Investor Solutions

BNS U.S. Banks Callable Contingent $9.50 Coupon Notes, Series 46F

ISSUE SUMMARY
Product Type: Principal at Risk Note
Fund Code: SSP2543
Issuer: The Bank of Nova Scotia
Issue Date: 02/24/2021
Maturity Date: 02/24/2026 – 5.0 yr term
Principal Payment: The original principal amount invested is not protected (See Maturity Redemption Amount Calculation for more details)

Autocall Feature: The Notes will be automatically called (i.e., redeemed) by the Bank if the Closing Portfolio Price on any Autocall Valuation Date is greater than or equal to the Autocall Price. The Notes cannot be automatically called prior to August 24, 2021. If the Closing Portfolio Price on any Autocall Valuation Date is not greater than or equal to the Autocall Price, the Notes will not be automatically called by the Bank.

Autocall Level: 110.00% of the Initial Portfolio Price. (the "Autocall" Level)


Autocall Valuation Dates:August 18, 2021, February 17, 2022, August 18, 2022, February 17, 2023, August 18, 2023, February 20, 2024, August 20, 2024, February 16, 2025, August 19, 2025 (each an “Autocall Valuation Date”), and February 18, 2026 (the “Final Valuation Date”).



Semi-Annual Coupon Payments:Holders of record on the applicable Semi-Annual Coupon Payment Record Date may be entitled to receive from the Bank a Semi-Annual Coupon Payment, determined as follows:

  1. If the Closing Portfolio Price on the relevant Semi-Annual Coupon Payment Valuation Date is greater than the Barrier Price, the Semi-Annual Coupon Payment will be $4.75 per Note; and
  2. If the Closing Portfolio Price on the relevant Semi-Annual Coupon Payment Valuation Date is less than or equal to the Barrier Price, no Semi-Annual Coupon Payment will be made.

    The aggregate Semi-Annual Coupon Payments over the term of the Notes will not exceed $47.50 per Note. If the Notes are called, holders will receive both the Principal Amount and the Semi-Annual Coupon Payment for the applicable Autocall Valuation Date.
Maturity Redemption Amount: Maturity Redemption Amount is linked to the performance of 4 American banks (See Maturity Redemption Amount Calculation for more details)
Basket of Shares: The basket is composed of 4 American banks (BAC, C, MS, WFC) which are equally weighted.
  • Bank of America Corporation
  • Citigroup Inc.
  • Morgan Stanley
  • Wells Fargo & Company

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: $99.77
Term Remaining: 5.0 Years
Annualized Return: -0.23%
Adjusted Cost Base if held since Inception: $100.00
Current ETC: Nil
ETC End Date: 02/24/2021
Indicative Variable Rate of Return at Maturity: $0.00
Historical Bid Prices: view

MATURITY REDEMPTION AMOUNT CALCULATION

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 (in each case, the “Maturity Redemption Amount”) as calculated by the Calculation Agent in accordance with the applicable formula below:


i.            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

ii.           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

iii.           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: 110.00% of the Initial Index Level;

The return on the Notes will not reflect the total return that an investor would receive if such investor owned the Reference Shares of the Reference Companies.

The Maturity Redemption Amount will be substantially less than the Principal Amount invested by an investor if the Final Portfolio Price on the Final Valuation Date is equal to or less than the Barrier Price. 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
02/24/2021		 Current Level
03/04/2021		 Index Performance Lock-In Date
Bank of America Corporation 25.00% 36.38 36.42 0.11%
Citigroup Inc. 25.00% 68.60 70.38 2.59%
Morgan Stanley 25.00% 79.88 82.06 2.73%
Wells Fargo & Company 25.00% 38.29 37.69 -1.57%
Overall Return       0.97%  
Indicative Variable Return       $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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