Bond ScotiaBank 0% ( US06417R7329 ) in USD

Issuer ScotiaBank
Market price 100 %  ▲ 
Country  Canada
ISIN code  US06417R7329 ( in USD )
Interest rate 0%
Maturity 26/05/2023 - Bond has expired



Prospectus brochure of the bond Bank of Nova Scotia US06417R7329 in USD 0%, expired


Minimal amount 1 000 USD
Total amount 46 930 000 USD
Cusip 06417R732
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
Detailed description The Bank of Nova Scotia, also known as Scotiabank, is a multinational banking and financial services corporation headquartered in Toronto, Canada, with a significant international presence focusing on the Americas and select Asian markets.

An analysis of the bond identified by ISIN US06417R7329 and CUSIP 06417R732, issued from Canada by the Bank of Nova Scotia, a prominent multinational banking and financial services company and one of the country's largest financial institutions operating globally across personal, commercial, and corporate banking sectors, reveals that this USD-denominated security, part of a total issue size of $46,930,000 with a minimum purchase increment of $1,000, and notably carrying a 0% interest rate despite a stated payment frequency of 2 (implying semi-annual periods), has successfully reached its maturity on May 26, 2023, at which point its market price was recorded at 100%, signifying its full repayment.







424B2 1 bn55037001-424b2.htm FORM 424B2


File d Pursua nt t o Rule 4 2 4 (b)(2 )
Re gist ra t ion St a t e m e nt N o. 3 3 3 -2 2 8 6 1 4
(T o Prospe c t us da t e d De c e m be r 2 6 , 2 0 1 8 ,
Prospe c t us Supple m e nt da t e d De c e m be r
2 6 , 2 0 1 8 a nd
Produc t Prospe c t us Supple m e nt EQU I T Y
SU N -1 da t e d Fe brua ry 2 1 , 2 0 1 9 )
4,692,988 Units
Pricing Date
May 28, 2020
$10 principal amount per unit
Settlement Date
June 4, 2020
CUSIP No. 06417R732
Maturity Date
May 26, 2023





Aut oc a lla ble M a rk e t -Link e d St e p U p N ot e s Link e d t o t he
S& P 5 0 0 ® I nde x
? Maturity of approximately three years, if not called prior to maturity
? Automatic call of the notes per unit at $10 plus the applicable Call Premium ($1.10 on the first Observation Date and $2.20
on the final Observation Date) if the Index is flat or increases above 100.00% of the Starting Value on the relevant
Observation Date
? The Observation Dates will occur approximately one year and two years after the pricing date
? If the notes are not called, at maturity:
? a return of 26.00% if the Index is flat or increases up to the Step Up Value
? a return equal to the percentage increase in the Index if the Index increases above the Step Up Value
? 1-to-1 downside exposure to decreases in the Index, with up to 100.00% of your principal at risk
? All payments are subject to the credit risk of The Bank of Nova Scotia
? No periodic interest payments
? In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.053 per unit. See
"Structuring the Notes"
? Limited secondary market liquidity, with no exchange listing
? The notes are unsecured debt securities and are not savings accounts or insured deposits of a bank. The notes are not
insured or guaranteed by the Canada Deposit Insurance Corporation (the "CDIC"), the U.S. Federal Deposit Insurance
Corporation (the "FDIC"), or any other governmental agency of Canada, the United States or any other jurisdiction

T he not e s a re be ing issue d by T he Ba nk of N ova Sc ot ia ("BN S"). T he re a re im port a nt diffe re nc e s be t w e e n
t he not e s a nd a c onve nt iona l de bt se c urit y, inc luding diffe re nt inve st m e nt risk s a nd c e rt a in a ddit iona l
c ost s. Se e "Risk Fa c t ors" be ginning on pa ge T S-7 of t his t e rm she e t , "Addit iona l Risk Fa c t ors" on pa ge T S-8
of t his t e rm she e t a nd "Risk Fa c t ors" be ginning on pa ge PS-7 of produc t prospe c t us supple m e nt EQU I T Y
SU N -1 .
T he init ia l e st im a t e d va lue of t he not e s a s of t he pric ing da t e is $ 9 .5 9 pe r unit , w hic h is le ss t ha n t he public
offe ring pric e list e d be low . See "Summary" on the following page, "Risk Factors" beginning on page TS-7 of this term sheet
and "Structuring the Notes" on page TS-16 of this term sheet for additional information. The actual value of your notes at any time
will reflect many factors and cannot be predicted with accuracy.
_________________________
None of the U.S. Securities and Exchange Commission (the "SEC"), any state securities commission, or any other regulatory body
has approved or disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete.
Any representation to the contrary is a criminal offense.
_________________________
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Per Unit
Total
Public offering price
$10.00
$46,929,880.00
Underwriting discount
$0.20
$938,597.60
Proceeds, before expenses,
$9.80
$45,991,282.40
to BNS
T he not e s:
Are N ot FDI C I nsure d
Are N ot Ba nk
M a y Lose V a lue
Gua ra nt e e d
BofA Se c urit ie s
May 28, 2020
Autocallable Market-Linked Step Up Notes

Linked to the S&P 500® Index, due May 26, 2023
Summary
The Autocallable Market-Linked Step Up Notes Linked to the S&P 500® Index, due May 26, 2023 (the "notes") are our senior
unsecured debt securities. The notes are not guaranteed or insured by the CDIC or the FDIC, and are not, either directly or
indirectly, an obligation of any third party. The notes are not bail-inable debt securities (as defined in the prospectus). T he not e s
w ill ra nk e qua lly w it h a ll of our ot he r unse c ure d se nior de bt . Any pa ym e nt s due on t he not e s, inc luding a ny
re pa ym e nt of princ ipa l, w ill be subje c t t o t he c re dit risk of BN S. The notes will be automatically called at the
applicable Call Amount if the Observation Level of the Market Measure, which is the S&P 500® Index (the "Index"), is equal to or
greater than the Call Level on the relevant Observation Date. If the notes are not called, at maturity, the notes provide you with a
Step Up Payment if the Ending Value of the Index is equal to or greater than the Starting Value, but is not greater than the Step
Up Value. If the Ending Value is greater than the Step Up Value, you will participate on a 1-for-1 basis in the increase in the level
of the Index above the Starting Value. If the Ending Value is less than the Starting Value, you will lose all or a portion of the
principal amount of your notes. Any payments on the notes will be calculated based on the $10 principal amount per unit and will
depend on the performance of the Index, subject to our credit risk. See "Terms of the Notes" below.
The economic terms of the notes (including the Call Premiums and Call Amounts) are based on our internal funding rate, which is
the rate we would pay to borrow funds through the issuance of market-linked notes, and the economic terms of certain related
hedging arrangements. Our internal funding rate is typically lower than the rate we would pay when we issue conventional fixed
rate debt securities. This difference in funding rate, as well as the underwriting discount and the hedging related charge described
below, reduced the economic terms of the notes to you and the initial estimated value of the notes on the pricing date. Due to
these factors, the public offering price you pay to purchase the notes is greater than the initial estimated value of the notes.
On the cover page of this term sheet, we have provided the initial estimated value for the notes. This estimated value was
determined by reference to our internal pricing models, which take into consideration certain factors, such as our internal funding
rate on the pricing date and our assumptions about market parameters. For more information about the initial estimated value and
the structuring of the notes, see "Structuring the Notes" on page TS-16.
Terms of the Notes

I ssue r:
The Bank of Nova Scotia ("BNS")
Ca ll Se t t le m e nt Approximately the fifth business day following

Da t e s:
the applicable Observation Date, subject to
postponement if the related Observation Date
is postponed, as described on page PS-26 of
product prospectus supplement EQUITY
SUN-1.
Princ ipa l
$10.00 per unit
Ca ll Pre m ium s: $1.10 per unit if called on the first
Am ount :
Observation Date (which represents a return
of 11.00% over the principal amount) and
$2.20 per unit if called on the final
Observation Date (which represents a return
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of 22.00% over the principal amount).

T e rm :
Approximately three years, if not called
Ending V a lue :
The closing level of the Market Measure on

the calculation day. The scheduled
calculation day is subject to postponement in
the event of Market Disruption Events, as
described beginning on page PS-28 of
product prospectus supplement EQUITY
SUN-1.
M a rk e t
The S&P 500® Index (Bloomberg symbol: St e p U p V a lue : 3,817.46 (126.00% of the Starting Value,
M e a sure :
"SPX"), a price return index
rounded to two decimal places).

St a rt ing V a lue : 3,029.73
St e p U p
$2.60 per unit, which represents a return of

Pa ym e nt :
26.00% over the principal amount.
Obse rva t ion
The closing level of the Market Measure on T hre shold
3,029.73 (100.00% of the Starting Value).
Le ve l:
the applicable Observation Date.
V a lue :

Obse rva t ion
June 4, 2021 and May 20, 2022. The
Ca lc ula t ion
May 19, 2023
Da t e s:
Observation Dates are subject to
Da y:
postponement in the event of Market
Disruption Events, as described beginning
on page PS-28 of product prospectus
supplement EQUITY SUN-1.
Ca ll Le ve l:
3,029.73 (100.00% of the Starting Value). Fe e s a nd
The underwriting discount of $0.20 per unit
Cha rge s:
listed on the cover page and the hedging
related charge of $0.053 per unit described in
"Structuring the Notes" on page TS-16.
Ca ll Am ount s
$11.10 if called on the first Observation
Ca lc ula t ion
BofA Securities, Inc. ("BofAS").
(pe r U nit ):
Date and $12.20 if called on the final
Age nt :
Observation Date.

Autocallable Market-Linked Step Up Notes
TS-2
Autocallable Market-Linked Step Up Notes

Linked to the S&P 500® Index, due May 26, 2023
Determining Payment on the Notes
Aut om a t ic Ca ll Provision
The notes will be called automatically on an Observation Date if the Observation Level on that Observation Date is equal to or
greater than the Call Level. If the notes are called, you will receive $10 per unit plus the applicable Call Premium.
Re de m pt ion Am ount De t e rm ina t ion
If the notes are not automatically called, on the maturity date, you will receive a cash payment per unit determined as follows:
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Autocallable Market-Linked Step Up Notes
TS-3
Autocallable Market-Linked Step Up Notes

Linked to the S&P 500® Index, due May 26, 2023
The terms and risks of the notes are contained in this term sheet and in the following:
?
Product prospectus supplement EQUITY SUN-1 dated February 21, 2019:
https://www.sec.gov/Archives/edgar/data/9631/000091412119000426/bn50676784-424b2.htm
?
Prospectus supplement dated December 26, 2018:
https://www.sec.gov/Archives/edgar/data/9631/000091412118002473/bn50676984-424b3.htm
?
Prospectus dated December 26, 2018:
https://www.sec.gov/Archives/edgar/data/9631/000119312518357537/d677731d424b3.htm
As a result of the completion of the reorganization of Bank of America's U.S. broker-dealer business, references to Merrill Lynch,
Pierce, Fenner & Smith Incorporated ("MLPF&S") in the accompanying product prospectus supplement EQUITY SUN-1, as such
references relate to MLPF&S's institutional services, should be read as references to BofAS.
These documents (together, the "Note Prospectus") have been filed as part of a registration statement with the SEC, which may,
without cost, be accessed on the SEC website as indicated above or obtained from MLPF&S or BofAS by calling 1-800-294-1322.
Before you invest, you should read the Note Prospectus, including this term sheet, for information about us and this offering. Any
prior or contemporaneous oral statements and any other written materials you may have received are superseded by the Note
Prospectus. Capitalized terms used but not defined in this term sheet have the meanings set forth in product prospectus
supplement EQUITY SUN-1. Unless otherwise indicated or unless the context requires otherwise, all references in this document to
"we," "us," "our," or similar references are to BNS.
Investor Considerations
Y ou m a y w ish t o c onside r a n inve st m e nt in t he
T he not e s m a y not be a n a ppropria t e inve st m e nt for
not e s if:
you if:
? You are willing to receive a return on your investment
? You want to hold your notes for the full term.
capped at the applicable Call Premium if the relevant
? You believe that the notes will not be automatically called
Observation Level is equal to or greater than the Call Level.
and the Index will decrease from the Starting Value to the
? You anticipate that the notes will be automatically called or
Ending Value.
that the Index will not decrease from the Starting Value to
? You seek principal repayment or preservation of capital.
the Ending Value.
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? You seek interest payments or other current income on your
? You are willing to risk a substantial loss of principal and
investment.
return if the notes are not automatically called and the Index
decreases from the Starting Value to the Ending Value.
? You want to receive dividends or other distributions paid on
the stocks included in the Index.
? You are willing to forgo the interest payments that are paid
on conventional interest bearing debt securities.
? You seek an investment for which there will be a liquid
secondary market.
? You are willing to forgo dividends or other benefits of owning
the stocks included in the Index.
? You are unwilling or are unable to take market risk on the
notes or to take our credit risk as issuer of the notes.
? You are willing to accept a limited or no market for sales
prior to maturity, and understand that the market prices for
the notes, if any, will be affected by various factors,
including our actual and perceived creditworthiness, our
internal funding rate and fees and charges on the notes.
? You are willing to assume our credit risk, as issuer of the
notes, for all payments under the notes, including the
Redemption Amount.
We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.
Autocallable Market-Linked Step Up Notes
TS-4
Autocallable Market-Linked Step Up Notes

Linked to the S&P 500® Index, due May 26, 2023
Hypothetical Payout Profile and Examples of Payments at Maturity
T he gra ph be low show s a pa yout profile a t m a t urit y, w hic h w ould only a pply if t he not e s a re not c a lle d on
a ny Obse rva t ion Da t e .
This graph reflects the returns on the notes, based on the
Threshold Value of 100.00% of the Starting Value, the Step Up
Payment of $2.60 per unit and the Step Up Value of 126.00% of
the Starting Value. The green line reflects the returns on the
notes, while the dotted gray line reflects the returns of a direct
investment in the stocks included in the Index, excluding
dividends.
This graph has been prepared for purposes of illustration only.
The following table and examples are for purposes of illustration only. They are based on hypot he t ic a l values and show
hypot he t ic a l returns on the notes, assuming the notes are not called on any Observation Date. They illustrate the calculation of
the Redemption Amount and total rate of return based on a hypothetical Starting Value of 100, a hypothetical Threshold Value of
100, a hypothetical Step Up Value of 126, the Step Up Payment of $2.60 per unit and a range of hypothetical Ending Values. T he
a c t ua l a m ount you re c e ive a nd t he re sult ing t ot a l ra t e of re t urn w ill de pe nd on t he a c t ua l St a rt ing V a lue ,
T hre shold V a lue , Ending V a lue , St e p U p V a lue , w he t he r t he not e s a re c a lle d on a n Obse rva t ion Da t e , a nd
w he t he r you hold t he not e s t o m a t urit y. The following examples do not take into account any tax consequences from
investing in the notes.
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For recent actual levels of the Market Measure, see "The Index" section below. The Index is a price return index and as such the
Ending Value will not include any income generated by dividends paid on the stocks included in the Index, which you would
otherwise be entitled to receive if you invested in those stocks directly. In addition, all payments on the notes are subject to issuer
credit risk.
Pe rc e nt a ge Cha nge from
Ending V a lue
t he St a rt ing V a lue t o t he
Re de m pt ion Am ount pe r
T ot a l Ra t e of Re t urn on


Ending V a lue

U nit

t he N ot e s
0.00

-100.00%

$0.00

-100.00%
50.00

-50.00%

$5.00

-50.00%
70.00

-30.00%

$7.00

-30.00%
80.00

-20.00%

$8.00

-20.00%
90.00

-10.00%

$9.00

-10.00%
100.00(1)(2)

0.00%

$12.60(3)

26.00%
105.00

5.00%

$12.60

26.00%
110.00

10.00%

$12.60

26.00%
120.00

20.00%

$12.60

26.00%
126.00(4)

26.00%

$12.60

26.00%
130.00

30.00%

$13.00

30.00%
140.00

40.00%

$14.00

40.00%
150.00

50.00%

$15.00

50.00%
154.00

54.00%

$15.40

54.00%
160.00

60.00%

$16.00

60.00%
(1)
This is the hypot he t ic a l Threshold Value.
(2)
The hypot he t ic a l Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual
Starting Value is 3,029.73, which was the closing level of the Market Measure on the pricing date.
(3)
This amount represents the sum of the principal amount and the Step Up Payment of $2.60.
(4)
This is the hypot he t ic a l Step Up Value.
Autocallable Market-Linked Step Up Notes
TS-5
Autocallable Market-Linked Step Up Notes

Linked to the S&P 500® Index, due May 26, 2023
Re de m pt ion Am ount Ca lc ula t ion Ex a m ple s
Ex a m ple 1
The Ending Value is 70.00, or 70.00% of the Starting Value:
Starting Value: 100.00
Threshold Value: 100.00
Ending Value: 70.00
Redemption Amount per unit
Ex a m ple 2
The Ending Value is 110.00, or 110.00% of the Starting Value:
Starting Value: 100.00
Step Up Value: 126.00
Ending Value: 110.00
Redemption Amount per unit, the principal amount plus the Step Up Payment, since the Ending
Value is equal to or greater than the Starting Value, but less than the Step Up Value.
Ex a m ple 3
The Ending Value is 154.00, or 154.00% of the Starting Value:
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Starting Value: 100.00
Step Up Value: 126.00
Ending Value: 154.00
Redemption Amount per unit
Autocallable Market-Linked Step Up Notes
TS-6
Autocallable Market-Linked Step Up Notes

Linked to the S&P 500® Index, due May 26, 2023
Risk Factors
There are important differences between the notes and a conventional debt security. An investment in the notes involves significant
risks, including those listed below. You should carefully review the more detailed explanation of risks relating to the notes in the
"Risk Factors" sections beginning on page PS-7 of product prospectus supplement EQUITY SUN-1, page S-2 of the prospectus
supplement, and page 5 of the prospectus identified above. We also urge you to consult your investment, legal, tax, accounting,
and other advisors before you invest in the notes.
?
If the notes are not automatically called, depending on the performance of the Index as measured shortly before the
maturity date, your investment may result in a loss; there is no guaranteed return of principal.
?
Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt
security of comparable maturity.
?
If the notes are called, your investment return is limited to the return represented by the applicable Call Premium.
?
Your investment return may be less than a comparable investment directly in the stocks included in the Index.
?
Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected
to affect the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire
investment.
?
Our initial estimated value of the notes is lower than the public offering price of the notes. Our initial estimated value of the
notes is only an estimate. The public offering price of the notes exceeds our initial estimated value because it includes
costs associated with selling and structuring the notes, as well as hedging our obligations under the notes with a third
party, which may include BofAS or one of its affiliates. These costs include the underwriting discount and an expected
hedging related charge, as further described in "Structuring the Notes" on page TS-16.
?
Our initial estimated value of the notes does not represent future values of the notes and may differ from others' estimates.
Our initial estimated value of the notes is determined by reference to our internal pricing models when the terms of the
notes are set. These pricing models consider certain factors, such as our internal funding rate on the pricing date, the
expected term of the notes, market conditions and other relevant factors existing at that time, and our assumptions about
market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models
and assumptions could provide valuations for the notes that are different from our initial estimated value. In addition, market
conditions and other relevant factors in the future may change, and any of our assumptions may prove to be incorrect. On
future dates, the market value of the notes could change significantly based on, among other things, the performance of
the Index, changes in market conditions, our creditworthiness, interest rate movements and other relevant factors. These
factors, together with various credit, market and economic factors over the term of the notes, are expected to reduce the
price at which you may be able to sell the notes in any secondary market and will affect the value of the notes in complex
and unpredictable ways. Our initial estimated value does not represent a minimum price at which we or any agents would
be willing to buy your notes in any secondary market (if any exists) at any time.
?
Our initial estimated value is not determined by reference to credit spreads or the borrowing rate we would pay for our
conventional fixed-rate debt securities. The internal funding rate used in the determination of our initial estimated value of
the notes generally represents a discount from the credit spreads for our conventional fixed-rate debt securities and the
borrowing rate we would pay for our conventional fixed-rate debt securities. If we were to use the interest rate implied by
the credit spreads for our conventional fixed-rate debt securities, or the borrowing rate we would pay for our conventional
fixed-rate debt securities, we would expect the economic terms of the notes to be more favorable to you. Consequently,
our use of an internal funding rate for the notes would have an adverse effect on the economic terms of the notes, the
initial estimated value of the notes on the pricing date, and the price at which you may be able to sell the notes in any
secondary market.
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?
A trading market is not expected to develop for the notes. None of us, MLPF&S or BofAS is obligated to make a market
for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any price in
any secondary market.
?
Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trades in
shares of companies included in the Index), and any hedging and trading activities we, MLPF&S, BofAS or our respective
affiliates engage in for our clients' accounts, may affect the market value and return of the notes and may create conflicts
of interest with you.
?
The Index sponsor may adjust the Index in a way that may adversely affect its level and your interests, and the Index
sponsor has no obligation to consider your interests.
?
You will have no rights of a holder of the securities included in the Index, and you will not be entitled to receive securities
or dividends or other distributions by the issuers of those securities.
?
While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the
Index, except to the extent that the common stock of Bank of America Corporation (the parent company of MLPF&S and
BofAS) is included in the Index, we, MLPF&S, BofAS and our respective affiliates do not control any company included in
the Index, and have not verified any disclosure made by any other company.
Autocallable Market-Linked Step Up Notes
TS-7
Autocallable Market-Linked Step Up Notes

Linked to the S&P 500® Index, due May 26, 2023
?
There may be potential conflicts of interest involving the calculation agent, which is BofAS. We have the right to appoint
and remove the calculation agent.
?
The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See
"Summary of U.S. Federal Income Tax Consequences" below.
?
The conclusion that no portion of the interest paid or credited or deemed to be paid or credited on a note will be
"Participating Debt Interest" subject to Canadian withholding tax is based in part on the current published administrative
position of the CRA. There cannot be any assurance that CRA's current published administrative practice will not be
subject to change, including potential expansion in the current administrative interpretation of Participating Debt Interest
subject to Canadian withholding tax. If, at any time, the interest paid or credited or deemed to be paid or credited on a
note is subject to Canadian withholding tax, you will receive an amount that is less than the Redemption Amount. You
should consult your own adviser as to the potential for such withholding and the potential for reduction or refund of part or
all of such withholding, including under any bilateral Canadian tax treaty the benefits of which you may be entitled. For a
discussion of the Canadian federal income tax consequences of investing in the notes, see "Summary of Canadian Federal
Income Tax Consequences" below, "Canadian Taxation--Debt Securities" on page 62 of the prospectus dated December
26, 2018, and "Supplemental Discussion of Canadian Federal Income Tax Consequences" on page PS-41 of product
prospectus supplement EQUITY SUN-1.
Additional Risk Factors
T he COV I D -1 9 virus m a y ha ve a n a dve rse im pa c t on BN S.
On 11 March 2020, the World Health Organization declared the outbreak of a strain of novel coronavirus disease, COVID-19, a
global pandemic. Governments in affected areas have imposed a number of measures designed to contain the outbreak, including
business closures, travel restrictions, quarantines and cancellations of gatherings and events. The spread of COVID-19 has had
disruptive effects in countries in which BNS operates and the global economy more widely, as well as causing increased volatility
and declines in financial markets. If the pandemic is prolonged, or further diseases emerge that give rise to similar effects, the
adverse impact on the global economy could deepen and result in further declines in financial markets. A substantial amount of
BNS's business involves making loans or otherwise committing resources to specific companies, industries or countries. The
COVID-19 pandemic's impact on such borrowers, industries and countries could have a material adverse effect on BNS's financial
results, businesses, financial condition or liquidity. The COVID-19 pandemic may also result in disruption to BNS's key suppliers of
goods and services and result in increased unavailability of staff adversely impacting the quality and continuity of service to
customers and the reputation of BNS. As a result, the business, results of operations, corporate reputation and financial condition of
https://www.sec.gov/Archives/edgar/data/9631/000091412120001970/bn55037001-424b2.htm[6/1/2020 4:12:35 PM]


BNS could be adversely impacted for a substantial period of time.
Autocallable Market-Linked Step Up Notes
TS-8
Autocallable Market-Linked Step Up Notes

Linked to the S&P 500® Index, due May 26, 2023
The Index
All disclosures contained in this term sheet regarding the Index, including, without limitation, its make up, method of calculation, and
changes in its components, have been derived from publicly available sources. The information reflects the policies of, and is
subject to change by, S&P Dow Jones Indices LLC (the "Index sponsor"). The Index sponsor, which licenses the copyright and all
other rights to the Index, has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences
of the Index sponsor discontinuing publication of the Index are discussed in the section entitled "Description of the Notes--
Discontinuance of an Index" beginning on page PS-30 of product prospectus supplement EQUITY SUN-1. None of us, the
calculation agent, MLPF&S or BofAS accepts any responsibility for the calculation, maintenance or publication of the Index or any
successor index.
Ge ne ra l
The Index includes a representative sample of 500 leading companies in leading industries of the U.S. economy. The Index is
designed to provide a performance benchmark for the U.S. equity markets. The Index is calculated based on the relative value of
the aggregate Market Value (as defined below) of the common stocks of 500 companies as of a particular time as compared to the
aggregate average Market Value of the common stocks of 500 similar companies during the base period of the years 1941 through
1943. The "Market Value" of any index stock is the product of the market price per share times the number of the then outstanding
shares of such index stock. The 500 companies are not the 500 largest companies listed on the NYSE and not all 500 companies
are listed on such exchange. The Index sponsor chooses companies for inclusion in the Index with an aim of achieving a
distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population of the
U.S. equity market.
As of April 30, 2020, the 500 companies included in the Index were divided into eleven Global Industry Classification Sectors. The
Global Industry Classification Sectors include (with the approximate percentage currently included in such sectors indicated in
parentheses): Information Technology (25.7%); Health Care (15.4%); Communication Services (10.8%); Financials (10.6%);
Consumer Discretionary (10.5%); Industrials (7.9%); Consumer Staples (7.4%); Utilities (3.3%); Energy (3.0%); Real Estate (2.9%)
and Materials (2.5%). (Sector designations are determined by the Index sponsor using criteria it has selected or developed.
Different index sponsors may use very different standards for determining sector designations. In addition, many companies operate
in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result,
sector comparisons between indices with different index sponsors may reflect differences in methodology as well as actual
differences in the sector composition of the indices.) As of the close of business on September 21, 2018, the Index Sponsor and
MSCI Inc. updated the Global Industry Classification Sector ("GICS") structure. Among other things, the update broadened the
Telecommunications Services sector and renamed it the Communication Services sector. The renamed sector includes the
previously existing Telecommunication Services Industry group, as well as the Media Industry group, which was moved from the
Consumer Discretionary sector and renamed the Media & Entertainment Industry group. The Media & Entertainment Industry group
contains three industries: Media, Entertainment and Interactive Media & Services. The Media industry continues to consist of the
Advertising, Broadcasting, Cable & Satellite and Publishing sub-industries. The Entertainment industry contains the Movies &
Entertainment subindustry (which includes online entertainment streaming companies in addition to companies previously classified
in such industry prior to September 21, 2018) and the Interactive Home Entertainment subindustry (which includes companies
previously classified in the Home Entertainment Software subindustry prior to September 21, 2018 (when the Home Entertainment
Software sub-industry was a subindustry in the Information Technology sector), as well as producers of interactive gaming
products, including mobile gaming applications). The Interactive Media & Services industry and sub-industry includes companies
engaged in content and information creation or distribution through proprietary platforms, where revenues are derived primarily
through pay-per-click advertisements, and includes search engines, social media and networking platforms, online classifieds and
online review companies. The GICS structure changes were effective for the S&P 500® Index as of the open of business on
September 24, 2018 to coincide with the September 2018 quarterly rebalancing.
Ca lc ula t ion of t he I nde x
The Index is calculated using a base-weighted aggregate methodology. The Index is a price return index. The value of the Index
on any day for which an index value is published is determined by a fraction, the numerator of which is the aggregate of the
market price of each stock in the Index multiplied by the float-adjusted number of shares of such stock included in the Index, and
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the denominator of which is the divisor, which is described more fully below.
The Index is also sometimes called a "base-weighted index" because of its use of a divisor. The "divisor" is a value calculated by
the Index sponsor that is intended to maintain conformity in index values over time and is adjusted for all changes in the index
stocks' share capital after the "base date." The level of the Index reflects the total market value of all index stocks relative to the
index's base date of 1941-43. The Index sponsor set the base value of the Index on the base date at 10.
M a int e na nc e of t he I nde x
In order to keep the Index comparable over time, the Index sponsor engages in an index maintenance process. The Index
maintenance process involves changing the constituents, adjusting the number of shares used to calculate the Index, monitoring
and completing the adjustments for company additions and deletions, adjusting for stock splits and stock dividends and adjusting
for other corporate actions.
Autocallable Market-Linked Step Up Notes
TS-9
Autocallable Market-Linked Step Up Notes

Linked to the S&P 500® Index, due May 26, 2023
Divisor Adjust m e nt s
The two types of adjustments primarily used by the Index sponsor are divisor adjustments and adjustments to the number of
shares (including float adjustments) used to calculate the Index. Set forth below is a table of certain corporate events and their
resulting effect on the divisor and the share count. If a corporate event requires an adjustment to the divisor, that event has the
effect of altering the market value of the affected index stock and consequently of altering the aggregate market value of the index
stocks following the event. In order that the level of the Index not be affected by the altered market value (which could be an
increase or decrease) of the affected index stock, the Index sponsor derives a new divisor by dividing the post-event market value
of the index stocks by the pre-event index value, which has the effect of reducing the Index's post-event value to the pre-event
level.
Const it ue nt Cha nge s
Constituent changes are made on an as-needed basis and there is no schedule for constituent reviews. Constituent changes are
generally announced one to five business days prior to the change. Relevant criteria for additions to the Index that are employed
by the Index sponsor include an unadjusted market capitalization of $8.2 billion or more (as of February 20, 2019), adequate
liquidity, reasonable price, U.S. domicile, listing on a major exchange, public float of 50% or more, industry sector, financial viability
and, for IPOs, a seasoning period of six to twelve months. Stocks are deleted from the Index when they are involved in mergers,
acquisitions or significant restructurings such that they no longer meet the inclusion criteria, and when they violate one or more of
the inclusion criteria. Companies that experience a trading halt may be retained or deleted in the Index sponsor's discretion. The
Index sponsor evaluates additions and deletions with a view to maintaining Index continuity.
Cha nge s t o t he N um be r of Sha re s of a Const it ue nt
The index maintenance process also involves tracking the changes in the number of shares included for each of the index
companies. The timing of adjustments to the number of shares depends on the type of event causing the change, public availability
of data, local market practice, and whether the change represents more than 5% of the float-adjusted share count. Changes as a
result of mergers or acquisitions are implemented as soon as reasonably possible, regardless of the size of the change to the
number of shares. At the Index sponsor's discretion, however, de minimis merger and acquisition changes may be accumulated
and implemented with the updates made at the quarterly share updates as described below.
Changes that result from other corporate actions will be implemented as soon as practicable if the change to the float-adjusted
share count is more than 5%. For smaller changes, on the third Friday of the last month in each calendar quarter, the Index
sponsor updates the share totals of companies in the Index as required by any changes in the float-adjusted number of shares
outstanding. The Index sponsor implements a share freeze the week leading up to the effective date of the quarterly share count
updates. During this frozen period, shares are not changed except for certain corporate action events (merger activity, stock splits,
rights offerings and certain share dividend payable events). After the float-adjusted share count totals are updated, the divisor is
adjusted to compensate for the net change in the total market value of the Index. In addition, any changes over 5% in the current
common shares outstanding for the index companies are carefully reviewed by the Index sponsor on a weekly basis, and when
appropriate, an immediate adjustment is made to the divisor.
In addition, the Index is float-adjusted, meaning that the share counts used in calculating the Index reflect only those shares
available to investors rather than all of a company's outstanding shares. To this end, the Index sponsor defines three groups of
shareholders whose holdings are presumed to be for control, rather than investment purposes. The groups are:
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