BNS Bank Nova Scotia Halifax

STRUCTURED INVESTMENTS

Opportunities in U.S. Equities

$5,690,000 Contingent Income Auto-Callable Securities with 12-Month Initial Non-Call Period due March 11, 2027

All Payments on the Securities Based on the Worst Performing of the Nasdaq-100 Index^®, the Russell 2000^® Index and the S&P 500^® Index

Principal at Risk Securities

Contingent Income Auto-Callable Securities with 12-Month Initial Non-Call Period (the “securities”) do not guarantee the repayment of principal and do not provide for the regular payment of interest. Instead, the securities offer the opportunity for investors to earn a contingent quarterly coupon with respect to each determination date on which the index closing value of each underlying index is greater than or equal to 70% of its initial index value, which we refer to as its coupon threshold level. In addition, if the index closing values of all of the underlying indices on any determination date (other than the first three determination dates and the final determination date) are greater than or equal to their respective call threshold levels, the securities will be automatically redeemed for an amount per security equal to (i) the stated principal amount plus (ii) the contingent quarterly coupon otherwise payable with respect to the applicable determination date. No further payments will be made on the securities once they have been redeemed. However, if the index closing value of any underlying index on any applicable determination date is less than its call threshold level, the securities will not be automatically redeemed and, if the index closing value of any underlying index is less than its coupon threshold level, you will not receive any contingent quarterly coupon with respect to the applicable determination date. As a result, investors must be willing to accept the risk of not receiving any contingent quarterly coupons during the term of the securities. Furthermore, if the final index value of any underlying index is less than 70% of its initial index value, which we refer to as its downside threshold level, BNS will pay you a cash payment per security that will be less than the stated principal amount and you will be exposed on a 1-to-1 basis to the decline of the worst performing underlying index. In this scenario, you will lose a significant portion or all of your investment in the securities. Accordingly, the securities do not guarantee any return of principal at maturity. Investors will not participate in any appreciation of the underlying indices and will not realize a return beyond the returns represented by the contingent quarterly coupons received, if any, during the term of the securities. Because all payments on the securities are based on the worst performing underlying index, a decline beyond the respective coupon threshold level and/or downside threshold level, as applicable, of any underlying index will result in few or no contingent quarterly coupons and/or a loss of a significant portion and up to your entire investment in the securities even if the other underlying indices appreciate or have not declined as much. These securities are for investors who are willing to risk their entire investment based on the worst performing of three underlying indices and who seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving no interest over the entire term of the securities. The securities are senior unsecured debt securities issued by The Bank of Nova Scotia (“BNS”). The securities are notes issued as part of BNS’ Senior Note Program, Series A.

All payments on the securities are subject to the credit risk of BNS. If BNS were to default on its payment obligations, you may not receive any amounts owed to you under the securities and you could lose your entire investment in the securities. These securities are not secured obligations and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.

each payable to Morgan Stanley Wealth Management. See “Supplemental information regarding plan of distribution (conflicts of interest); secondary markets (if any)”.

The securities involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 12.

Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of this document, the accompanying product supplement, the underlier supplement, the prospectus supplement or the prospectus. Any representation to the contrary is a criminal offense.

The securities are not insured by the Canada Deposit Insurance Corporation (the “CDIC”) pursuant to the Canada Deposit Insurance Corporation Act (the “CDIC Act”) or the U.S. Federal Deposit Insurance Corporation or any other government agency of Canada, the U.S. or any other jurisdiction. The securities are not bail-inable debt securities under the CDIC Act.

You should read this document together with the accompanying product supplement, underlier supplement, prospectus supplement and the prospectus, each of which can be accessed via the hyperlinks below, before you decide to invest.

Additional Information About BNS and the Securities

You should read this pricing supplement together with the prospectus dated December 29, 2021, as supplemented by the prospectus supplement dated December 29, 2021, the underlier supplement dated December 29, 2021 and the product supplement (Market-Linked Notes, Series A) dated December 29, 2021, relating to our Senior Note Program, Series A, of which these securities are a part. Capitalized terms used but not defined in this pricing supplement will have the meanings given to them in the product supplement.

The securities may vary from the terms described in the accompanying prospectus, prospectus supplement, underlier supplement and product supplement in several important ways. You should read this pricing supplement carefully, including the documents incorporated by reference herein. In the event of any conflict between this pricing supplement and any of the foregoing, the following hierarchy will govern: first, this pricing supplement; second, the accompanying product supplement; third, the accompanying underlier supplement; fourth, the accompanying prospectus supplement; and last, the accompanying prospectus. You may access these documents on the SEC website at www.sec.gov as follows (or if that address has changed, by reviewing our filings for the relevant date on the SEC website).

This pricing supplement, together with the documents listed below, contains the terms of the securities and supersedes all prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in “Risk Factors” herein, in “Additional Risk Factors Specific to the Notes” of the accompanying product supplement and in “Risk Factors” of the accompanying prospectus supplement and of the accompanying prospectus, as the securities involve risks not associated with conventional debt securities.

We urge you to consult your investment, legal, tax, accounting and other advisors concerning an investment in the securities in light of your particular circumstances.

You may access these documents on the SEC website at www.sec.gov as follows:

References to “BNS”, “we”, “our” and “us” refer only to The Bank of Nova Scotia and not to its consolidated subsidiaries and references to the “Contingent Income Auto-Callable Securities with 12-Month Initial Non-Call Period” or the “securities” refer to the securities that are offered hereby. Also, references to the “accompanying product supplement” mean the BNS product supplement, dated December 29, 2021, references to the “accompanying underlier supplement” mean the BNS underlier supplement, dated December 29, 2021, references to the “accompanying prospectus supplement” mean the BNS prospectus supplement, dated December 29, 2021 and references to the “accompanying prospectus” mean the BNS prospectus, dated December 29, 2021.

BNS reserves the right to change the terms of, or reject any offer to purchase, the securities prior to their issuance. In the event of any changes to the terms of the securities, BNS will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case BNS may reject your offer to purchase.

Investment Summary

Contingent Income Auto-Callable Securities with 12-Month Initial Non-Call Period

Principal at Risk Securities

The Contingent Income Auto-Callable Securities with 12-Month Initial Non-Call Period due March 11, 2027 All Payments on the Securities Based on the Worst Performing of the Nasdaq-100 Index^®, the Russell 2000^® Index and the S&P 500^® Index, which we refer to as the securities, provide an opportunity for investors to earn a contingent quarterly coupon, which is an amount equal to $20.75 (equivalent to 8.30% per annum of the stated principal amount) per security, with respect to each determination date on which the index closing values or the final index values, as applicable, of all of the underlying indices are greater than or equal to 70% of their respective initial index values, which we refer to as the coupon threshold levels. The contingent quarterly coupon, if any, will be payable on the relevant contingent coupon payment date specified on the cover hereof, which will generally be the third business day after the related determination date, except that the contingent coupon payment date for the final determination date will be the maturity date. It is possible that the index closing values of one or more of the underlying indices could remain less than their respective coupon threshold levels for extended periods of time or even throughout the term of the securities such that you may receive few or no contingent quarterly coupons.

If the index closing values of all of the underlying indices on any determination date (other than the first three determination dates and the final determination date) are greater than or equal to their respective call threshold levels, the securities will be automatically redeemed for an amount per security equal to the early redemption payment, which will be (i) the stated principal amount plus (ii) the contingent quarterly coupon otherwise payable with respect to the applicable determination date. If the securities have not previously been redeemed and the final index values of all of the underlying indices are greater than or equal to their respective coupon threshold levels and 70% of their respective initial index values, which we refer to as the downside threshold levels, the payment due at maturity will be (i) the stated principal amount plus (ii) the contingent quarterly coupon otherwise payable with respect to the final determination date. If, however, the securities are not redeemed prior to maturity and the final index value of any underlying index is less than its downside threshold level, investors will be exposed on a 1-to-1 basis to the decline of the worst performing underlying index. The value of the payment received by investors at maturity will be less than 70% of the stated principal amount of the securities and could be as low as zero. Investors in the securities must be willing to accept the risk of losing their entire investment in the securities and also the risk of not receiving any contingent quarterly coupons during the term of the securities. In addition, investors will not participate in any appreciation of the underlying indices and will not realize a return beyond the returns represented by the contingent quarterly coupons received, if any, during the term of the securities.

Key Investment Rationale

The securities offer the opportunity for investors to earn a contingent quarterly coupon equal to $20.75 (equivalent to 8.30% per annum of the stated principal amount) per security, with respect to each determination date on which the index closing values or the final index values, as applicable, of all of the underlying indices are greater than or equal to 70% of their respective initial index values, which we refer to as the coupon threshold levels. The securities may be redeemed prior to maturity  beginning on the fourth determination date at a price equal to the early redemption payment, which will be (i) the stated principal amount per security plus (ii) the contingent quarterly coupon otherwise payable with respect to the applicable determination date. The payment at maturity will vary depending on the final index values, as follows:

 

 

Investing in the securities involves significant risks. You may lose a significant portion, and may lose all, of your investment in the securities. Any payment on the securities, including payments in respect of an early redemption, contingent quarterly coupon or any repayment of principal provided at maturity, is dependent on the ability of BNS to satisfy its obligations when they come due. If BNS is unable to meet its obligations, you may not receive any amounts due to you under the securities and you could lose your entire investment in the securities.

The securities will not pay a contingent quarterly coupon on a contingent coupon payment date (including the maturity date) if the index closing value of any underlying index on the applicable determination date is less than its coupon threshold level. The securities will not be automatically redeemed if the index closing value of any underlying index on an applicable determination date is less than its call threshold level. If the securities are not redeemed prior to maturity and the final index value of any underlying index is less than its downside threshold level, you will lose a significant portion, and may lose all, of your investment in the securities.

Investor Suitability

The securities may be suitable for you if:

The securities may not be suitable for you if:

How the Securities Work

The following diagrams illustrate the potential outcomes for the securities depending on (1) the index closing values and (2) the final index values.

Diagram #1: Determination Dates (Other Than the First Three Determination Dates and the Final Determination Date)

Diagram #2: Payment at Maturity if No Early Redemption Occurs

For more information about the payout upon an early redemption or at maturity in different hypothetical scenarios, see “Hypothetical Examples” beginning on the following page.

Hypothetical Examples

The below examples are based on the following terms and are purely hypothetical (the actual terms of your securities are specified on the cover hereof). All payments on the securities are subject to the credit risk of BNS.

In Examples 1 and 2, the index closing values of the underlying indices fluctuate over the term of the securities and the index closing values of all of the underlying indices are greater than or equal to their respective hypothetical call threshold levels on a determination date (other than the first three determination dates and the final determination date). Because the index closing values of all of the underlying indices are greater than their respective call threshold levels on one of the determination dates (other than the first three determination dates and the final determination date), the securities are automatically redeemed on the relevant contingent coupon payment date. In Examples 3 and 4, the index closing value of at least one underlying index on each of the determination dates (other than the first three determination dates and the final determination date) is less than its call threshold level, and, consequently, the securities are not automatically redeemed prior to, and remain outstanding until, maturity.

In this example, the early redemption feature limits the term of your investment to approximately 12 months and you may not be able to reinvest at a comparable risk or yield. You will not receive any further payments on the securities following an early redemption. When added to the contingent quarterly coupon of $62.25 received in respect of the prior determination dates, your total payment per security in this example is $1,083.00 (a total return of 8.30% on the securities).

On the contingent coupon payment date corresponding to the fifth determination date, you receive an early redemption payment of $1,020.75, which includes the contingent quarterly coupon with respect to such determination date.

In this example, the early redemption feature limits the term of your investment to approximately 15 months and you may not be able to reinvest at a comparable risk or yield. If the securities are redeemed early, you will stop receiving contingent quarterly coupons. Further, although all of the underlying indices have appreciated by 20.00% from their respective initial index values on the fifth determination date, you only receive $1,020.75 per security and do not benefit from such appreciation. When added to the contingent quarterly coupon of $20.75 received in respect of the first determination date, your total payment per security in this example is $1,041.50 (a total return of 4.15% on the securities).

*    The final contingent quarterly coupon, if any, will be paid at maturity.

Examples 3 and 4 illustrate the payment at maturity per security based on the final index value.

$1,000.00 + $20.75 = $1,020.75

In this example, you receive the stated principal amount per security plus the contingent quarterly coupon, equal to a total payment of $1,020.75 per security at maturity. Your total payment per security in this example is $1,020.75 (a total return of 2.075% on the securities).

$1,000.00 + ($1,000.00 × underlying return of the worst performing underlying index)

= $1,000.00 + ($1,000.00 × -60.00%)

= $400.00

In this example, your payment at maturity is significantly less than the stated principal amount and you will receive a total cash payment per security at maturity equal to $400.00 (a loss of 60.00% on the securities).

We make no representation or warranty as to which of the underlying indices will be the worst performing underlying index for the purposes of calculating your actual payment at maturity.

Investing in the securities involves significant risks. The securities differ from ordinary debt securities in that BNS is not necessarily obligated to repay the full amount of your investment in the securities. If the securities are not redeemed prior to maturity and the final index value of any underlying index is less than its downside threshold level, BNS will pay you a cash payment per security that will be less than the stated principal amount, if anything, resulting in a percentage loss on your stated principal amount that is equal to the underlying return of the worst performing underlying index. In such circumstances, the amount you receive at maturity will be less than 70% of the stated principal amount and you may lose your entire investment in the securities.

The securities will not pay a contingent quarterly coupon if the index closing value of any underlying index on any determination date is less than its downside threshold level. The securities will not be automatically redeemed with respect to any  applicable determination date in respect of which an automatic call may occur unless the index closing value of each underlying index on the relevant determination date (other than the first three determination dates and the final determination date) is greater than or equal to its respective call threshold level.

You will be exposed to the market risk of each underlying index on each determination date (including the final determination date) and any decline in the level of one underlying index may negatively affect your return and will not be offset or mitigated by a lesser decline or any potential increase in the level of any other underlying index. Any payment to be made on the securities, including any repayment of principal, depends on the ability of BNS to satisfy its obligations as they come due. If BNS were to default on its payment obligations you may not receive any amounts owed to you under the securities and you could lose your entire investment in the securities.

Risk Factors

The following is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion of these and other risks, you should read the section entitled “Additional Risk Factors Specific to the Notes” of the accompanying product supplement and “Risk Factors” of the accompanying prospectus supplement and of the accompanying prospectus. We urge you to consult your investment, legal, tax, accounting and other advisors concerning an investment in the securities.

Risks Relating to Return Characteristics

Risks Relating to Characteristics of the Underlying Indices

Risks Relating to Estimated Value and Liquidity

SCUSA’s pricing models consider certain variables, including principally BNS’ internal funding rate, interest rates (forecasted, current and historical rates), the volatility of the underlying indices, the correlation of the underlying indices, price-sensitivity analysis and the time to maturity of the securities. These pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. As a result, the actual value you would receive if you sold your securities in the secondary market, if any, to others may differ, perhaps materially, from the estimated value of the securities determined by reference to SCUSA’s models, taking into account BNS’ internal funding rate, due to, among other things, any differences in pricing models or assumptions used by others. See “— The price of the securities prior to maturity will depend on a number of factors and may be substantially less than the stated principal amount” herein.

In addition to the factors discussed above, the value and quoted price of the securities at any time will reflect many factors and cannot be predicted. If SCUSA makes a market in the securities, the price quoted by SCUSA would reflect any changes in market conditions and other relevant factors, including any deterioration in BNS’ creditworthiness or perceived creditworthiness. These changes may adversely affect the value of the securities, including the price you may receive for the securities in any market making transaction. To the extent that SCUSA makes a market in the securities, the quoted price will reflect the estimated value determined by reference to SCUSA’s pricing models at that time, plus or minus SCUSA’s then current bid and ask spread for similar sized trades of structured notes (and subject to the declining excess amount described above).

Furthermore, if you sell your securities, you will likely be charged a commission for secondary market transactions, or the price will likely reflect a dealer discount. This commission or discount will further reduce the proceeds you would receive for your securities in a secondary market sale.

There is no assurance that SCUSA or any other party will be willing to purchase your securities at any price and, in this regard, SCUSA is not obligated to make a market in the securities. See “— The securities have limited liquidity” herein.

Depending on the actual or anticipated levels of the underlying indices and other relevant factors, the market value of the securities may decrease and you may receive substantially less than the stated principal amount if you sell your securities prior to maturity regardless of the levels of the underlying indices at such time.

See “Additional Risk Factors Specific to the Notes — Risks Relating to Liquidity — The Market Value of Your Notes May Be Influenced by Many Unpredictable Factors” in the accompanying product supplement.

Risks Relating to General Credit Characteristics

Risks Relating to Hedging Activities and Conflicts of Interest

You should expect that these transactions will cause BNS, SCUSA or our other affiliates, or our clients or counterparties, to have economic interests and incentives that do not align with, and that may be directly contrary to, those of an investor in the securities. None of BNS, SCUSA or any of our other affiliates will have any obligation to take, refrain from taking or cease taking any action with respect to these transactions based on the potential effect on an investor in the securities, and any of the foregoing may receive substantial returns with respect to these hedging activities while the value of, and return on, the securities declines.

You should expect that we, SCUSA, and our other affiliates, in providing these services, engaging in such transactions, or acting for our or their own respective accounts, may take actions that have direct or indirect effects on the securities or other securities that we may issue, the index constituent stocks, other securities or instruments similar to or linked to the foregoing, and that such actions could be adverse to the interests of investors in the securities. In addition, in connection with these activities, certain personnel within us, SCUSA or our other affiliates may have access to confidential material non-public information about these parties that would not be disclosed to investors in the securities.

We, SCUSA and our other affiliates regularly offer a wide array of securities, financial instruments and other products into the marketplace, including existing or new products that are similar to the securities or other securities that we may issue, the index constituent stocks or other securities or instruments similar to or linked to the foregoing. Investors in the securities should expect that we, SCUSA and our other affiliates offer securities, financial instruments, and other products that may compete with the securities for liquidity or otherwise.

Risks Relating to Canadian and U.S. Federal Income Taxation

Information About the Underlying Indices

All disclosures contained in this document regarding each underlying index are derived from publicly available information. BNS has not conducted any independent review or due diligence of any publicly available information with respect to the underlying indices. You should make your own investigation into each underlying index.

Nasdaq-100 Index^®

We have derived all information contained herein regarding the Nasdaq-100 Index^® (referred to in this section as the “NDX”), including without limitation, its make-up, method of calculation and changes in its components from publicly available information. Such information reflects the policies of, and is subject to change by, Nasdaq, Inc. (“Nasdaq” or its “index sponsor”), and/or its affiliates.

The NDX includes 100 of the largest domestic and international non-financial stocks listed on The Nasdaq Stock Market based on market capitalization. Please see “Indices — The Nasdaq-100^® Index” in the accompanying underlier supplement for additional information regarding the NDX, its sponsor and our license agreement with respect to the NDX. Additional information regarding the NDX, including its sectors, sector weightings and top constituents, may be available on its Nasdaq’s website.

Information as of market close on March 6, 2024:

Historical Information

The table below sets forth the published high and low index closing values, as well as end-of-quarter index closing value, of the NDX for the specified period. The index closing value of the NDX on March 6, 2024 was 18,017.57. The associated graph shows the index closing values of the NDX for each day from January 1, 2019 to March 6, 2024. The dotted lines represent its downside threshold level and its coupon threshold level of 12,612.299 and its call threshold level of 18,017.57, which are equal to 70% and 100%, respectively, of its initial index value. We obtained the information in the table below from Bloomberg without independent verification. BNS has not undertaken an independent review or due diligence of any publicly available information obtained from Bloomberg. The historical performance of the NDX should not be taken as an indication of its future performance, and no assurance can be given as to the index closing value of the NDX at any time, including the determination dates.

Russell 2000^® Index

We have derived all information contained herein regarding the Russell 2000^® Index (referred to in this section as the “RTY”), including without limitation, its make-up, method of calculation and changes in its components from publicly available information. Such information reflects the policies of, and is subject to change by, FTSE Russell (“FTSE” or its “index sponsor”), and/or its affiliates.

The RTY is designed to track the performance of the small capitalization segment of the U.S. equity market. It includes the stocks of approximately 2,000 of the smallest companies that form the Russell 3000^® Index, which is comprised of approximately 3,000 of the largest U.S. companies. Please see “Indices — The Russell 2000^® Index” in the accompanying underlier supplement for additional information regarding the RTY, its sponsor and our license agreement with respect to the RTY. Additional information regarding the RTY, including its sectors, sector weightings and top constituents, may be available on its FTSE’s website.

Information as of market close on March 6, 2024:

Historical Information

The table below sets forth the published high and low index closing values, as well as end-of-quarter index closing value, of the RTY for the specified period. The index closing value of the RTY on March 6, 2024 was 2,068.089. The associated graph shows the index closing values of the RTY for each day from January 1, 2019 to March 6, 2024. The dotted lines represent its downside threshold level and its coupon threshold level of 1,447.6623 and its call threshold level of 2,068.089, which are equal to 70% and 100%, respectively, of its initial index value. We obtained the information in the table below from Bloomberg without independent verification. BNS has not undertaken an independent review or due diligence of any publicly available information obtained from Bloomberg. The historical performance of the RTY should not be taken as an indication of its future performance, and no assurance can be given as to the index closing value of the RTY at any time, including the determination dates.

S&P 500^® Index

We have derived all information contained herein regarding the S&P 500^® Index (referred to in this section as the “SPX”), including without limitation, its make-up, method of calculation and changes in its components from publicly available information. Such information reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC (“S&P” or its “index sponsor”), and/or its affiliates.

The SPX includes a representative sample of 500 companies in leading industries of the U.S. economy and is intended to provide a performance benchmark for the large-cap U.S. equity markets. Please see “Indices—The S&P 500^® Index” in the accompanying underlier supplement for additional information regarding the SPX, S&P and our license agreement with respect to the SPX. Additional information regarding the SPX, including its sectors, sector weightings and top constituents, may be available on S&P’s website.

Information as of market close on March 6, 2024:

Historical Information

The table below sets forth the published high and low index closing values, as well as end-of-quarter index closing value, of the SPX for the specified period. The index closing value of the SPX on March 6, 2024 was 5,104.76. The associated graph shows the index closing values of the SPX for each day from January 1, 2019 to March 6, 2024. The dotted lines represent its downside threshold level and its coupon threshold level of 3,573.332 and its call threshold level of 5,104.76, which are equal to 70% and 100%, respectively, of its initial index value. We obtained the information in the table below from Bloomberg, without independent verification. BNS has not undertaken an independent review or due diligence of any publicly available information obtained from Bloomberg. The historical performance of the SPX should not be taken as an indication of its future performance, and no assurance can be given as to the index closing value of the SPX at any time, including the determination dates.

This document relates only to the securities offered hereby and does not relate to the underlying indices or other securities linked to the underlying indices. We have derived all disclosures contained in this document regarding the underlying indices from the publicly available documents described in the preceding paragraphs. In connection with the offering of the securities, none of us or any of our affiliates have participated in the preparation of such documents or made any due diligence inquiry with respect to the underlying indices.

Neither the issuer nor any of its affiliates makes any representation to you as to the performance of any of the underlying indices.

Additional Information About the Securities

Please read this information in conjunction with the summary terms on the front cover of this document.

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Exhibit 107.1

The pricing supplement to which this Exhibit is attached is a final prospectus for the related offering. The maximum aggregate offering price for such offering is $5,690,000.

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