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 EQUITY SUN-1 dated
December 29, 2021) |
1,229,007 Units
$10 principal amount per unit
CUSIP No. 06418H592
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Pricing Date
Settlement Date
Maturity Date
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April 25, 2024
May 2, 2024
June 26, 2025
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Market-Linked Step Up Notes Linked to the EURO STOXX 50® Index
◾
Maturity of approximately 14 months
◾ If the Index is flat or increases up to the Step Up Value, a return of 16.95%
◾ If the Index increases above the Step Up Value, a return equal to the percentage increase in the Index
◾ 1-to-1 downside exposure to decreases in the Index, with up to 100.00% of your principal at risk
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All payments occur at maturity and are subject to the credit risk of The Bank of Nova Scotia
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No periodic interest payments
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In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.05 per unit. See “Structuring the Notes”
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Limited secondary market liquidity, with no exchange listing
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The notes are unsecured debt securities and are not savings accounts or insured deposits of a bank. The notes are not insured or guaranteed by the Canada
Deposit Insurance Corporation (the “CDIC”), the U.S. Federal Deposit Insurance Corporation (the “FDIC”), or any other governmental agency of Canada, the United States or any other jurisdiction
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Per Unit
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Total
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Public offering price
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$10.000
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$12,290,070.00
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Underwriting discount
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$0.175
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$215,076.22
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Proceeds, before expenses, to BNS
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$9.825
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$12,074,993.78
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Are Not FDIC Insured
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Are Not Bank Guaranteed
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May Lose Value
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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Issuer:
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The Bank of Nova Scotia (“BNS”)
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Principal
Amount:
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$10.00 per unit
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Term:
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Approximately 14 months
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Market
Measure: |
The EURO STOXX 50® Index (Bloomberg symbol: “SX5E”), a price return index
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Starting
Value:
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4,939.01
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Ending
Value:
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The closing level of the Market Measure on the calculation day. The scheduled calculation day is subject to postponement in the event
of Market Disruption Events, as described beginning on page PS-27 of product supplement EQUITY SUN-1.
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Step Up
Value:
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5,776.17 (116.95% of the Starting Value, rounded to two decimal places).
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Step Up
Payment:
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$1.695 per unit, which represents a return of 16.95% over the principal amount.
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Threshold
Value:
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4,939.01 (100.00% of the Starting Value).
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Calculation
Day:
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June 19, 2025
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Fees and
Charges:
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The underwriting discount of $0.175 per unit listed on the cover page and the hedging related charge of $0.05 per unit described in
“Structuring the Notes” on page TS-12.
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Calculation
Agent:
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BofA Securities, Inc. (“BofAS”).
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Redemption Amount Determination
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On the maturity date, you will receive a cash payment per unit determined as follows:
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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Product supplement EQUITY SUN-1 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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You anticipate that the Index will not decrease from the Starting Value to the Ending Value.
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You are willing to risk a substantial or entire loss of principal if the Index decreases from the Starting Value to the Ending Value.
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You are willing to forgo interest payments that are paid on conventional interest-bearing debt securities.
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You are willing to forgo dividends or other benefits of owning the stocks included in the Index.
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You are willing to accept a limited or no market for sales prior to maturity, and understand that the market prices for the notes, if any, will be affected by various factors, including our actual
and perceived creditworthiness, our internal funding rate and fees and charges on the notes.
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You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
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You believe that the Index will decrease from the Starting Value to the Ending Value.
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You seek principal repayment or preservation of capital.
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You seek interest payments or other current income on your investment.
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You want to receive dividends or other distributions paid on the stocks included in the Index.
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You seek an investment for which there will be a liquid secondary market.
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You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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Ending Value
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Percentage Change
from the Starting Value
to the Ending Value
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Redemption Amount per
Unit
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Total Rate of Return
on the Notes
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0.00
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-100.00%
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$0.000
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-100.00%
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25.00
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-75.00%
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$2.500
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-75.00%
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50.00
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-50.00%
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$5.000
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-50.00%
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60.00
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-40.00%
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$6.000
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-40.00%
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70.00
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-30.00%
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$7.000
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-30.00%
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80.00
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-20.00%
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$8.000
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-20.00%
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90.00
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-10.00%
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$9.000
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-10.00%
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95.00
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-5.00%
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$9.500
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-5.00%
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100.00(1)(2)
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0.00%
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$11.695(3)
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16.95%
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110.00
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10.00%
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$11.695
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16.95%
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116.95(4)
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16.95%
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$11.695
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16.95%
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120.00
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20.00%
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$12.000
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20.00%
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130.00
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30.00%
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$13.000
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30.00%
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140.00
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40.00%
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$14.000
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40.00%
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150.00
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50.00%
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$15.000
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50.00%
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(1) |
This is the hypothetical Threshold Value.
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(2) |
The hypothetical Starting Value of 100.00 used in these examples has been chosen for illustrative purposes only. The actual Starting Value is 4,939.01, which was the closing level of the
Index on the pricing date.
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(3) |
This amount represents the sum of the principal amount and the Step Up Payment of $1.695.
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(4)
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This is the hypothetical Step Up Value.
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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Example 1
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The Ending Value is 60.00, or 60.00% of the Starting Value:
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Starting Value:
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100.00 |
Threshold Value:
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100.00 |
Ending Value:
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60.00 |
= $6.00 Redemption Amount per unit
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Example 2
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The Ending Value is 105.00, or 105.00% of the Starting Value:
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Starting Value:
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100.00 |
Step Up Value:
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116.95 |
Ending Value:
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105.00 |
$10.00 + $1.695 = $11.695 Redemption Amount per unit, the principal amount plus the Step Up Payment, since the Ending Value is equal to or greater than the
Starting Value, but less than the Step Up Value.
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Example 3
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The Ending Value is 130.00, or 130.00% of the Starting Value:
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Starting Value:
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100.00 |
Step Up Value:
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116.95 |
Ending Value:
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130.00 |
= $13.00 Redemption Amount per unit
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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Depending on the performance of the Index as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return of principal.
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Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of comparable maturity.
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Your investment return may be less than a comparable investment directly in the stocks included in the Index.
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The Index sponsor may adjust the Index in a way that may adversely affect its level and your interests, and the Index sponsor has no obligation to consider your interests.
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You will have no rights of a holder of the securities included in the Index, and you will not be entitled to receive securities or dividends or other distributions by the issuers of those securities.
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While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the Index, none of us, MLPF&S, BofAS or our respective affiliates control any company included in the Index,
and have not verified any disclosure made by any other company.
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Your return on the notes may be affected by factors affecting the international securities markets, specifically changes within the Eurozone. The Eurozone is and has been undergoing severe financial stress, and the political, legal
and regulatory ramifications are impossible to predict. Changes within the Eurozone could adversely affect the performance of the Market Measure and, consequently, the value of the notes. In addition, you will not obtain the benefit
of any increase in the value of the euro against the U.S. dollar, which you would have received if you had owned the securities in the Market Measure during the term of your notes, although the level of the Market Measure may be
adversely affected by general exchange rate movements in the market.
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Our initial estimated value of the notes is lower than the public offering price of the notes. Our initial estimated value of the notes is only an estimate. The public offering price of the notes exceeds our initial estimated value
because it includes costs associated with selling and structuring the notes, as well as hedging our obligations under the notes with a third party, which may include BofAS or one of its affiliates. These costs include the underwriting
discount and an expected hedging related charge, as further described in “Structuring the Notes” on page TS-12.
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Our initial estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Our initial estimated value of the notes is determined by reference to our internal pricing models when
the terms of the notes are set. These pricing models consider certain factors, such as our internal funding rate on the pricing date, the expected term of the notes, market conditions and other relevant factors existing at that time,
and our assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the notes that are different from our
initial estimated value. In addition, market conditions and other relevant factors in the future may change, and any of our assumptions may prove to be incorrect. On future dates, the market value of the notes could change
significantly based on, among other things, the performance of the Index, changes in market conditions, our creditworthiness, interest rate movements and other relevant factors. These factors, together with various credit, market and
economic factors over the term of the notes, are expected to reduce the price at which you may be able to sell the notes in any secondary market and will affect the value of the notes in complex and unpredictable ways. Our initial
estimated value does not represent a minimum price at which we or any agents would be willing to buy your notes in any secondary market (if any exists) at any time.
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Our initial estimated value is not determined by reference to credit spreads or the borrowing rate we would pay for our conventional fixed-rate debt securities. The internal funding rate used in the determination of our initial
estimated value of the notes generally represents a discount from the credit spreads for our conventional fixed-rate debt securities and the borrowing rate we would pay for our conventional fixed-rate debt securities. If we were to
use the interest rate implied by the credit spreads for our conventional fixed-rate debt securities, or the borrowing rate we would pay for our conventional fixed-rate debt securities, we would expect the economic terms of the notes
to be more favorable to you. Consequently, our use of an internal funding rate for the notes would have an adverse effect on the economic terms of the notes, the initial estimated value of the notes on the pricing date, and the price
at which you may be able to sell the notes in any secondary market.
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A trading market is not expected to develop for the notes. None of us, MLPF&S or BofAS is obligated to make a market for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes
at any price in any secondary market.
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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Our business, hedging and trading activities, and those of MLPF&S, BofAS and our and their respective affiliates (including trades in shares of companies included in the Index), and any hedging and trading activities we,
MLPF&S, BofAS or our or their respective affiliates engage in for our clients’ accounts, may affect the market value of, and return on, the notes and may create conflicts of interest with you.
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There may be potential conflicts of interest involving the calculation agent, which is BofAS. We have the right to appoint and remove the calculation agent.
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Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose
your entire investment.
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The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See “Summary of U.S. Federal Income Tax Consequences” below.
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The conclusion that no portion of the interest paid or credited or deemed to be paid or credited on a note will be “Participating Debt Interest” subject to Canadian withholding tax is based in part on the current published
administrative position of the CRA. There cannot be any assurance that CRA’s current published administrative practice will not be subject to change, including potential expansion in the current administrative interpretation of
Participating Debt Interest subject to Canadian withholding tax. If, at any time, the interest paid or credited or deemed to be paid or credited on a note is subject to Canadian withholding tax, you will receive an amount that is less
than the Redemption Amount. You should consult your own adviser as to the potential for such withholding and the potential for reduction or refund of part or all of such withholding, including under any bilateral Canadian tax treaty
the benefits of which you may be entitled. For a discussion of the Canadian federal income tax consequences of investing in the notes, see “Summary of Canadian Federal Income Tax Consequences” below, “Canadian Taxation—Debt
Securities” on page 66 of the prospectus and “Supplemental Discussion of Canadian Federal Income Tax Consequences” on page PS-40 of product supplement EQUITY SUN-1.
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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The EURO STOXX 50® Index
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Index = free float market capitalization of the Index at the time
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divisor of the Index at the time
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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sponsor, endorse, sell or promote the notes;
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recommend that any person invest in the notes or any other financial products;
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have any responsibility or liability for or make any decisions about the timing, amount or pricing of the notes;
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have any responsibility or liability for the administration, management or marketing of the notes; and
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consider the needs of the notes or the owners of the notes in determining, composing or calculating the SX5E or have any obligation to do so.
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STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranty, express or implied and disclaim any and all warranty about:
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the results to be obtained by the notes, the owner of the notes or any other person in connection with the use of the SX5E and the data included in the SX5E;
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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the accuracy, timeliness, and completeness of the SX5E or its data;
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the merchantability and the fitness for a particular purpose or use of the SX5E or its data; and
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the performance of the notes generally.
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STOXX, Deutsche Börse Group and their licensors, research partners or data providers give no warranty and exclude any liability, for any errors, omissions or interruptions in the SX5E or its data; and
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under no circumstances will Deutsche Börse Group and their licensors, research partners or data providers be liable (whether in negligence or otherwise) for any lost profits or indirect, punitive, special or consequential damages
or losses, arising as a result of such errors, omissions or interruptions in the SX5E or its data or generally in relation to the notes, even in circumstances where STOXX, Deutsche Börse Group and their licensors, research partners or
data providers are aware that such loss or damage may occur.
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index due June 26, 2025
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