Pricing Supplement dated January 31, 2023
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-261476
(To Product Supplement No. WF-1 dated August 29, 2022
Underlier Supplement dated December 29, 2021,
Prospectus Supplement dated December 29, 2021
and Prospectus dated December 29, 2021)
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The Bank of Nova Scotia
Senior Note Program, Series A
Equity Index Linked Securities
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Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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▪
Linked to the S&P 500® Index (the “Index”)
▪
Unlike ordinary debt securities, the securities do not pay interest, do not repay a fixed amount of principal at maturity and are subject to potential automatic call
upon the terms described below. Whether the securities are automatically called for a fixed call premium or, if not automatically called, the maturity payment amount, will depend, in each case, on the closing level of the Index on the
relevant call date
▪
Automatic Call. If the closing level of the Index on any call date is greater than or equal to 90% of the starting level, the
securities will be automatically called for the face amount plus the call premium applicable to that call date. The call premium applicable to each call date is a percentage of the face amount that increases for each call date based on
a simple (non-compounding) return of approximately 7.15% per annum
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Call Date
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Call Premium
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February 5, 2024
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7.15% of the face amount
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February 3, 2025
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14.30% of the face amount
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February 3, 2026
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21.45% of the face amount
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January 27, 2027 (the “final calculation day”)
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28.60% of the face amount
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▪ Maturity Payment Amount. If the securities are not automatically called, you will receive a maturity payment amount
that is less than the face amount and have 1-to-1 downside exposure to the decrease in the level of the Index in excess of the buffer amount
▪ Investors may lose up to 90% of the face amount
▪ Any positive return on the securities will be limited to the applicable call premium, even if the closing level of the Index on the applicable call date
exceeds the starting level by significantly more than the percentage represented by such call premium. You will not participate in any appreciation of the Index beyond the applicable fixed call premium
▪ All payments on the securities are subject to the credit risk of The Bank of Nova Scotia (the “Bank”)
▪ No periodic interest payments or dividends on securities included in the Index
▪ No exchange listing; designed to be held to maturity
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Original Offering Price
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Agent Discount(1)
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Proceeds to The Bank of Nova Scotia(2)
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Per Security
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$1,000.00
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$24.75
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$975.25
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Total
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$924,000.00
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$22,869.00
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$901,131.00
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(1) |
Scotia Capital (USA) Inc. or one of our affiliates has agreed to purchase the aggregate face amount of the securities and as part of the distribution, has agreed to sell the securities to WFS at a discount of
$24.75 (2.475%) per security. WFS will provide selected dealers, which may include Wells Fargo Advisors (“WFA”, the trade name of the retail brokerage business of Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial
Network, LLC), with a selling concession of $17.50 (1.750%) per security, and WFA will receive a distribution expense fee of $0.75 (0.075%) per security for securities sold by WFA. In respect of certain securities sold in this offering, we
will pay a fee of up to $4.00 per security to selected securities dealers in consideration for marketing and other services in connection with the distribution of the securities to other securities dealers. See “Terms of the
Securities—Agents” herein and “Supplemental Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement for additional information.
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(2) |
Excludes any profits from hedging. For additional considerations relating to hedging activities see “Selected Risk Considerations — Risks Relating To The Estimated Value Of The Securities And Any Secondary
Market — The Inclusion of Dealer Spread and Projected Profit from Hedging in the Original Offering Price is Likely to Adversely Affect Secondary Market Prices” in this pricing supplement.
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Scotia Capital (USA) Inc. | Wells Fargo Securities |
Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Terms of the Securities
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Issuer:
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The Bank of Nova Scotia (the “Bank”).
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Market Measure:
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S&P 500® Index (the “Index”).
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Pricing Date:
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January 31, 2023.
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Issue Date:
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February 3, 2023.
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Original Offering
Price:
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$1,000 per security.
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Face Amount:
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$1,000 per security. References in this pricing supplement to a “security” are to a security with a face amount of $1,000.
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Automatic Call:
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If the closing level of the Index on any call date is greater than or equal to the call threshold level, the securities will be automatically called, and on the related call settlement date you will be
entitled to receive a cash payment per security in U.S. dollars equal to the face amount plus the call premium applicable to the relevant call date. The last call date is the final calculation day, and payment upon an automatic call on the
final calculation day, if applicable, will be made on the stated maturity date.
Any positive return on the securities will be limited to the applicable call premium, even if the closing level of the Index on the applicable call date exceeds the starting level by
significantly more than the percentage represented by such call premium. You will not participate in any appreciation of the Index beyond the applicable call premium.
If the securities are automatically called, they will cease to be outstanding on the related call settlement date and you will have no further rights under the securities after such call settlement date. You
will not receive any notice from us if the securities are automatically called.
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The call premium applicable to each call date is a percentage of the face amount that increases for each call date based on a simple (non-compounding) return of approximately 7.15% per
annum.
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Call Date
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Call Premium
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Payment per Security upon an Automatic Call
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Call Dates and
Call Premiums:
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February 5, 2024
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7.15% of the face amount
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$1,071.50
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February 3, 2025
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14.30% of the face amount
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$1,143.00
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February 3, 2026
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21.45% of the face amount
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$1,214.50
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January 27, 2027
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28.60% of the face amount
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$1,286.00
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We refer to January 27, 2027 as the “final calculation day.” The call dates are subject to postponement. See “—Market Disruption Events and Postponement Provisions” below. | |
Call Settlement
Date:
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Five business days after the applicable call date (as each such call date may be postponed pursuant to “—Market Disruption Events and Postponement Provisions” below, if applicable); provided that the call settlement date for the last call date is the stated maturity date.
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Stated Maturity
Date:
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February 3, 2027, subject to postponement. The securities are not subject to repayment at the option of any holder of the securities prior to the stated maturity date.
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If the securities are not automatically called, which means that the ending level is less than the downside
threshold level, then on the stated maturity date, you will be entitled to receive a cash payment per security in U.S. dollars equal to:
$1,000 minus:
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Maturity Payment
Amount:
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$1,000
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×
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downside threshold level – ending level
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starting level
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If the securities are not automatically called, you will have 1-to-1 downside exposure to the decrease in the level of the Index in excess of the
buffer amount and will lose some, and possibly up to 90%, of the face amount of your securities at maturity.
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Starting Level:
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4,076.60, the closing level of the Index on the pricing date.
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Closing Level:
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Closing level has the meaning set forth under “General Terms of the Securities—Certain Terms for Securities Linked to an Index—Certain Definitions” in the accompanying
product supplement.
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Ending Level:
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The “ending level” will be the closing level of the Index on the final calculation day.
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Call Threshold Level:
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3,668.94, which is equal to 90% of the starting level.
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Downside Threshold Level:
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3,668.94, which is equal to 90% of the starting level.
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Buffer Amount:
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10%.
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Market Disruption Events and Postponement Provisions:
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Each call date (including the final calculation day) is subject to postponement due to non-trading days and the occurrence of a market disruption event. In addition, the
stated maturity date will be postponed if the final calculation day is postponed and will be adjusted for non-business days. For more information regarding adjustments to the call dates and the stated maturity date, see “General Terms of
the Securities—Consequences of a Market Disruption Event; Postponement of a Calculation Day—Securities Linked to a Single Market Measure” and “—Payment Dates” in the accompanying product supplement. For purposes of the accompanying product
supplement, each call date and the final calculation day is a “calculation day,” and each call settlement date and the stated maturity date is a “payment date.” In addition, for information regarding the circumstances that may result in a
Market Disruption Event, see “General Terms of the Securities—Certain Terms for Securities Linked to an Index—Market Disruption Events” in the accompanying product supplement.
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Calculation Agent:
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Scotia Capital Inc., an affiliate of the Bank.
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Material Tax Consequences:
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For a discussion of Canadian income tax considerations to a holder of owning the securities, see “Canadian Income Tax Consequences” herein. For a discussion of United
States federal income tax considerations to a holder’s ownership and disposition of the securities, see “U.S. Federal Income Tax Consequences” herein.
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Tax Redemption:
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The Bank (or its successor) may redeem the securities, in whole but not in part, at a redemption price determined by the Calculation Agent in a manner reasonably
calculated to preserve your and our relative economic position, if it is determined that changes in tax laws of Canada (or the jurisdiction of organization of the successor to the Bank) or of any political subdivision or taxing authority
thereof or therein affecting taxation or their interpretation will result in the Bank (or its successor) becoming obligated to pay additional amounts with respect to the securities. See “Tax Redemption” in the accompanying product
supplement.
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Agents:
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Scotia Capital (USA) Inc. and Wells Fargo Securities, LLC.
Scotia Capital (USA) Inc. or one of our affiliates has agreed to purchase the aggregate face amount of the securities and as part of the distribution, has agreed to sell
the securities to WFS at a discount of $24.75 (2.475%) per security. WFS will provide selected dealers, which may include WFA, with a selling concession of $17.50 (1.750%) per security, and WFA will receive a distribution expense fee of
$0.75 (0.075%) per security for securities sold by WFA.
In addition, in respect of certain securities sold in this offering, we will pay a fee of up to $4.00 per security to selected securities dealers in consideration for
marketing and other services in connection with the distribution of the securities to other securities dealers.
See also “Supplemental Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
The price at which you purchase the securities includes costs that the Bank, the Agents or their respective affiliates expect to incur and profits that the Bank, the
Agents or their respective affiliates expect to realize in connection with hedging activities related to the securities, as set forth above. These costs and profits will likely reduce the secondary market price, if any secondary market
develops, for the securities. As a result, you may experience an immediate and substantial decline in the market value of your securities on the pricing date. See “Selected Risk Considerations — Risks Relating To The Estimated Value Of The
Securities And Any Secondary Market — The Inclusion of Dealer Spread and Projected Profit from Hedging in the Original Offering Price is Likely to Adversely Affect Secondary Market Prices” in this pricing supplement.
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Status:
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The securities will constitute direct, senior, unsubordinated and unsecured obligations of the Bank ranking pari passu with all
other direct, senior, unsecured and unsubordinated indebtedness of the Bank from time to time outstanding (except as otherwise prescribed by law). Holders will not have the benefit of any insurance under the provisions of the CDIC Act, the
U.S. Federal Deposit Insurance Act or under any other deposit insurance regime.
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Listing:
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The securities will not be listed on any securities exchange or automated quotation system.
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Use of Proceeds:
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General corporate purposes.
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Clearance and Settlement:
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The Depository Trust Company.
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Canadian
Bail-in:
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The securities are not bail-inable debt securities under the CDIC Act.
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Denominations:
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$1,000 and any integral multiple of $1,000.
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CUSIP / ISIN:
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06417YDD8 / US06417YDD85
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Additional Information about the Issuer and the Securities
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• |
Product Supplement No. WF-1 dated August 29, 2022:
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Underlier Supplement dated December 29, 2021:
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• |
Prospectus Supplement dated December 29, 2021:
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• |
Prospectus dated December 29, 2021:
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Estimated Value of the Securities
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Investor Considerations
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◾ |
believe that the closing level of the Index will be greater than or equal to the call threshold level on one of the call dates;
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seek the potential for a fixed return if the Index has appreciated at all or has not declined below the call threshold level as of any of the call dates in lieu of full participation in any potential appreciation of the Index;
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are willing to accept the risk that, if the closing level of the Index is less than the call threshold level on each call date, which means that the ending level will be less than the downside threshold level, they will not receive any
positive return on their investment in the securities and, instead, will lose some, and possibly up to 90%, of the face amount at maturity;
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understand that the term of the securities may be as short as approximately one year and that they will not receive a higher call premium payable with respect to a later call date if the securities are called on an earlier call date;
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are willing to forgo interest payments on the securities and dividends on securities included in the Index; and
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are willing to hold the securities until maturity.
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seek a liquid investment or are unable or unwilling to hold the securities to maturity;
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require full payment of the face amount of the securities at stated maturity;
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believe that the closing level of the Index will be less than the call threshold level on each call date;
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seek a security with a fixed term;
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are unwilling to accept the risk that, if the closing level of the Index is less than the call threshold level on each call date, which means that the ending level will be less than the downside threshold level, they will not receive any
positive return on their investment in the securities and, instead, will lose some, and possibly up to 90%, of the face amount at maturity;
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are unwilling to accept the risk that the ending level of the Index may decrease from the starting level by more than the buffer amount;
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are unwilling to purchase securities with an estimated value as of the pricing date that is lower than the original offering price;
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seek current income;
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are unwilling to accept the risk of exposure to the Index;
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seek exposure to the upside performance of the Index beyond the applicable call premiums;
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are unwilling to accept the credit risk of the Bank; or
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prefer the lower risk of fixed income investments with comparable maturities issued by companies with comparable credit ratings.
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Determining Timing and Amount of Payment on the Securities
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Selected Risk Considerations
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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• |
Investing In The Securities Is Not The Same As Investing In The Index. Investing in the securities is not equivalent to investing in the Index. As an investor in
the securities, your return will not reflect the return you would realize if you actually owned and held the securities included in the Index for a period similar to the term of the securities because you will not receive any dividend
payments, distributions or any other payments paid on those securities. As a holder of the securities, you will not have any voting rights or any other rights that holders of the securities included in the Index would have.
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Historical Values Of A Market Measure Should Not Be Taken As An Indication Of The Future Performance Of Such Market Measure During The Term Of The Securities.
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Changes That Affect An Index May Adversely Affect The Value Of The Securities And Any Payments On The Securities.
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We Cannot Control Actions By Any Of The Unaffiliated Companies Whose Securities Are Included In Any Index.
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We And Our Affiliates And The Agents And Their Affiliates Have No Affiliation With Any Index Sponsor And Have Not Independently Verified Their Public Disclosure Of Information.
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Hedging Activities By The Bank And/Or The Agents May Negatively Impact Investors In The Securities And Cause Our Respective Interests And Those Of Our Clients And Counterparties To Be Contrary To Those Of
Investors In The Securities.
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Market Activities By The Bank Or The Agents For Their Own Respective Accounts Or For Their Respective Clients Could Negatively Impact Investors In The Securities.
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•
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The Bank, The Agents And Their Respective Affiliates Regularly Provide Services To, Or Otherwise Have Business Relationships With, A Broad Client Base, Which Has Included And May Include Issuers Of An
Underlying Stock, The Sponsor Or Investment Advisor For A Fund And/Or The Issuers Of Securities Included In An Index Or Held By A Fund.
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Other Investors In The Securities May Not Have The Same Interests as You.
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There Are Potential Conflicts Of Interest Between You And The Calculation Agent.
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Hypothetical Examples and Returns
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Call Premiums:
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7.15% for the first call date, 14.30% for the second call date, 21.45% for the third call date and 28.60% for the fourth call date
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Hypothetical Starting Level:
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100.00
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Hypothetical Call Threshold Level:
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90.00 (90% of the hypothetical starting level)
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Hypothetical Downside Threshold Level:
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90.00 (90% of the hypothetical starting level)
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Buffer Amount:
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10%
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Hypothetical call date on which
securities are automatically called
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Payment per security on
related call settlement date
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Pre-tax total rate of return(1)
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1st call date
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$1,071.50
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7.15%
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2nd call date
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$1,143.00
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14.30%
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3rd call date
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$1,214.50
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21.45%
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4th call date
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$1,286.00
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28.60%
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Hypothetical
ending level
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Hypothetical percentage change from the
hypothetical starting level to the
hypothetical ending level
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Hypothetical maturity
payment amount per
security
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Hypothetical pre-tax
total rate of return(1)
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89.00
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-11.00%
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$990.00
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-1.00%
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85.00
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-15.00%
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$950.00
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-5.00%
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80.00
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-20.00%
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$900.00
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-10.00%
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70.00
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-30.00%
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$800.00
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-20.00%
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60.00
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-40.00%
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$700.00
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-30.00%
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50.00
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-50.00%
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$600.00
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-40.00%
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25.00
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-75.00%
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$350.00
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-65.00%
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0.00
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-100.00%
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$100.00
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-90.00%
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(1) |
The hypothetical pre-tax total rate of return is the number, expressed as a percentage, that results from comparing the payment per security upon automatic call or at stated maturity to the face amount of
$1,000.
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Index
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Hypothetical starting level:
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100.00
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Hypothetical call threshold level:
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90.00, which is 90% of the hypothetical starting level
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Hypothetical closing level on first call date:
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125.00
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Index
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Hypothetical starting level:
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100.00
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Hypothetical call threshold level:
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90.00, which is 90% of the hypothetical starting level
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Hypothetical closing level on call dates prior to the final calculation day:
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Various (all below call threshold level)
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Hypothetical closing level on final calculation day (i.e., the ending level):
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120.00
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Index
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Hypothetical starting level:
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100.00
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Hypothetical call threshold level:
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90.00, which is 90% of the hypothetical starting level
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Hypothetical closing level on each call date:
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Various (all below call threshold level)
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Hypothetical ending level:
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50.00
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Hypothetical downside threshold level:
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90.00, which is 90% of the hypothetical starting level
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$1,000 –
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$1,000
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×
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90.00 – 50.00
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= $600.00
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100.00
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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The Index
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Canadian Income Tax Consequences
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U.S. Federal Income Tax Consequences
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Market Linked Securities—Auto-Callable
with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due February 3, 2027
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Validity of the Securities
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