Investor Solutions

BNS Canadian Insurance (AR) Autocallable Notes, Series 35F

ISSUE SUMMARY
Product Type: Principal at Risk Note
Fund Code: SSP2509
Issuer: The Bank of Nova Scotia
Issue Date: 02/17/2021
Maturity Date: 02/17/2028 – 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 Index Level.

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 Index Level on any Autocall Valuation Date is greater than or equal to the Autocall Level (which is 100.00% of the Initial Index Level). The Notes cannot be automatically called prior to February 17, 2022. 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: February 11, 2022, February 13, 2023, February 13, 2024, February 11, 2025, February 10, 2026, February 10, 2027 (each an "Autocall Valuation Date”), and February 11, 2028 (the “Final Valuation Date”).
Variable Return: Variable Return, if any, is linked to the performance of The Solactive Canada Insurance 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 Insurance Index TR (the “Target Index”), subject to reduction for a synthetic dividend of 120 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 weighted index with a 30% weight cap on single securities comprised of eligible issuers assigned to either the “Life/Health Insurance” or “Multi-Line Insurance” industry, as defined by the industry classification system used by the Index Sponsor, that are listed on the Toronto Stock Exchange. 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)

2022 Autocall Valuation Date

14.25%

(Index Return less 14.25%) x 5.00%

2023 Autocall Valuation Date

28.50%

(Index Return less 28.50%) x 5.00%

2024 Autocall Valuation Date

42.75%

(Index Return less 42.75%) x 5.00%

2025 Autocall Valuation Date

57.00%

(Index Return less 57.00%) x 5.00%

2026 Autocall Valuation Date

71.25%

(Index Return less 71.25%) x 5.00%

2027 Autocall Valuation Date

85.50%

(Index Return less 85.50%) x 5.00%

Final Valuation Date

99.75%

(Index Return less 99.75%) x 5.00%

The Fixed Return for the 2022, the 2023, the 2024, the 2025, the 2026, the 2027 and the Final Valuation Dates are equal to an annualized return of 14.75%, 13.36%, 12.60% 11.94%, 11.36%, 10.85%, and 10.36%, 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 Level, 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 Level 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 Index Level.

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.


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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