Subject to Completion
PRELIMINARY PRICING SUPPLEMENT
Dated April 25, 2024
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-261476
(To Prospectus dated December 29, 2021,
Prospectus Supplement dated December 29, 2021
and Product Supplement dated December 29, 2021)
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Investment Description |
Features
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❑
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Income — Unless the Notes have been previously called, BNS will pay a coupon on each coupon payment date regardless of the
performance of the underlying asset.
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❑
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Automatic Call Feature — BNS will automatically call the Notes and pay you the principal amount of your Notes plus the coupon otherwise due on the related coupon
payment date if the closing level of the underlying asset on any observation date prior to the final valuation date is equal to or greater than the call threshold level. No further payments or deliveries will be owed to you under
the Notes.
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❑
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Contingent Repayment of Principal at Maturity with Potential for Full Downside Market Exposure — If the Notes are not subject to an
automatic call and the final level is equal to or greater than the conversion level, BNS will repay you the principal amount per Note at maturity. If, however, the final level is less than the conversion level, BNS will deliver to
you at maturity a number of shares of the underlying asset per Note equal to the share delivery amount (and, if applicable, cash in lieu of any fractional share), the value of which is expected to be worth less than the principal
amount and, in extreme situations, you could lose your entire investment in the Notes. The contingent repayment of principal applies only if you hold the Notes to maturity. Any payment or delivery on the Notes, including any
repayment of principal, is subject to the creditworthiness of BNS.
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Key Dates*
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Trade Date
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April 26, 2024
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Settlement Date
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April 30, 2024
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Coupon Payment Dates
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Monthly (see page P-4)
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Observation Dates
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Quarterly (see page P-4)
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Final Valuation Date
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April 28, 2025
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Maturity Date
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April 30, 2025
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*
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Expected. See page P-2 for additional details.
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Note Offerings |
Underlying Asset
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Bloomberg Ticker
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Coupon Rate*
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Initial
Level
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Call Threshold Level
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Conversion Level
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Share Delivery Amount**
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CUSIP
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ISIN
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Common stock of Adobe Inc.
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ADBE
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9.20% to 10.20% per
annum
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$•
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100.00% of the Initial Level
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85.00% of the Initial Level
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• shares per Note
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06418K124
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US06418K1245
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Common stock of D.R. Horton, Inc.
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DHI
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9.35% to 10.35% per
annum
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$•
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100.00% of the Initial Level
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85.00% of the Initial Level
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• shares per Note
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06418K132
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US06418K1328
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Offering of Notes
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Issue Price to Public
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Underwriting Discount(1)(2)
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Proceeds to The Bank of Nova Scotia(1)(2)
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Total
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Per Note
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Total
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Per Note
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Total
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Per Note
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Notes linked to the common stock of Adobe Inc.
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$•
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$1,000.00
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$•
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$15.00
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$•
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$985.00
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Notes linked to the common stock of D.R. Horton, Inc.
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$•
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$1,000.00
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$•
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$15.00
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$•
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$985.00
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(1)
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Scotia Capital (USA) Inc. (“SCUSA”), our affiliate, will purchase the Notes at the principal amount and, as part of the distribution of the Notes, will sell the Notes to UBS Financial
Services Inc. (“UBS”) at the discount specified in the table above. See “Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)” herein for additional information.
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(2)
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This amount excludes any profits to BNS, SCUSA or any of our other affiliates from hedging. See “Key Risks” and “Supplemental Plan of Distribution (Conflicts of Interest); Secondary
Markets (if any)” herein for additional considerations relating to hedging activities.
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Scotia Capital (USA) Inc.
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UBS Financial Services Inc.
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Additional Information About BNS and the Notes |
♦ |
Product Supplement (Market-Linked Notes, Series A) dated December 29, 2021:
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♦ | Prospectus Supplement dated December 29, 2021: |
♦ |
Prospectus dated December 29, 2021:
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Investor Suitability
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♦ |
You fully understand and are willing to accept the risks inherent in an investment in the Notes, including the risk of loss of some or all of your investment in the Notes.
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♦ |
You can tolerate a loss of some or your entire investment and are willing to make an investment that may have the full downside market risk of an investment in the underlying asset.
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♦ |
You can tolerate receiving the share delivery amount at maturity, the value of which is expected to be worth less than your principal amount and, in extreme situations, losing your entire investment.
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♦ |
You believe that the final level is likely to be equal to or greater than the conversion level.
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♦ |
You understand and accept that you will not participate in any increase in the level of the underlying asset and that your potential return is limited to the coupons received, which will be based on the
duration of the Notes and the coupon rate.
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♦ |
You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in the level of the underlying asset.
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♦ |
You are willing to invest in the Notes based on the call threshold level and conversion level specified on the cover hereof and if the coupon rate was set equal to the bottom of the range indicated on the
cover hereof (the actual coupon rate will be set on the trade date).
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♦ |
You are willing to forgo any dividends paid on the underlying asset.
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♦ |
You are willing to invest in Notes that may be subject to an automatic call and you are otherwise willing to hold such Notes to maturity and accept that there may be little or no secondary market for the
Notes.
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♦ |
You understand and are willing to accept the risks associated with the underlying asset.
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♦ |
You are willing to assume the credit risk of BNS for all payments and deliveries under the Notes, and understand that if BNS defaults on its obligations you may not receive any amounts due to you including any
repayment of principal.
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♦ |
You do not fully understand or are not willing to accept the risks inherent in an investment in the Notes, including the risk of loss of some or all of your investment
in the Notes.
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♦ |
You require an investment designed to provide a full return of principal at maturity.
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♦ |
You cannot tolerate a loss of some or all of your investment or you are not willing to make an investment that may have the full downside market risk of an investment in the underlying asset.
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♦ |
You cannot tolerate receiving the share delivery amount at maturity, the value of which is expected to be worth less than your principal amount and may be worthless.
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♦ |
You believe that the final level is likely to be less than the conversion level.
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♦ |
You seek an investment that participates in the increase of the level of the underlying asset or that has unlimited return potential.
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♦ |
You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in the level of the underlying asset.
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♦ |
You are not willing to invest in the Notes based on the call threshold level or conversion level specified on the cover hereof or if the coupon rate was set equal to the bottom of the range indicated on the
cover hereof (the actual coupon rate will be set on the trade date).
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♦ |
You prefer to receive any dividends paid on the underlying asset.
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♦ |
You are unable or are unwilling to invest in Notes that may be subject to an automatic call, you are otherwise unable or unwilling to hold the Notes to maturity or you seek an investment for which there will
be an active secondary market.
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♦ |
You do not understand or are unwilling to accept the risks associated with the underlying asset.
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♦ |
You are unwilling to assume the credit risk of BNS for all payments and deliveries under the Notes, including any repayment of principal.
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Preliminary Terms for Each Offering of the Notes |
Issuer
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The Bank of Nova Scotia
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Issue
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Senior Note Program, Series A
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Agents
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Scotia Capital (USA) Inc. (“SCUSA”) and UBS Financial Services Inc. (“UBS”). See “Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any)” herein for additional information.
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Principal
Amount
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$1,000 per Note
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Term
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Approximately 12 months, unless subject to an automatic call. In the event that we make any change to the expected trade date and settlement date, the calculation agent
may adjust the observation dates (including the final valuation date) and the coupon payment dates (including the maturity date) to ensure that the stated term of the Notes remains the same.
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Underlying
Asset
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The common stock of a specific company, as indicated on the cover hereof.
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Coupon
Payments and
Coupon Rate
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Unless the Notes have been previously called, BNS will pay fixed coupon payments on each coupon payment date (including the maturity date) regardless of the performance of
the underlying asset.
The coupon will be a fixed amount based upon equal periodic installments at a per annum rate (the “coupon rate”) and will be set on the trade date. The table below sets
forth the range of the coupon rate and coupon for each Note that would be paid on each coupon payment date on which the Notes are still outstanding. The total coupon payable will be based on the duration of the Notes. The actual coupon
rate and coupon will be set on the trade date.
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Coupon Rate
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Coupon
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Common stock of
Adobe Inc.
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9.20% to 10.20%
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$ 7.6667 to $8.5000
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Common stock of
D.R. Horton, Inc.
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9.35% to 10.35%
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$7.7917 to $ 8.6250
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Automatic Call
Feature
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BNS will automatically call the Notes if the closing level of the underlying asset on any observation date prior to the final valuation date is equal to or greater
than the call threshold level.
If the Notes are automatically called, BNS will pay you on the coupon payment date following such observation date (the “call settlement date”) a cash payment per Note
equal to the principal amount plus the coupon otherwise due on such date (the “call settlement amount”). Following an automatic call, no further payments will be made on the Notes
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Payment at
Maturity
(per Note)
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If the Notes are not subject to an automatic call and the final level is equal to or greater than the conversion level, BNS will
pay you a cash payment equal to:
Principal Amount of $1,000
If the Notes are not subject to an automatic call and the final level is less than the conversion level, BNS will deliver to you a
number of shares of the underlying asset (with cash paid in lieu of any fractional share), equal to:
Share Delivery Amount
In this case, you will receive the share delivery amount, the value of which is expected to be worth less than the principal amount
and, in extreme situations, you could lose your entire investment in the Notes.
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Share
Delivery
Amount (per
Note)(1)
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A number of shares of the underlying asset equal to the quotient of (i) the principal amount divided by (ii) the conversion level, rounded to the nearest ten thousandth of
one share.
Any fractional share included in the share delivery amount will be paid in cash at an amount equal to the product of the fractional share and the final level. For the
avoidance of doubt, if the share delivery amount is less than 1.0000, at maturity you will receive an amount in cash per Note, if anything, based on the cash value of the share delivery amount.
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Call
Threshold
Level(1)
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A specified level of the underlying asset that is equal to a percentage of the initial level, as specified on the cover hereof.
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Conversion
Level(1)
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A specified level of the underlying asset that is less than the initial level, equal to a percentage of the initial level, as specified on the cover hereof.
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Initial Level(1)
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The closing level of the underlying asset on the trade date.
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Final Level(1)
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The closing level of the underlying asset on the final valuation date.
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Business Day
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A day other than a Saturday or Sunday or a day on which banking institutions in New York City are authorized or required by law to close
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Trading Day
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As specified in the product supplement under “General Terms of the Notes — Special Calculation Provisions — Trading Day”.
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Tax
Redemption
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Notwithstanding anything to the contrary in the accompanying product supplement, the provision set forth under “General Terms of the Notes — Payment of Additional Amounts”
and “General Terms of the Notes — Tax Redemption” shall not apply to the Notes.
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Canadian
Bail-in
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The Notes are not bail-inable debt securities under the CDIC Act.
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Terms
Incorporated
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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 asset”, “closing level”, “conversion level” and “observation dates” means “reference asset”, “closing value”, “barrier value” and “valuation dates”, 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 Notes based on the methodology for calculating per annum rates provided for in the Notes. 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 Notes.
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Investment Timeline
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Trade Date
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The initial level of the underlying asset is observed and the final terms of the Notes are set.
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Each Coupon
Payment Date (if not
previously subject to
an Automatic Call)
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BNS pays the applicable coupon.
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Each Observation
Date Prior to the
Final Valuation Date
(Quarterly)
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The Notes will be subject to an automatic call if the closing level of the underlying asset on any observation date is equal to or greater than the call threshold level.
If the Notes are subject to an automatic call, BNS will pay you on the call settlement date a cash payment per Note equal to the principal amount plus the coupon otherwise
due on such date. No further payments will be made on the Notes following an automatic call.
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Maturity Date
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The final level is observed on the final valuation date.
If the Notes are not subject to an automatic call and the final level is equal to or greater than
the conversion level, BNS will pay you a cash payment per Note at maturity equal to:
Principal Amount of $1,000
If the Notes are not subject to an automatic call and the final level is less than the conversion
level, BNS will deliver to you a number of shares of the underlying asset per Note at maturity (with cash paid in lieu of any fractional share), equal to:
Share Delivery Amount
In this case, you will receive the share delivery amount, the value of which is expected to be worth less than the principal amount
and, in extreme situations, you could lose your entire investment.
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Observation Dates(1) and Coupon Payment Dates(1)
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Observation Dates
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Coupon Payment Dates
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May 30, 2024
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June 28, 2024
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July 26, 2024
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July 30, 2024
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August 28, 2024
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September 30, 2024
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October 28, 2024
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October 30, 2024
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November 29, 2024
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December 30, 2024
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January 27, 2025
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January 29, 2025
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February 28, 2025
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March 28, 2025
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Final Valuation Date**
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Maturity Date
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* |
Also a potential call settlement date.
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** |
The final valuation date is not an observation date and the maturity date is not a potential call settlement date. The final coupon payment, however, will be made on the maturity date if the Notes have not been
previously subject to an automatic call.
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(1) |
Subject to the market disruption event provisions as described in the accompanying product supplement.
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Key Risks |
♦ |
Risk of loss at maturity — The Notes differ from ordinary debt securities in that BNS will not necessarily repay the principal amount of the Notes at maturity. If the
Notes are not subject to an automatic call and the final level is less than the conversion level, BNS will deliver to you the share delivery amount at maturity for each Note that you own, the value of which is expected to be worth less than
your principal amount and could be worthless. If you receive the share delivery amount, then, as of the final valuation date, the percentage decline in the value of the share delivery amount will be at a proportionately higher percentage
relative to any percentage decline in the level of the underlying asset below the conversion level from the trade date to the final valuation date. Therefore, the further the final level falls below the conversion level, the closer your
loss of principal will be to the decline of the underlying asset from the initial level and, in extreme situations, you could lose your entire investment in the Notes. Additionally, in the event that the final level is less than the
conversion level, any decline in the level of the underlying asset during the period between the final valuation date and the maturity date will cause your return on the Notes to be less than the return you would have received had BNS
instead paid you an amount in cash equal to the cash value of the share delivery amount calculated as of the final valuation date.
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♦ |
The stated payout from the issuer applies only if you hold your Notes to maturity — You should be willing to hold your Notes to maturity. If you are able to sell your
Notes prior to an automatic call or maturity in the secondary market, you may have to sell them at a loss relative to your investment even if the level of the underlying asset at such time is equal to or greater than the conversion level.
All payments and deliveries on the Notes are subject to the creditworthiness of BNS.
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♦ |
Your potential return on the Notes is limited to the coupon rate and you will not participate in any increase in the value of the underlying asset and you will not receive
dividend payments on the underlying asset or have the same rights as holders of the underlying asset — Your return on the Notes is limited to the coupons paid and you will not participate in any increase in the value of the
underlying asset, even though you will be exposed to the downside market risk of the underlying asset if the final level is less than the conversion level. If the Notes are subject to an automatic call, you will not receive any coupons or
any other payment in respect of any coupon payment dates after the applicable call settlement date. Because the Notes may be subject to an automatic call as early as the first potential call settlement date, the total return on the Notes
could be less than if the Notes remained outstanding until maturity. As a result, the return on an investment in the Notes could be less than the return on a hypothetical investment in the underlying asset. In addition, as an owner of the
Notes, you will not receive or be entitled to receive any dividend payments or other distributions on the underlying asset during the term of the Notes, and any such dividends or distributions will not be factored into the calculation of
any amounts payable or deliverable on your Notes. Similarly, unless and until you receive the share delivery amount on the maturity date, you will not have voting rights or any other rights of a holder of the underlying asset.
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♦ |
A higher coupon rate or lower conversion level may reflect greater expected volatility of the underlying asset, and greater expected volatility generally indicates an increased
risk of loss at maturity — The economic terms for the Notes, including the coupon rate and conversion level, are based, in part, on the expected volatility of the underlying asset at the time the terms of the Notes are set.
“Volatility” refers to the frequency and magnitude of changes in the level of the underlying asset. The greater the expected volatility of the underlying asset as of the trade date, the greater the expectation is as of that date that the
final level could be less than the conversion level and, as a consequence, indicates an increased risk of loss. All things being equal, this greater expected volatility will generally be reflected in a higher coupon rate than the yield
payable on our conventional debt securities with a similar maturity or on otherwise comparable securities, and/or a lower conversion level than that on otherwise comparable securities. Therefore, a relatively higher coupon rate may indicate
an increased risk of loss. Further, a relatively lower conversion level may not necessarily indicate that the Notes have a greater likelihood of a return of principal at maturity. You should be willing to accept the downside market risk of
the underlying asset and the potential to lose up to your entire investment in the Notes.
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♦ |
The Notes may be subject to an automatic call and are subject to reinvestment risk — The Notes will be subject to an automatic call if the closing level of the underlying
asset is equal to or greater than the call threshold level on any observation date prior to the final valuation date. Because the Notes could be subject to an automatic call as early as the first potential call settlement date, the term of
your investment may be limited. In the event that the Notes are subject to an automatic call, there is no guarantee that you would be able to reinvest the proceeds at a comparable rate of return and/or with a comparable coupon rate for a
similar level of risk. In addition, to the extent you are able to reinvest such proceeds in an investment comparable to the Notes, you may incur transaction costs such as dealer discounts and hedging costs built into the price of the new
securities. Generally, however, the longer the Notes remain outstanding, the less likely it is that the Notes will be subject to an automatic call due to the decline in the level of the underlying asset and the shorter time remaining for
the level of the underlying asset to recover. Such periods generally coincide with a period of greater risk of principal loss on your Notes.
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♦ |
Single equity risk — The return on the Notes, which may be negative, is directly linked to the performance of the underlying asset. The level of the underlying asset can
rise or fall sharply due to factors specific to the underlying asset and its issuer (the “underlying asset issuer”), such as stock or commodity 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 and commodity market volatility and levels, interest rates and economic, political and other conditions. You, as an
investor in the Notes, should conduct your own investigation into the underlying asset and the underlying asset issuer for your Notes. For additional information regarding the underlying asset and the underlying asset issuer, please see
“Information About the Underlying Asset” herein and the underlying asset issuer’s SEC filings referred to in that section. We urge you to review financial and other information filed periodically by the
underlying asset issuer with the SEC.
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♦ |
There can be no assurance that the investment view implicit in the Notes will be successful — It is impossible to predict whether and the extent to which the level of the
underlying asset will rise or fall. There can be no assurance that, if the Notes are not subject to an automatic call, the final level will be equal to or greater than the conversion level. The level of the underlying asset will be
influenced by complex and interrelated political, economic, financial and other factors that affect the underlying asset issuer. You should be willing to accept the downside risks of owning equities in general and the underlying asset in
particular, and the risk of losing up to your entire investment.
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♦ |
There is no affiliation between the underlying asset issuer and us or the Agents — BNS, the Agents and our other or their respective affiliates may currently, or from time
to time in the future, engage in business with the underlying asset issuer. None of us, the Agents or any of our other or their respective affiliates have participated in the preparation of any publicly available information or made any
“due diligence” investigation or inquiry with respect to the underlying asset. You should make your own investigation into the underlying asset. See the section below entitled “Information About the Underlying Asset” herein for additional
information about the underlying asset.
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♦ |
BNS’ initial estimated value of the Notes at the time of pricing (when the terms of your Notes are set on the trade date) will be lower than the issue price of the Notes —
BNS’ initial estimated value of the Notes is only an estimate. The issue price of the Notes will exceed BNS’ initial estimated value. The difference between the issue price of the Notes and BNS’ initial estimated value reflects costs
associated with selling and structuring the Notes, as well as hedging its obligations under the Notes. Therefore, the economic terms of the Notes 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 Notes 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 Notes and SCUSA’s estimated value of the Notes 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 Notes 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 Notes as well as the higher issuance, operational and ongoing liability management costs of the Notes 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 Notes to be more favorable to you. Consequently, the use of an internal funding rate for the Notes increases the estimated value of the Notes at any time and has an adverse effect on the economic terms of the Notes.
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♦ |
BNS’ initial estimated value of the Notes does not represent future values of the Notes and may differ from others’ (including SCUSA’s) estimates — BNS’ initial estimated
value of the Notes is determined by reference to its internal pricing models when the terms of the Notes are set. These pricing models consider certain factors, such as BNS’ internal funding rate on the trade date, the expected term of the
Notes, market conditions and other relevant factors existing at that time, and BNS’ assumptions about market parameters, which can include volatility of the underlying asset, 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 Notes that are different, and perhaps materially lower, from BNS’ initial estimated value. Therefore, the price at
which SCUSA would buy or sell your Notes (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 Notes have limited liquidity — The Notes will not be listed on any securities exchange or automated quotation system. Therefore, there may be little or no secondary
market for the Notes. SCUSA and any other affiliates of BNS intend, but are not required, to make a market in the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes
easily. Because we do not expect that other broker-dealers will participate in the secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which SCUSA is willing to
purchase the Notes from you. If at any time SCUSA does not make a market in the Notes, it is likely that there would be no secondary market for the Notes. Accordingly, you should be willing to hold your Notes to maturity.
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♦ |
The price at which SCUSA would buy or sell the Notes (if SCUSA makes a market, which it is not obligated to do) will be based on SCUSA’s estimated value of the Notes and may be
greater than BNS’ valuation of the Notes 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 Notes 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 Notes 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 Notes 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 Notes 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 Notes, 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 Notes 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
Notes 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 are not required to make a market for the Notes and may stop making a market at any time. SCUSA reflects this temporary positive differential on its customer account
statements. Investors should inquire as to the valuation provided on customer account statements provided by unaffiliated dealers, including UBS.
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♦ |
The price of the Notes prior to maturity will depend on a number of factors and may be substantially less than the principal amount — Because structured notes, including
the Notes, 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 Notes at issuance and
the market price of the Notes prior to maturity. Some of these factors include, but are not limited to: (i) actual or anticipated changes in the level of the underlying asset over the full term of the Notes, (ii) volatility of the level of
the underlying asset and the market’s perception of future volatility of the underlying asset, (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 asset and (vi) time remaining to maturity. In particular, because the provisions of the Notes relating to the payment at maturity behave like options, the value of the Notes will vary in ways which are non-linear and may not
be intuitive.
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♦ |
Hedging activities by BNS and SCUSA may negatively impact investors in the Notes and cause our respective interests and those of our clients and counterparties to be contrary to
those of investors in the Notes — We, SCUSA or one or more of our other affiliates has hedged or expects to hedge our obligations under the Notes. Such hedging transactions may include
entering into swap or similar agreements, purchasing shares of the underlying asset and/or purchasing futures, options and/or other instruments linked to the underlying asset. We, SCUSA or one or more of our or their respective affiliates
also expects to adjust the hedge by, among other things, purchasing or selling any of the foregoing, and perhaps other instruments linked to the underlying asset, at any time and from time to time, and to unwind the hedge by selling any of
the foregoing on or before the final valuation date. We, SCUSA or one or more of our or their respective affiliates may also enter into, adjust and unwind hedging transactions relating to other basket- or index-linked Notes whose returns
are linked to changes in the level of the underlying asset. Any of these hedging activities may adversely affect the level of the underlying asset and therefore the market value of, and return on, the Notes.
|
♦ |
The calculation agent can make antidilution and other adjustments that may adversely affect the market value of, and return on, the Notes — For antidilution and certain
other events affecting the underlying asset, the calculation agent may make adjustments to its initial level, call threshold level, conversion level and/or final level, as applicable, and any other term of the Notes. However, the
calculation agent will not make an adjustment in response to every corporate event that could affect the underlying asset. If an event occurs that does not require the calculation agent to make an adjustment, the market value of, and return
on,, the Notes may be materially and adversely affected. In addition, all determinations and calculations concerning any such adjustments will be made by the calculation agent. You should be aware that the calculation agent may make any
such adjustment, determination or calculation in a manner that differs from that discussed in the accompanying product supplement or this document as necessary to achieve an equitable result. Following certain events relating to the
underlying asset issuer, such as a reorganization event or a delisting or suspension of trading, the determination as to whether the Notes are subject to an automatic call or the amount you receive at maturity may be based on the equity
security of a successor to such underlying asset issuer in combination with any cash or any other assets distributed to holders of such underlying asset, if applicable, or on the common stock issued by another company, as described further
under “General Terms of the Notes — Market Disruption Events — Unavailability of the Closing Value of a Reference Asset; Adjustments to a Reference Asset — Unavailability of the Closing Value of a Reference Equity” and “— Anti-Dilution
Adjustments Relating to a Reference Equity” in the accompanying product supplement. The occurrence of any antidilution or other adjustment event and the consequent adjustments may materially and adversely affect the market value of, and
return on, the Notes. For more information, see the sections “General Terms of the Notes — Market Disruption Events — Unavailability of the Closing Value of a Reference Asset; Adjustments to a Reference Asset — Unavailability of the Closing
Value of a Reference Equity” and “— Anti-Dilution Adjustments Relating to a Reference Equity” in the accompanying product supplement.
|
♦ |
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 asset issuer 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 Notes — 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 Notes or other securities that we have issued), the underlying asset, derivatives, loans, credit default
swaps, indices, baskets and other financial instruments and products for our or their own respective accounts or for the accounts of our or their respective customers, and we will have other direct or indirect interests, in those securities
and in other markets that may not be consistent with your interests and may adversely affect the level of the underlying asset and/or the value of the Notes. 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 asset issuer, or transact in securities or instruments or with parties that are directly or indirectly related to these entities. These services could
include making loans to or equity investments in those companies, providing financial advisory or other investment banking services, or issuing research reports. Any of these financial market activities may, individually or in the
aggregate, have an adverse effect on the level of the underlying asset and the market for your Notes, 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 Notes.
|
♦ |
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 asset, listed and/or
over-the-counter options, futures, exchange-traded funds or other instruments with returns linked to the performance of the underlying asset may adversely affect the level of the underlying asset and, therefore, the market value of the
Notes, the likelihood of the Notes being called and your return on the Notes. See “— Risks Relating to Hedging Activities and Conflicts of Interest — Hedging activities by BNS and SCUSA may negatively impact investors in the Notes and cause
our respective interests and those of our clients and counterparties to be contrary to those of investors in the Notes” for additional information regarding hedging-related transactions and trading.
|
♦ |
The calculation agent will have significant discretion with respect to the Notes, 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 will determine whether the Notes are subject to an automatic call and the payment at maturity of the Notes, if any, based on observed closing levels of the underlying asset. The
calculation agent can postpone the determination of the closing level or final level (and therefore the related call settlement date or maturity date, as applicable) if a market disruption event occurs and is continuing with respect to the
underlying asset on any observation date (including the final valuation date).
|
♦ |
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 Notes, or express opinions or provide recommendations that are inconsistent with purchasing or holding the Notes. 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 Notes and the underlying asset to which the Notes are linked.
|
♦ |
Credit risk of BNS — The Notes 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 Notes, including any payment in respect of an automatic call or any repayment of principal, 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 Notes. If BNS were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes and you could lose your entire investment.
|
♦ |
BNS is subject to the resolution authority under the CDIC Act — Although the Notes 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 Notes 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.
|
♦ |
Uncertain tax treatment — Significant aspects of the tax treatment of the Notes 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 Notes?” herein.
|
Hypothetical Examples of How the Notes Might Perform and Return Table |
Principal Amount:
|
$1,000 per Note
|
Term:
|
Approximately 12 months
|
Coupon Rate*:
|
6.00% per annum (or 0.50% per month)
|
Coupon:
|
$5.00 per month
|
Observation Dates:
|
Quarterly
|
Initial Level:
|
$100.00
|
Call Threshold Level:
|
$100.00 (which is equal to 100.00% of the Initial Level)
|
Conversion Level:
|
$85.00 (which is equal to 85.00% of the Initial Level)
|
Share Delivery Amount**:
|
11.7647 shares per Note (principal amount / conversion level)
|
Dividend Yield on the Underlying Asset***:
|
1%
|
* |
Coupon payment will be paid in arrears in equal installments during the term of the Notes on an unadjusted basis, unless previously subject to an automatic
call. The total coupons paid will be based on the duration of the Notes. The Coupon Rate used in these examples has been chosen arbitrarily for illustrative purposes only. The actual Coupon Rate
and monthly Coupon are as set forth on the cover of this pricing supplement.
|
** |
Equal to the quotient of (i) the principal amount divided by (ii) the conversion level rounded to the nearest ten-thousandth of one share, the value of which is expected to be worth less than
your principal amount and, in extreme situations, you could lose your entire investment. If you receive the share delivery amount at maturity, any fractional share included in the share delivery amount will be paid in cash at an amount
equal to the product of the fractional share and the final level.
|
*** |
Hypothetical dividend yield holders of the underlying asset might receive over the term of the Notes. The assumed dividend yield represents a hypothetical dividend return that may vary from the
actual dividend yield for the underlying asset. Regardless, investors in the Notes will not receive any dividends paid on the underlying asset.
|
Closing Level at First Observation Date:
|
$105.00 (equal to or greater than Call Threshold Level, Notes are called)
|
Payment on Observation Date:
|
$1,005.00
|
Coupons Previously Paid:
|
+ $10.00
|
Total:
|
$1,015.00
|
Total Return on the Notes:
|
1.50%
|
Closing Level at First through Second Observation Date:
|
Various (all less than Call Threshold Level, Notes NOT called)
|
Closing Level at Third Observation Date:
|
$110.00 (equal to or greater than Call Threshold Level, Notes are called)
|
Payment on Observation Date:
|
$1,005.00
|
Coupons Previously Paid:
|
+ $40.00
|
Total:
|
$1,045.00
|
Total Return on the Notes:
|
4.50%
|
Closing Level at First through Third Observation Date:
|
Various (all less than Call Threshold Level, Notes NOT called)
|
Closing Level at Final Valuation Date:
|
$92.00 (equal to or greater than Conversion Level)
|
Payment at Maturity:
|
$1,005.00
|
Coupons Previously Paid:
|
+ $55.00
|
Total:
|
$1,060.00
|
Total Return on the Notes:
|
6.00%
|
Closing Level at First through Third Observation Date:
|
Various (all less than Call Threshold Level, Notes NOT called)
|
Closing Level at Final Valuation Date:
|
$34.00 (less than Conversion Level)
|
Payment at Maturity:
Share Delivery Amount:
|
$400.00* = $34.00 × 11.7647 shares
|
Coupon Paid at Maturity:
|
+ $5.00
|
Total Payment at Maturity:
|
$405.00
|
Coupons Previously Paid:
|
+ $55.00
|
Total:
|
$460.00
|
Total Return on the Notes:
|
-54.00%
|
* |
Represents the approximate cash value of the share delivery amount on the final valuation date. Because the Notes are physically settled, the actual value received and the total return on the Notes at maturity
will depend on the level of the underlying asset on the maturity date.
|
Underlying Asset
|
The Hypothetical Final Level is
Equal to or Greater Than the
Hypothetical Conversion Level
|
The Hypothetical Final Level
is Less Than the Hypothetical
Conversion Level
|
||||
Hypothetical
Final Level
|
Underlying
Asset Level
Return
|
Total Return
on the
Underlying
Asset at
Maturity(1)
|
Total Payment at
Maturity +
Coupon
Payments
|
Total Return on
the Notes at
Maturity
|
Total Payment at Maturity
+ Coupon Payments(2)
|
Total Return on
the Notes as of
the Final
Valuation Date
|
$140.00
|
40.00%
|
41.00%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
$135.00
|
35.00%
|
36.00%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
$130.00
|
30.00%
|
31.00%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
$125.00
|
25.00%
|
26.00%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
$120.00
|
20.00%
|
21.00%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
$115.00
|
15.00%
|
16.00%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
$110.00
|
10.00%
|
11.00%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
$105.00
|
5.00%
|
6.00%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
$100.00
|
0.00%
|
1.00%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
$95.00
|
-5.00%
|
-4.00%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
$90.00
|
-10.00%
|
-9.00%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
$85.00
|
-15.00%
|
-14.00%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
$80.00
|
-20.00%
|
-19.00%
|
n/a
|
n/a
|
$1,001.18
|
0.118%
|
$70.00
|
-30.00%
|
-29.00%
|
n/a
|
n/a
|
$883.53
|
-11.647%
|
$60.00
|
-40.00%
|
-39.00%
|
n/a
|
n/a
|
$765.88
|
-23.412%
|
$50.00
|
-50.00%
|
-49.00%
|
n/a
|
n/a
|
$648.24
|
-35.177%
|
$40.00
|
-60.00%
|
-59.00%
|
n/a
|
n/a
|
$530.59
|
-46.941%
|
$30.00
|
-70.00%
|
-69.00%
|
n/a
|
n/a
|
$412.94
|
-58.706%
|
$20.00
|
-80.00%
|
-79.00%
|
n/a
|
n/a
|
$295.29
|
-70.471%
|
$10.00
|
-90.00%
|
-89.00%
|
n/a
|
n/a
|
$177.65
|
-82.235%
|
$0.00
|
-100.00%
|
-99.00%
|
n/a
|
n/a
|
$60.00
|
-94.000%
|
(1) |
The total return on the underlying asset at maturity includes a hypothetical 1% cash dividend payment.
|
(2) |
Payment consists of the share delivery amount plus hypothetical coupon payments based on the hypothetical coupon rate per annum. If you receive the share delivery amount at maturity, any fractional share included
in the share delivery amount will be paid in cash at an amount equal to the product of the fractional share and the final level. The actual value received and the total return on the Notes at maturity will depend on the level of the
underlying asset on the maturity date.
|
Information About the Underlying Asset
|
What Are the Tax Consequences of the Notes?
|
Coupon Rate
(to be determined
on trade date)
|
Interest on Debt Component
(to be determined
on trade date)
|
Put Option Component
(to be determined
on trade date)
|
|
Common stock of Adobe Inc.
|
9.20% to 10.20%
|
[●]% per annum
|
[●]% per annum
|
Common stock of D.R. Horton, Inc.
|
9.35% to 10.35%
|
[●]% per annum
|
[●]% per annum
|
Material Canadian Income Tax Consequences |
Additional Information Regarding Estimated Value of the Notes |
Supplemental Plan of Distribution (Conflicts of Interest); Secondary Markets (if any) |