Investor Solutions

BNS S&P/TSX Capped Utilities Autocallable Notes, Series 8 (USD)

ISSUE SUMMARY
Product Type: Principal at Risk Note
Fund Code: SSP2377
Issuer: The Bank of Nova Scotia
Issue Date: 09/25/2020
Maturity Date: 09/27/2027 – 7.0 yr term
Principal Payment: The original principal amount invested is not protected (See Variable Return Calculation for more details)

Autocall Feature:The Notes do not represent a direct or indirect investment in the Index or its constituent securities, and holders will have no right or entitlement to such securities, including voting rights or the right to receive any dividends, distributions or other income or amounts accruing or paid thereon. The Index level reflects only the price appreciation or depreciation of the securities of the issuers comprising the Index and does not reflect any dividends, distributions or other income or amounts accruing or paid on such securities. The annual dividend yield on the Index as of August 31, 2020 was 4.26%, representing an aggregate dividend yield of approximately 33.91% annually compounded over the approximately 7 year term of the Notes on the assumption that the dividends paid on the securities comprising the Index remain constant. There is no requirement for the Bank to hold any interest in the Index or its constituent securities.

Autocall Valuation Dates:September 21, 2021, September 20, 2022, September 19, 2023, September 19, 2024, September 19, 2025, September 21, 2026 (each an "Autocall Valuation Date”), and September 21, 2027 (the “Final Valuation Date”).
Variable Return: Variable Return, if any, is linked to the performance of the S&P/TSX Capped Utilities Index (See Variable Return Calculation for more details).
Underlying Index: The S&P/TSX Capped Utilities Index is derived from a subset stock pool of S&P/TSX Composite Index stocks that are classified in the GICS® utilities sector. The Index is a modified cap-weighted index, whose equity weights are capped at 25%.
  • S&P/TSX Capped Utilities Index

ISSUE DOCUMENTS
Base Shelf Prospectus: English | French
Product Supplement: English | French
Pricing Supplement: English | French
Investor Summary: English | French
CURRENT ISSUE STATUS
Current Bid Price:
Term Remaining: 7.0 Years
Annualized Return: %
Adjusted Cost Base if held since Inception: $100.00
Current ETC: 4.50%
ETC End Date: 06/22/2021
Indicative Variable Rate of Return at Maturity: $7.00
Historical Bid Prices: view

VARIABLE RETURN CALCULATION

The Variable Return, if any, applicable to each respective Valuation Date will be calculated using the following formula:

Principal Amount x (Fixed Return + Additional Return)

Valuation
Date
Fixed Return Additional Return, if any
(if Index Return > Fixed Return)

2021 Autocall Valuation Date

7.00%

(Price Return less 7.00%) x 5.00%

2022 Autocall Valuation Date

14.00%

(Price Return less 14.00%) x 5.00%

2023 Autocall Valuation Date

21.00%

(Price Return less 21.00%) x 5.00%

2024 Autocall Valuation Date

28.00%

(Price Return less 28.00%) x 5.00%

2025 Autocall Valuation Date

35.00%

(Price Return less 35.00%) x 5.00%

2026 Autocall Valuation Date

42.00%

(Price Return less 42.00%) x 5.00%

Final Valuation Date

49.00%

(Price Return less 49.00%) x 5.00%

The Fixed Return for the 2021, the 2022 , the 2023, the 2024, the 2025, the 2026 and the Final Valuation Dates are equal to an annualized return of 7.00%, 6.77%, 6.56%, 6.37%, 6.19%, 6.02% and 5.86%, respectively.

Holders of record on the applicable Record Date will be entitled to an amount payable on the Notes if they are automatically called by the Bank or at maturity as calculated in accordance with the applicable formula below:

  • If the Closing Portfolio Price on an Autocall Valuation Date or the Final Valuation Date is greater than or equal to the Autocall Price, the Maturity Redemption Amount will equal:

Principal Amount + Variable Return

  • If the Final Portfolio Price on the Final Valuation Date is less than the Autocall Price but greater than the Barrier Price, the Maturity Redemption Amount will equal:

Principal Amount

  • If the Final Portfolio Price on the Final Valuation Date is equal to or less than the Barrier Price, the Maturity Redemption Amount will equal:

Principal Amount + (Principal Amount x Price Return)

Where:

Barrier Level: 70.00% of the Initial Index Level

Autocall Level: 100.00% of the Initial Index Level

The Maturity Redemption Amount may be less than the Principal Amount invested by an investor. The Maturity Redemption Amount will be subject to a minimum principal repayment of $1.00 per Note.


Performance Commentary

Index Performance
Index Weight Initial Level
09/25/2020
Current Level
09/28/2020
Index Performance Lock-In Date
S&P/TSX Capped Utilities Index 100.00% 301.22 301.22 0.00%



Note: An investment in principal at risk notes may not be suitable for all investors. Important information about these investments is contained in the Base Shelf Prospectus, the Product Supplement and the Pricing Supplement for the note (see above for such documents). Investors should obtain and carefully read a copy of these documents prior to investing, paying particular attention to the associated risks. Past performance is not indicative of future returns. Commissions, trailing commissions, management fees and expenses all may be associated with these investments. None of the Bank, the investment dealers or any of their respective affiliates, or any other person guarantees that investors in the notes will receive an amount equal to their original investment or guarantees that any return will be paid on the notes (subject to a minimum principal repayment of $1.00 per note) at or prior to maturity. Since the notes are not principal protected, it is possible that an investor could lose substantially all of his or her investment in the notes (subject to a minimum principal repayment of $1.00 per note). A person should reach a decision to invest in the notes only after carefully considering with his or her advisor, the suitability of this investment in light of his or her investment objectives and the information set out in the respective documentation.

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