Obligation ScotiaBank 0% ( US06417R7402 ) en USD

Société émettrice ScotiaBank
Prix sur le marché 100 %  ⇌ 
Pays  Canada
Code ISIN  US06417R7402 ( en USD )
Coupon 0%
Echéance 27/05/2022 - Obligation échue



Prospectus brochure de l'obligation Bank of Nova Scotia US06417R7402 en USD 0%, échue


Montant Minimal 1 000 USD
Montant de l'émission 16 675 000 USD
Cusip 06417R740
Notation Standard & Poor's ( S&P ) N/A
Notation Moody's N/A
Description détaillée La Banque de Nouvelle-Écosse (Scotiabank) est une banque multinationale canadienne offrant une vaste gamme de services financiers personnels et commerciaux à travers les Amériques, en Europe et en Asie-Pacifique.

L'Obligation émise par ScotiaBank ( Canada ) , en USD, avec le code ISIN US06417R7402, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 27/05/2022







424B2 1 bn55036967-424b2.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 LI RN -1 da t e d Fe brua ry 2 1 ,
2 0 2 0 )
1,667,538 Units
Pricing Date
May 28, 2020
$10 principal amount per unit
Settlement Date
June 4, 2020
CUSIP No. 06417R740
Maturity Date
May 27, 2022





Ca ppe d N ot e s w it h Absolut e Re t urn Buffe r Link e d t o t he
S& P 5 0 0 ® I nde x
?
Maturity of approximately two years
?
1-to-1 upside exposure to increases in the Index, subject to a capped return of 15.00%
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A positive return equal to the absolute value of the percentage decline in the level of the Index only if the Index does not
decline by more than 11.04% (e.g., if the negative return of the Index is -10.00%, you will receive a positive return of
+10.00%)
?
1-to-1 downside exposure to decreases in the Index beyond an 11.04% decline, with up to 88.96% of your principal at risk
?
All payments occur at maturity and are subject to the credit risk of The Bank of Nova Scotia
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No periodic interest payments
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In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.075 per unit. See
"Structuring the Notes"
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Limited secondary market liquidity, with no exchange listing
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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-6 of t his t e rm she e t , "Addit iona l Risk Fa c t ors" on pa ge T S-7
of t his t e rm she e t a nd be ginning on pa ge PS-7 of produc t prospe c t us supple m e nt EQU I T Y LI RN -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 .6 1 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-6 of this term sheet
and "Structuring the Notes" on page TS-15 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.
_________________________

Per Unit
Total
Public offering price
$10.00
$16,675,380.00

Underwriting discount
$0.20
$333,507.60

Proceeds, before expenses, to
$9.80
$16,341,872.40
BNS
https://www.sec.gov/Archives/edgar/data/9631/000091412120001972/bn55036967-424b2.htm[6/1/2020 4:17:00 PM]


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
Capped Notes with Absolute Return Buffer

Linked to the S&P 500® Index due May 27, 2022
Summary
The Capped Notes with Absolute Return Buffer Linked to the S&P 500® Index, due May 27, 2022 (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 provide you a 1-to-1 return, subject to a
cap, if the Ending Value of the Market Measure, which is the S&P 500® Index (the "Index"), is greater than the Starting Value. If
the Ending Value is equal to or less than the Starting Value but greater than or equal to the Threshold Value, you will receive a
positive return equal to the absolute value of the percentage decline in the Index from the Starting Value to the Ending Value (e.g.,
if the negative return of the Index is -10.00%, you will receive a positive return of +10.00%). If the Ending Value is less than the
Threshold Value, you will lose a portion, which could be significant, 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 Capped Value) 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-15.
Terms of the Notes
Redemption Amount Determination
I ssue r:
The Bank of Nova Scotia ("BNS")
Notwithstanding anything to the contrary in the accompanying product
prospectus
supplement, the Redemption Amount will be determined as set forth in
this term
sheet. On the maturity date, you will receive a cash payment per unit
determined as follows:
Princ ipa l
$10.00 per unit

Am ount :
T e rm :
Approximately two years
M a rk e t
The S&P 500® Index (Bloomberg
M e a sure :
symbol: "SPX"), a price return index
St a rt ing V a lue : 3,029.73
Ending V a lue :
The average of the closing levels of
the Market Measure on each
calculation day occurring during the
Maturity Valuation Period. The
scheduled calculation days are
subject to postponement in the event
of Market Disruption Events, as
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described beginning on page PS-27
of product prospectus supplement
EQUITY LIRN-1.
T hre shold
2,695.25 (88.96% of the Starting
V a lue :
Value, rounded to two decimal
places).
Pa rt ic ipa t ion
100%
Ra t e :
Ca ppe d V a lue : $11.50 per unit, which represents a
return of 15.00% over the principal
amount.
M a t urit y
May 18, 2022, May 19, 2022, May
V a lua t ion
20, 2022, May 23, 2022 and May 24,
Pe riod:
2022
Fe e s a nd
The underwriting discount of $0.20
Cha rge s:
per unit listed on the cover page and
the hedging related charge of $0.075
per unit described in "Structuring the
Notes" on page TS-15.
Ca lc ula t ion
BofA Securities, Inc. ("BofAS").
Age nt :
Capped Notes with Absolute Return Buffer
TS-2
Capped Notes with Absolute Return Buffer

Linked to the S&P 500® Index due May 27, 2022
The terms and risks of the notes are contained in this term sheet and in the following:
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Product prospectus supplement EQUITY LIRN-1 dated February 21, 2020:
https://www.sec.gov/Archives/edgar/data/9631/000091412120000697/bn54730277-424b2.htm
?
Prospectus supplement dated December 26, 2018:
https://www.sec.gov/Archives/edgar/data/9631/000091412118002473/bn50676984-424b3.htm
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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 LIRN-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
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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 LIRN-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.
To the extent the determination of the Redemption Amount and other terms described in this term sheet are inconsistent with those
described in the accompanying product prospectus supplement, prospectus supplement or prospectus, the determination of the
Redemption Amount and other terms described in this term sheet shall control.
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 anticipate that the Index will either increase
You believe that the Index will decrease from the Starting

?
moderately from the Starting Value to the Ending Value or
Value to an Ending Value that is below the Threshold
decrease from the Starting Value to an Ending Value that
Value or that it will not increase sufficiently over the term
is equal to or above the Threshold Value.
of the notes to provide you with your desired return.
?
You are willing to risk a substantial loss of principal if the
You seek 100% principal repayment or preservation of

?
Index decreases from the Starting Value to an Ending
capital.
Value that is below the Threshold Value.
You seek an uncapped return on your investment.

?
?
You accept that the return on the notes will be capped.
You seek interest payments or other current income on

?
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You are willing to forgo the interest payments that are paid
your investment.
on conventional interest bearing debt securities.
You want to receive dividends or other distributions paid

?
?
You are willing to forgo dividends or other benefits of
on the stocks included in the Index.
owning the stocks included in the Index.
You seek an investment for which there will be a liquid

?
?
You are willing to accept a limited or no market for sales
secondary market.
prior to maturity, and understand that the market prices
You are unwilling or are unable to take market risk on the

?
for the notes, if any, will be affected by various factors,
notes or to take our credit risk as issuer of the notes.
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.
Capped Notes with Absolute Return Buffer
TS-3
Capped Notes with Absolute Return Buffer

Linked to the S&P 500® Index due May 27, 2022
Hypothetical Payout Profile and Examples of Payments at Maturity
Ca ppe d N ot e s w it h Absolut e Re t urn Buffe r
This graph reflects the returns on the notes, based on the
Participation Rate of 100.00%, the Capped Value of $11.50 and
the Threshold Value of 88.96% 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.
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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. They illustrate the calculation of the Redemption Amount and total rate of return based on a
hypothetical Starting Value of 100.00, a hypothetical Threshold Value of 88.96, the Participation Rate of 100.00%, the Capped
Value of $11.50 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 , 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.
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
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

Ending V a lue

U nit

t he N ot e s
0.00

-100.00%

$1.104

-88.96%
50.00

-50.00%

$6.104

-38.96%
70.00

-30.00%

$8.104

-18.96%
80.00

-20.00%

$9.104

-8.96%
88.96(1)

-11.04%

$11.104

11.04%
90.00

-10.00%

$11.000

10.00%
95.00

-5.00%

$10.500

5.00%
97.00

-3.00%

$10.300

3.00%
100.00(2)

0.00%

$10.000

0.00%
102.00

2.00%

$10.200

2.00%
105.00

5.00%

$10.500

5.00%
115.00

15.00%

$11.500(3)

15.00%
120.00

20.00%

$11.500

15.00%
130.00

30.00%

$11.500

15.00%
140.00

40.00%

$11.500

15.00%
160.00

60.00%

$11.500

15.00%
170.00

70.00%

$11.500

15.00%
(1) This is the hypot he t ic a l Threshold Value.
(2) The hypot he t ic a l Starting Value of 100.00 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) Any positive return based on the appreciation of the Index cannot exceed the return represented by the Capped Value.
Capped Notes with Absolute Return Buffer
TS-4
Capped Notes with Absolute Return Buffer

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Linked to the S&P 500® Index due May 27, 2022
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:
88.96
Ending Value:
70.00
Redemption Amount per unit
Ex a m ple 2
The Ending Value is 95.00, or 95.00% of the Starting Value:
Starting Value:
100.00
Threshold Value:
88.96
Ending Value:
95.00
Redemption Amount per unit
Since the Ending Value is less than the Starting Value but equal to or greater than the Threshold Value, the Redemption Amount
for the notes will be the principal amount plus a positive return equal to the absolute value of the negative return of the Index.
Ex a m ple 3
The Ending Value is 105.00, or 105.00% of the Starting Value:
Starting Value:
100.00
Ending Value:
105.00
= $ 1 0 .5 0 0 Redemption Amount per unit
Ex a m ple 4
The Ending Value is 160.00, or 160.00% of the Starting Value:
Starting Value:
100.00
Ending Value:
160.00
= $ 1 6 .0 0 0 , how e ve r, be c a use a ny posit ive re t urn ba se d on t he
a ppre c ia t ion of t he I nde x c a nnot e x c e e d t he re t urn re pre se nt e d by
t he Ca ppe d V a lue , t he Re de m pt ion Am ount w ill be $ 1 1 .5 0 0 pe r unit
Capped Notes with Absolute Return Buffer
TS-5
Capped Notes with Absolute Return Buffer

Linked to the S&P 500® Index due May 27, 2022
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 LIRN-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.
?
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.
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?
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.
?
Your potential for a positive return based on the depreciation of the Index is limited and may be less than that of a
comparable investment that takes a short position directly in the Index (or the stocks included in the Index). The absolute
value return feature applies only if the Ending Value is less than the Starting Value but greater than or equal to the
Threshold Value. Because the Threshold Value is 88.96% of the Starting Value, any positive return due to the depreciation
of the Index is limited to 11.04%. Any decline in the Ending Value from the Starting Value by more than 11.04% will result
in a loss, rather than a positive return, on the notes. In contrast, for example, a short position in the Index (or the stocks
included in the Index) would allow you to receive the full benefit of any decrease in the level of the Index (or 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.
?
Your investment return based on any increase in the level of the Index is limited to the return represented by the Capped
Value and may be less than a comparable investment directly in the stocks included in the Index.
?
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-15.
?
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.
?
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.
Capped Notes with Absolute Return Buffer
TS-6
Capped Notes with Absolute Return Buffer

®
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Linked to the S&P 500 Index due May 27, 2022
?
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, or of a holder with a short position directly in the
Index (or 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, none of us, MLPF&S, BofAS or our respective affiliates control any company included in
the Index, and have not verified any disclosure made by any other company.
?
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 LIRN-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
BNS could be adversely impacted for a substantial period of time.
Capped Notes with Absolute Return Buffer
TS-7
Capped Notes with Absolute Return Buffer

Linked to the S&P 500® Index due May 27, 2022
https://www.sec.gov/Archives/edgar/data/9631/000091412120001972/bn55036967-424b2.htm[6/1/2020 4:17:00 PM]


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 LIRNs--
Discontinuance of an Index" beginning on page PS-29 of product prospectus supplement EQUITY LIRN-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
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
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and completing the adjustments for company additions and deletions, adjusting for stock splits and stock dividends and adjusting
for other corporate actions.
Capped Notes with Absolute Return Buffer
TS-8
Capped Notes with Absolute Return Buffer

Linked to the S&P 500® Index due May 27, 2022
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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holdings by other publicly traded corporations, venture capital firms, private equity firms, or strategic partners or leveraged
buyout groups;
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holdings by government entities, including all levels of government within the United States or foreign countries, except for
pension and retirement funds; and
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holdings by current or former officers and directors of the company, funders of the company, or family trusts of officers,
directors or founders. Second, holdings of trusts, foundations, pension funds, employee stock ownership plans or other
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