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April 2024
Pricing Supplement
Dated April 17, 2024
Registration Statement No. 333-261476
Filed pursuant to Rule 424(b)(2)
(To Prospectus dated December 29, 2021,
Prospectus Supplement dated December 29, 2021,
Underlier Supplement dated December 29, 2021 and Product Supplement dated December 29, 2021)
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STRUCTURED INVESTMENTS
Opportunities in International Equities
$12,172,000 Buffered PLUS Based on the Value of the EURO STOXX 50® Index due November 4, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
The Buffered PLUS will pay no interest and provide a minimum payment at maturity of only 15% of the stated principal amount. At maturity, if the final index value of the underlying index is
greater than the initial index value, investors will receive the stated principal amount of their investment plus the leveraged upside performance of the underlying index, subject to the maximum payment
at maturity. If the final index value is less than or equal to the initial index value, but not by more than the buffer amount of 15%, investors will receive the stated principal amount at maturity. However, if the final index value is less than
the initial index value by more than the buffer amount, investors will lose 1% for every 1% that the final index value falls below the initial index value in excess of the buffer amount and could lose up to 85% of the stated principal amount. Accordingly, the Buffered PLUS do not guarantee the full return of principal at maturity and you could lose up to 85% of your investment in the Buffered PLUS. The Buffered PLUS are for investors who seek an
index-based return and who are willing to risk their principal and forgo current income and upside above the maximum payment at maturity in exchange for the leverage and buffer features that each apply to a limited range of performance of the
underlying index. The Buffered PLUS are senior unsecured debt securities issued by The Bank of Nova Scotia (“BNS”). The Buffered PLUS are notes issued as part of BNS’ Senior Note Program, Series A.
All payments on the Buffered PLUS 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
Buffered PLUS and you could lose your entire investment in the Buffered PLUS. These Buffered PLUS 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.
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SUMMARY TERMS
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Issuer:
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The Bank of Nova Scotia (“BNS”)
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Issue:
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Senior Note Program, Series A
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Underlying index:
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EURO STOXX 50® Index (Bloomberg Ticker: “SX5E”)
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Aggregate principal amount:
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$12,172,000
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Stated principal amount:
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$1,000.00 per Buffered PLUS
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Issue price:
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$1,000.00 per Buffered PLUS (see “Commissions and issue price” below)
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Minimum investment:
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$1,000 (1 Buffered PLUS)
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Coupon:
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None
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Pricing date:
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April 17, 2024
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Original issue date:
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April 22, 2024 (3 business days after the pricing date). Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle
in two business days (T+2), unless the parties to a trade expressly agree otherwise. Accordingly, purchasers who wish to trade Buffered PLUS in the secondary market on any date prior to two business days before delivery of the Buffered
PLUS will be required, by virtue of the fact that the Buffered PLUS initially will settle in three business days (T+3), to specify alternative settlement arrangements to prevent a failed settlement of the secondary market trade.
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Valuation date:
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October 30, 2026, subject to postponement in the event of a market disruption event as described in the accompanying product supplement
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Maturity date:
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November 4, 2026, subject to postponement in the event of a market disruption event, as described in the accompanying product supplement
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Payment at maturity per
Buffered PLUS:
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◾ If the final index value is greater
than the initial index value:
$1,000.00 + leveraged upside payment
In no event will the payment at maturity exceed the maximum payment at maturity.
◾ If the final index value is less than
or equal to the initial index value, but not by more than the buffer amount:
$1,000.00
◾ If the final index value is less than
the initial index value by more than the buffer amount
$1,000.00 + [$1,000.00 × (underlying return + buffer amount)]
If the final index value is less than the initial index value by more than the buffer amount, you will lose 1% for every 1% that the
final index value falls below the initial index value in excess of the buffer amount and could lose up to 85% of your investment in the Buffered PLUS.
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Underlying return:
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(final index value − initial index value) / initial index value
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Buffer amount:
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15%
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Leverage factor:
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200%
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Leveraged upside payment:
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$1,000.00 × leverage factor × underlying return
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Maximum gain:
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40.50%
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Maximum payment at maturity:
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$1,405.00 per Buffered PLUS (140.50% of the stated principal amount)
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Initial index value:
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4,914.13, which is equal to the index closing value of the underlying index on the pricing date, as determined by the calculation agent and as may be adjusted as described under “General
Terms of the Notes — Unavailability of the Closing Value of a Reference Asset; Adjustments to a Reference Asset — Unavailability of the Closing Value of a Reference Index; Alternative Calculation Methodology”, as described in the
accompanying product supplement.
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Final index value:
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The index closing value of the underlying index on the valuation date, as determined by the calculation agent and as may be adjusted as described under “General Terms of the Notes —
Unavailability of the Closing Value of a Reference Asset; Adjustments to a Reference Asset — Unavailability of the Closing Value of a Reference Index; Alternative Calculation Methodology”, as described in the accompanying product
supplement.
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CUSIP/ISIN:
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06417Y2V0 / US06417Y2V02
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Listing:
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The Buffered PLUS will not be listed or displayed on any securities exchange or any electronic communications network.
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Calculation agent:
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Scotia Capital Inc.
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Agent:
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Scotia Capital (USA) Inc. (“SCUSA”), an affiliate of BNS. See “Supplemental information regarding plan of distribution (conflicts of interest); secondary markets (if any).”
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Estimated value on the pricing
date:
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$952.50 per stated principal amount, which is less than the issue price listed above. See “Additional Information About the Buffered PLUS — Additional information regarding estimated value
of the Buffered PLUS” herein and “Risk Factors — Risks Relating to Estimated Value and Liquidity” beginning on page 9 of this document for additional information. The actual value of your Buffered PLUS at any time will reflect many
factors and cannot be predicted with accuracy.
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Commissions and issue price:
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Price to Public(1)
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Fees and Commissions(1)
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Proceeds to Issuer
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Per Buffered PLUS:
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$1,000.00
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$25.00(a)
$5.00(b)
$30.00
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$970.00
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Total:
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$12,172,000.00
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$365,160.00
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$11,806,840.00
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(1) |
SCUSA has agreed to purchase the Buffered PLUS at the stated principal amount and, as part of the distribution of the Buffered PLUS, has agreed to sell all of the Buffered PLUS to Morgan
Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”) at an underwriting discount which reflects:
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(a) |
a fixed sales commission of $25.00 per $1,000.00 stated principal amount of Buffered PLUS that Morgan Stanley Wealth Management sells and
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(b) |
a fixed structuring fee of $5.00 per $1,000.00 stated principal amount of Buffered PLUS that Morgan Stanley Wealth Management sells,
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each payable to Morgan Stanley Wealth Management. See
“Additional Information About the Buffered PLUS — Supplemental information regarding plan of distribution (conflicts of interest); secondary markets (if any)” herein.
The Buffered PLUS involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 7.
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 Buffered PLUS 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 Buffered PLUS are not bail-inable debt securities under the CDIC Act.
Additional Information About BNS and the Buffered PLUS
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 Buffered PLUS 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 Buffered PLUS 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 Buffered PLUS 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 Buffered PLUS 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 Buffered PLUS in light of your particular circumstances.
You may access these documents on the SEC website at www.sec.gov as follows:
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Product Supplement (Market-Linked Notes, Series A) dated December 29, 2021:
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Underlier Supplement dated December 29, 2021:
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Prospectus Supplement dated December 29, 2021:
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Prospectus dated December 29, 2021:
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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 “Buffered PLUS”
refers to the Buffered Performance Leveraged Upside 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 Buffered PLUS prior to their issuance. In the event of any changes to the terms of the Buffered
PLUS, 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 Overview
Buffered Performance Leveraged Upside Securities
Principal at Risk Securities
The Buffered PLUS Based on the Value of the EURO STOXX 50® Index due November 4, 2026 can be used:
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As an alternative to direct exposure to the underlying index that enhances returns for a certain range of positive performance of the underlying index, subject to the maximum payment at maturity; however, by
investing in the Buffered PLUS, you will not be entitled to receive any dividends paid with respect to the stocks comprising the underlying index (the “index constituent stocks”) or any interest payments, and your return will not exceed
the maximum payment at maturity. You should carefully consider whether an investment that does not provide for any dividends, interest payments or exposure to the positive performance of the underlying index beyond a value that, when
multiplied by the leverage factor, exceeds the maximum gain is appropriate for you.
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To enhance returns and potentially outperform the underlying index in a moderately bullish scenario.
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To achieve similar levels of upside exposure to the underlying index as a direct investment, subject to the maximum payment at maturity, while using fewer dollars by taking advantage of the leverage factor.
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To obtain a buffer against a specified percentage of negative performance of the value of the underlying index.
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Maturity:
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Approximately 30 months
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Buffer Amount
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15%
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Leverage factor:
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200% (applicable only if the final index value is greater than the initial index value)
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Maximum payment at maturity:
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$1,405.00 per Buffered PLUS (140.50% of the stated principal amount)
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Maximum gain:
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40.50%
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Coupon:
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None
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Minimum payment at maturity:
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$150.00 (15% of the stated principal amount).
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Listing:
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The Buffered PLUS will not be listed or displayed on any securities exchange or any electronic communications network.
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Key Investment Rationale
Investors can use the Buffered PLUS to leverage returns by 200%, up to the maximum gain, and obtain contingent protection against a loss of the stated principal amount in the event
that final index value is equal to or less than the initial index value, but not by more than the buffer amount. At maturity, investors will receive an amount in cash based upon the underlying return. If the final index value is greater than the
initial index value, investors will receive the stated principal amount of their investment plus the leveraged upside performance of the underlying index, subject to the maximum payment at maturity. If
the final index value is less than or equal to the initial index value, but not by more than the buffer amount of 15%, investors will receive the stated principal amount at maturity. However, if the final index value is less than the initial
index value by more than the buffer amount, investors will lose 1% for every 1% that the final index value falls below the initial index value in excess of the buffer amount. Investors may lose up to 85% of their investment in the Buffered PLUS.
All payments on the Buffered PLUS are subject to the credit risk of BNS.
Investors will not be entitled to receive any dividends paid with respect to the index constituent stocks and the Buffered PLUS do not pay periodic interest. You should carefully
consider whether an investment that does not provide for any dividends or periodic interest is appropriate for you.
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Leveraged Performance up to a Cap
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The Buffered PLUS offer investors an opportunity to capture enhanced returns relative to a direct investment in the underlying index or the index
constituent stocks, within a certain range of positive performance.
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Upside Scenario
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If the final index value is greater than the initial index value, at maturity you will receive the stated principal amount of $1,000.00 plus the leveraged upside payment, subject to the maximum payment at maturity of $1,405.00 per Buffered PLUS (140.50% of the stated principal amount).
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Par Scenario
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If the final index value is less than or equal to the initial index value, but not by more than the buffer amount, at maturity you will receive the
stated principal amount.
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Downside Scenario
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If the final index value is less than the initial index value by more than the buffer amount, at maturity you will receive less than the stated principal
amount and you will lose 1% for every 1% that the final index value has fallen below the initial index value in excess of the buffer amount. For example, if the underlying return is -45%, each Buffered PLUS will redeem for $700.00, or 70%
of the stated principal amount. The minimum payment at maturity on the Buffered PLUS is 15% of the stated principal amount and you could lose up to 85% of your investment in the Buffered PLUS.
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Investor Suitability
The Buffered PLUS may be suitable for you if:
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You fully understand and are willing to accept the risks of an investment in the Buffered PLUS, including the risk that you may lose up to 85% of your investment in the Buffered PLUS
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You can tolerate a loss of a substantial portion of your investment and are willing to make an investment that has similar downside market risk as that of a direct investment in the underlying index or the index constituent stocks
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You believe that the final index value will be greater than the initial index value and you understand and accept that any positive return that you earn on the Buffered PLUS will not exceed the maximum gain
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You can tolerate fluctuations in the market prices of the Buffered PLUS prior to maturity that may be similar to or exceed the fluctuations in the value of the underlying index
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You do not seek current income from your investment and are willing to forgo any dividends paid on any index constituent stocks
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You are willing and able to hold the Buffered PLUS to maturity, a term of approximately 30 months, and accept that there may be little or no secondary market for the Buffered PLUS
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You understand and are willing to accept the risks associated with the underlying index
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You are willing to assume the credit risk of BNS for all payments under the Buffered PLUS, and you understand that if BNS defaults on its obligations you may not receive any amounts due to you including any repayment of principal
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The Buffered PLUS may not be suitable for you if:
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You do not fully understand or accept the risks of an investment in the Buffered PLUS, including the risk that you may lose up to 85% of your investment
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You require an investment that provides full protection against loss of principal
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You are not willing to make an investment that has similar downside market risk as that of a direct investment in the underlying index or the index constituent stocks
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You believe that the final index value will not be greater than the initial index value
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You seek an investment that has an unlimited return potential or you do not understand or cannot accept that your potential return on the Buffered PLUS is limited to the maximum gain
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You cannot tolerate fluctuations in the market price of the Buffered PLUS prior to maturity that may be similar to or exceed the fluctuations in the value of the underlying index
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You seek current income from your investment or prefer to receive the dividends paid on the index constituent stocks
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You are unable or unwilling to hold the Buffered PLUS to maturity, a term of approximately 30 months, or seek an investment for which there will be an active secondary market
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You do not understand or are not willing to accept the risks associated with the underlying index
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You are not willing to assume the credit risk of BNS for all payments under the Buffered PLUS, including any repayment of principal
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How the Buffered PLUS Work
Hypothetical Examples
The below examples are based on the following terms and are purely hypothetical (the actual terms of your Buffered 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 Buffered PLUS are subject to the credit risk of BNS.
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Stated principal amount:
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$1,000.00 per Buffered PLUS
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Buffer amount:
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15%
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Leverage factor:
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200%
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Hypothetical initial index value:
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5,000.00
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Maximum payment at maturity:
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$1,405.00 per Buffered PLUS
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Maximum gain:
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40.50%
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Minimum payment at maturity:
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$150.00 (15% of the stated principal amount)
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EXAMPLE 1: The underlying index increases over the term of the Buffered PLUS.
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Final index value
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5,150.00
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Underlying return
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(5,150.00 – 5,000.00) / 5,000.00 = 3.00%
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Payment at maturity
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= $1,000.00 + leveraged upside payment, subject to the maximum payment at maturity
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= $1,000.00 + ($1,000.00 × leverage factor × underlying return), subject to the maximum payment at maturity
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= $1,000.00 + ($1,000.00 × 200% × 3.00%), subject to the maximum payment at maturity
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= $1,060.00
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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 200% times the underlying return, resulting in a payment at maturity of $1,060.00 per Buffered PLUS (a total return of 6.00%).
EXAMPLE 2: The underlying index increases over the term of the Buffered PLUS such that the payment at maturity is equal to the maximum payment at maturity.
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Final index value
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7,500.00
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Underlying return
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(7,500.00 – 5,000.00) / 5,000.00 = 50.00%
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Payment at maturity
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= $1,000.00 + leveraged upside payment, subject to the maximum payment at maturity
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= $1,000.00 + ($1,000.00 × leverage factor × underlying return), subject to the maximum payment at maturity
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= maximum payment at maturity of $1,405.00 per Buffered PLUS
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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 Buffered PLUS, investors will realize the maximum payment at maturity if the underlying return is 20.25% or higher. Therefore, in this example, investors receive the maximum payment at
maturity of $1,405.00 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, but not by more than the buffer amount.
Final index value
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4,850.00
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Underlying return
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(4,850.00 – 5,000.00) / 5,000.00 = -3.00%
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Payment at maturity
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= $1,000.00
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In Example 3, the final index value is less than the initial index value and the underlying return is -3.00%. Because the final index
value is less than the initial index value but the percentage decline from the initial index value to the final index value is less than or equal to the buffer amount, investors receive the stated principal amount of $1,000.00 per Buffered PLUS
at maturity (a total return of 0%).
EXAMPLE 4: The final index value is less than the initial index value by more than the buffer amount.
Final index value
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3,500.00
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Underlying return
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(3,500.00 – 5,000.00) / 5,000.00 = -30.00%
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Payment at maturity
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= $1,000.00 + [$1,000.00 × (underlying return + buffer amount)]
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= $1,000.00 + [$1,000.00 × (-30.00% + 15.00%)]
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= $1,000.00 - $150.00
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= $850.00
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In Example 4, the final index value is less than the initial index value and the underlying return is -30.00%. Because the final index
value is less than the initial index value by more than the buffer amount, investors receive a payment at maturity of $850.00 per Buffered PLUS (a return on investment of -15.00%).
If the final index value is less than the initial index value by more than the buffer amount, you will lose 1% for every 1% that the final index value falls below the initial
index value in excess of the buffer amount and could lose up to 85% of your investment in the Buffered PLUS.
Risk Factors
The following is a non-exhaustive list of certain key risk factors for investors in the Buffered 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 Buffered PLUS.
Risks Relating to Return Characteristics
■ |
You may lose up to 85% of your investment in the Buffered PLUS. The Buffered PLUS differ from ordinary debt securities in that BNS will not necessarily repay the stated principal amount of the
Buffered PLUS at maturity. If the final index value is less than the initial index value by more than the buffer amount, you will lose 1% of your principal for every 1% that the final index value falls below the initial index value in
excess of the buffer amount. You may lose up to 85% of your investment in the Buffered PLUS.
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■ |
The stated payout from the issuer applies only at maturity. You should be willing to hold your Buffered PLUS to maturity. The stated payout, including the benefit of the leverage factor, is
available only if you hold your Buffered PLUS to maturity. If you are able to sell your Buffered PLUS prior to maturity in the secondary market, you may have to sell them at a loss relative to your investment in the Buffered PLUS even if
the then-current value of the underlying index is equal to or greater than the initial index value.
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Your potential return on the Buffered PLUS is limited to the maximum gain. The return potential of the Buffered 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 Buffered PLUS may be less than that of a hypothetical direct investment in the underlying index
or the index constituent stocks.
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■ |
You will not receive any interest payments. BNS will not pay any interest with respect to the Buffered PLUS.
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The amount payable on the Buffered 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-index business 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 Buffered
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.
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■ |
Owning the Buffered PLUS is not the same as owning the index constituent stocks. The return on your Buffered 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 Buffered PLUS. In addition, as
an owner of the Buffered PLUS, you will not have voting rights or any other rights that a holder of the index constituent stocks may have.
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Risks Relating to Characteristics of the Underlying Index
◾ |
An investment in the Buffered PLUS involves market risk associated with the underlying index. The return on the Buffered 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 Buffered PLUS, should make your own investigation into
the underlying index and the index constituent stocks.
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■ |
There can be no assurance that the investment view implicit in the Buffered 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 almost all of your investment in the Buffered PLUS.
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■ |
The Buffered 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 Buffered PLUS are denominated in U.S.
dollars. The calculation of the amount payable on the Buffered 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 Buffered 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.
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■ |
The Buffered 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 Buffered 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.
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The underlying index reflects price return, not total return. The return on the Buffered 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 Buffered PLUS will not include such a total return feature or dividend component.
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Changes affecting the underlying index could have an adverse effect on the market value of, and any amount payable on, the Buffered 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 Buffered PLUS.
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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 Buffered PLUS, should conduct your own independent
investigation of the index sponsor and the underlying index. The index sponsor is not involved in the Buffered PLUS offered hereby in any way and has no obligation of any sort with respect to your Buffered 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 Buffered PLUS.
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Governmental regulatory actions, such as sanctions, could adversely affect your investment in the Buffered 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 Buffered 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 Buffered PLUS. These regulatory actions could result in restrictions on the Buffered PLUS and could result in the loss of a significant portion or all of your investment in
the Buffered PLUS, including if you are forced to divest the Buffered PLUS due to the government mandates, especially if such divestment must be made at a time when the value of the Buffered PLUS has declined.
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Risks Relating to Estimated Value and Liquidity
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BNS’ initial estimated value of the Buffered PLUS at the time of pricing (when the terms of your Buffered PLUS were set on the pricing date) is lower than the issue price of the Buffered PLUS.
BNS’ initial estimated value of the Buffered PLUS is only an estimate. The issue price of the Buffered PLUS exceeds BNS’ initial estimated value. The difference between the issue price of the Buffered PLUS and BNS’ initial estimated value
reflects costs associated with selling and structuring the Buffered PLUS, as well as hedging its obligations under the Buffered PLUS. Therefore, the economic terms of the Buffered PLUS are less favorable to you than they would have been
if these expenses had not been paid or had been lower.
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Neither BNS’ nor SCUSA’s estimated value of the Buffered 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 Buffered PLUS and SCUSA’s estimated value of the Buffered 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 Buffered 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 Buffered PLUS as well as the higher issuance, operational and ongoing liability management costs of the Buffered 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 Buffered PLUS to be more favorable to you. Consequently, the use of an internal funding rate for the Buffered PLUS increases the estimated value of the Buffered PLUS at any time and has an adverse effect on the
economic terms of the Buffered PLUS.
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BNS’ initial estimated value of the Buffered PLUS does not represent future values of the Buffered PLUS and may differ from others’ (including SCUSA’s) estimates. BNS’ initial estimated value of
the Buffered PLUS was determined by reference to its internal pricing models when the terms of the Buffered PLUS were set. These pricing models consider certain factors, such as BNS’ internal funding rate on the pricing date, the expected
term of the Buffered 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 Buffered PLUS that are different, and perhaps materially lower, from BNS’ initial estimated
value. Therefore, the price at which SCUSA would buy or sell your Buffered 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.
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The Buffered PLUS have limited liquidity. The Buffered PLUS will not be listed on any securities exchange or automated quotation system. Therefore, there may be little or no secondary market for
the Buffered PLUS. SCUSA and any other affiliates of BNS intend, but are not required, to make a market in the Buffered PLUS. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the
Buffered PLUS easily. Because we do not expect that other broker-dealers will participate in the secondary market for the Buffered PLUS, the price at which you may be able to trade your Buffered PLUS is likely to depend on the price, if
any, at which SCUSA is willing to purchase the Buffered PLUS from you. If at any time SCUSA does not make a market in the Buffered PLUS, it is likely that there would be no secondary market for the Buffered PLUS. Accordingly, you should
be willing to hold your Buffered PLUS to maturity.
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The price at which SCUSA would buy or sell your Buffered PLUS (if SCUSA makes a market, which it is not obligated to do) will be based on SCUSA’s estimated value of your Buffered PLUS. SCUSA’s estimated
value of the Buffered 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 Buffered PLUS in the secondary market (if
SCUSA makes a market, which it is not obligated to do) exceeds SCUSA’s estimated value of your Buffered 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 Buffered PLUS — Supplemental information regarding plan of distribution (conflicts of interest); secondary markets (if any)”. Thereafter, if SCUSA buys or sells your Buffered 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 Buffered 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 Buffered 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 Buffered PLUS (if SCUSA makes a market, which it is not obligated to do) could be significantly lower.
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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 Buffered 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 Buffered PLUS in the secondary market, if any, to others may differ, perhaps materially, from the estimated value of the Buffered 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 Buffered 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 Buffered PLUS at any time will reflect many factors and cannot be predicted. If SCUSA makes a market
in the Buffered 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 Buffered PLUS, including the price you may receive for the Buffered PLUS in any market making transaction. To the extent that SCUSA makes a market in the Buffered 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 Buffered 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 Buffered PLUS in a secondary market sale.
There is no assurance that SCUSA or any other party will be willing to purchase your Buffered PLUS at any price and, in this regard, SCUSA is not obligated to make a market in
the Buffered PLUS. See “— The Buffered PLUS have limited liquidity” herein.
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The price of the Buffered 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 Buffered 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 Buffered 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) any actual or anticipated changes in our credit ratings or credit spreads, (v) dividend yields on the index constituent stocks and (vi) time remaining to maturity. In particular, because the
provisions of the Buffered PLUS relating to the payment at maturity behave like options, the value of the Buffered PLUS will vary in ways which are non-linear and may not be intuitive.
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Depending on the actual or anticipated value of the underlying index and other relevant factors, the market value of the Buffered PLUS may decrease and you may receive
substantially less than the stated principal amount if you sell your Buffered 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
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Payments on the Buffered PLUS are subject to the credit risk of BNS. The Buffered 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 Buffered 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 Buffered PLUS. If BNS were to default on its obligations, you may not receive any amounts owed to you under the terms of the Buffered PLUS and you could lose your entire investment in the Buffered PLUS.
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Risks Relating to Hedging Activities and Conflicts of Interest
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Hedging activities by BNS and SCUSA may negatively impact investors in the Buffered PLUS and cause our respective interests and those of our clients and
counterparties to be contrary to those of investors in the Buffered PLUS. We, SCUSA or one or more of our other affiliates has hedged or expects to hedge our obligations under the Buffered 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 price of their index constituent stocks — and therefore the market value of the Buffered PLUS and the amount you will
receive on the Buffered PLUS.
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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 Buffered 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 Buffered PLUS, and any of the foregoing may receive substantial returns with respect to these hedging activities while the value of, and return on, the Buffered PLUS declines.
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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 Buffered 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 Buffered 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 Buffered 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 Buffered 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 Buffered PLUS.
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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 Buffered 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 Buffered 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 Buffered 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 Buffered 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 Buffered PLUS should expect that we, SCUSA and
our other affiliates offer securities, financial instruments, and other products that may compete with the Buffered PLUS for liquidity or otherwise.
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Activities conducted by BNS and its affiliates may impact the value of the underlying index and the value of the Buffered 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 Buffered PLUS. See “— Hedging activities by BNS and SCUSA may negatively impact investors in the Buffered
PLUS and cause our respective interests and those of our clients and counterparties to be contrary to those of investors in the Buffered PLUS” for additional information regarding hedging-related transactions and trading.
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The calculation agent will have significant discretion with respect to the Buffered 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 Buffered PLUS 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.
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BNS and its affiliates may publish research or make opinions or recommendations that are inconsistent with an investment in the Buffered 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 Buffered PLUS, or express opinions or provide recommendations that are inconsistent with purchasing or holding the Buffered 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 Buffered PLUS and the underlying index to which the Buffered PLUS are linked.
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Risks Relating to Canadian and U.S. Federal Income Taxation
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Uncertain tax treatment. Significant aspects of the tax treatment of the Buffered PLUS are uncertain. You should consult your tax advisor about your tax situation. See “Additional Information
About the Buffered PLUS — Tax Considerations” and “— Material Canadian Income Tax Consequences” herein.
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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 EURO STOXX 50® Index (referred to in this section as the “SX5E”), 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 SX5E is a free-float market capitalization-weighted index of 50 European blue-chip stocks. The 50 stocks included in the SX5E 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 SX5E, STOXX and our license agreement with respect to the SX5E. Additional information regarding the SX5E, including its sectors,
sector weightings and top constituents, may be available on STOXX’s website.
Information as of market close on April 17, 2024:
Bloomberg Ticker Symbol:
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SX5E <Index>
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52 Week High (on March 28, 2024):
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5,083.42
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Current Index Value:
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4,914.13
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52 Week Low (on October 27, 2023):
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4,014.36
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52 Weeks Ago (on April 17, 2023):
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4,367.61
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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 April 17, 2024 was 4,914.13. The graph below sets forth the index closing values of the underlying index for each day from January 1, 2019 through April 17, 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.
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EURO STOXX 50® Index
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High
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Low
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Period End
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2019
|
|
|
|
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First Quarter
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3,409.00
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2,954.66
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3,351.71
|
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Second Quarter
|
3,514.62
|
3,280.43
|
3,473.69
|
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Third Quarter
|
3,571.39
|
3,282.78
|
3,569.45
|
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Fourth Quarter
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3,782.27
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3,413.31
|
3,745.15
|
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2020
|
|
|
|
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First Quarter
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3,865.18
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2,385.82
|
2,786.90
|
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Second Quarter
|
3,384.29
|
2,662.99
|
3,234.07
|
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Third Quarter
|
3,405.35
|
3,137.06
|
3,193.61
|
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Fourth Quarter
|
3,581.37
|
2,958.21
|
3,552.64
|
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2021
|
|
|
|
|
First Quarter
|
3,926.20
|
3,481.44
|
3,919.21
|
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Second Quarter
|
4,158.14
|
3,924.80
|
4,064.30
|
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Third Quarter
|
4,246.13
|
3,928.53
|
4,048.08
|
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Fourth Quarter
|
4,401.49
|
3,996.41
|
4,298.41
|
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2022
|
|
|
|
|
First Quarter
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4,392.15
|
3,505.29
|
3,902.52
|
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Second Quarter
|
3,951.12
|
3,427.91
|
3,454.86
|
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Third Quarter
|
3,805.22
|
3,279.04
|
3,318.20
|
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Fourth Quarter
|
3,986.83
|
3,331.53
|
3,793.62
|
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2023
|
|
|
|
|
First Quarter
|
4,315.05
|
3,856.09
|
4,315.05
|
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Second Quarter
|
4,408.59
|
4,218.04
|
4,399.09
|
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Third Quarter
|
4,471.31
|
4,129.18
|
4,174.66
|
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Fourth Quarter
|
4,549.44
|
4,014.36
|
4,521.44
|
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2024
|
|
|
|
|
First Quarter
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5,083.42
|
4,403.08
|
5,083.42
|
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Second Quarter (through April 17, 2024)
|
5,070.76
|
4,914.13
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4,914.13
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EURO STOXX 50® Index – Daily Index closing values
January 1, 2019 to April 17, 2024
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This document relates only to the Buffered PLUS offered hereby and does not relate to the underlying index or other Buffered 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 Buffered 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.