How the PLUS Work
Hypothetical Examples
The below examples are based on the following terms and are purely hypothetical (the actual terms of your PLUS are specified on the cover hereof).
Investors will not be entitled to receive any dividends paid with respect to the index constituent stocks or any periodic interest. You should carefully consider whether an investment that does not
provide for any dividends or periodic interest is appropriate for you. All payments on the PLUS are subject to the credit risk of BNS.
Stated principal amount:
|
$1,000.00 per PLUS
|
Leverage factor:
|
300%
|
Hypothetical initial index value:
|
4,500
|
Maximum payment at maturity:
|
$1,215.00 per PLUS
|
Maximum gain:
|
21.50%
|
Minimum payment at maturity:
|
None
|
EXAMPLE 1: The underlying index increases over the term of the PLUS and the payment at maturity is less than the maximum payment at maturity.
Final index value
|
4,635
|
Underlying return
|
(4,635 – 4,500) / 4,500 = 3.00%
|
Payment at maturity
|
= $1,000.00 + leveraged upside payment, subject to the maximum payment at maturity
|
|
= $1,000.00 + ($1,000.00 × leverage factor × underlying return), subject to the maximum payment at maturity
|
|
= $1,000.00 + ($1,000.00 × 300% × 3.00%), subject to the maximum payment at maturity
|
|
= $1,090.00
|
In Example 1, the final index value is greater than the initial index value and the underlying return is 3.00%.
Accordingly, investors receive the stated principal amount at maturity plus a return equal to 300% times the underlying return, resulting in a payment at maturity of $1,090.00 per PLUS (a total return of 9.00%).
EXAMPLE 2: The underlying index increases over the term of the PLUS such that the payment at maturity is equal to the maximum payment at maturity.
Final index value
|
6,750
|
Underlying return
|
(6,750 – 4,500) / 4,500 = 50.00%
|
Payment at maturity
|
= $1,000.00 + leveraged upside payment, subject to the maximum payment at maturity
|
|
= $1,000.00 + ($1,000.00 × leverage factor × underlying return), subject to the maximum payment at maturity
|
|
= maximum payment at maturity of $1,215.00 per PLUS
|
In Example 2, the final index value is greater than the initial index value and the underlying return is 50.00%. Under the terms of the PLUS, investors will realize the maximum payment at maturity if the underlying return is approximately 7.1667% or higher. Therefore, in this example, investors receive the maximum payment at maturity of $1,215.00 per
stated principal amount, even though the underlying index has appreciated by an amount significantly greater than the return represented by the maximum payment at maturity.
EXAMPLE 3: The final index value is less than the initial index value.
Final index value
|
3,600
|
Underlying return
|
(3,600 – 4,500) / 4,500 = -20.00%
|
Payment at maturity
|
= $1,000.00 + ($1,000.00 × underlying return)
|
|
= $1,000.00 + ($1,000.00 × -20.00%)
|
|
= $1,000.00 - $200.00
|
|
= $800.00
|
In Example 3, the final index value is less than the initial index value and the underlying return is -20.00%.
Because the final index value is less than the initial index value, investors are fully exposed to the decline of the final index value of the underlying index relative to the initial index value, resulting in a payment at maturity of $800.00 per
PLUS (a return on investment of -20.00%).
If the final index value is less than the initial index value, you will lose 1% for every 1% that the final index value falls below the
initial index value and you could lose up to your entire investment in the PLUS.
Risk Factors
The following is a non-exhaustive list of certain key risk factors for investors in the PLUS. 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 also urge you to consult your investment, legal,
tax, accounting and other advisors concerning an investment in the PLUS.
Risks Relating to Return Characteristics
◾ |
The PLUS do not provide any protection against loss; you may lose up to your entire investment. The PLUS differ from ordinary debt securities in that BNS will not necessarily repay the stated
principal amount of the PLUS at maturity. BNS will pay you the stated principal amount of your PLUS at maturity only if the final index value is equal to or greater than the initial index value. You will be exposed on a 1-for-1 basis to
any decline of the final index value of the underlying index relative to the initial index value. If the final index value is less than the initial index value, you will lose 1% of your principal for every 1% that the final index value
falls below the initial index value. You may lose up to your entire investment in the PLUS.
|
◾ |
The stated payout from the issuer applies only at maturity. You should be willing to hold your PLUS to maturity. The stated payout, including the benefit of the leverage factor, is available only
if you hold your PLUS to maturity. If you are able to sell your PLUS prior to maturity in the secondary market, you may have to sell them at a loss relative to your investment in the PLUS even if the then-current value of the underlying
index is equal to or greater than the initial index value.
|
◾ |
Your potential return on the PLUS is limited to the maximum gain. The return potential of the PLUS is limited to the maximum gain. Therefore, you will not benefit from any positive underlying
return in excess of an amount that, when multiplied by the leverage factor, exceeds the maximum gain. Your return on the PLUS may be less than that of a hypothetical direct investment in the underlying index or the index constituent
stocks.
|
◾ |
You will not receive any interest payments. BNS will not pay any interest with respect to the PLUS.
|
◾ |
The amount payable on the PLUS is not linked to the value of the underlying index at any time other than the valuation date. The final index value will be based on the index closing value on the
valuation date, subject to postponement for non-trading days and certain market disruption events. If the value of the underlying index falls on the valuation date, the payment at maturity may be significantly less than it would have been
had the payment at maturity been linked to the value of the underlying index at any time prior to such drop. Although the index closing value on the maturity date or at other times during the term of the PLUS may be higher than the index
closing value on the valuation date, the payment at maturity will be based solely on the index closing value on the valuation date.
|
◾ |
Owning the PLUS is not the same as owning the index constituent stocks. The return on your PLUS may not reflect the return you would realize if you actually owned the index constituent stocks.
For instance, you will not benefit from any positive underlying return in excess of an amount that, when multiplied by the leverage factor, exceeds the maximum gain. Furthermore, you will not receive or be entitled to receive any dividend
payments or other distributions paid on the index constituent stocks, and any such dividends or distributions will not be factored into the calculation of the payment at maturity on your PLUS. In addition, as an owner of the PLUS, you
will not have voting rights or any other rights that a holder of the index constituent stocks may have.
|
Risks Relating to Characteristics of the Underlying Index
◾ |
An investment in the PLUS involves market risk associated with the underlying index. The return on the PLUS, which may be negative, is linked to the performance of the underlying index and
indirectly linked to the value of the index constituent stocks. The value of the underlying index can rise or fall sharply due to factors specific to the underlying index or its index constituent stocks and their issuers (the “index
constituent stock issuers”), 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 market or commodity market volatility and values, interest rates and economic, political and other conditions. You, as an investor in the PLUS, should make your own investigation into the underlying index
and the index constituent stocks.
|
◾ |
There can be no assurance that the investment view implicit in the PLUS will be successful. It is impossible to predict whether and the extent to which the value of the underlying index will rise
or fall and there can be no assurance that the underlying return will be positive. The final index value (and therefore the underlying return) will be influenced by complex and interrelated political, economic, financial and other factors
that affect the index constituent stock issuers. You should be willing to accept the risks associated with the relevant markets tracked by the underlying index in general and each index constituent stock in particular, and the risk of
losing some or all of your investment in the PLUS.
|
◾ |
The underlying index reflects price return, not total return. The return on the PLUS is based on the performance of the underlying index, which reflects the changes in the market prices of the
index constituent stocks. It is not, however, linked to a “total return” index or strategy, which, in addition to reflecting those price returns, would also reflect any dividends paid on the index constituent stocks. The return on the
PLUS will not include such a total return feature or dividend component.
|
◾ |
The PLUS will not be adjusted for changes in exchange rates related to the U.S. dollar. Although the index constituent stocks trade in euros, the PLUS are denominated in U.S. dollars. The
calculation of the amount payable on the PLUS at maturity will not be adjusted for changes in the exchange rates between the U.S. dollar and the euro. Changes in exchange rates, however, may reflect changes in various non-U.S. economies
that in turn may affect the value of the underlying index and, accordingly, the amount payable on the PLUS. You will not benefit from any appreciation of the euro relative to the U.S. dollar, which you would have had you owned such stocks
directly.
|
◾ |
The PLUS are subject to non-U.S. securities market risk. The underlying index is subject to risks associated with non-U.S. securities markets, specifically that of the Eurozone. An investment in
securities, such as the PLUS, linked directly or indirectly to the value of securities issued by non-U.S. companies involves particular risks. Generally, non-U.S. securities markets may be more volatile than U.S. securities markets, and
market developments may affect non-U.S. markets differently from U.S. securities markets. Direct or indirect government intervention to stabilize these non-U.S. markets, as well as cross shareholdings in non-U.S. companies, may affect
trading prices and volumes in those markets. There is generally less publicly available information about non-U.S. companies than about those U.S. companies that are subject to the reporting requirements of the SEC, and non-U.S. companies
are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies. Securities prices in non-U.S. countries are subject to political, economic, financial
and social factors that may be unique to the particular country. These factors, which could negatively affect the non-U.S. securities markets, include the possibility of recent or future changes in the non-U.S. government’s economic and
fiscal policies, the possible imposition of, or changes in, currency exchange laws or other non-U.S. laws or restrictions applicable to non-U.S. companies or investments in non-U.S. equity securities and the possibility of fluctuations in
the rate of exchange between currencies. Moreover, certain aspects of a particular non-U.S. economy may differ favorably or unfavorably from the U.S. economy in important respects, such as growth of gross national product, rate of
inflation, capital reinvestment, resources and self-sufficiency.
|
◾ |
Changes affecting the underlying index could have an adverse effect on the market value of, and any amount payable on, the PLUS. The policies of the index sponsor as specified under “Information
About the Underlying Index” (the “index sponsor”), concerning additions, deletions and substitutions of the index constituent stocks and the manner in which the index sponsor takes account of certain changes affecting those index
constituent stocks may adversely affect the value of the underlying index. The policies of the index sponsor with respect to the calculation of the underlying index could also adversely affect the value of the underlying index. The index
sponsor may discontinue or suspend calculation or dissemination of the underlying index. Any such actions could have an adverse effect on the market value of, and any amount payable on, the PLUS.
|
◾ |
There is no affiliation between the index sponsor and BNS, and BNS is not responsible for any disclosure by such index sponsor. We or our affiliates may currently, or from time to time engage in
business with the index sponsor. However, we and our affiliates are not affiliated with the index sponsor and have no ability to control or predict its actions. You, as an investor in the PLUS, should conduct your own independent
investigation of the index sponsor and the underlying index. The index sponsor is not involved in the PLUS offered hereby in any way and has no obligation of any sort with respect to your PLUS. The index sponsor has no obligation to take
your interests into consideration for any reason, including when taking any actions that might affect the value of, and any amounts payable on, your PLUS.
|
◾ |
Governmental regulatory actions, such as sanctions, could adversely affect your investment in the PLUS. Governmental regulatory actions, including, without limitation, sanctions-related actions
by the U.S. or a foreign government, could prohibit or otherwise restrict persons from holding the PLUS or the index constituent stocks of the underlying index, or engaging in transactions therein, and any such action could adversely
affect the value of the underlying index or the PLUS. These regulatory actions could result in restrictions on the PLUS and could result in the loss of a significant portion or all of your investment in the PLUS, including if you are
forced to divest the PLUS due to the government mandates, especially if such divestment must be made at a time when the market value of the PLUS has declined.
|
Risks Relating to Estimated Value and Liquidity
◾ |
BNS’ initial estimated value of the PLUS at the time of pricing (when the terms of your PLUS were set on the pricing date) is lower than the issue price of the PLUS. BNS’ initial estimated value of the
PLUS is only an estimate. The issue price of the PLUS exceeds BNS’ initial estimated value. The difference between the issue price of the PLUS and BNS’ initial estimated value reflects costs associated with selling and
structuring the PLUS, as well as hedging its obligations under the PLUS. Therefore, the economic terms of the PLUS are less favorable to you than they would have been if these expenses had not been paid or had been lower.
|
◾ |
Neither BNS’ nor SCUSA’s estimated value of the PLUS 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 PLUS and SCUSA’s estimated value of the PLUS 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 PLUS
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 PLUS as well as the higher issuance, operational and ongoing liability management costs of the PLUS 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 PLUS to be more favorable
to you. Consequently, the use of an internal funding rate for the PLUS increases the estimated value of the PLUS at any time and has an adverse effect on the economic terms of the PLUS.
|
◾ |
BNS’ initial estimated value of the PLUS does not represent future values of the PLUS and may differ from others’ (including SCUSA’s) estimates. BNS’ initial estimated value of the PLUS was
determined by reference to its internal pricing models when the terms of the PLUS were set. These pricing models consider certain factors, such as BNS’ internal funding rate on the pricing date, the expected term of the PLUS, market
conditions and other relevant factors existing at that time, and BNS’ assumptions about market parameters, which can include volatility of the underlying index, 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 PLUS that are different, and perhaps materially lower, from BNS’ initial estimated value. Therefore, the price at which SCUSA
would buy or sell your PLUS (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.
|
◾ |
The PLUS have limited liquidity. The PLUS will not be listed on any securities exchange or automated quotation system. Therefore, there may be little or no secondary market for the PLUS. SCUSA
and any other affiliates of BNS intend, but are not required, to make a market in the PLUS. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the PLUS easily. Because we do not expect
that other broker-dealers will participate in the secondary market for the PLUS, the price at which you may be able to trade your PLUS is likely to depend on the price, if any, at which SCUSA is willing to purchase the PLUS from you. If
at any time SCUSA does not make a market in the PLUS, it is likely that there would be no secondary market for the PLUS. Accordingly, you should be willing to hold your PLUS to maturity.
|
◾ |
The price at which SCUSA would buy or sell your PLUS (if SCUSA makes a market, which it is not obligated to do) will be based on SCUSA’s estimated value of your PLUS. SCUSA’s estimated value of the PLUS
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 your PLUS in the secondary market (if SCUSA makes a market, which it is not
obligated to do) exceeds SCUSA’s estimated value of your PLUS at the time of pricing. As agreed by SCUSA and the distribution participants, this excess is expected to decline to zero over the period specified under “Additional Information
About the PLUS — Supplemental information regarding plan of distribution (conflicts of interest); secondary markets (if any)”. Thereafter, if SCUSA buys or sells your PLUS 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 your PLUS at any time also will reflect its then-current bid and ask spread for similar sized trades of structured notes. If SCUSA
calculated its estimated value of your PLUS by reference to BNS’ credit spreads or the borrowing rate BNS would pay for its conventional fixed-rate debt securities (as opposed to BNS’ internal funding rate), the price at which SCUSA would
buy or sell your PLUS (if SCUSA makes a market, which it is not obligated to do) could be significantly lower.
|
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 index, price-sensitivity analysis and the time to maturity of the PLUS. 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 PLUS in the secondary market, if any, to others may differ, perhaps materially, from the estimated value of the PLUS 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 PLUS 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 PLUS at any time will reflect many factors and cannot be predicted. If SCUSA makes a market in the
PLUS, 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
PLUS, including the price you may receive for the PLUS in any market making transaction. To the extent that SCUSA makes a market in the PLUS, 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 PLUS, 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 PLUS in a secondary market sale.
There is no assurance that SCUSA or any other party will be willing to purchase your PLUS at any price and, in this regard, SCUSA is not obligated to make a market in the PLUS.
See “— The PLUS have limited liquidity” herein.
◾ |
The price of the PLUS prior to maturity will depend on a number of factors and may be substantially less than the stated principal amount. The price at which the PLUS may be sold prior to
maturity will depend on a number of factors. Some of these factors include, but are not limited to: (i) actual or anticipated changes in the value of the underlying index over the full term of the PLUS, (ii) volatility of the value of the
underlying index and the index constituent stocks and the market’s perception of future volatility of the foregoing, (iii) changes in interest rates generally, (iv) changes in exchange rates between the currency in which the index
constituent stocks trade and the U.S. dollar, (v) any actual or anticipated changes in our credit ratings or credit spreads, (vi) dividend yields on the index constituent stocks and (vii) time remaining to maturity. In particular, because
the provisions of the PLUS relating to the payment at maturity behave like options, the value of the PLUS will vary in ways which are non-linear and may not be intuitive.
|
Depending on the actual or anticipated value of the underlying index and other relevant factors, the market value of the PLUS may decrease and you may receive substantially less
than the stated principal amount if you sell your PLUS prior to maturity regardless of the value of the underlying index 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
◾ |
Payments on the PLUS are subject to the credit risk of BNS. The PLUS 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 PLUS, including 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
PLUS. If BNS were to default on its obligations, you may not receive any amounts owed to you under the terms of the PLUS and you could lose your entire investment in the PLUS.
|
Risks Relating to Hedging Activities and Conflicts of Interest
◾ |
Hedging activities by BNS and SCUSA may negatively impact investors in the PLUS and cause our respective interests and those of our clients and counterparties to
be contrary to those of investors in the PLUS. We, SCUSA or one or more of our other affiliates has hedged or expects to hedge our obligations under the PLUS. Such hedging transactions may include entering into swap or similar
agreements, purchasing shares of the index constituent stocks and/or purchasing futures, options and/or other instruments linked to the underlying index and/or one or more of the index constituent stocks. We, SCUSA or one or more of our
other 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 index and/or one or more of the index constituent stocks, at any
time and from time to time, and to unwind the hedge by selling any of the foregoing on or before the valuation date. We, SCUSA or one or more of our other affiliates may also enter into, adjust and unwind hedging transactions relating to
other basket- or index-linked securities whose returns are linked to changes in the value of the underlying index and/or one or more underlying index and/or the index constituent stocks. Any of these hedging activities may adversely
affect the value of the underlying index—directly or indirectly by affecting the value of their index constituent stocks — and therefore the market value of the PLUS and the amount you will receive, if any, on the PLUS.
|
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 PLUS. 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 PLUS, and any of the foregoing may receive substantial returns with respect to these hedging activities while the value of, and return on, the PLUS declines.
◾ |
We, SCUSA and our other affiliates regularly provide services to, or otherwise have business relationships with, a broad client base, which has included and may include us and the index constituent
stock issuers and the market activities by us, SCUSA or our other affiliates for our or their own respective accounts or for our clients could negatively impact investors in the PLUS. We, SCUSA and our other 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, SCUSA and/or our other affiliates purchase, sell or hold a broad array of investments, actively trade
securities (including the PLUS or other securities that we have issued), the index constituent stocks, 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 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 value of the
underlying index and/or the value of the PLUS. 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 index constituent stock issuers,
or transact in securities or instruments or with parties that are directly or indirectly related to these entities. These services could include making loans to or equity investments in those companies, providing financial advisory or
other investment banking services, or issuing research reports. Any of these financial market activities may, individually or in the aggregate, have an adverse effect on the value of the underlying index and the market for your PLUS, and
you should expect that our interests and those of SCUSA and/or our other affiliates, clients or counterparties, will at times be adverse to those of investors in the PLUS.
|
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 PLUS 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 PLUS. 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 PLUS.
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 PLUS 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 PLUS should expect that we, SCUSA and our other affiliates
offer securities, financial instruments, and other products that may compete with the PLUS for liquidity or otherwise.
◾ |
Activities conducted by BNS and its affiliates may impact the value of the underlying index and the value of the PLUS. Trading or transactions by BNS, SCUSA or our other affiliates in the
underlying index or any index constituent stocks, listed and/or over-the-counter options, futures, exchange-traded funds or other instruments with returns linked to the performance of the underlying index or any index constituent stocks
may adversely affect the value of the underlying index or index constituent stocks and, therefore, the market value of the PLUS. See “— Hedging activities by BNS and SCUSA may negatively impact investors in the PLUS and cause our
respective interests and those of our clients and counterparties to be contrary to those of investors in the PLUS” for additional information regarding hedging-related transactions and trading.
|
◾ |
The calculation agent will have significant discretion with respect to the PLUS, 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 the payment at maturity of the PLUS, if any, based on the observed final index value. The calculation agent can postpone the determination of the final index value (and therefore the related
maturity date) if a market disruption event occurs and is continuing with respect to the underlying index on the valuation date.
|
◾ |
BNS and its affiliates may publish research or make opinions or recommendations that are inconsistent with an investment in the PLUS. BNS, SCUSA and our other affiliates may publish research from
time to time on financial markets and other matters that may influence the value of the PLUS, or express opinions or provide recommendations that are inconsistent with purchasing or holding the PLUS. Any research, opinions or
recommendations expressed by BNS, SCUSA or our other 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 PLUS and the underlying index to which the PLUS are linked.
|
Risks Relating to Canadian and U.S. Federal Income Taxation
◾ |
Uncertain tax treatment. Significant aspects of the tax treatment of the PLUS are uncertain. You should consult your tax advisor about your tax situation. See “Additional Information About the
PLUS — Tax Considerations” and “— Material Canadian Income Tax Consequences” herein.
|
Information About the Underlying Index
All disclosures contained in this document regarding the 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 index. You should make your own investigation into the underlying index.
EURO STOXX 50® Index
We have derived all information contained herein regarding the underlying index, 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, STOXX Limited (“STOXX”) and/or its affiliates.
The underlying index is a free-float market capitalization-weighted index of 50 European blue-chip stocks. The 50 stocks included in the underlying index trade in euros, and are
allocated based on their country of incorporation, primary listing and largest trading volume, to one of the following countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. Please
see “Indices — The EURO STOXX 50® Index” in the accompanying underlier supplement for additional information regarding the underlying index, STOXX and our license agreement with respect to the underlying index. Additional information regarding
the underlying index, including its sectors, sector weightings and top constituents, may be available on STOXX’s website.
Information as of market close on August 30, 2024:
Bloomberg Ticker Symbol:
|
SX5E <Index>
|
52 Week High (on May 15, 2024):
|
5,100.90
|
Current Index Value:
|
4,957.98
|
52 Week Low (on October 27, 2023):
|
4,014.36
|
52 Weeks Ago (on August 30, 2023):
|
4,315.31
|
|
|
Historical Information
The table below sets forth the published high and low index closing values, as well as the end-of-quarter index closing values, of the underlying index for the specified
period. The index closing value of the underlying index on August 30, 2024 was 4,957.98. The graph below sets forth the index closing values of the underlying index for each day from January 1, 2019 through August 30, 2024. We obtained the
information in the table below from Bloomberg Professional® service (“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 underlying index 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 underlying index
at any time, including the valuation date.
|
|
|
|
2019
|
|
|
|
First Quarter
|
3,409.00
|
2,954.66
|
3,351.71
|
Second Quarter
|
3,514.62
|
3,280.43
|
3,473.69
|
Third Quarter
|
3,571.39
|
3,282.78
|
3,569.45
|
Fourth Quarter
|
3,782.27
|
3,413.31
|
3,745.15
|
2020
|
|
|
|
First Quarter
|
3,865.18
|
2,385.82
|
2,786.90
|
Second Quarter
|
3,384.29
|
2,662.99
|
3,234.07
|
Third Quarter
|
3,405.35
|
3,137.06
|
3,193.61
|
Fourth Quarter
|
3,581.37
|
2,958.21
|
3,552.64
|
2021
|
|
|
|
First Quarter
|
3,926.20
|
3,481.44
|
3,919.21
|
Second Quarter
|
4,158.14
|
3,924.80
|
4,064.30
|
Third Quarter
|
4,246.13
|
3,928.53
|
4,048.08
|
Fourth Quarter
|
4,401.49
|
3,996.41
|
4,298.41
|
2022
|
|
|
|
First Quarter
|
4,392.15
|
3,505.29
|
3,902.52
|
Second Quarter
|
3,951.12
|
3,427.91
|
3,454.86
|
Third Quarter
|
3,805.22
|
3,279.04
|
3,318.20
|
Fourth Quarter
|
3,986.83
|
3,331.53
|
3,793.62
|
2023
|
|
|
|
First Quarter
|
4,315.05
|
3,856.09
|
4,315.05
|
Second Quarter
|
4,408.59
|
4,218.04
|
4,399.09
|
Third Quarter
|
4,471.31
|
4,129.18
|
4,174.66
|
Fourth Quarter
|
4,549.44
|
4,014.36
|
4,521.44
|
2024
|
|
|
|
First Quarter
|
5,083.42
|
4,403.08
|
5,083.42
|
Second Quarter
|
5,100.90
|
4,839.14
|
4,894.02
|
Third Quarter (through August 30, 2024)
|
5,043.02
|
4,571.60
|
4,957.98
|
EURO STOXX 50® Index – Daily Index Closing Values
January 1, 2019 to August 30, 2024
|
This document relates only to the PLUS offered hereby and does not relate to the underlying index or other PLUS linked to the underlying index. We have derived all disclosures
contained in this document regarding the underlying index from the publicly available documents described in the preceding paragraphs. In connection with the offering of the PLUS, 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 index.
Neither the issuer nor any of its affiliates makes any representation to you as to the performance of the underlying index.
Additional Information About the PLUS
Please read this information in conjunction with the summary terms on the front cover of this document.
|
Additional Provisions:
|
|
|
Trustee:
|
Computershare Trust Company, N.A.
|
|
|
Calculation agent:
|
Scotia Capital Inc.
|
|
|
Trading day:
|
As specified in the product supplement under “General Terms of the Notes — Special Calculation Provisions — Trading Day”.
|
|
|
Business day:
|
A day other than a Saturday or Sunday or a day on which banking institutions in New York City are authorized or required by law to close.
|
|
|
Tax redemption:
|
Notwithstanding anything to the contrary in the accompanying product supplement, the provisions 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 PLUS.
|
|
|
Canadian bail-in:
|
The PLUS are not bail-inable debt securities under the CDIC Act.
|
|
|
Terms incorporated:
|
All of the terms appearing above the item under the caption “General Terms of the Notes” in the accompanying product supplement, as modified by this document, and for purposes of the foregoing, the terms used
herein mean the corresponding terms as defined in the accompanying product supplement, as specified below:
|
|
Term used herein
|
Corresponding term in the
accompanying product supplement
|
|
underlying index
|
reference asset
|
|
index constituent stocks
|
reference asset constituents
|
|
stated principal amount
|
principal amount
|
|
original issue date
|
issue date
|
|
valuation date
|
final valuation date
|
|
index closing value
|
closing value
|
|
initial index value
|
initial value
|
|
final index value
|
final value
|
|
underlying return
|
reference asset return
|
|
leverage factor
|
participation rate
|
|
|
Additional information regarding estimated
value of the PLUS:
|
On the cover page of this pricing supplement, BNS has provided the initial estimated value for the PLUS. The initial estimated value was determined by reference to BNS’
internal pricing models, which take into consideration certain factors, such as BNS’ internal funding rate on the pricing date and BNS’ assumptions about market parameters. For more information about the initial estimated value, see “Risk
Factors — Risks Relating to Estimated Value and Liquidity” herein.
The economic terms of the PLUS are based on BNS’ internal funding rate, which is the rate BNS would pay to borrow funds through the issuance of similar market-linked
securities and the economic terms of certain related hedging arrangements. Due to these factors, the issue price you pay to purchase the PLUS is greater than the initial estimated value of the PLUS. BNS’ internal funding rate is typically
lower than the rate BNS would pay when it issues conventional fixed rate debt securities as discussed further under “Risk Factors — Risks Relating to Estimated Value and Liquidity — Neither BNS’ nor SCUSA’s estimated value of the PLUS at
any time is determined by reference to credit spreads or the borrowing rate BNS would pay for its conventional fixed-rate debt securities”. BNS’ use of its internal funding rate reduces the economic terms of the PLUS to you. We urge you to read the “Risk Factors” in this pricing supplement for additional information.
|
|
|
Material Canadian income tax
consequences:
|
See “Supplemental Discussion of Canadian Tax Consequences” in the accompanying product supplement for a discussion of the material Canadian income tax consequences of an
investment in the PLUS. In addition to the assumptions, limitations and conditions described therein, such
discussion assumes that a Non-Resident Holder is not an entity in respect of which BNS is a “specified entity” as defined in the Income Tax Act (Canada) (the “Act”).
Such discussion further assumes that no amount paid or payable to a Non-Resident Holder will be the deduction component of a “hybrid mismatch arrangement” under which
the payment arises within the meaning of paragraph 18.4(3)(b) of the Act.
|
|