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The Bank of Nova Scotia has introduced $33.659 million worth of Contingent Income Auto-Callable Securities maturing in July 2028, providing investors with the chance to earn quarterly coupons tied to the Nasdaq-100, Russell 2000, and S&P 500 indices' performance. Priced on July 17, 2026, these structured notes offer a contingent quarterly coupon of $26.15 per security (equivalent to a 10.46% annual yield) if all three indices remain above 70% of their initial values on determination dates. However, investors face principal risk, as payments are based on the worst-performing index, potentially resulting in total loss if any index drops sharply.
Key Points
- NYSE: BNS
- Bank of Nova Scotia issued $33.659 million in auto-callable structured notes maturing July 20, 2028
- Pricing date: July 17, 2026; original issue date: July 22, 2026; stated principal: $1,000 per security
- Contingent quarterly coupon of $26.15 per security (10.46% annually) payable if all indices remain at or above 70% of initial values on determination dates
- Automatic early redemption if all three indices close at or above 100% of initial values on any determination date before maturity
- Maturity payment depends on worst-performing index; full downside risk if any index falls below 70% of initial value
Auto-Callable Securities Structure and Coupon Details
The Bank of Nova Scotia’s structured notes are contingent income securities offering potential quarterly coupon payments based on the performance of three equity indices. Each security pays a quarterly coupon of $26.15, equating to an annualized 10.46% on the $1,000 principal. To qualify for the coupon on any determination date, all three indices must close at or above 70% of their initial values set on the pricing date.
Coupon determination dates occur eight times over two years: October 19, 2026; January 19, 2027; April 19, 2027; July 19, 2027; October 18, 2027; January 18, 2028; April 17, 2028; and July 17, 2028, with payments made about three business days later. If any index falls below 70% on a determination date, no coupon is paid for that period, which could result in no income over the full term if market conditions deteriorate.
Early Redemption and Auto-Call Feature
These notes include an auto-callable feature that triggers automatic early redemption if, on any determination date before maturity, all three indices close at or above 100% of their initial values. Upon early call, investors receive the $1,000 principal plus the contingent coupon for that period.
This feature caps investor returns since the securities do not participate in further gains beyond the coupons received before redemption. If any index closes below 100% on a determination date, the notes continue until maturity or the next potential auto-call date.
Principal Risk and Downside Exposure
The Bank of Nova Scotia highlights that these are principal-at-risk securities without guaranteed principal protection. At maturity, if all indices remain at or above 70% of their initial values, investors receive the full $1,000 principal plus any final coupon. However, if any index falls below 70%, the maturity payment is reduced based on the worst-performing index’s return.
If the lowest-performing index declines below 70%, the payment equals the principal plus the principal multiplied by that index’s return, exposing investors to full downside risk of the weakest index. For example, a 40% drop in the worst index would reduce the payout to 60% of the original principal, representing a significant loss.
Tracked Indices and Initial Values
The notes reference three major U.S. equity indices with initial values set on July 17, 2026: Nasdaq-100 (NDX) at 28,592.66; Russell 2000 (RTY) at 2,962.217; and S&P 500 (SPX) at 7,457.69. These indices cover diverse market segments, including large-cap technology and growth stocks (Nasdaq-100), small-cap stocks (Russell 2000), and broad large-cap stocks across sectors (S&P 500).
The notes’ value is determined by the worst-performing index’s return, calculated as (final index value minus initial value) divided by initial value, creating asymmetric risk exposure concentrated on the weakest index despite diversification across three indices.
Issue Terms and Settlement Details
Issued under the Senior Note Program, Series A, the $33.659 million offering was priced at $1,000 per security on July 17, 2026, with an original issue date of July 22, 2026, allowing a three-business-day settlement. Secondary market trades typically settle in one business day, so investors trading earlier must arrange alternative settlement to avoid failures.
The minimum investment is one security ($1,000), and maturity is scheduled for July 20, 2028, subject to postponement for market disruptions as detailed in the product supplement.
Threshold Levels and Valuation Methodology
Coupon threshold levels are set at 70% of initial index values: 20,014.862 for Nasdaq-100, 2,073.5519 for Russell 2000, and 5,220.383 for S&P 500. Coupons are forfeited if any index closes below these levels. Call thresholds are 100% of initial values, triggering early redemption if all indices meet or exceed them.
Downside thresholds match coupon thresholds at 70%. Index declines between 70% and 100% result in lost coupons but principal protection; declines below 70% lead to both coupon forfeiture and principal loss, creating tiered investor outcomes based on market performance.
Credit Risk and Issuer Obligations
Payments depend on the creditworthiness of The Bank of Nova Scotia, a major Canadian bank. These senior unsecured notes are not collateralized, so investors bear credit risk and could lose their entire investment if BNS defaults, regardless of index performance.
The securities represent direct obligations of BNS without security interests in underlying assets, combining market risk from index performance with issuer credit risk. Monitoring BNS’s financial health and credit ratings is essential during the two-year term.
Investor Considerations and Return Constraints
These securities suit investors willing to risk receiving no income if indices fall below coupon thresholds during any determination date. The contingent coupon structure means quarterly payments depend entirely on market performance, with no participation in index gains beyond coupons.
Returns are capped at the sum of coupons received, with early redemption paying principal plus final coupon. Significant declines in the worst-performing index can reduce maturity payments substantially, with potential losses exceeding 30% if the index falls below 70% of its initial value.
Market Disruption and Date Adjustments
Product supplement provisions allow postponement of determination and valuation dates for market disruptions or non-trading days, ensuring valuations occur under normal market conditions. Coupon payment dates may also be postponed to business days with operational settlement systems. The maturity date can be delayed for market disruptions, with detailed terms in the product supplement.
Investors should review the full supplement for implications of postponements on payment timing and overall returns.
Regulatory Registration and Legal Documentation
These securities are offered under SEC Registration Statement No. 333-282565, with prospectus, supplements, and product documentation dated November 8, 2024. The July 2026 pricing update is filed as Form 424B2, incorporating all prior disclosures.
The offering is part of BNS’s ongoing structured investment program targeting U.S. and international equities, with comprehensive disclosures ensuring investors are informed of all terms, risks, and conditions prior to purchase.
