security,
and integral multiples of $10 in excess thereof.
Underlying Basket
|
Basket Weighting
|
Upside
Gearing
|
Initial Basket
Level
|
Downside Threshold
|
CUSIP
|
ISIN
|
An Unequally Weighted Basket of 5 Equity Indices (see page P-2 for further details)
|
Unequally Weighted (see page P-2 for further details)
|
2.10 – 2.20
|
To be set to 100.00 on the trade date
|
75.00% of the Initial Basket Level
|
06418K785
|
US06418K7853
|
The initial estimated value of your Securities at the time the terms of your Securities are set on the trade date is expected to be between $9.00 and $9.30 per principal amount,
which will be less than the issue price to public listed below. See “Additional Information Regarding Estimated Value of the Securities” herein and “Key Risks” beginning on page P-4 of this document for additional information. The actual value of
your Securities at any time will reflect many factors and cannot be predicted with accuracy.
See “Additional Information About BNS and the Securities” on page P-ii. The Securities will have the terms set forth in the accompanying product supplement dated
December 29, 2021, underlier supplement dated December 29, 2021, prospectus supplement dated December 29, 2021, prospectus dated December 29, 2021 and this document.
Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these Securities or passed upon the adequacy or
accuracy of this document, the accompanying product supplement, underlier supplement, prospectus supplement or prospectus. Any representation to the contrary is a criminal offense.
The Securities are not insured by the Canada Deposit Insurance Corporation (the “CDIC”) pursuant to the Canada Deposit Insurance Corporation Act (the “CDIC Act”) or the U.S. Federal
Deposit Insurance Corporation or any other government agency of Canada, the U.S. or any other jurisdiction. The Securities are not bail-inable debt securities under the CDIC Act.
Offering of Securities
|
Issue Price to Public
|
Underwriting Discount(1)(2)
|
Proceeds to The Bank of Nova Scotia(1)(2)
|
|
Total
|
Per Security
|
Total
|
Per Security
|
Total
|
Per Security
|
Securities linked to an Unequally Weighted Basket of Equity Indices
|
$•
|
$10.00
|
$•
|
$0.35
|
$•
|
$9.65
|
(1)
|
Scotia Capital (USA) Inc. (“SCUSA”), our affiliate, will purchase the Securities at the principal amount and, as part of the distribution of the Securities, will sell the
Securities to UBS Financial Services Inc. (“UBS”) at the discount specified in the table above. See “Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)” herein for additional information.
|
(2)
|
UBS or one of its affiliates is to conduct hedging activities for us in connection with the Securities. These amounts exclude any profits to UBS, BNS or any of our or
their respective affiliates from hedging. See “Key Risks” and “Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)” herein for additional considerations relating to hedging activities.
|
Scotia Capital (USA) Inc.
|
UBS Financial Services Inc.
|
Additional Information About BNS and the Securities
|
You should read this pricing supplement together with the prospectus dated December 29, 2021, as supplemented by the prospectus supplement dated December 29, 2021, the underlier supplement dated
December 29, 2021 and the product supplement (Market-Linked Notes, Series A) dated December 29, 2021, relating to our Senior Note Program, Series A, of which these Securities are a part. Capitalized terms used but not defined in this pricing
supplement will have the meanings given to them in the product supplement.
The Securities may vary from the terms described in the accompanying prospectus, prospectus supplement, underlier supplement and product supplement in several important ways. You should read this
pricing supplement carefully, including the documents incorporated by reference herein. In the event of any conflict between this pricing supplement and any of the foregoing, the following hierarchy will govern: first, this pricing supplement;
second, the accompanying product supplement; third, the accompanying underlier supplement; fourth, the accompanying prospectus supplement; and last, the accompanying prospectus. You may access these documents on the SEC website at www.sec.gov as
follows (or if that address has changed, by reviewing our filings for the relevant date on the SEC website).
This pricing supplement, together with the documents listed below, contains the terms of the Securities and supersedes all prior or contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the
matters set forth in “Key Risks” herein, in “Additional Risk Factors Specific to the Securities” of the accompanying product supplement and in “Risk Factors” of the accompanying prospectus supplement and of the accompanying prospectus, as the
Securities involve risks not associated with conventional debt securities.
We urge you to consult your investment, legal, tax, accounting and other advisors concerning an investment in the Securities in light of your particular circumstances.
You may access these documents on the SEC website at www.sec.gov as follows:
♦ |
Product Supplement (Market-Linked Notes, Series A) dated December 29, 2021:
|
♦ |
Underlier Supplement dated December 29, 2021:
|
♦ |
Prospectus Supplement dated December 29, 2021:
|
♦ |
Prospectus dated December 29, 2021:
|
References to “BNS”, “we”, “our” and “us” refer only to The Bank of Nova Scotia and not to its consolidated subsidiaries and references to the “Trigger GEARS” or the “Securities”
refer to the Securities that are offered hereby. Also, references to the “accompanying product supplement” mean the BNS product supplement, dated December 29, 2021, references to the “accompanying underlier supplement” mean the BNS underlier
supplement, dated December 29, 2021, references to the “accompanying prospectus supplement” mean the BNS prospectus supplement, dated December 29, 2021 and references to the “accompanying prospectus” mean the BNS prospectus, dated December 29,
2021.
BNS reserves the right to change the terms of, or reject any offer to purchase, the Securities prior to their issuance. In the event of any changes to the terms of the Securities, BNS will notify you
and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case BNS may reject your offer to purchase.
The Securities may be suitable for you if:
♦ |
You fully understand and are willing to accept the risks inherent in an investment in the Securities, including the risk of loss of your entire investment.
|
♦ |
You can tolerate a loss of a significant portion or all of your investment in the Securities and are willing to make an investment that may have the same downside market risk as that of a hypothetical investment in the underlying
basket, the basket assets or in the stocks comprising the basket assets (the “underlying constituents”).
|
♦ |
You believe that the level of the underlying basket will appreciate over the term of the Securities.
|
♦ |
You are willing to invest in the Securities based on the downside threshold and minimum upside gearing indicated on the cover hereof (the actual upside gearing will be set on the trade date).
|
♦ |
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(s) of the underlying basket, the basket assets and the prices of the underlying
constituents.
|
♦ |
You do not seek current income from your investment and are willing to forgo any dividends paid on the underlying constituents.
|
♦ |
You understand and are willing to accept the risks associated with the underlying basket and the basket assets.
|
♦ |
You are willing to hold the Securities to maturity and accept that there may be little or no secondary market for the Securities.
|
♦ |
You seek an investment with exposure to companies in the Eurozone, Japan, the United Kingdom, Switzerland and Australia.
|
♦ |
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.
|
The Securities may not be suitable for you if:
♦ |
You do not fully understand or are not willing to accept the risks inherent in an investment in the Securities, including the risk of loss of your entire investment.
|
♦ |
You require an investment designed to provide a full return of principal at maturity.
|
♦ |
You cannot tolerate a loss of a significant portion or all of your investment in the Securities or are unwilling to make an investment that may have the same downside market risk as that of a hypothetical investment in the underlying
basket, the basket assets or the underlying constituents.
|
♦ |
You believe that the level of the underlying basket will decline during the term of the Securities and that the final basket level is likely to be less than the downside threshold.
|
♦ |
You are unwilling to invest in the Securities based on the downside threshold or minimum upside gearing indicated on the cover hereof (the actual upside gearing will be set on the trade date).
|
♦ |
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(s) of the underlying basket, the basket assets or the prices of the underlying
constituents.
|
♦ |
You do not understand or are not willing to accept the risks associated with the underlying basket or the basket assets.
|
♦ |
You seek current income from your investment or prefer to receive any dividends paid on the underlying constituents.
|
♦ |
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.
|
♦ |
You do not seek an investment with exposure to companies in the Eurozone, Japan, the United Kingdom, Switzerland or Australia.
|
♦ |
You are not willing to assume the credit risk of BNS for all payments under the Securities, including any repayment of principal.
|
The investor suitability considerations identified above are not exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances and you
should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability of an investment in the Securities in light of your particular circumstances. You should
review “Information About the Underlying Basket and the Basket Assets” herein for more information on the underlying basket and the basket assets. You should also review “Key Risks” herein and the more detailed “Additional Risk Factors Specific
to the Notes” in the accompanying product supplement for risks related to an investment in the Securities.
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Issuer
|
The Bank of Nova Scotia
|
|
|
Issue
|
Senior Note Program, Series A
|
|
|
Agents
|
Scotia Capital (USA) Inc. (“SCUSA”) and UBS Financial Services Inc. (“UBS”)
|
|
|
Principal
Amount
|
$10 per Security (subject to a minimum investment of 100 Securities)
|
|
|
Term
|
Approximately 5 years. In the event that we make any change to the expected trade date and settlement date, the calculation agent may adjust the final valuation date and maturity date to ensure
that the stated term of the Securities remains the same.
|
|
|
Underlying
Basket
|
The following table lists each basket asset and its corresponding Bloomberg ticker, basket weighting and initial asset level.
|
|
Basket Asset
|
Bloomberg
Ticker
|
Basket
Weighting
|
Initial Asset
Level(1)
|
|
EURO STOXX 50® Index
|
SX5E
|
40.00%
|
●
|
|
Nikkei 225 Index
|
NKY
|
25.00%
|
●
|
|
FTSE® 100 Index
|
UKX
|
17.50%
|
●
|
|
Swiss Market Index
|
SMI
|
10.00%
|
●
|
|
S&P/ASX 200 Index
|
AS51
|
7.50%
|
●
|
|
(1) With respect to each basket asset, the closing level for such basket asset on the trade date as determined by the calculation agent and as may be adjusted
as described under “Additional Terms of the Securities” herein.
|
|
|
Upside
Gearing
|
2.10 – 2.20. The actual upside gearing will be determined on the trade date.
|
|
|
Payment at
Maturity
(per
Security)
|
If the basket return is positive, BNS will pay you an amount in cash equal to:
|
|
$10 × (1 + Basket Return × Upside Gearing)
|
|
|
|
If the basket return is zero or negative and the final basket level is equal to or greater than the downside threshold, BNS will pay you
an amount in cash equal to:
Principal Amount of $10
|
|
|
|
If the basket return is negative and the final basket level is less than the downside threshold, BNS will pay you an amount in cash that
is less than your principal amount, if anything, equal to:
|
|
|
|
$10 × (1 + Basket Return)
In this scenario, you will suffer a percentage loss on your principal amount equal to the basket return and, in extreme situations, you
could lose your entire investment in the Securities.
|
|
|
Basket
Return
|
The quotient, expressed as a percentage, of the following formula:
Final Basket Level − Initial Basket Level
Initial Basket Level
|
|
|
Initial Basket
Level
|
To be set to 100.00 on the trade date.
|
|
|
Final Basket
Level
|
The basket closing level on the final valuation date, as determined by the calculation agent.
|
|
|
Basket
Closing
Level
|
As calculated on the final valuation date, the basket closing level will be calculated as follows:
100 × [1 + (the sum of each Basket Asset Return multiplied by its Basket Weighting)]
|
|
|
Basket Asset
Return
|
With respect to each basket asset, the quotient, expressed as a percentage, of the following formula:
Final Asset Level – Initial Asset Level
Initial Asset Level
|
|
|
Final Asset
Level
|
With respect to each basket asset, the closing level for such basket asset on the final valuation date, as determined by the calculation agent and as may be adjusted as described under “Additional Terms
of the Securities” herein.
|
|
|
Downside
Threshold
|
To be set at 75.00 on the Trade Date.
|
|
|
Business Day
|
A day other than a Saturday or Sunday or a day on which banking institutions in New York City are authorized or required by law to close
|
|
|
Tax
Redemption
|
Notwithstanding anything to the contrary in the accompanying product supplement, the provision set forth under “General Terms of the Notes — Payment of Additional Amounts” and “General Terms of the
Notes — Tax Redemption” shall not apply to the Securities.
|
|
|
Canadian
Bail-in
|
The Securities are not bail-inable debt securities under the CDIC Act.
|
|
|
Terms
Incorporated
|
All of the terms appearing above the item under the caption “General Terms of the Notes” in the accompanying product supplement, as modified by this pricing supplement, and for purposes of the
foregoing, references herein to “underlying basket”, “basket asset”, “underlying constituents”, “closing level”, “basket return” and “downside threshold” mean “reference asset”, “basket component”, “reference asset constituents”,
“closing value”, “reference asset return” and “barrier value”, respectively, each as defined in the accompanying product supplement. In addition to those terms, the following two sentences are also so incorporated into the master
note: BNS confirms that it fully understands and is able to calculate the effective annual rate of interest applicable to the Securities based on the methodology for calculating per annum rates provided for in the Securities. BNS
irrevocably agrees not to plead or assert Section 4 of the Interest Act (Canada), whether by way of defense or otherwise, in any proceeding relating to the Securities.
|
|
Trade Date
|
|
The initial asset level of each basket asset is observed and the initial basket level and the final terms of the Securities are set.
|
|
|
|
Maturity Date
|
|
The final asset level for each basket asset is observed on the final valuation date and each basket asset return and the basket return are calculated.
If the basket return is positive, BNS will pay you an amount in cash per Security equal to:
$10 × (1 + Basket Return × Upside Gearing)
If the basket return is zero or negative and the final basket 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 basket return is negative and the final basket level is less than the downside threshold, BNS will pay you an
amount in cash per Security that is less than your principal amount, if anything, equal to:
$10 × (1 + Basket Return)
In this scenario, you will suffer a percentage loss on your principal amount equal to the basket return and, in extreme
situations, you could lose your entire investment in the Securities.
|
Investing in the Securities involves significant risks. You may lose a significant portion or all of your investment in the Securities. Specifically, if the final basket level is less than the
downside threshold, you will lose a percentage of your principal amount equal to the basket return and, in extreme situations, you could lose your entire investment in the Securities. Any payment on the Securities, including any repayment of
principal, is subject to the creditworthiness of BNS. If BNS were to default on its payment obligations, you may not receive any amounts owed to you under the Securities and you could lose your entire investment in the Securities.
An investment in the Securities involves significant risks. Investing in the Securities is not equivalent to investing in the underlying basket or in any of the basket assets. Some of the key risks
that apply to the Securities are summarized below, but we urge you to read the more detailed explanation of risks relating to the Securities under “Additional Risk Factors Specific to the Notes” of the accompanying product supplement and “Risk
Factors” of the accompanying prospectus supplement and of the accompanying prospectus. We also urge you to consult your investment, legal, tax, accounting and other advisors concerning an investment in the Securities in light of your particular
circumstances.
Risks Relating to Return Characteristics
♦ |
Risk of loss at maturity — The Securities differ from ordinary debt securities in that BNS will not necessarily repay the principal amount of the Securities. BNS will pay you the principal amount
of your Securities in cash at maturity only if the final basket level is equal to or greater than the downside threshold. If the basket return is negative and the final basket level is less than the downside threshold, you will lose a
percentage of your principal amount equal to the basket return and, in extreme situations, you could lose your entire investment in the Securities.
|
♦ |
The contingent repayment of principal applies only at maturity — You should be willing to hold your Securities to maturity. The stated payout by the issuer is available only if you hold your
Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market, you may have to sell them at a loss relative to your investment in the Securities even if the then-current level of the underlying
basket is equal to or greater than the downside threshold.
|
♦ |
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, and the percentage return you realize may be less than the then-current basket return multiplied by the upside gearing, even if such percentage return is
positive. You can receive the full benefit of the upside gearing only if you hold your Securities to maturity.
|
♦ |
No interest payments — BNS will not pay any interest with respect to the Securities.
|
♦ |
Greater expected volatility generally indicates an increased risk of loss at maturity — “Volatility” refers to the frequency and magnitude of changes in the level of the basket assets and
therefore, the underlying basket. The greater the expected volatility of the basket assets as of the trade date, the greater the expectation is as of that date that the final basket level could be less than the downside threshold and, as a
consequence, indicates an increased risk of loss. However, the basket assets’ 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 basket and the potential to lose a significant portion or all of your investment in the Securities.
|
♦ |
Owning the Securities is not the same as owning the underlying constituents — The return on your Securities may not reflect the return you would realize if you actually owned the underlying
constituents. For instance, you will not receive or be entitled to receive any dividend payments or other distributions paid to holders of the underlying constituents during the term of the Securities, and any such dividends or
distributions will not be factored into the calculation of the payment at maturity on your Securities. In addition, as an owner of the Securities, you will not have voting rights or any other rights that a holder of the underlying
constituents may have.
|
Risks Relating to Characteristics of the Underlying Basket and Basket Assets
♦ |
Market risk — The return on the Securities, which may be negative, is directly linked to the performance of the underlying basket (and, therefore, the basket assets) and indirectly linked to the
performance of the underlying constituents, and will depend on whether, and the extent to which, the basket return is positive or negative. The level of the basket assets (and therefore, the level of the underlying basket) can rise or fall
sharply due to factors specific to the basket assets and their underlying constituents and their issuers (each, an “underlying constituent 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 or commodity market volatility and levels, interest rates and economic, political and other
conditions.
|
♦ |
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 levels of the basket assets will
rise or fall and there can be no assurance that the final basket level will be equal to or greater than the initial basket level or downside threshold. The performance of the underlying basket from the initial basket level to the final
basket level will be influenced by complex and interrelated political, economic, financial and other factors that affect the basket assets and their 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 a significant portion or all of your investment in the Securities.
|
♦ |
The underlying basket is unequally weighted, and changes in the levels of the basket assets may offset each other — The underlying basket is unequally weighted; thus, an increase in the level of
one or more basket assets may be offset by a smaller increase or a decline in the level of one or more other basket assets. As a result, the basket return could be negative even if relatively few of the basket assets experience a negative
basket asset return, resulting in the loss of a significant portion or all of your investment in the Securities. Because the basket assets are not equally weighted, increases in lower weighted basket assets may be offset by even small
decreases in more heavily weighted basket assets. Specifically, the performance of the EURO STOXX® 50 Index will have a significantly larger impact on the return on the Securities than the performance of any other basket asset.
|
♦ |
Correlation (or lack of correlation) among the basket assets may adversely affect your return on the Securities — “Correlation” is a measure of the degree to which the returns of a pair of assets
are similar to each other over a given period in terms of timing and direction. Movements in the levels of the basket assets may not correlate with each other. At a time when the level of a basket asset increases, the level of another
basket asset may not increase as much, or may even decline. Therefore, in calculating the underlying basket’s performance on the final valuation date, an increase in the level of one basket asset may be moderated, wholly offset or reversed
by a lesser increase, or by a decline, in the level of another basket asset. Further, high correlation of movements in the levels of the basket assets could adversely affect your return on the Securities during periods of negative
performance of the basket assets. Changes in the correlation of the basket assets may adversely affect the market value of, and any amount payable on, your Securities.
|
♦ |
The Securities are subject to non-U.S. securities market risk — The underlying basket is subject to risks associated with non-U.S. securities markets,
specifically the regions of the Eurozone, Japan, the United Kingdom, Switzerland and Australia. An investment in the Securities linked directly or indirectly to the value of securities issued by non-U.S. companies involves particular risks.
Generally, non-U.S. securities markets may be more volatile than U.S. securities markets, and market developments may affect non-U.S. markets differently from U.S. securities markets. Direct or indirect government intervention to stabilize
these non-U.S. markets, as well as cross shareholdings in non-U.S. companies, may affect trading prices and volumes in those markets. There is generally less publicly available information about non-U.S. companies than about those U.S.
companies that are subject to the reporting requirements of the SEC, and non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting
companies. Securities prices in non-U.S. countries are subject to political, economic, financial and social factors that may be unique to the particular country. These factors, which could negatively affect the non-U.S. securities markets,
include the possibility of recent or future changes in the non-U.S. government’s economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other non-U.S. laws or restrictions applicable to non-U.S.
companies or investments in non-U.S. equity securities and the possibility of fluctuations in the rate of exchange between currencies. Moreover, certain aspects of a particular non-U.S. economy may differ favorably or unfavorably from the
U.S. economy in important respects, such as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
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The Securities may also be subject to regulatory risks, including sanctions. For instance, pursuant to U.S. executive orders, U.S. persons are prohibited from engaging in
transactions in publicly traded securities of certain companies that are determined to be linked to the military, intelligence and security apparatus of the People’s Republic of China. The prohibition also covers any securities that are derivative
of, or are designed to provide investment exposure to, such securities. Actions taken by an index sponsor in response to any such developments could adversely affect the performance of the relevant basket asset and, as a result, the performance of
the underlying basket and the market value of, and return on the Securities. Additionally, following certain events, if the calculation agent determines that a change in law has occurred or would have occurred but for a decision by its index
sponsor to modify or reconstitute its index, then the calculation agent may, with respect to the affected basket asset, select a successor index, reference a replacement basket or use an alternative method of calculation, in each case, in a manner
it considers appropriate. Alternatively, if the calculation agent determines that no successor index, replacement basket or alternative method of calculation would achieve an equitable result, it may deem such basket asset’s closing level on the
trading day (subject to the market disruption event provisions) immediately prior to the date of such event to be its closing level on each applicable date. For additional information, see “Additional Terms of the Securities — Discontinuance of,
Adjustments to, or Change in Law Affecting, a Basket Asset; Alteration of Method of Calculation” herein.
♦ |
The Securities will not be adjusted for changes in exchange rates related to the U.S. dollar, which might affect the basket assets — Although the basket assets all include stocks that are traded in
currencies other than the U.S. dollar, the Securities are denominated in U.S. dollars. The calculation of the amount payable on the Securities at maturity will not be adjusted for changes in the exchange rates between the U.S. dollar and
any of the currencies in which such underlying constituents are denominated. Changes in exchange rates, however, may reflect changes in various non-U.S. economies that in turn may affect the levels of the basket assets and, accordingly, the
market value of, and any amount payable on, the Securities. You will not benefit from any appreciation of the currencies in which underlying constituents are denominated relative to the U.S. dollar, which you would have had you owned such
stocks directly.
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♦ |
The basket assets reflect price return, not total return — The return on your Securities is based on the performance of the underlying basket and, therefore, the basket assets, each of which
reflects the changes in the market prices of its underlying constituents. None of the basket assets are 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 dividend component.
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♦ |
Changes affecting a basket asset could have an adverse effect on the market value of, and any amount payable on, the Securities — The policies of the sponsors of the basket assets (each, an “index
sponsor”, and together, the “index sponsors”) as specified under “Information About the Underlying Basket and the Basket Assets” herein, concerning additions, deletions and substitutions of their underlying constituents and the manner in
which the index sponsors take account of certain changes affecting those underlying constituents may adversely affect the level of the basket assets. The policies of an index sponsor with respect to the calculation of a basket asset could
also adversely affect the level of such basket asset and, therefore, the level of the underlying basket. The index sponsors may discontinue or suspend calculation or dissemination of the basket assets. 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 sponsors or, except to the extent the common stock of the parent company of UBS is included in a basket asset, any underlying constituent issuer and
none of the index sponsors or any other underlying constituent issuer have any obligation to consider your interests — None of BNS, UBS or our or their respective affiliates are affiliated with the index sponsors 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 basket assets. In addition, except to the extent the common stock of
UBS’ parent is included in the Swiss Market Index, none of BNS, UBS or our or their respective affiliates are affiliated with any underlying constituent issuer or have any ability to control or predict their actions or their public
disclosure of information, whether contained in SEC filings or otherwise. None of the index sponsors or any other underlying constituent issuer are involved in the Securities offering in any way and none have any 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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Risks Relating to Estimated Value and Liquidity
♦ |
BNS’ initial estimated value of the Securities at the time of pricing (when the terms of your Securities are set on the trade date) will be lower than the issue price of the Securities — BNS’
initial estimated value of the Securities is only an estimate. The issue price of the Securities will exceed BNS’ initial estimated value. The difference between the issue price of the Securities and BNS’ initial estimated value reflects
costs associated with selling and structuring the Securities, as well as hedging its obligations under the Securities. Therefore, the economic terms of the Securities are less favorable to you than they would have been if these expenses had
not been paid or had been lower.
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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 is determined by reference to its internal pricing models when the terms of the Securities are set. These pricing models consider certain factors, such as BNS’ internal funding rate on the trade date, the expected term of the
Securities, market conditions and other relevant factors existing at that time, and BNS’ assumptions about market parameters, which can include volatility, 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 may be greater than BNS’
valuation of the Securities at that time, greater than any other secondary market prices provided by unaffiliated dealers (if any) and, depending on your broker, greater than the valuation provided on your customer account statements — SCUSA’s
estimated value of the Securities is determined by reference to its pricing models and takes into account BNS’ internal funding rate. The price at which SCUSA would initially buy or sell the Securities in the secondary market (if SCUSA
makes a market, which it is not obligated to do) may exceed (i) SCUSA’s estimated value of the Securities at the time of pricing, (ii) any secondary market prices provided by unaffiliated dealers, potentially including UBS, and (ii)
depending on your broker, the valuation provided on your customer account statement. The price that SCUSA may initially offer to buy such Securities following issuance will exceed the valuations indicated by its internal pricing models due
to the inclusion for a limited period of time of the aggregate value of the costs associated with structuring and selling the Securities, including the underwriting discount, hedging costs, issuance costs and theoretical projected trading
profit. The portion of such amounts included in any secondary market price will decline to zero on a straight line basis over a period ending no later than the date specified under “Supplemental Plan of Distribution (Conflicts of Interest);
Secondary Markets (if any).” Thereafter, if SCUSA buys or sells the Securities it will do so at prices that reflect the estimated value determined by reference to SCUSA’s pricing models at that time. The price at which SCUSA will buy or
sell the Securities at any time also will reflect its then current bid and ask spread for similar sized trades of structured notes. The temporary positive differential relative to SCUSA’s internal pricing models arises from requests from
and arrangements made by BNS and the Agents. As described above, SCUSA and its affiliates intend, but are not required, to make a market for the Securities and may stop making a market at any time. SCUSA reflects this temporary positive
differential on its
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customer account statements. Investors should inquire as to the valuation provided on customer account statements provided by unaffiliated dealers, including UBS.
SCUSA’s pricing models consider certain variables, including principally BNS’ internal funding rate, interest rates (forecasted, current and historical rates), volatility of the
basket assets, price-sensitivity analysis and the time to maturity of the Securities. These pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. As a result, the actual value
you would receive if you sold your Securities in the secondary market, if any, to others may differ, perhaps materially, from the estimated value of the Securities determined by reference to SCUSA’s models, taking into account BNS’ internal funding
rate, due to, among other things, any differences in pricing models or assumptions used by others. If SCUSA calculated its estimated value of the Securities by reference to BNS’ credit spreads or the borrowing rate BNS would pay for its
conventional fixed-rate debt securities (as opposed to BNS’ internal funding rate), the price at which SCUSA would buy or sell the Securities (if SCUSA makes a market, which it is not obligated to do) could be significantly lower.
In addition to the factors discussed above, the value and quoted price of the Securities at any time will reflect many factors and cannot be predicted. If SCUSA makes a market in
the Securities, the price quoted by SCUSA would reflect any changes in market conditions and other relevant factors, including any deterioration in BNS’ creditworthiness or perceived creditworthiness. These changes may adversely affect the value of
the Securities, including the price you may receive for the Securities in any market making transaction. To the extent that SCUSA makes a market in the Securities, the quoted price will reflect the estimated value determined by reference to SCUSA’s
pricing models at that time, plus or minus SCUSA’s then current bid and ask spread for similar sized trades of structured notes (and subject to the declining excess amount described above). Furthermore, if you sell your Securities, you will likely
be charged a commission for secondary market transactions, or the price will likely reflect a dealer discount. This commission or discount will further reduce the proceeds you would receive for your Securities in a secondary market sale.
♦ |
The price of the Securities prior to maturity will depend on a number of factors and may be substantially less than the principal amount — Because structured notes, including the Securities, can
be thought of as having a debt component and a derivative component, factors that influence the values of debt instruments and options and other derivatives will also affect the terms and features of the Securities at issuance and the
market price of the Securities prior to maturity. Some of these factors include, but are not limited to: (i) actual or anticipated changes in the level of the underlying basket (and the levels of the basket assets) over the full term of the
Securities, (ii) volatility of the levels of the basket assets and the prices of the underlying constituents and the market’s perception of future volatility of the foregoing, (iii) changes in interest rates generally, (iv) any actual or
anticipated changes in our credit ratings or credit spreads, (v) dividend yields on the underlying constituents and (vi) time remaining to maturity. In particular, because the provisions of the Securities relating to the payment at maturity
behave like options, the value of the Securities will vary in ways which are non-linear and may not be intuitive.
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Depending on the actual or anticipated level of the underlying basket (and therefore the levels of the basket assets) and other relevant factors, the market value of the Securities
may decrease and you may receive substantially less than the principal amount if you sell your Securities prior to maturity regardless of the level of the underlying basket at such time.
Risks Relating to Hedging Activities and Conflicts of Interest
♦ |
Hedging activities by BNS and UBS 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 or one of our affiliates, and UBS or one of its affiliates, have hedged or will 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 basket assets and/or one or more of the underlying constituents. We, UBS or one or more of our or their respective
affiliates also expects to adjust the hedge by, among other things, purchasing or selling any of the foregoing, and perhaps other instruments linked to the basket assets and/or one or more of the underlying constituents, at any time and
from time to time, and to unwind the hedge by selling any of the foregoing on or before the final valuation date. We, UBS or one or more of our or their respective affiliates may also enter into, adjust and unwind hedging transactions
relating to other basket- or index-linked Securities whose returns are linked to changes in the level of the underlying basket (and the levels of the basket assets) and/or one or more of the underlying constituents. Any of these hedging
activities may adversely affect the level of the underlying basket (and the levels of the basket assets) — 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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Because UBS, or one of its affiliates, is to conduct hedging activities for us in connection with the Securities, UBS, or its affiliate may profit in connection with such hedging
activities. Such profit, if any, will be in addition to the compensation that UBS, or its affiliate, receives for the sale of the Securities to you. You should be aware that the potential to earn fees in connection with hedging activities may
create a further incentive for UBS to sell the Securities to you in addition to the compensation they would receive for the sale of the Securities.
You should expect that these transactions will cause BNS and UBS or our or their respective affiliates, or our or their respective clients or counterparties, to have economic
interests and incentives that do not align with, and that may be directly contrary to, those of an investor in the Securities. None of BNS, UBS or any of our or their respective affiliates will have any obligation to take, refrain from taking or
cease taking any action with respect to these transactions based on the potential effect on an investor in the Securities, and any of the foregoing may receive substantial returns with respect to these hedging activities while the market value of,
and return on, the Securities declines.
♦ |
We, the Agents and our or their respective affiliates regularly provide services to, or otherwise have business relationships with, a broad client base, which has included and may include us and the
underlying constituent issuers and the market activities by us, the Agents or our or their respective affiliates for our or their own respective accounts or for our or their respective clients could negatively impact investors in the
Securities — We, the Agents and our or their respective affiliates regularly provide a wide range of financial services, including financial advisory, investment advisory and transactional services to a substantial and diversified
client base. As such, we each may act as an investor, investment banker, research provider, investment manager, investment advisor, market maker, trader, prime broker or lender. In those and other capacities, we, the Agents and/or our or
their respective affiliates purchase, sell or hold a broad array of investments, actively trade securities (including the Securities or other securities that we have issued), the underlying constituents, derivatives, loans, credit default
swaps, indices, baskets and other financial instruments and products for our or their own respective accounts or for the accounts of our or their respective customers, and we will have other direct or indirect interests, in those securities
and in other markets that may not be consistent with your interests and may adversely affect the level of the basket assets 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 basket assets and the market for your Securities, and you should expect that our interests and those of the Agents and/or our or their respective affiliates, clients or
counterparties, will at times be adverse to those of investors in the Securities.
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You should expect that we, the Agents, and our or their respective affiliates, in providing these services, engaging in such transactions, or acting for our or their own respective
accounts, may take actions that have direct or indirect effects on the Securities or other securities that we may issue, the underlying constituents other securities or instruments similar to or linked to the foregoing, and that such actions could
be adverse to the interests of investors in the Securities. In addition, in connection with these activities, certain personnel within us, the Agents or our or their respective affiliates may have access to confidential material non-public
information about these parties that would not be disclosed to investors in the Securities.
We, the Agents and our or their respective affiliates regularly offer a wide array of securities, financial instruments and other products into the marketplace, including existing
or new products that are similar to the Securities or other securities that we may issue, the underlying constituents or other securities or instruments similar to or linked to the foregoing. Investors in the Securities should expect that we, the
Agents and our or their respective affiliates offer securities, financial instruments, and other products that may compete with the Securities for liquidity or otherwise.
♦ |
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 basket assets or any underlying constituent may adversely affect the performance of the basket asset 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 UBS 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 basket 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 basket assets to which the Securities are linked.
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Risks Relating to General Credit Characteristics
♦ |
Credit risk of BNS — The Securities are senior unsecured debt obligations of BNS and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the
Securities, including any repayment of principal at maturity, depends on the ability of BNS to satisfy its obligations as they come due. As a result, BNS’ actual and perceived creditworthiness may affect the market value of the Securities.
If BNS were to default on its obligations, you may not receive any amounts owed to you under the terms of the Securities and you could lose your entire investment in the Securities.
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♦ |
BNS is subject to the resolution authority under the CDIC Act — Although the Securities are not bail-inable debt securities under the CDIC Act, as described elsewhere in this pricing supplement,
BNS remains subject generally to Canadian bank resolution powers under the CDIC Act. Under such powers, the Canada Deposit Insurance Corporation may in certain circumstances take actions that 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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Risks Relating to Canadian and U.S. Federal Income Taxation
♦ |
Uncertain tax treatment — Significant aspects of the tax treatment of the Securities are uncertain. You should consult your tax advisor about your tax situation. See “Material Canadian Income Tax
Consequences” and “What Are the Tax Consequences of the Securities?” herein.
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Hypothetical Examples and Return Table of the Securities at Maturity
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The below examples and table are based on hypothetical terms. The actual terms will be set on the trade date and will be indicated on the cover
of the final pricing supplement.
The examples and table below illustrate the payment at maturity for a $10 Security on a hypothetical offering of the Securities, with the following assumptions
(amounts may have been rounded for ease of analysis):
Term:
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Approximately 5 years
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Initial Basket Level:
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100
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Downside Threshold:
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75 (75% of the Initial Basket Level)
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Upside Gearing:
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2.10
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Range of Basket Return:
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-100% to 40%
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Example 1: The Basket Return is 20%.
Because the basket return is positive, the payment at maturity will be calculated as follows:
$10 × (1 + 20% × 2.10)
= $10 × (1 + 42.00%)
= $14.20 per Security (a total return of 42.00%).
Example 2: The Basket Return is -10% and the Final Basket Level is equal to or greater than the Downside Threshold.
Because the basket return is negative and the final basket level is equal to or greater than the downside threshold, the payment at maturity per Security will be equal to the
principal amount of $10 (a total return of 0%).
Example 3: The Basket Return is -60% and the Final Basket Level is less than the Downside Threshold.
Because the basket return is negative and the final basket level is less than the downside threshold, the payment at maturity per Security will be calculated as follows:
$10 × (1 + -60.00%)
= $10 × 0.4
= $4 per Security (a loss of 60.00%).
In this scenario, you will suffer a percentage loss on your principal amount in an amount that is equal to the basket return and, in extreme
situations, you could lose your entire investment in the Securities.
Underlying Basket
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Payment and Return at Maturity
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Final Basket Level
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Basket Return
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Payment at Maturity
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Security Total Return at Maturity
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140.00
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40.00%
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$18.40
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84.00%
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130.00
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30.00%
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$16.30
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63.00%
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120.00
|
20.00%
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$14.20
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42.00%
|
110.00
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10.00%
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$12.10
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21.00%
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100.00
|
0.00%
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$10.00
|
0.00%
|
90.00
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-10.00%
|
$10.00
|
0.00%
|
85.00
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-15.00%
|
$10.00
|
0.00%
|
80.00
|
-20.00%
|
$10.00
|
0.00%
|
75.00
|
-25.00%
|
$10.00
|
0.00%
|
70.00
|
-30.00%
|
$7.00
|
-30.00%
|
60.00
|
-40.00%
|
$6.00
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-40.00%
|
50.00
|
-50.00%
|
$5.00
|
-50.00%
|
25.00
|
-75.00%
|
$2.50
|
-75.00%
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
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Information About the Underlying Basket and the Basket Assets
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All disclosures contained in this document regarding the underlying basket and each basket asset is derived from publicly available information. BNS has not conducted any independent review or due
diligence of any publicly available information with respect to any such information. You should make your own investigation into the underlying basket and basket assets.
Included on the following pages is a brief description of the underlying basket and basket assets. This information has been obtained from publicly available sources. Set forth below are graphs that
illustrate the past performance for each of the basket assets and a hypothetical underlying basket, in each case for the period indicated. We obtained the past performance information set forth below from Bloomberg Professional® service
(“Bloomberg”). BNS has not conducted any independent review or due diligence of any publicly available information obtained from Bloomberg. You should not take the historical levels of the
basket assets (or the hypothetical historical performance of the underlying basket) as an indication of future performance.
The Underlying Basket
Because the underlying basket is a newly created basket, there is no actual historical information about the basket closing levels as of the date hereof. Therefore, the hypothetical basket closing
levels of the underlying basket below are calculated based on publicly available information for each basket asset as reported by Bloomberg without independent verification. We have not conducted any independent review or due diligence of publicly
available information obtained from Bloomberg. The hypothetical basket closing level has fluctuated in the past and may, in the future, experience significant fluctuations. Any hypothetical historical upward or downward trend in the basket closing
level during any period shown below is not an indication that the value of the underlying basket is more or less likely to increase or decrease at any time during the term of the Securities.
Hypothetical Historical Basket Performance
The graph below illustrates the hypothetical performance of the underlying basket from January 1, 2019 through July 30, 2024, based on the daily closing levels of the basket assets, assuming the
basket closing level was 100 on January 1, 2019 and calculated in the same way with respect to each date as the level of the basket will be calculated on the final valuation date.
EURO STOXX 50® Index (“SX5E”)
We have derived all information contained herein regarding the EURO STOXX 50® Index (“SX5E”), including without limitation, its make-up, method of calculation and changes in its underlying
constituents from publicly available information. Such information reflects the policies of, and is subject to change by, STOXX Limited (“STOXX” or its “index sponsor”), and/or its affiliates.
The SX5E is a free-float market capitalization-weighted index of 50 European blue-chip stocks. The 50 stocks included in the SX5E trade in euros, and are allocated based on their
country of incorporation, primary listing and largest trading volume, to one of the following countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. Please see “Indices — The EURO
STOXX 50® Index” in the accompanying underlier supplement for additional information regarding the SX5E, its index sponsor and our license agreement with respect to the SX5E. Additional information regarding the SX5E, including its
sectors, sector weightings and top underlying constituents, may be available on STOXX’s website.
Historical Information
The graph below illustrates the performance of the SX5E for the period from January 1, 2014 through July 30, 2024, based on the daily closing levels as reported by Bloomberg,
without independent verification. The closing level of the SX5E on July 30, 2024 was 4,841.00.
Nikkei 225 Index (“NKY”)
We have derived all information contained herein regarding the Nikkei 225 Index (“NKY”), including without limitation, its make-up, method of calculation and changes in its underlying constituents
from publicly available information. Such information reflects the policies of, and is subject to change by, Nikkei Inc. (“Nikkei” or its “index sponsor”), and/or its affiliates.
The NKY is a stock index that measures the composite price performance of selected Japanese stocks. The NKY is based on 225 underlying stocks listed in the First Section of the Tokyo Stock Exchange,
representing a broad cross-section of Japanese industries. Please see “Indices — The Nikkei 225 Index” in the accompanying underlier supplement for additional information regarding the NKY, its index sponsor and our license agreement with respect
to the NKY. Additional information regarding the NKY, including its sectors, sector weightings and top underlying constituents, may be available on Nikkei’s website.
Historical Information
The graph below illustrates the performance of the NKY for the period from January 1, 2014 through July 30, 2024, based on the daily closing levels as reported by Bloomberg, without independent
verification. The closing level of the NKY on July 30, 2024 was 38,525.95.
FTSE® 100 Index (“UKX”)
We have derived all information contained herein regarding the FTSE® 100 Index (“UKX”), including without limitation, its make-up, method of calculation and changes in its underlying
constituents from publicly available information. Such information reflects the policies of, and is subject to change by, FTSE Russell (“FTSE” or its “index sponsor”), and/or its affiliates.
The UKX is a market capitalization-weighted index of the 100 most highly capitalized U.K.-listed blue chip companies traded on the London Stock Exchange. Please see “Indices — The FTSE®
100 Index” in the accompanying underlier supplement for additional information regarding the UKX, its index sponsor and our license agreement with respect to the UKX. Additional information regarding the UKX, including its sectors, sector
weightings and top underlying constituents, may be available on FTSE’s website.
Historical Information
The graph below illustrates the performance of the UKX for the period from January 1, 2014 through July 30, 2024, based on the daily closing levels as reported by Bloomberg, without independent
verification. The closing level of the UKX on July 30, 2024 was 8,274.41.
Swiss Market Index (“SMI”)
We have derived all information contained herein regarding the Swiss Market Index (“SMI”), including without limitation, its make-up, method of calculation and changes in its underlying
constituents from publicly available information. Such information reflects the policies of, and is subject to change by, SIX Group Ltd. (“SIX Group” or its “index sponsor”), and/or its affiliates.
The SMI is a price return float-adjusted market capitalization-weighted index of the 20 largest stocks traded on the SIX Swiss Exchange. The SMI represents more than 75% of the free-float-market
capitalization of the entire Swiss market. Please see “Indices — The Swiss Market Index” in the accompanying underlier supplement for additional information regarding the SMI, its index sponsor and our license agreement with respect to the SMI.
Additional information regarding the SMI, including its sectors, sector weightings and top underlying constituents, may be available on SIX Group’s website.
Historical Information
The graph below illustrates the performance of the SMI for the period from January 1, 2014 through July 30, 2024, based on the daily closing levels as reported by Bloomberg, without independent
verification. The closing level of the SMI on July 30, 2024 was 12,282.02.
S&P/ASX 200 (“AS51”)
We have derived all information contained herein regarding the S&P/ASX 200 (“AS51”), including without limitation, its make-up, method of calculation and changes in its underlying constituents
from publicly available information. Such information reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC (“S&P” or its “index sponsor”), and/or its affiliates.
The AS51 includes 200 companies and covers approximately 80% of the Australian equity market by float-adjusted market capitalization. As discussed in the accompanying underlier supplement, the
S&P/ASX 200 is not limited solely to companies having their primary operations or headquarters in Australia or to companies having their primary listing on the Australian Securities Exchange. Please see “Indices — The S&P/ASX 200 Index” in
the accompanying underlier supplement for additional information regarding the AS51, its index sponsor and our license agreement with respect to the AS51. Additional information regarding the AS51, including its sectors, sector weightings and top
underlying constituents, may be available on S&P’s website.
Historical Information
The graph below illustrates the performance of the AS51 for the period from January 1, 2014 through July 30, 2024, based on the daily closing levels as reported by Bloomberg, without independent
verification. The closing level of the AS51 on July 30, 2024 was 7,953.178.
What Are the Tax Consequences of the Securities?
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The U.S. federal income tax consequences of your investment in the Securities are uncertain. There are no statutory provisions, regulations, published rulings or
judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as the Securities. Some of these tax consequences are summarized below, but we urge you to read the
more detailed discussion in “Material U.S. Federal Income Tax Consequences”, in the accompanying product supplement and to discuss the tax consequences of your particular situation with your tax advisor. This
discussion is based upon the U.S. Internal Revenue Code of 1986, as amended (the “Code”), final, temporary and proposed U.S. Department of the Treasury (the “Treasury”) regulations, rulings and decisions, in each case, as available and in effect
as of the date hereof, all of which are subject to change, possibly with retroactive effect. Tax consequences under state, local and non-U.S. laws are not addressed herein. No ruling from the U.S. Internal Revenue Service (the “IRS”) has been
sought as to the U.S. federal income tax consequences of your investment in the Securities, and the following discussion is not binding on the IRS.
U.S. Tax Treatment. Pursuant to the terms of the Securities, BNS and you agree, in the absence of a statutory or regulatory change or an administrative
determination or judicial ruling to the contrary, to characterize your Securities as prepaid derivative contracts with respect to the underlying basket. If your Securities are so treated, you should generally recognize long-term capital gain or
loss if you hold your Securities for more than one year (and, otherwise, short-term capital gain or loss) upon the taxable disposition (including cash settlement) of your Securities, in an amount equal to the difference between the amount you
receive at such time and the amount you paid for your Securities. The deductibility of capital losses is subject to limitations.
Based on certain factual representations received from us, our special U.S. tax counsel, Fried, Frank, Harris, Shriver & Jacobson LLP, is of the opinion that it would be
reasonable to treat your Securities in the manner described above. However, because there is no authority that specifically addresses the tax treatment of the Securities, it is possible that your Securities could alternatively be treated for tax
purposes as a single contingent payment debt instrument, or pursuant to some other characterization, such that the timing and character of your income from the Securities could differ materially and adversely from the treatment described above, as
described further under “Material U.S. Federal Income Tax Consequences”, in the accompanying product supplement.
Section 1297. We will not attempt to ascertain whether any underlying constituent issuer would be treated as a “passive foreign investment company” (a “PFIC”)
within the meaning of Section 1297 of the Code. If any such entity were so treated, certain adverse U.S. federal income tax consequences might apply to U.S. holders upon the taxable disposition of the Securities. U.S. holders should refer to
information filed with the SEC or an equivalent governmental authority by such entities and consult their tax advisors regarding the possible consequences to them if any such entity is or becomes a PFIC.
Except to the extent otherwise required by law, BNS intends to treat your Securities for U.S. federal income tax purposes in accordance with the treatment described above and
under “Material U.S. Federal Income Tax Consequences”, including the section “— Securities Treated as Prepaid Derivatives or Prepaid Forwards”, in the accompanying product supplement, unless and until such time as the Treasury and the IRS determine
that some other treatment is more appropriate.
Notice 2008-2. In 2007, the IRS released a notice that may affect the taxation of holders of the Securities. According to Notice 2008-2, the IRS and the Treasury are
actively considering whether a holder of an instrument such as the Securities should be required to accrue ordinary income on a current basis. It is not possible to determine what guidance they will ultimately issue, if any. It is possible,
however, that under such guidance, holders of the Securities will ultimately be required to accrue income currently and this could be applied on a retroactive basis. The IRS and the Treasury are also considering other relevant issues, including
whether additional gain or loss from such instruments should be treated as ordinary or capital, whether non-U.S. holders of such instruments should be subject to withholding tax on any deemed income accruals, and whether the special “constructive
ownership rules” of Section 1260 of the Code should be applied to such instruments. Both U.S. and non-U.S. holders are urged to consult their tax advisors concerning the significance, and the potential impact, of the above considerations.
Medicare Tax on Net Investment Income. U.S. holders that are individuals, estates or certain trusts are subject to an additional 3.8% tax on all or a portion of
their “net investment income,” or “undistributed net investment income” in the case of an estate or trust, which may include any income or gain realized with respect to the Securities, to the extent of their net investment income or undistributed
net investment income (as the case may be) that, when added to their other modified adjusted gross income, exceeds $200,000 for an unmarried individual, $250,000 for a married taxpayer filing a joint return (or a surviving spouse), $125,000 for a
married individual filing a separate return or the dollar amount at which the highest tax bracket begins for an estate or trust. The 3.8% Medicare tax is determined in a different manner than the regular income tax. U.S. holders should consult
their tax advisors as to the consequences of the 3.8% Medicare tax.
Specified Foreign Financial Assets. U.S. holders may be subject to reporting obligations with respect to their Securities
if they do not hold their Securities in an account maintained by a financial institution and the aggregate value of their Securities and certain other
“specified foreign financial assets” (applying certain attribution rules) exceeds an applicable threshold. Significant penalties can apply if a U.S. holder is required to disclose its Securities and
fails to do so.
Non-U.S. Holders. Subject to Section 871(m) of the Code and “FATCA”, discussed below, if you are a non-U.S. holder you should generally not be subject to U.S.
withholding tax with respect to payments on your Securities or to generally applicable information reporting and backup withholding requirements with respect to payments on your Securities if you comply with certain certification and
identification requirements as to your non-U.S. status (by providing us (and/or the applicable withholding agent) with a fully completed and duly executed applicable IRS Form W-8). Subject to Section 871(m) of the Code, discussed below, gain
realized from the taxable disposition of a Security generally should not be subject to U.S. tax unless (i) such gain is effectively connected with a trade or business conducted by you in the U.S., (ii) you are a non-resident alien individual and
are present in the U.S. for 183 days or more during the taxable year of such taxable disposition and certain other conditions are satisfied or (iii) you have certain other present or former connections with the U.S.
Section 871(m). A 30% withholding tax (which may be reduced by an applicable income tax treaty) is imposed under Section 871(m) of the Code on certain “dividend
equivalents” paid or deemed paid to a non-U.S. holder with respect to a “specified equity-linked instrument” that references one or more dividend-paying U.S. equity securities or indices containing U.S. equity securities. The withholding tax can
apply even if the instrument does not provide for payments that reference dividends. Treasury regulations provide that the withholding tax applies to all dividend equivalents paid or deemed paid on specified equity-linked instruments that have a
delta of one (“delta-one specified equity-linked instruments”) issued after 2016 and to all dividend equivalents paid or deemed paid on all other specified equity-linked instruments issued after 2017. However, the IRS has issued guidance that
states that the Treasury and the IRS intend to amend the effective dates of the Treasury regulations to provide that withholding on dividend equivalents paid or deemed paid will not apply to specified equity-linked instruments that are not
delta-one specified equity-linked instruments and are issued before January 1, 2027.
Based on the nature of the basket assets and our determination that the Securities are not “delta-one” with respect to the underlying
basket or any basket asset or underlying constituents, our special U.S. tax counsel is of the opinion that the Securities should not be delta-one specified equity-linked instruments and thus should not be
subject to withholding on dividend equivalents. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Furthermore, the application of Section 871(m) of the Code will depend on our determinations on the date
the terms of the Securities are set. If withholding is required, we will not make payments of any additional amounts.
Nevertheless, after the date the terms are set, it is possible that your Securities could be deemed to be reissued for tax purposes upon
the occurrence of certain events affecting the underlying basket, any basket asset or underlying constituent or your Securities, and following such occurrence your Securities
could be treated as delta-one specified equity-linked instruments that are subject to withholding on dividend equivalents. It is also possible that withholding tax or other tax under Section 871(m) of the Code could apply to the Securities under these rules. If you enter, or have entered, into other transactions in respect of the underlying basket, any basket asset or underlying constituent or the Securities, you should consult your
tax advisor regarding the application of Section 871(m) of the Code to your Securities in the context of your other transactions.
Because of the uncertainty regarding the application of the 30% withholding tax on dividend equivalents to the Securities, you are urged to consult your tax
advisor regarding the potential application of Section 871(m) of the Code and the 30% withholding tax to an investment in the Securities.
FATCA. The Foreign Account Tax Compliance Act (“FATCA”) was enacted on March 18, 2010, and imposes a 30% U.S. withholding tax on “withholdable payments” (i.e.,
certain U.S.-source payments, including interest (and original issue discount), dividends, other fixed or determinable annual or periodical gain, profits, and income, and on the gross proceeds from a disposition of property of a type which can
produce U.S.-source interest or dividends) and “passthru payments” (i.e., certain payments attributable to withholdable payments) made to certain foreign financial institutions (and certain of their affiliates) unless the payee foreign financial
institution agrees (or is required), among other things, to disclose the identity of any U.S. individual with an account at the institution (or the relevant affiliate) and to annually report certain information about such account. FATCA also
requires withholding agents making withholdable payments to certain foreign entities that do not disclose the name, address, and taxpayer identification number of any substantial U.S. owners (or do not certify that they do not have any
substantial U.S. owners) to withhold tax at a rate of 30%. Under certain circumstances, a holder may be eligible for refunds or credits of such taxes.
Pursuant to final and temporary Treasury regulations and other IRS guidance, the withholding and reporting requirements under FATCA will generally apply to certain “withholdable
payments”, will not apply to gross proceeds on a sale or disposition, and will apply to certain foreign passthru payments only to the extent that such payments are made after the date that is two years after final regulations defining the term
“foreign passthru payment” are published. If withholding is required, we (or the applicable paying agent) will not be required to pay additional amounts with respect to the amounts so withheld. Foreign financial institutions and non-financial
foreign entities located in jurisdictions that have an intergovernmental agreement with the U.S. governing FATCA may be subject to different rules.
Investors should consult their tax advisors about the application of FATCA, in particular if they may be classified as financial institutions (or if they hold their Securities through a foreign entity) under the FATCA rules.
Backup Withholding and Information Reporting. The proceeds received from a taxable disposition of the Securities will be
subject to information reporting unless you are an “exempt recipient” and may also be subject to backup withholding at the rate specified in the Code if you fail to provide certain identifying information (such as an accurate taxpayer number, if
you are a U.S. holder) or meet certain other conditions.
Amounts withheld under the backup withholding rules are not additional taxes and may be refunded or credited against your U.S. federal income tax liability, provided the required
information is furnished to the IRS.
U.S. Federal Estate Tax Treatment of Non-U.S. Holders. A Security may be subject to U.S. federal estate tax if an individual non-U.S. holder holds the Security at
the time of his or her death. The gross estate of a non-U.S. holder domiciled outside the U.S. includes only property situated in the U.S. Individual non-U.S. holders should consult their tax advisors regarding the U.S. federal estate tax
consequences of holding the Securities at death.
Proposed Legislation. In 2007, legislation was introduced in Congress that, if it had been enacted, would have required holders of Securities purchased after the bill was enacted to accrue interest income over the term of the Securities despite the fact that there will be no interest payments over the term of the Securities.
Furthermore, in 2013, the House Ways and Means Committee released in draft form certain proposed legislation relating to financial instruments. If it had been enacted, the effect
of this legislation generally would have been to require instruments such as the Securities to be marked to market on an annual basis with all gains and losses to be treated as ordinary, subject to certain
exceptions.
It is not possible to predict whether any similar or identical bills will be enacted in the future, or whether any such bill would affect the tax treatment of your Securities. You are urged to consult your tax advisor regarding the possible changes in law and their possible impact on the tax treatment of your Securities.
Both U.S. and non-U.S. holders are urged to consult their tax advisors concerning the application of U.S. federal income tax laws to their particular
situations, as well as any tax consequences of the purchase, beneficial ownership and disposition of the Securities arising under the laws of any state, local, non-U.S. or other taxing jurisdiction (including that of BNS and those of the underlying
constituent issuers).
Material Canadian Income Tax Consequences
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See “Supplemental Discussion of Canadian Tax Consequences” in the accompanying product supplement for a discussion of the material Canadian income tax consequences of an investment in the Securities.
In addition to the assumptions, limitations and conditions described therein, such discussion assumes that a Non-Resident Holder is not an entity in respect of which BNS is a “specified entity” as defined in 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.
Additional Terms of the Securities
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The sections “General Terms of the Notes — Market Disruption Events” and “— 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” are superseded and replaced in their entirety with the corresponding sections below.
Market Disruption Events
The calculation agent will determine the closing level of each basket asset (and thereafter, as applicable, the corresponding basket closing level, basket return and/or any other relevant term) and
whether the final basket level of the underlying basket is greater than, less than, or equal to the initial basket level and/or downside threshold on the final valuation date. If the calculation agent determines that, on the final valuation date, a
market disruption event has occurred or is continuing with respect to a basket asset, the final valuation date may be postponed. If such a postponement occurs, the calculation agent will determine the closing level by reference to the closing level
for the disrupted basket asset on the first trading day on which no market disruption event occurs or is continuing with respect to such basket asset. In no event, however, will the final valuation date be postponed by more than eight trading days.
If the final valuation date is postponed to the last possible day, but a market disruption event with respect to such basket asset occurs or is continuing on that day, the calculation agent will nevertheless determine the closing level of such
basket asset on such day. In such an event, the calculation agent will estimate the closing level of such basket asset (and thereafter, as applicable, the corresponding basket closing level, basket return and/or any other relevant term) that would
have prevailed in the absence of the market disruption event.
If the calculation agent postpones the final valuation date, the maturity date will be postponed to maintain the same number of business days between the latest postponed final valuation date for
which a closing level is determined and the maturity date as existed prior to the postponement. If the trade date is postponed, the calculation agent may adjust the settlement date, final valuation date and maturity date to ensure that the stated
term of the Securities remains the same.
Notwithstanding the occurrence of one or more of the events below, which may constitute a market disruption event, the calculation agent may waive its right to postpone the final valuation date if it
determines that one or more of the below events has not and is not likely to materially impair its ability to determine the final basket level.
A market disruption event for a particular basket asset included in the underlying basket will not necessarily be a market disruption event for another basket asset included in the underlying basket.
If, on the originally scheduled final valuation date, no market disruption event with respect to a particular basket asset occurs or is continuing, then the determination of the closing level relating to such basket asset will be made on the
originally scheduled final valuation date, irrespective of the occurrence of a market disruption event with respect to one or more of the other basket assets.
Any of the following will be a market disruption event with respect to a basket asset, in each case as determined by the calculation agent:
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a suspension, absence or material limitation of trading in a material number of underlying constituents (including without limitation any option or futures contract), for more than two hours of trading or during the one hour before the
close of trading in the applicable market or markets for such underlying constituents;
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a suspension, absence or material limitation of trading in option or futures contracts relating to the basket asset or to a material number of underlying constituents in the primary market or markets for those contracts;
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any event that disrupts or impairs the ability of market participants in general (i) to effect transactions in, or obtain market values for a material number of underlying constituents or (ii) to effect transactions in, or obtain market
values for, futures or options contracts relating to the basket asset or a material number of underlying constituents in the primary market or markets for those options or contracts;
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a change in the settlement price of any option or futures contract included in the basket asset by an amount equal to the maximum permitted price change from the previous day’s settlement price;
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the settlement price is not published for any individual option or futures contract included in the basket asset;
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the basket asset is not published; or
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in any other event, if the calculation agent determines that the event materially interferes with our ability, UBS’ ability or the ability of any of our respective affiliates to (1) maintain or unwind all or a material portion of a hedge
with respect to the Securities that we, UBS or our respective affiliates have effected or may effect or (2) effect trading in the underlying constituents and instruments linked to the basket asset generally.
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The following events will not be market disruption events with respect to the basket asset:
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a limitation on the hours or numbers of days of trading in options or futures contracts relating to the basket asset or to a material number of underlying constituents in the primary market or markets for those contracts, but only if the
limitation results from an announced change in the regular business hours of the applicable market or markets; and
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a decision to permanently discontinue trading in the option or futures contracts relating to the basket asset, in any underlying constituents or in any option or futures contracts related to such underlying constituents.
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For this purpose, an “absence of trading” in those options or futures contracts will not include any time when that market is itself closed for trading under ordinary circumstances.
Discontinuance of, Adjustments to, or Change in Law Affecting, a Basket Asset; Alteration of Method of Calculation
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If the index sponsor discontinues publication of a basket asset; or
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a change in law occurs with respect to a basket asset or one or more underlying constituents or an index sponsor otherwise modifies or reconstitutes a basket asset or one or more underlying constituents in response to what otherwise
would have been a change in law,
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then the calculation agent may select a successor index. A “successor index” is an index that the calculation agent determines (i) is comparable to the affected basket asset and (ii) is not subject
to a hedging restriction or any other legal or regulatory restriction prohibiting or restricting directly or indirectly, the investment in, or the sale, purchase beneficial ownership, holding or transfer of, or any other transaction or other
dealing related to, such basket asset (or any underlying constituent) by any class of eligible potential purchasers of the Securities with respect to such successor index. A successor index is subject to a “hedging restriction” if BNS, UBS AG or
any of their respective affiliates are subject to a trading restriction under the trading policies of BNS, UBS AG or any of their respective affiliates that would materially limit the ability of BNS, UBS AG or any of their respective affiliates to
hedge the Securities with respect to such successor index. If the calculation agent selects a successor index, then the calculation agent will determine the closing level of the affected basket asset (and thereafter, as applicable, the
corresponding basket closing level, basket return and/or any other relevant term), and the amount payable, if any, on the maturity date by reference to such successor index. To the extent necessary, the calculation agent will adjust those terms as
necessary to ensure cross-comparability of the discontinued and successor index.
Alternatively, if the calculation agent determines that a change in law has occurred or the calculation agent determines that there is no successor index, then the calculation agent may instead make
the necessary determination by reference to a group of stocks, physical commodities, options or futures contracts on physical commodities or another index or indices, as applicable, and will apply a computation methodology that the calculation
agent determines will as closely as reasonably possible replicate such basket asset (giving effect to any change in law).
If the calculation agent determines that (i) any underlying constituents or the method of calculating the basket asset have been changed at any time in any respect that causes the level of the
affected basket asset not to fairly represent the level of that basket asset had such changes not been made or that otherwise affects the calculation of the closing level of the affected basket asset or the amount payable on the maturity date, (ii)
a change in law has occurred with respect to a basket asset or any underlying constituent or (iii) an index sponsor has modified or reconstituted a basket asset or one or more underlying constituents in response to what otherwise would have been a
change in law, then the calculation agent may make adjustments in the method of calculating that basket asset that it believes are appropriate to ensure that the final basket level used to determine the amount payable on the maturity date is
equitable or make adjustments in the method of calculating that basket asset that it believes are appropriate to offset, to the extent practical, any change in your economic position as a holder of the Securities that results solely from such event
to achieve an equitable result, or to give effect to such change in law.
Examples of any such changes that may cause the calculation agent to make the foregoing adjustment include, but are not limited to, additions, deletions or substitutions and any reweighting,
rebalancing or reconstitution of the underlying constituents, changes made by the index sponsor under its existing policies or following a modification of those policies, changes due to a change in law or due to the publication of a successor
index, changes due to events affecting one or more of the underlying constituents or their issuers or any other underlying constituents, as applicable, or changes due to any other reason. All determinations and adjustments to be made with respect
to the closing levels of the affected basket asset, and the amount payable on the maturity date or otherwise relating to the level of the affected basket asset will be made by the calculation agent.
If, following the occurrence of any such event, the calculation agent determines that no successor index, replacement basket or alternative method of calculation would be comparable to the original
basket asset, then the calculation agent will deem the closing level of the original basket asset (or affected underlying constituents) on the trading day (subject to the market disruption event provisions set forth above) immediately prior to the
date of such event to be its closing level on each remaining trading day to, and including, the final valuation date and will calculate the final basket level of the underlying basket giving effect to such deemed level(s).
Change in Law
If (1) one or more underlying constituents is listed or admitted for trading on a non-U.S. exchange or market and (2) the calculation agent determines that a “change in law” (as defined below)
occurs, then the calculation agent may take the actions described herein under “— Discontinuance of, Adjustments to, or Change in Law Affecting, a Basket Asset; Alteration of Method of Calculation”.
Any of the following may be determined by the calculation agent to be a “change in law” with respect to a particular basket asset: due to (A) the adoption of or any change in any applicable law,
regulation or order (including, for the avoidance of doubt and without limitation, adoption or promulgation of new regulations authorized or mandated by existing statute) or (B) the promulgation of or any change, announcement or statement of the
formal or informal interpretation by any court, tribunal, regulatory or executive authority with
competent jurisdiction of any applicable law, regulation or order, the direct or indirect sale, purchase, beneficial ownership, holding, or transfer of, or any other transaction or other dealing related to, an
underlying constituent by any class of eligible potential purchasers of the Securities or BNS, UBS or any of their respective affiliates is prohibited or, after giving effect to any applicable liquidation, unwind or cure period, will be prohibited
(such applicable date, the “change date”).
Notwithstanding the forgoing, if the index sponsor of a basket asset publicly announces prior to the change date its intention to comply with the applicable change in law by removing any affected
underlying constituents then such event will not be a change in law.
Additional Information Regarding Estimated Value of the Securities
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On the cover page of this pricing supplement, BNS has provided the initial estimated value range for the Securities. This range of estimated values was determined by reference to BNS’ internal
pricing models, which take into consideration certain factors, such as BNS’ internal funding rate on the trade date and BNS’ assumptions about market parameters. For more information about the initial estimated value, see “Key Risks —Risks Relating
to Estimated Value and Liquidity” herein.
The economic terms of the Securities are based on BNS’ internal funding rate, which is the rate BNS would pay to borrow funds through the issuance of similar market-linked Securities, the
underwriting discount and the economic terms of certain related hedging arrangements. Due to these factors, the original issue price you pay to purchase the Securities will be greater than the initial estimated value of the Securities. BNS’
internal funding rate is typically lower than the rate BNS would pay when it issues conventional fixed rate debt securities as discussed further herein under “Key Risks — Risks Relating to Estimated Value and Liquidity — Neither BNS’ nor SCUSA’s
estimated value of the Securities at any time is determined by reference to credit spreads or the borrowing rate BNS would pay for its conventional fixed-rate debt securities”. BNS’ use of its internal funding rate reduces the economic terms of the
Securities to you.
We urge you to read the “Key Risks — Risks Relating to Estimated Value and Liquidity” in this pricing supplement for additional information.
Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)
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SCUSA, our affiliate, will purchase the Securities at the principal amount and, as part of the distribution of the Securities, will sell the Securities to UBS at the discount specified on the cover
hereof. UBS proposes initially to offer the Securities to the public at the issue price set forth on the cover hereof. In accordance with the terms of a distributor accession letter, UBS has been appointed as a distribution agent under the
distribution agreement and may purchase Securities from BNS or its affiliates. At the time we issue the Securities, we will enter into certain hedging arrangements (which may include call options, put options or other derivatives) with UBS or one
of its affiliates.
In addition, SCUSA and our other affiliates may use the accompanying product supplement, underlier supplement, prospectus supplement and prospectus to which this pricing supplement relates in
market-making transactions after the initial sale of the Securities. While SCUSA intends to make a market in the Securities, it is under no obligation to do so and may discontinue any market-making activities at any time without notice. See “Key
Risks — Risks Relating to Estimated Value and Liquidity — The Securities have limited liquidity” herein and the sections titled “Supplemental Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement and prospectus
supplement for additional information.
Conflicts of Interest — SCUSA is an affiliate of BNS and, as such, has a “conflict of interest” in this offering within the meaning of the Financial Industry
Regulatory Authority, Inc. (“FINRA”) Rule 5121. In addition, BNS will receive the gross proceeds from the initial public offering of the Securities, thus creating an additional conflict of interest within the meaning of FINRA Rule 5121.
Consequently, the offering is being conducted in compliance with the provisions of FINRA Rule 5121. SCUSA is not permitted to sell Securities in this offering to an account over which it exercises discretionary authority without the prior specific
written approval of the account holder.
In the ordinary course of their various business activities, SCUSA, UBS and their respective affiliates may make or hold a broad array of investments and actively trade debt and equity securities (or
related derivative securities) and financial instruments (including bank loans) for their own account and for the accounts of their customers, and such investment and securities activities may involve securities and/or instruments of BNS. SCUSA,
UBS and their respective affiliates may also make investment recommendations and/or publish or express independent research views in respect of such securities or instruments and may at any time hold, or recommend to clients that they acquire, long
and/or short positions in such securities and instruments.
Additionally, because UBS, or one of its affiliates, is to conduct hedging activities for us in connection with the Securities, UBS, or its affiliate may profit in connection with such hedging
activities. Such profit, if any, will be in addition to the compensation that UBS, or its affiliate, receives for the sale of the Securities to you. You should be aware that the potential to earn fees in connection with hedging activities may
create a further incentive for UBS to sell the Securities to you in addition to the compensation they would receive for the sale of the Securities. See “Key Risks — Risks Relating to Hedging Activities and Conflicts of Interest — Hedging activities
by BNS and UBS 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” herein for additional information.
SCUSA and its affiliates may offer to buy or sell the Securities in the secondary market (if any) at prices greater than BNS’ internal valuation — The value of
the Securities at any time will vary based on many factors that cannot be predicted. However, the price (not including SCUSA’s or any affiliates’ customary bid-ask spreads) at which SCUSA or any affiliate would offer to buy or sell the Securities
immediately after the trade date in the secondary market is expected to exceed the initial estimated value of the Securities as determined by reference to our internal pricing models. The amount of the excess will decline to zero on a straight line
basis over a period ending no later than 12 months after the trade date, provided that SCUSA may shorten the period based on various factors, including the magnitude of purchases and other negotiated provisions with selling agents. Notwithstanding
the foregoing, SCUSA and its affiliates intend, but are not required, to make a market for the Securities and may stop making a market at any time. For more information about secondary market offers and the initial estimated value of the
Securities, see “Key Risks — Risks Relating to Estimated Value and Liquidity” herein.
Prohibition of Sales to EEA Retail Investors — The Securities are not intended to be offered, sold or otherwise made available to and should not be offered,
sold or otherwise made available to any retail investor in the European Economic Area (“EEA”). For these purposes, a retail investor means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive
2014/65/EU, as amended (“MiFID II”); (ii) a customer within the meaning of Directive (EU) 2016/97, as amended, where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a
qualified investor as defined in Regulation (EU) 2017/1129, as amended. Consequently no key information document required by Regulation (EU) No 1286/2014, as amended (the “PRIIPs Regulation”), for offering or selling the Securities or otherwise
making them available to retail investors in the EEA has been prepared and therefore offering or selling the Securities or otherwise making them available to any retail investor in the EEA may be unlawful under the PRIIPs Regulation.
Prohibition of Sales to United Kingdom Retail Investors — The only categories of person in the United Kingdom to whom this document may be distributed are
those persons who (i) have professional experience in matters relating to investments falling within the definition of investment professionals (as defined in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order
2005 (as amended, the “Financial Promotion Order”)), (ii) are persons falling within Article 49(2)(a) to (d) (“high net worth companies, unincorporated associations etc.”) of the Financial Promotion Order, or (iii) are persons to whom an invitation
or inducement to engage in investment activity (within the meaning of section 21 of the Financial Services and Markets Act 2000 (“FSMA”)) in connection with the issue or sale of any securities may otherwise lawfully be communicated or caused to be
communicated (all such persons in (i)-(iii) above together being referred to as “Relevant Persons”). This document is directed only at Relevant Persons and must not be acted on or relied on by persons who are not Relevant Persons. Any investment or
investment activity to which this document relates is available only to Relevant Persons and will be engaged in only with Relevant Persons. This document may only be provided to persons in the United Kingdom in circumstances where section 21(1) of
FSMA does not apply to BNS. The Securities are not being offered to “retail investors” within the meaning of the Packaged Retail and Insurance-based Investment Products Regulations 2017 and accordingly no Key Information Document has been produced
under these regulations.
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