Investor Solutions

BNS Canadian Banks Autocallable Notes, Series 155F (CLOSED)

ISSUE SUMMARY
Product Type: Principal at Risk Note
Fund Code: SSP2443
Issuer: The Bank of Nova Scotia
Issue Date: 12/04/2020
Maturity Date: 12/06/2027 – 7.0 yr term
Principal Payment: The original principal amount invested is not protected (See Variable Return Calculation for more details)

Autocall Level: 100% of the Initial Portfolio Price.

Autocall Feature: The Notes will be automatically called (i.e., redeemed) by the Bank and a Variable Return will be paid to holders if the Closing Portfolio Price on any Autocall Valuation Date is greater than or equal to the Autocall Price (which is 100.00% of the Initial Portfolio Price). The Notes cannot be automatically called prior to June 4, 2021. If the Closing Index Level on any Autocall Valuation Date is not greater than or equal to the Autocall Level, the Notes will not be automatically called by the Bank and the Variable Return will not be paid to holders.

Autocall Valuation Dates: May 31, 2021, November 30, 2021, May 31, 2022, November 29, 2022, May 30, 2023, November 28, 2023, May 29, 2024, November 28, 2024, May 29, 2025, November 28, 2025, May 29, 2026, November 30, 2026, May 31, 2027 (each an "Autocall Valuation Date”), and November 30, 2027 (the “Final Valuation Date”).

The Fixed Return for the first 2021, the second 2021, the first 2022, the second 2022, the first 2023, the second 2023, the first 2024, the second 2024, the first 2025, the second 2025, the first 2026, the second 2026, the 2027 and the Final Valuation Dates are equal to an annualized return of 18.54%, 17.75%, 17.04%, 16.40%, 15.82%, 15.29%, 14.80%, 14.35%, 13.94%, 13.55%, 13.19%, 12.85%, 12.53% and 12.23%, 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 Index Level 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 Index Level on the Final Valuation Date is less than the Autocall Price but greater than the Barrier Level, the Maturity Redemption Amount will equal:

Principal Amount

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

Principal Amount + (Principal Amount x Index Return)

Where:

Barrier Level: 70% of the Initial Portfolio Price.

The Maturity Redemption Amount will be substantially less than the Principal Amount invested by an investor if the Final Index Level on the Final Valuation Date is equal to or less than the Barrier Level. The Maturity Redemption Amount will be subject to a minimum principal repayment of $1.00 per Note.

Variable Return: Variable Return, if any, is linked to the performance of The Solactive Canada Banks 30 AR Index. (See Variable Return Calculation for more details)
Underlying Index: The Index aims to track the gross total return performance of the Solactive Canada Bank TR Index (the “Target Index”), subject to reduction for a synthetic dividend of 30 index points per annum calculated daily in arrears at the time the Index is calculated (the “Adjusted Return Factor”). The Target Index is a free-float market capitalization index of stocks of issuers listed on the Toronto Stock Exchange that have their primary listing in Canada and that are classified as “Major Banks” or “Regional Banks” in accordance with the industry sector classification system used by the Index Sponsor and referenced in the guideline for the Target Index. The Target Index is a gross total return index that reflects the applicable price changes of its constituent securities and any dividends and distributions paid in respect of such securities, without deduction of any withholding tax or other amounts to which an investor holding the constituent securities of the Target Index would typically be exposed. For the calculation of the level of the Target Index, any dividends or other distributions paid on the constituent securities of the Target Index are reinvested across all the constituent securities of the Target Index.
  • Solactive Canada Bank 30 AR Index

ISSUE DOCUMENTS
Base Shelf Prospectus: English | French
Product Supplement: English | French
Pricing Supplement: English | French
Investor Summary: English | French

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)

First 2021 Autocall Valuation Date

8.875%

(Index Return less 8.875%) x 5.00%

Second 2021 Autocall Valuation Date

17.75%

(Index Return less 17.75%) x 5.00%

First 2022 Autocall Valuation Date

26.625%

(Index Return less 26.625%) x 5.00%

Second 2022 Autocall Valuation Date

35.50%

(Index Return less 35.50%) x 5.00%

First 2023 Autocall Valuation Date

44.375%

(Index Return less 44.375%) x 5.00%

Second 2023 Autocall Valuation Date

53.25%

(Index Return less 53.25%) x 5.00%

First 2024 Autocall Valuation Date

62.125%

(Index Return less 62.125%) x 5.00%

Second 2024 Autocall Valuation Date

71.00%

(Index Return less 71.00%) x 5.00%

First 2025 Autocall Valuation Date

79.875%

(Index Return less 79.875%) x 5.00%

Second 2025 Autocall Valuation Date

88.75%

(Index Return less 88.75%) x 5.00%

First 2026 Autocall Valuation Date

97.625%

(Index Return less 97.625%) x 5.00%

Second 2026 Autocall Valuation Date

106.50%

(Index Return less 106.50%) x 5.00%

2027 Autocall Valuation Date

115.375%

(Index Return less 115.375%) x 5.00%

Final Valuation Date

124.25%

(Index Return less 124.25%) x 5.00%


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.

THE CONTENTS OF THIS SITE ARE DIRECTED AT, AND ARE FOR USE BY, RESIDENTS OF CANADA ONLY AND ARE NOT DIRECTED TO OR INTENDED FOR USE BY RESIDENTS OF ANY OTHER COUNTRY OR JURISDICTION. THE CONTENTS OF THIS SITE DO NOT CONSTITUTE AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO BUY, DIRECTLY OR INDIRECTLY, ANY OF THE NOTES REFERRED TO HEREIN IN ANY JURISDICTION OUTSIDE OF CANADA. THE CONTENTS OF THIS SITE ARE NOT TO BE DOWNLOADED, DISSEMINATED, USED OR RELIED UPON BY PERSONS RESIDENT IN ANY NON- CANADIAN JURISDICTION. NO SECURITIES COMMISSION OR SIMILAR AUTHORITY IN CANADA OR ANY OTHER JURISDICTION HAS IN ANY WAY PASSED ON THE MERITS OF ANY OF THE NOTES.