BNS Bank Nova Scotia Halifax

Structured Investments

Opportunities in U.S. Equities

$4,192,000 Contingent Income Auto-Callable Securities with 6-Month Initial Non-Call Period due December 14, 2026

All Payments on the Securities Based on the Worst Performing of the Shares of the Energy Select Sector SPDR® Fund, the Shares of the Utilities Select Sector SPDR® Fund and the Shares of the Health Care Select Sector SPDR® Fund

Principal at Risk Securities

Contingent Income Auto-Callable Securities with 6-Month Initial Non-Call Period (the “securities”) do not guarantee the repayment of principal and do not provide for the regular payment of interest. Instead, the securities offer the opportunity for investors to earn a contingent quarterly coupon with respect to each determination date on which the closing price of each of the underlying shares is greater than or equal to 75% of its initial share price, which we refer to as its coupon threshold price. In addition, if the closing prices of all of the underlying shares on any determination date (other than first determination date and the final determination date) are greater than or equal to their respective call threshold prices, the securities will be automatically redeemed for an amount per security equal to (i) the stated principal amount plus (ii) the contingent quarterly coupon otherwise payable with respect to the applicable determination date. No further payments will be made on the securities once they have been redeemed. However, if the closing price of any of the underlying shares on any applicable determination date is less than its call threshold price, the securities will not be automatically redeemed and, if the closing price of any of the underlying shares is less than its coupon threshold price, you will not receive any contingent quarterly coupon with respect to the applicable determination date. As a result, investors must be willing to accept the risk of not receiving any contingent quarterly coupons during the term of the securities. Furthermore, if the final share price of any of the underlying shares is less than 75% of its initial share price, which we refer to as its downside threshold price, BNS will pay you a cash payment per security that will be less than the stated principal amount and you will be exposed on a 1-to-1 basis to the decline of the worst performing of the underlying shares. In this scenario, you will lose a significant portion or all of your investment in the securities. Accordingly, the securities do not guarantee any return of principal at maturity. Investors will not participate in any appreciation of the underlying shares and will not realize a return beyond the returns represented by the contingent quarterly coupons received, if any, during the term of the securities. Because all payments on the securities are based on the worst performing of the underlying shares, a decline beyond the respective coupon threshold price and/or downside threshold price, as applicable, of any of the underlying shares will result in few or no contingent quarterly coupons and/or a loss of a significant portion and up to your entire investment in the securities even if the other underlying shares appreciate or have not declined as much. These securities are for investors who are willing to risk their entire investment based on the worst performing of three underlying shares and who seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving no interest over the entire term of the securities. The securities are senior unsecured debt securities issued by The Bank of Nova Scotia (“BNS”). The securities are notes issued as part of BNS’ Senior Note Program, Series A.

All payments on the securities 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 securities and you could lose your entire investment in the securities. These securities 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.

The securities involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 11.

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 securities 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 securities are not bail-inable debt securities under the CDIC Act.

You should read this document together with the accompanying product supplement, underlier supplement, prospectus supplement and the prospectus, each of which can be accessed via the hyperlinks below, before you decide to invest.

Additional Information About BNS and the Securities

You should read this pricing supplement together with the prospectus dated November 8, 2024, as supplemented by the prospectus supplement dated November 8, 2024, the underlier supplement dated November 8, 2024 and the product supplement (Market-Linked Notes, Series A) dated November 8, 2024, relating to our Senior Note Program, Series A, of which these securities 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 securities 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 securities 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 securities 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 securities in light of your particular circumstances.

You may access these documents on the SEC website at www.sec.gov as follows:

♦Product Supplement (Market-Linked Notes, Series A) dated November 8, 2024:
http://www.sec.gov/Archives/edgar/data/9631/000183988224038316/bns_424b2-21309.htm

♦Underlier Supplement dated November 8, 2024:

http://www.sec.gov/Archives/edgar/data/9631/000183988224038308/bns_424b2-21314.htm

♦Prospectus Supplement dated November 8, 2024:

http://www.sec.gov/Archives/edgar/data/9631/000183988224038303/bns_424b3-21311.htm

♦Prospectus dated November 8, 2024:
http://www.sec.gov/Archives/edgar/data/9631/000119312524253771/d875135d424b3.htm

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 “Contingent Income Auto-Callable Securities with 6-Month Initial Non-Call Period” or the “securities” refer to the securities that are offered hereby. Also, references to the “accompanying product supplement” mean the BNS product supplement, dated November 8, 2024, references to the “accompanying underlier supplement” mean the BNS underlier supplement, dated November 8, 2024, references to the “accompanying prospectus supplement” mean the BNS prospectus supplement, dated November 8, 2024 and references to the “accompanying prospectus” mean the BNS prospectus, dated November 8, 2024.

BNS reserves the right to change the terms of, or reject any offer to purchase, the securities prior to their issuance. In the event of any changes to the terms of the securities, 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 Summary

Contingent Income Auto-Callable Securities with 6-Month Initial Non-Call Period

Principal at Risk Securities

The Contingent Income Auto-Callable Securities with 6-Month Initial Non-Call Period due December 14, 2026 Based on the Worst Performing of the Shares of the Energy Select Sector SPDR® Fund, the Utilities Select Sector SPDR® Fund and the Health Care Select Sector SPDR® Fund, which we refer to as the securities, provide an opportunity for investors to earn a contingent quarterly coupon, which is an amount equal to $23.25 (equivalent to 9.30% per annum of the stated principal amount) per security, with respect to each determination date on which the closing prices or the final share prices, as applicable, of all of the underlying shares are greater than or equal to 75% of their respective initial share prices, which we refer to as the coupon threshold prices. The contingent quarterly coupon, if any, will be payable on the relevant contingent coupon payment date specified on the cover hereof, which will generally be the third business day after the related determination date, except that the contingent coupon payment date for the final determination date will be the maturity date. It is possible that the closing prices of one or more of the underlying shares could remain less than their respective coupon threshold prices for extended periods of time or even throughout the term of the securities such that you may receive few or no contingent quarterly coupons.

If the closing prices of all of the underlying shares on any determination date (other than the first determination date and the final determination date) are greater than or equal to their respective call threshold prices, the securities will be automatically redeemed for an amount per security equal to the early redemption payment, which will be (i) the stated principal amount plus (ii) the contingent quarterly coupon otherwise payable with respect to the applicable determination date. If the securities have not previously been redeemed and the final share prices of all of the underlying shares are greater than or equal to their respective coupon threshold prices and 75% of their respective initial share prices, which we refer to as the downside threshold prices, the payment due at maturity will be (i) the stated principal amount plus (ii) the contingent quarterly coupon otherwise payable with respect to the final determination date. If, however, the securities are not redeemed prior to maturity and the final share price of any of the underlying shares is less than its downside threshold price, investors will be exposed on a 1-to-1 basis to the decline of the worst performing of the underlying shares. The value of the payment received by investors at maturity will be less than 75% of the stated principal amount of the securities and could be as low as zero.

Investors in the securities must be willing to accept the risk of losing their entire investment in the securities and also the risk of not receiving any contingent quarterly coupons during the term of the securities. In addition, investors will not participate in any appreciation of the underlying shares and will not realize a return beyond the returns represented by the contingent quarterly coupons received, if any, during the term of the securities.

Key Investment Rationale

The securities offer the opportunity for investors to earn a contingent quarterly coupon equal to $23.25 (equivalent to 9.30% per annum of the stated principal amount) per security, with respect to each determination date on which the closing prices or the final share prices, as applicable, of all of the underlying shares are greater than or equal to 75% of their respective initial share prices, which we refer to as the coupon threshold prices. The securities may be redeemed prior to maturity beginning on the second determination date at a price equal to the early redemption payment, which will be (i) the stated principal amount per security plus (ii) the contingent quarterly coupon otherwise payable with respect to the applicable determination date. The payment at maturity will vary depending on the final share prices, as follows:

Investing in the securities involves significant risks. You may lose a significant portion, and may lose all, of your investment in the securities. Any payment on the securities, including payments in respect of an early redemption, contingent quarterly coupon or any repayment of principal provided at maturity, is dependent on the ability of BNS to satisfy its obligations when they come due. If BNS is unable to meet its obligations, you may not receive any amounts due to you under the securities and you could lose your entire investment in the securities.

The securities will not pay a contingent quarterly coupon on a contingent coupon payment date (including the maturity date) if the closing price of any of the underlying shares on the applicable determination date is less than its coupon threshold price. The securities will not be automatically redeemed if the closing price of any of the underlying shares on an applicable determination date other than the final determination date is less than its call threshold price. If the securities are not redeemed prior to maturity and the final share price of any of the underlying shares is less than its downside threshold price, you will lose a significant portion, and may lose all, of your investment in the securities.

Investor Suitability

The securities may be suitable for you if:

￭You fully understand and are willing to accept the risks of an investment in the securities, including the risk that you may lose up to 100% of your investment in the securities.

￭You can tolerate a loss of a significant portion or all of your investment and are willing to make an investment that may have the same downside market risk as a direct investment in the worst performing of the underlying shares

￭You understand and accept that the securities are not linked to a basket of the underlying shares and that you will be exposed to the market risk of each of the underlying shares on each determination date

￭You believe that the closing price of each of the underlying shares on each determination date will be greater than or equal to its coupon threshold price

￭You believe that the final share price of each of the underlying shares will be greater than or equal to its downside threshold price

￭You understand and accept that (i) you will not participate in any appreciation in the price of any of the underlying shares and that any potential positive return is limited to the contingent quarterly coupons specified on the cover hereof and (ii) you may receive few or no contingent quarterly coupons during the term of the securities

￭You can tolerate fluctuations in the market prices of the securities prior to maturity that may be similar to or exceed the fluctuations in the prices of the underlying shares

￭You are willing to forgo any dividends paid on underlying shares and you do not seek guaranteed current income from this investment

￭You are willing to invest in securities that may be redeemed prior to the maturity date, you are otherwise willing to hold such securities to maturity, a term of approximately 2 years, and you accept that there may be little or no secondary market for the securities

￭You understand and are willing to accept the risks associated with the underlying shares

￭You are willing to assume the credit risk of BNS for all payments under the securities, and you understand that if BNS defaults on its obligations you may not receive any amounts due to you including any repayment of principal

The securities may not be suitable for you if:

￭You do not fully understand or are unwilling to accept the risks of an investment in the securities, including the risk that you may lose up to 100% of your investment in the securities

￭You require an investment designed to provide a full return of principal at maturity

￭You cannot tolerate a loss of a significant portion or all of your investment, or you are not willing to make an investment that may have the same downside market risk as a direct investment in the worst performing of the underlying shares

￭You do not understand or cannot accept that the securities are not linked to a basket of the underlying shares and that you will be exposed to the market risk of each of the underlying shares on each determination date

￭You believe that the closing price of any of the underlying shares on each determination date is likely to be less than its coupon threshold price

￭You believe that the final share price of any of the underlying shares is likely to be less than its downside threshold price

￭You do not understand or cannot accept that the risks of each of the underlying shares are not mitigated by the performance of any other underlying shares, or you cannot accept the risks of investing in securities with a return based on the worst performing of the underlying shares

￭You seek an investment that participates in the full appreciation in the prices of the underlying shares or that has unlimited return potential

￭You cannot tolerate fluctuations in the market prices of the securities prior to maturity that may be similar to or exceed the fluctuations in the prices of the underlying shares

￭You prefer to receive the dividends paid on the underlying shares or you seek guaranteed current income from this investment

￭You are unable or unwilling to hold securities that may be redeemed prior to the maturity date, you are otherwise unable or unwilling to hold such securities to maturity, a term of approximately 2 years, or you seek an investment for which there will be an active secondary market

￭You do not understand or are not willing to accept the risks associated with the underlying shares

￭You are not willing to assume the credit risk of BNS for all payments under the securities, including any repayment of principal

How the Securities Work

The following diagrams illustrate the potential outcomes for the securities depending on (1) the closing prices and (2) the final share prices.

Diagram #1: Determination Dates Other Than the First Determination Date and the Final Determination Date

Diagram #2: Payment at Maturity if No Early Redemption Occurs

For more information about the payout upon an early redemption or at maturity in different hypothetical scenarios, see “Hypothetical Examples” beginning on the following page.

Hypothetical Examples

The below examples are based on the following terms and are purely hypothetical (the actual terms of your securities are specified on the cover hereof). All payments on the securities are subject to the credit risk of BNS.

In Examples 1 and 2, the closing prices of the underlying shares fluctuate over the term of the securities and the closing prices of all of the underlying shares are greater than or equal to their respective hypothetical call threshold prices on a determination date (other than the first determination date and the final determination date). Because the closing prices of all of the underlying shares are greater than their respective call threshold prices on one of the determination dates (other than the first determination date and the final determination date), the securities are automatically redeemed on the relevant contingent coupon payment date. In Examples 3 and 4, the closing price of at least one of the underlying shares on each of the determination dates (other than the first determination date and the final determination date) is less than its call threshold price, and, consequently, the securities are not automatically redeemed prior to, and remain outstanding until, maturity.

* The early redemption payment includes the unpaid contingent quarterly coupon with respect to the determination date on which the closing prices of all of the underlying shares are greater than or equal to their respective call threshold prices and the securities are redeemed as a result.

￭In Example 1, the securities are automatically redeemed following the second determination date as the closing prices of all of the underlying shares on such determination date are greater than or equal to their respective call threshold prices. Although the closing prices of all of the underlying shares on the first determination date are equal to or greater than their respective call threshold prices (and therefore equal to or greater than their respective coupon threshold prices), the securities are not callable on the first determination date and you will receive only the contingent quarterly coupon with respect to the first determination date. Because the closing prices of all of the underlying shares on the second determination date are greater than or equal to their respective coupon threshold prices, on the corresponding contingent coupon payment date, you receive an early redemption payment of $1,023.25, which includes the contingent quarterly coupon with respect to the second determination date.

 In this example, the early redemption feature limits the term of your investment to approximately 6 months and you may not be able to reinvest at a comparable risk or yield. You will not receive any further payments on the securities following an early redemption. When added to the contingent quarterly coupon of $23.25 received in respect of the first determination date, your total payment per security in this example is $1,046.50 (a total return of 4.65% on the securities).

￭In Example 2, the securities are redeemed following the third determination date as the closing prices of all of the underlying shares on such determination date are greater than or equal to their respective call threshold prices. As the closing prices of all of the underlying shares on the first determination date are greater than or equal to their respective coupon threshold prices, you receive the contingent quarterly coupon of $23.25 with respect to the such determination date. Because, however, the closing price of at least one of the underlying shares on the second determination date is less than its coupon threshold price, no contingent quarterly coupon is made with respect to such determination date.

On the contingent coupon payment date corresponding to the third determination date, you receive an early redemption payment of $1,023.25, which includes the contingent quarterly coupon with respect to such determination date.

 In this example, the early redemption feature limits the term of your investment to approximately 9 months and you may not be able to reinvest at a comparable risk or yield. If the securities are redeemed early, you will stop receiving contingent quarterly coupons. Further, although all of the underlying shares have appreciated by 20% from their respective initial share prices on the third determination date, you only receive $1,023.25 per security and do not benefit from such appreciation. Your total payment per security in this example is $1,046.50 (a total return of 4.65% on the securities).

* The final contingent quarterly coupon, if any, will be paid at maturity.

Examples 3 and 4 illustrate the payment at maturity per security based on the final share price.

￭In Example 3, the closing price of at least one of the underlying shares on each determination date prior to the final determination date is less than its coupon threshold price and the closing price of at least one of the underlying shares is less than its call threshold price. As a result, you do not receive a contingent quarterly coupon with respect to any of those determination dates and the securities are not automatically redeemed prior to maturity. Because the closing prices of all of the underlying shares on the final determination date are greater than or equal to their respective downside threshold prices and coupon threshold prices, at maturity you receive the stated principal amount plus the contingent quarterly coupon with respect to the final determination date. Your payment at maturity is calculated as follows:

$1,000.00 + $23.25 = $1,023.25

In this example, you receive the stated principal amount per security plus the contingent quarterly coupon, equal to a total payment of $1,023.25 per security at maturity. Your total payment per security in this example is $1,023.25 (a total return of 2.325% on the securities).

￭In Example 4, the closing price of at least one of the underlying shares on each determination date throughout the term of the securities is less than its coupon threshold price and call threshold price. As a result, you do not receive any contingent quarterly coupon during the term of the securities and the securities are not automatically redeemed prior to maturity. Furthermore, because the final share price of at least one of the underlying shares is less than its downside threshold price, you receive a cash payment at maturity calculated as follows:

$1,000.00 + ($1,000.00 × underlying return of the worst performing underlying shares)

= $1,000.00 + ($1,000.00 × -60.00%)
 = $400.00

In this example, your payment at maturity is significantly less than the stated principal amount and you will receive a total cash payment per security at maturity equal to $400.00 (a loss of 60.00% on the securities).

We make no representation or warranty as to which of the underlying shares will be the worst performing of the underlying shares for the purposes of calculating your actual payment at maturity.

Investing in the securities involves significant risks. The securities differ from ordinary debt securities in that BNS is not necessarily obligated to repay the full amount of your investment in the securities. If the securities are not redeemed prior to maturity and the final share price of any underlying shares is less than its downside threshold price, BNS will pay you a cash payment per security that will be less than the stated principal amount, if anything, resulting in a percentage loss on your stated principal amount that is equal to the underlying return of the worst performing underlying shares. In such circumstances, the amount that you receive at maturity will be less than 75.00% of the stated principal amount and you may lose your entire investment in the securities.

The securities will not pay a contingent quarterly coupon if the closing price of any underlying shares on any determination date is less than its downside threshold price. The securities will not be automatically redeemed with respect to any determination date in respect of which an automatic call may occur unless the closing price of all of the underlying shares on the relevant determination date is greater than or equal to its respective call threshold price.

You will be exposed to the market risk of each of the underlying shares on each determination date (including the final determination date) and any decline in the price of one of the underlying shares may negatively affect your return and will not be offset or mitigated by a lesser decline or any potential increase in the price of any other underlying shares. Any payment to be made on the securities, including any repayment of principal, depends on the ability of BNS to satisfy its obligations as they come due. If BNS were to default on its payment obligations you may not receive any amounts owed to you under the securities and you could lose your entire investment in the securities.

Risk Factors

The following is a non-exhaustive list of certain key risk factors for investors in the securities. 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 urge you to consult your investment, legal, tax, accounting and other advisors concerning an investment in the securities.

Risks Relating to Return Characteristics

￭Risk of loss at maturity. The securities differ from ordinary debt securities in that BNS will not necessarily repay the stated principal amount of the securities at maturity. If the securities are not redeemed prior to maturity, BNS will repay you the stated principal amount of your securities in cash only if the final share prices of all of the underlying shares are greater than or equal to their respective downside threshold prices and will only make such payment at maturity. If the securities are not redeemed prior to maturity and the final share price of any of the underlying shares is less than its downside threshold price, you will receive a cash payment per security that will be less than the stated principal amount and you will be exposed on a 1-to-1 basis to the decline of the worst performing of the underlying shares. You may lose your entire investment in the securities.

￭Contingent repayment of stated principal amount only at maturity. If your securities are not redeemed prior to maturity, you should be willing to hold your securities to maturity. If you are able to sell your securities prior to maturity in the secondary market, you may have to sell them at a loss relative to your investment even if the then-current prices of all of the underlying shares are greater than or equal to their respective downside threshold prices.

￭You may not receive any contingent quarterly coupons. BNS will not necessarily make periodic payments on the securities. If the closing price of any of the underlying shares on any determination date is less than its coupon threshold price, BNS will not pay you the contingent quarterly coupon applicable to such determination date. If the closing price of any of the underlying shares is less than its coupon threshold price on each of the determination dates, BNS will not pay you any contingent quarterly coupons during the term of, and you will not receive a positive return on, your securities. Generally, this non-payment of the contingent quarterly coupon coincides with a period of greater risk of principal loss on your securities.

￭Greater expected volatility with respect to, and lower expected correlation of, the underlying shares generally reflects a higher contingent quarterly coupon and a higher expectation as of the pricing date that the closing price of any of the underlying shares could be less than its downside threshold price. Greater expected volatility with respect to, and lower expected correlation of, the underlying shares reflects a higher expectation as of the pricing date that the final share price of any of the underlying shares could be less than its downside threshold price. “Volatility” refers to the frequency and magnitude of changes in the price of any of the underlying shares. This greater expected risk will generally be reflected in a higher contingent quarterly coupon for that security. However, while the contingent quarterly coupon is set on the pricing date based, in part, on the correlations of the underlying shares and each of the underlying shares’ volatility calculated using our internal models, an underlying shares’ volatility, and the correlation of the underlying shares, can change significantly over the term of the securities. The price of any of the underlying shares could fall sharply, which could result in the loss of a significant portion or all of your investment in the securities.

￭The securities are subject to reinvestment risk in the event of an early redemption. The securities will be automatically redeemed prior to maturity if the closing prices of all of the underlying shares on any determination date (other than the first determination date and the final determination date) are greater than or equal to their call threshold prices and you will not receive any more contingent quarterly coupons after the related contingent coupon payment date. Conversely, the securities will not be automatically redeemed when the closing price of any one of the underlying shares on any applicable determination date is less than its call threshold price, which generally coincides with a greater risk of principal loss on your securities. The securities could be redeemed as early as the second contingent coupon payment date, potentially limiting your investment to a term of approximately 6 months. In the event that the securities are redeemed prior to maturity, there is no guarantee that you will be able to reinvest the proceeds from an investment in the securities at a comparable rate of return for a similar level of risk. In addition, to the extent you are able to reinvest such proceeds in an investment comparable to the securities, you will incur transaction costs and the original issue price for such an investment is likely to include certain built-in costs such as dealer discounts and hedging costs.

￭The contingent quarterly coupon, if any, is based solely on the closing price of each of the underlying shares on only the related determination date. Whether the contingent quarterly coupon will be paid on any contingent coupon payment date will be based on the closing price of each of the underlying shares on the relevant determination date. As a result, you will not know whether you will receive the contingent quarterly coupon on any determination date until the related determination date. Moreover, because the contingent quarterly coupon is based solely on the value of each of the underlying shares on a specific determination date, if the closing price of any of the underlying shares on any determination date is below its coupon threshold price, you will not receive the contingent quarterly coupon with respect to such determination date, even if the price of such underlying shares was greater than or equal to its respective coupon threshold price on other days during the term of the securities, and even if the closing price(s) of one or both of the other underlying shares are at or above their respective coupon threshold prices.

￭Your potential return on the securities is limited, you will not participate in any appreciation of the underlying shares and you will not realize a return beyond the returns represented by the contingent quarterly coupons received, if any, during the term of the securities. The return potential of the securities is limited to the contingent quarterly coupons, regardless of the appreciation of the underlying shares. In addition, your return on the securities will vary based on the number of determination dates on which the requirements of the contingent quarterly coupon have been met prior to maturity or an early redemption. Furthermore, if the securities are redeemed prior to maturity, you will not receive any contingent quarterly coupons or any other payment in respect of any determination dates after the applicable contingent coupon payment date, and your return on the securities could be less than if the securities remained outstanding until maturity. If the securities are not redeemed prior to maturity, you may be subject to the depreciation in the price of the worst performing of the underlying shares even though you cannot participate in any appreciation in the prices of the underlying shares. As a result, the return on an investment in the securities could be less than the return on a direct investment in any or all of the stocks comprising the relevant underlying shares (the “underlying constituent stocks”).

￭You are exposed to the market risk of each of the underlying shares. Your return on the securities is not linked to a basket consisting of the underlying shares. Rather, it will be contingent upon the performance of each of the underlying shares. Unlike an instrument with a return linked to a basket of indices, common stocks or other underlying assets, in which risk is mitigated and diversified among all of the components of the basket, you will be exposed equally to the risks related to each of the underlying shares. Poor performance by any one of the underlying shares may negatively affect your return and will not be offset or mitigated by the performance of any other underlying shares. Accordingly, your investment is subject to the market risk of each of the underlying shares.

￭Because the securities are linked to the performance of more than one of the underlying shares, there is an increased probability that you will not receive a contingent quarterly coupon on any determination date and that you will lose a significant portion or all of your investment in the securities. The risk that you will not receive a contingent quarterly coupon on any determination date and that you will lose a significant portion or all of your investment in the securities is greater if you invest in the securities as opposed to securities that are linked to the performance of a single underlying shares if their terms are otherwise substantially similar. With a greater total number of underlying shares, it is more likely that the closing price or the final share price, as applicable, of any of the underlying shares will be less than its coupon threshold price and/or downside threshold price. Therefore, it is more likely that you will (a) not receive any contingent quarterly coupons and/or (b) receive an amount in cash that is worth less than your stated principal amount on the maturity date than would have been the case had the securities been linked to only one of the underlying shares. In addition, if the performances of the underlying shares are not correlated to each other, the risk that the closing price (on any determination date other than the final determination date) or the final share price, as applicable, of any of the underlying shares is less than its coupon threshold price or downside threshold price is even greater.

Risks Relating to Characteristics of the Underlying Shares

￭The price of each of the underlying shares will be affected by various factors that interact in complex and unpredictable ways. The return on the securities, which may be negative, is linked to the performance of each of the underlying shares and indirectly linked to the value of the underlying constituent stocks. The price of each of the underlying shares can rise or fall sharply due to factors specific to such underlying shares or its underlying constituent stocks and their issuers (the “underlying 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 levels, interest rates and economic, political and other conditions. You, as an investor in the securities, should make your own investigation into the underlying shares and the underlying constituent stocks. For additional information regarding the underlying shares, please see “Information About the Underlying Shares” below and the SEC filings referred to in that section. We urge you to review financial and other information filed periodically regarding the underlying shares with the SEC.

￭There can be no assurance that the investment view implicit in the securities will be successful. It is impossible to predict whether and the extent to which the prices of the underlying shares will rise or fall and there can be no assurance that the closing price of each of the underlying shares on any determination date will be greater than or equal to its coupon threshold price, or, if the securities are not redeemed prior to maturity, that the final share price of each of the underlying shares on the final valuation date will be greater than or equal to its downside threshold price. The prices of the underlying shares will be influenced by complex and interrelated political, economic, financial and other factors that affect the underlying constituent stock issuers. You should be willing to accept the risks associated with the relevant markets tracked by each of the underlying shares in general and the underlying constituent stocks in particular, and the risk of losing a significant portion or all of your investment in the securities.

￭There are risks associated with underlying shares that are ETFs. Although the underlying shares are listed for trading on a national securities exchange as specified herein under “Information About the Underlying Shares”, and a number of similar products have been traded on such exchange or other securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the shares of such underlying shares or that there will be liquidity in the trading market. In addition:

Management Risk

Each of the underlying shares is subject to management risk, which is the risk that the investment strategy of the sponsor of the respective underlying shares as specified under “Information About the Underlying Shares” herein (each, a “sponsor”), the implementation of which is subject to a number of constraints, may not produce the intended results. The underlying shares are also not actively managed and may be affected by a general decline in market segments relating to their respective target indices. The sponsor of each of the underlying shares invests in securities included in, or representative of, its target index regardless of their investment merits. The sponsors do not attempt to take defensive positions in declining markets. Accordingly, the performance of the underlying shares could be lower than other types of funds that may actively shift portfolio assets to take advantage of market opportunities or to lessen the impact of a market decline.

Custody and Liquidity Risk

Under continuous listing standards, each of the underlying shares will be required to confirm on an ongoing basis that the components of its target index satisfy the applicable listing requirements. In the event that the target index for any of the underlying shares does not comply with the applicable listing requirements, such underlying shares would be required to rectify such non-compliance by requesting that the sponsor of its target index modify such target index, adopting a new target index or obtain relief from the SEC. There can be no assurance that the sponsor would so modify the target index or that relief would be obtained from the SEC and, therefore, non-compliance with the continuous listing standards may result in such underlying shares being delisted.

Tracking and Underperformance Risk

In addition to the risk that any of the underlying shares may not track its target index due to management risk, as discussed above, the performance of each of the underlying shares will reflect additional transaction costs and fees that are not included in the calculation of its target index. Also, corporate actions with respect to its underlying constituent stocks (such as mergers and spin-offs) may impact the performance differential between such underlying shares and its target index. Finally, because the underlying shares are traded on a national securities exchange and are subject to market supply and investor demand, the market value of one share of any of the underlying shares may differ from the net asset value per share of such underlying shares.

For all of the foregoing reasons, the performance of any of the underlying shares may not correlate with the performance of its target index. Consequently, the return on the securities will not be the same as investing directly in such underlying shares, its underlying constituent stocks or in its target index or the securities comprising its target index, and will not be the same as investing in a debt security with payments linked to the performance of its target index. This variation in performance is called “tracking error” and, at times, the tracking error may be significant.

￭The securities are subject to risks associated with the energy sector. The target index for the shares of the Energy Select Sector SPDR® Fund is an index of stocks of companies representing the energy sector of the S&P 500® Index, as described under “Information About the Underlying Shares” and, accordingly, will be more affected by the performance of the energy sector than an ETF that is more diversified. Energy companies typically develop and produce crude oil and natural gas and provide drilling and other energy resources production and distribution related services. Stock prices for these types of companies are affected by supply and demand both for their specific product or service and for energy products in general. The price of oil and gas, exploration and production spending, government regulation, world events, exchange rates and economic conditions will likewise affect the performance of these companies. Correspondingly, securities of companies in the energy field are subject to swift price and supply fluctuations caused by events relating to international politics, energy conservation, the success of exploration projects, and tax and other governmental regulatory policies. Weak demand for energy companies' products or services or for energy products and services in general, as well as negative developments in these other areas, could adversely impact performance of energy sector companies. Oil and gas exploration and production can be significantly affected by natural disasters as well as changes in exchange rates, interest rates, government regulation, geopolitical events, outbreaks of war and other hostilities, changes in supply and demand based on public health emergencies and general economic conditions. The performance of companies in the energy sector may also be negatively affected by the outcome of environmental damage claims and other sources of litigation.

￭The securities are subject to risks associated with the utilities sector. The target index for the shares of the Utilities Select Sector SPDR® Fund is an index of stocks of companies representing the utilities sector of the S&P 500® Index, as described under “Information About the Underlying Shares” and, accordingly, will be more affected by the performance of the utilities sector than an ETF that is more diversified. Utility companies are affected by supply and demand, operating costs, government regulation, environmental factors, liabilities for environmental damage and general civil liabilities, and rate caps or rate changes. Although rate changes of a regulated utility usually fluctuate in approximate correlation with financing costs, due to political and regulatory factors rate changes ordinarily occur only following a delay after the changes in financing costs. This factor will tend to favorably affect a regulated utility company's earnings and dividends in times of decreasing costs, but conversely, will tend to adversely affect earnings and dividends when costs are rising. The value of regulated utility equity securities may tend to have an inverse relationship to the movement of interest rates. Certain utility companies have experienced full or partial deregulation in recent years. These utility companies are frequently more similar to industrial companies in that they are subject to greater competition and have been permitted by regulators to diversify outside of their original geographic regions and their traditional lines of business. These opportunities may permit certain utility companies to

earn more than their traditional regulated rates of return. Some companies, however, may be forced to defend their core business and may be less profitable. In addition, natural disasters, terrorist attacks, government intervention or other factors may render a utility company's equipment unusable or obsolete and negatively impact profitability.

￭The securities are subject to risks associated with the health care sector. The target index for the shares of the Health Care Select Sector SPDR® Fund is an index of stocks of companies representing the heath care sector of the S&P 500® Index, as described under “Information About the Underlying Shares” and, accordingly, will be more affected by the performance of the health care sector than an ETF that is more diversified. The Health Care Select Sector SPDR® Fund is comprised of the stocks of companies in the health care sector, which are subject to extensive government regulation and their profitability can be significantly affected by restrictions on government reimbursement for medical expenses, rising costs of medical products and services, pricing pressure and an increased emphasis on outpatient services. Companies in the health care sector are heavily dependent on patent protection and the process of obtaining patent approval can be long and costly. The expiration of patents may adversely affect the profitability of the companies. Health care companies are also subject to extensive litigation based on product liability and similar claims. Companies in the health care sector are heavily dependent on obtaining and defending patents, which may be time consuming and costly, and the expiration of patents may also adversely affect the profitability of these companies. Health care companies are also subject to extensive litigation based on product liability and similar claims. In addition, their products can become obsolete due to industry innovation, changes in technologies or other market developments. Many new products in the health care sector require significant research and development and may be subject to regulatory approvals, all of which may be time consuming and costly with no guarantee that any product will come to market.

￭There is no affiliation among the underlying constituent stock issuers, the sponsors of the respective target indices or of the respective underlying shares, and us or SCUSA. BNS, SCUSA and our other affiliates may currently, or from time to time in the future, engage in business with the underlying constituent stock issuers, the sponsors of the target indices or the underlying shares. None of us, SCUSA or any of our other affiliates have participated in the preparation of any publicly available information or made any “due diligence” investigation or inquiry with respect to the underlying shares or its underlying constituent stocks. You should make your own investigation into the underlying shares, sponsors of the target indices and the underlying shares and the underlying constituent stock issuers. See the section below entitled “Information About the Underlying Shares” herein for additional information about the underlying shares.

￭BNS cannot control actions by any sponsor and no sponsor has any obligation to consider your interests. The relevant sponsor may from time to time be called upon to make certain policy decisions or judgments with respect to the implementation of policies concerning the calculation of the net asset value (“NAV”) per share of the underlying shares, additions, deletions or substitutions of securities in the applicable target index and the manner in which changes affecting the applicable target index are reflected in the underlying shares that could affect the market price of the underlying shares, and therefore, the amount payable on the securities. The amount payable on the securities and their market value could also be affected if the sponsor changes these policies, for example, by changing the manner in which it calculates the NAV per share of the underlying shares, or if the sponsor discontinues or suspends publication of the NAV per share of the underlying shares, in which case it may become difficult to determine the market value of your securities. If events such as these occur, the calculation agent may be required to make discretionary judgments that affect the return you receive on the securities.

￭Changes affecting a target index could have an adverse effect on the market value of, and return on, the securities. The sponsor of any of the underlying shares’ target index owns such target index and is responsible for the design and maintenance of such target index. The policies of the sponsor concerning the calculation of such target index, including decisions regarding the addition, deletion or substitution of the equity securities included in such target index, could affect the level of such target index and, consequently, could affect the market price of the shares of any of the underlying shares and, therefore, the amount payable on the Securities and their market value. The sponsor may discontinue or suspend calculation or dissemination of its target index. Any such actions could have a material adverse effect on the market value of, and return on, the securities.

Risks Relating to Estimated Value and Liquidity

￭BNS’ initial estimated value of the securities at the time of pricing (when the terms of your securities were set on the pricing date) is lower than the issue price of the securities. BNS’ initial estimated value of the securities is only an estimate. The issue price of the securities exceeds BNS’ initial estimated value. The difference between the issue price of the securities and BNS’ initial estimated value reflects costs associated with selling and structuring the securities, as well as hedging its obligations under the securities. Therefore, the economic terms of the securities are less favorable to you than they would have been if these expenses had not been paid or had been lower.

￭Neither BNS’ nor SCUSA’s estimated value of the securities 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 securities and SCUSA’s estimated value of the securities 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 securities 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 securities as well as the higher issuance, operational and ongoing liability management costs of the securities 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 securities to be more favorable to you. Consequently, the use of an internal funding rate for the securities increases the estimated value of the securities at any time and has an adverse effect on the economic terms of the securities.

￭BNS’ initial estimated value of the securities does not represent future values of the securities and may differ from others’ (including SCUSA’s) estimates. BNS’ initial estimated value of the securities was determined by reference to its internal pricing models when the terms of the securities were set. These pricing models consider certain factors, such as BNS’ internal funding rate on the pricing date, the expected term of the securities, market conditions and other relevant factors existing at that time, and BNS’ assumptions about market parameters, which can include volatility of the underlying shares, correlation of the underlying shares, 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 securities that are different, and perhaps materially lower, from BNS’ initial estimated value. Therefore, the price at which SCUSA would buy or sell your securities (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.

￭The securities have limited liquidity. The securities will not be listed on any securities exchange or automated quotation system. Therefore, there may be little or no secondary market for the securities. SCUSA and any other affiliates of BNS intend, but are not required, to make a market in the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. Because we do not expect that other broker-dealers will participate in the secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which SCUSA is willing to purchase the securities from you. If at any time SCUSA does not make a market in the securities, it is likely that there would be no secondary market for the securities. Accordingly, you should be willing to hold your securities to maturity.

￭The price at which SCUSA would buy or sell your securities (if SCUSA makes a market, which it is not obligated to do) will be based on SCUSA’s estimated value of your securities. SCUSA’s estimated value of the securities 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 securities in the secondary market (if SCUSA makes a market, which it is not obligated to do) exceeds SCUSA’s estimated value of your securities 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 Securities — Supplemental information regarding plan of distribution (conflicts of interest); secondary markets (if any)”. Thereafter, if SCUSA buys or sells your securities 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 securities 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 securities 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 securities (if SCUSA makes a market, which it is not obligated to do) could be significantly lower.

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 shares, the correlation of the underlying shares, price-sensitivity analysis and the time to maturity of the securities. 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 securities in the secondary market, if any, to others may differ, perhaps materially, from the estimated value of the securities 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 securities 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 securities at any time will reflect many factors and cannot be predicted. If SCUSA makes a market in the securities, 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 securities, including the price you may receive for the securities in any market making transaction. To the extent that SCUSA makes a market in the securities, 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 securities, 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 securities in a secondary market sale.

There is no assurance that SCUSA or any other party will be willing to purchase your securities at any price and, in this regard, SCUSA is not obligated to make a market in the securities. See “— The securities have limited liquidity” herein.

￭The price of the securities 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 notes 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 prices of the underlying shares over the full term of the securities, (ii) volatility of the prices of the underlying shares and their respective underlying constituent stocks and the market's perception of future volatility of the foregoing, (iii) the correlation of the underlying shares and the market’s perception of future correlation of the underlying shares, (iv) changes in interest rates generally, (v) any actual or anticipated changes in our credit ratings or credit spreads, (vi) dividend yields on the underlying constituent stocks and (vii) time remaining to maturity. In particular, because the provisions of the securities relating to the contingent quarterly coupons and the payment at maturity behave like options, the value of the securities will vary in ways which are non-linear and may not be intuitive. Depending on the actual or anticipated prices of the underlying shares and other relevant factors, the market value of the securities may decrease and you may receive substantially less than the stated principal amount if you sell your securities prior to maturity regardless of the prices of the underlying shares 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

￭Payments on the securities are subject to the credit risk of BNS. The securities 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 securities, 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 securities. If BNS were to default on its obligations, you may not receive any amounts owed to you under the terms of the securities and you could lose your entire investment in the securities.

Risks Relating to Hedging Activities and Conflicts of Interest

￭Hedging activities by BNS and SCUSA may negatively impact investors in the securities and cause our respective interests and those of our clients and counterparties to be contrary to those of investors in the securities. We, SCUSA or one or more of our other affiliates has hedged or expects to hedge our obligations under the securities. Such hedging transactions may include entering into swap or similar agreements, purchasing underlying shares, the underlying constituent stocks and/or purchasing futures, options and/or other instruments linked to one or more underlying shares and/or one or more of the underlying 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 one or more underlying shares and/or one or more of the underlying 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 final determination 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 equity-linked securities whose returns are linked to changes in the price of the underlying shares and/or one or more underlying shares and/or the underlying constituent stocks. Any of these hedging activities may adversely affect the price of the underlying shares—directly or indirectly by affecting the price of their underlying constituent stocks — and therefore the market value of the securities and the amount you will receive, if any, on the securities.

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 securities. 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 securities, and any of the foregoing may receive substantial returns with respect to these hedging activities while the value of, and return on, the securities declines.

￭The calculation agent can make antidilution and other adjustments that may adversely affect the market value of, and any amounts payable on, the securities. For antidilution and certain other events affecting the underlying shares, the calculation agent may make adjustments to the initial share price, coupon threshold price, downside threshold price, closing price and/or final share price, as applicable, and any other term of the securities. However, the calculation agent will not make an adjustment in response to every corporate event that could affect the underlying shares. If an event occurs that does not require the calculation agent to make an adjustment, the market value of, and any payment on, the securities may be materially and adversely affected. In addition, all determinations and calculations concerning any such adjustments will be made by the calculation agent. You should be aware that the calculation agent may make any such adjustment, determination or calculation in a manner that differs from that discussed in the accompanying product supplement or this document as necessary to achieve an equitable result. The occurrence of any antidilution or reorganization event and the consequent adjustments may materially and adversely affect the value of, and any amounts payable on, the securities.

Following a de-listing, liquidation or termination of the underlying shares, the payment at maturity may be based on a share of another exchange-traded fund or calculated by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate the underlying shares. See “General Terms of the Notes — Unavailability of the Closing Value of a Reference Asset; Adjustments to a Reference Asset — Adjustments to a Reference ETF” in the accompanying product supplement.

￭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 sponsor and/or the underlying 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 securities. 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, trustee, 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 securities or other securities that we have issued), the underlying shares, 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 price of the underlying shares and/or the value of the securities. 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, the sponsor and/or the underlying 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 price of the underlying shares and the market for your securities, 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 securities.

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 securities or other securities that we may issue, the underlying shares, the underlying constituent stocks, or 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 securities. 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 securities.

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 securities or other securities that we may issue, the underlying shares or other securities or instruments similar to or linked to the foregoing. Investors in the securities should expect that we, SCUSA and our other affiliates offer securities, financial instruments, and other products that may compete with the securities for liquidity or otherwise.

￭Activities conducted by BNS and its affiliates may impact the market price of the underlying shares and the value of the securities. Trading or transactions by BNS, SCUSA or our other affiliates in the underlying shares or any underlying 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 shares or any underlying constituent stocks may adversely affect the price of the underlying shares or underlying constituent stocks and, therefore, the market value of the securities and the likelihood of a contingent quarterly coupon being paid on any contingent coupon payment date. See “—     Hedging activities by BNS and SCUSA may negatively impact investors in the securities and cause our respective interests and those of our clients and counterparties to be contrary to those of investors in the securities “ for additional information regarding hedging-related transactions and trading.

￭The calculation agent will have significant discretion with respect to the securities, 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 whether the contingent quarterly coupon is payable to you on any contingent coupon payment date and the payment at maturity of the securities, if any, based on observed closing prices of the underlying shares. The calculation agent can postpone the determination of the closing price or final share price (and therefore the related contingent coupon payment date or maturity date, as applicable) if a market disruption event occurs and is continuing with respect to the underlying shares on any determination date (including the final determination date).

￭BNS and its affiliates may publish research or make opinions or recommendations that are inconsistent with an investment in the securities. 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 securities, or express opinions or provide recommendations that are inconsistent with purchasing or holding the securities. 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 securities and the underlying shares to which the securities are linked.

Risks Relating to Canadian and U.S. Federal Income Taxation

￭Uncertain tax treatment. Significant aspects of the tax treatment of the securities are uncertain. You should consult your tax advisor about your tax situation. See “Additional Information About the Securities — Tax Considerations” and “— Material Canadian Income Tax Consequences” herein.

Information About the Underlying Shares

All disclosures contained in this document regarding each of the underlying shares 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 shares. You should make your own investigation into each of the underlying shares.

The Energy Select Sector SPDR® Fund

We have derived all information contained herein regarding the Fund and its Fund Underlying index, as defined below, from publicly available information. Such information reflects the policies of, and is subject to changes by, SSGA Funds Management, Inc. the sponsor of the Fund, and S&P Dow Jones Indices LLC, the sponsor of the Fund Underlying Index.

The Fund seeks investment results that correspond generally to the price and yield performance, before expenses, of the Energy Select Sector Index (its “Fund Underlying Index”) which, in turn, tracks the performance of all components of the S&P 500® Index in the energy sector. The Fund trades on the NYSE Arca under the ticker symbol “XLE”. The Fund Underlying Index is one of the Select Sector sub-indices of the S&P 500® Index. Please see “Exchange-Traded Funds — The Select Sector SPDR® Funds” in the accompanying underlier supplement for additional information regarding the Fund and the sponsor of the Fund. Additional information regarding the Fund, including its portfolio holdings, may be available on the Fund sponsor’s website.

Information as of market close on December 9, 2024:

Historical Information

The table below sets forth the published high and low closing prices, as well as end-of-quarter closing price, of the XLE Shares for the specified period. The closing price of the XLE Shares on December 9, 2024 was $90.87. The associated graph shows the closing prices of the XLE Shares for each day from January 1, 2019 to December 9, 2024. The dotted lines represent its downside threshold price and its coupon threshold price of $68.1525, and its call threshold price of $90.87, which are equal to 75% and 100%, respectively, of its initial share price. We obtained the information in the table below from Bloomberg without independent verification. The closing prices may be adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. BNS has not undertaken an independent review or due diligence of any publicly available information obtained from Bloomberg. The historical performance of the XLE Shares should not be taken as an indication of its future performance, and no assurance can be given as to the closing price of the XLE Shares at any time, including the determination dates.

The Utilities Select Sector SPDR® Fund

We have derived all information contained herein regarding the Utilities Select Sector SPDR® Fund and its target index, as defined below, from publicly available information. Such information reflects the policies of, and is subject to changes by, SSGA Funds Management, Inc. the sponsor of the Utilities Select Sector SPDR® Fund, and the sponsor of the target index.

The Utilities Select Sector SPDR® Fund seeks investment results that correspond generally to the price and yield performance, before expenses, of the Utilities Select Sector Index (the “target index”) which, in turn, tracks the performance of all components of the S&P 500® Index in the utilities sector. The Utilities Select Sector SPDR® Fund trades on the NYSE Arca under the ticker symbol “XLU”. Please see “Exchange-Traded Funds — The Select Sector SPDR® Funds” in the accompanying underlier supplement for additional information regarding the Utilities Select Sector SPDR® Fund and the sponsor. Additional information regarding the Utilities Select Sector SPDR® Fund, including its portfolio holdings, may be available on the sponsor’s website.

Information as of market close on December 9, 2024:

Historical Information

The table below sets forth the published high and low closing prices, as well as end-of-quarter closing price, of the XLU Shares for the specified period. The closing price of the XLU Shares on December 9, 2024 was $78.69. The associated graph shows the closing prices of the XLU Shares for each day from January 1, 2019 to December 9, 2024. The dotted lines represent its downside threshold price and its coupon threshold price of $59.0175, and its call threshold price of $78.69, which are equal to 75% and 100%, respectively, of its initial share price. We obtained the information in the table below from Bloomberg without independent verification. The closing prices may be adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. BNS has not undertaken an independent review or due diligence of any publicly available information obtained from Bloomberg. The historical performance of the XLU Shares should not be taken as an indication of its future performance, and no assurance can be given as to the closing price of the XLU Shares at any time, including the determination dates.

The Health Care Select Sector SPDR® Fund

We have derived all information contained herein regarding the Health Care Select Sector SPDR® Fund and its target index, as defined below, from publicly available information. Such information reflects the policies of, and is subject to changes by, SSGA Funds Management, Inc. the sponsor of the Health Care Select Sector SPDR® Fund, and the sponsor of the target index.

The Health Care Select Sector SPDR® Fund seeks investment results that correspond generally to the price and yield performance, before expenses, of the Health Care Sector Index (the “target index”) which, in turn, tracks the performance of all components of the S&P 500® Index in the health care sector. The Health Care Select Sector SPDR® Fund trades on the NYSE Arca under the ticker symbol “XLV”. Please see “Exchange-Traded Funds — The Select Sector SPDR® Funds” in the accompanying underlier supplement for additional information regarding the Health Care Select Sector SPDR® Fund and the sponsor. Additional information regarding the Health Care Select Sector SPDR® Fund, including its portfolio holdings, may be available on the sponsor’s website.

Information as of market close on December 9, 2024:

Historical Information

The table below sets forth the published high and low closing prices, as well as end-of-quarter closing price, of the XLV Shares for the specified period. The closing price of the XLV Shares on December 9, 2024 was $144.70. The associated graph shows the closing prices of the XLV Shares for each day from January 1, 2019 to December 9, 2024. The dotted lines represent its downside threshold price and its coupon threshold price of $108.525, and its call threshold price of $144.70, which are equal to 75% and 100%, respectively, of its initial share price. We obtained the information in the table below from Bloomberg, without independent verification. The closing prices may be adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. BNS has not undertaken an independent review or due diligence of any publicly available information obtained from Bloomberg. The historical performance of the XLV Shares should not be taken as an indication of its future performance, and no assurance can be given as to the closing price of the XLV Shares at any time, including the determination dates.

This document relates only to the securities offered hereby and does not relate to the underlying shares or other securities linked to the underlying shares. We have derived all disclosures contained in this document regarding the underlying shares from the publicly available documents described in the preceding paragraphs. In connection with the offering of the securities, 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 shares. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding any of the underlying shares is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price of the underlying shares (and therefore the price of the underlying shares at the time we price the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning the underlying shares could affect the value received with respect to the securities and therefore the value of the securities.

Neither the issuer nor any of its affiliates makes any representation to you as to the performance of any of the underlying shares.

Additional Information About the Securities

Please read this information in conjunction with the summary terms on the front cover of this document.