Bank of Nova Scotia Issues $1.14 Million Autocallable Notes Linked to Russell 2000 Index

Autocallable Structure and Early Redemption Mechanism

The Notes incorporate an autocallable feature that provides for early redemption if the Russell 2000 Index reaches a specific performance threshold. The disclosure states that if the Closing Value of the Reference Asset on the Review Date equals or exceeds 100% of the Initial Value, the Notes will be automatically called. When an automatic call occurs, investors will receive a cash payment per Note equal to the Principal Amount plus a Call Premium of $138.50, representing a 13.85% premium on the $1,000 principal amount. Once an automatic call is executed, no further amounts will be owed on the Notes.

This autocallable mechanism is designed to cap the maturity of the Notes at approximately 60 months if the index does not reach the call threshold prior to that date. The automatic call feature essentially transfers timing risk to investors, as the Notes can terminate early if market conditions favor the index performance. Investors should understand that receiving the call premium represents the maximum return on the Notes if the index performs as required to trigger the call feature, with no additional upside participation beyond that point.

Participation Rate and Upside Return Potential

For investors whose Notes do not trigger an automatic call, the disclosure outlines the return structure based on the performance of the Russell 2000 Index at maturity. If the Notes remain outstanding through the Final Valuation Date and the Closing Value of the Reference Asset is greater than the Initial Value, investors will receive a return at maturity equal to 125% multiplied by any positive performance of the Reference Asset. This 125% participation rate means that investors benefit from index appreciation at a leveraged rate, capturing one and one-quarter times the positive returns of the index.

The filing emphasizes that this enhanced participation applies only if positive performance occurs and the Notes have not been called early. The structure allows investors to capture upside market movement with leverage while simultaneously accepting downside risk below the barrier level. The enhanced participation rate is a key feature distinguishing these Notes from a direct investment in the index itself, as it amplifies gains in favorable market conditions.

Barrier Protection and Downside Risk Parameters

The Notes incorporate a contingent barrier protection mechanism that shields investors from partial losses under specific circumstances. The disclosure states that if the Notes are not automatically called and the Final Value is equal to or less than the Initial Value but equal to or greater than 75% of the Initial Value (the Barrier Value), investors will receive the full Principal Amount at maturity with no gain or loss. This barrier level effectively provides a floor that protects against losses on index depreciation of up to 25%.

However, if the Notes are not called and the Final Value falls below the Barrier Value of 75%, investors will suffer a loss equal to the depreciation of the Reference Asset, with potential losses reaching up to 100% of the Principal Amount. This worst-case scenario represents a significant downside risk that investors must acknowledge. The barrier protection is conditional rather than absolute, providing protection only within the specified range and exposing investors to substantial loss if the index declines more than 25% from its initial level.

Credit Risk and Unsecured Debt Status

The disclosure emphasizes that the Notes are unsubordinated and unsecured debt securities of The Bank of Nova Scotia, meaning that all payments on the Notes are subject to the credit risk of the Bank. Investors in these Notes have no claim on any collateral and are exposed to the full credit risk of the issuer. The filing explicitly states that any payment on the Notes is subject to the creditworthiness of the Bank, making the issuer's financial condition a critical factor in determining whether investors will receive promised payments.

The Notes are not insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation, or any other government agency in Canada, the United States, or any other jurisdiction. This lack of governmental protection means investors bear the complete credit risk without any safety net beyond the Bank's general creditworthiness and claims against its assets. The uninsured status distinguishes these Notes from traditional bank deposits and represents a material risk factor that differentiates them from other investment options.

Pricing Terms and Investor Cost Structure

The Notes were offered at an Original Issue Price of 100%, or $1,000 per Principal Amount, with a total offering size of $1.14 million. The disclosure indicates that underwriting commissions totaled 2.50% per Note, amounting to $28,500 in aggregate, leaving net proceeds to The Bank of Nova Scotia of 97.50%, or $1.11 million. These pricing terms reflect the costs associated with structuring, distributing, and hedging the Notes in the secondary market.

The Bank provided an initial estimated value for the Notes at $966.62 per $1,000 Principal Amount as of the Trade Date of July 15, 2026. This estimated value was approximately $33.38 per note below the Original Issue Price of $1,000, reflecting the Bank's internal pricing model assumptions regarding its funding rate, market parameters, underwriting costs, and hedging expenses. The disclosure explains that the Original Issue Price exceeds the estimated value because it incorporates the Bank's internal funding rate, which the Bank characterizes as typically lower than rates paid on conventional fixed-rate debt securities, thereby reducing economic terms for investors.

Valuation Adjustments and Secondary Market Considerations

The filing discloses that the price at which Scotia Capital (USA) Inc., the Bank's affiliate, may buy or sell the Notes in the secondary market could temporarily exceed the Bank's estimated value on the Trade Date. The disclosure states that this temporary price advantage, expected to last approximately three months after the Original Issue Date, may reflect the Bank's discretionary decision to effectively reimburse investors a portion of estimated hedging costs and other structural costs that the Bank will no longer expect to incur over the remainder of the Notes' term. The Bank emphasized that the amount of such reimbursement may not be allocated ratably throughout the reimbursement period and may be discontinued or revised based on market conditions at the Bank's discretion.

Investors should understand that the actual value of the Notes at any time will reflect many factors and cannot be predicted with accuracy. The filing cautions that secondary market prices will be determined by Scotia Capital's own pricing models and are subject to change based on market conditions. The Notes will not be listed on any U.S. securities exchange or automated quotation system, meaning liquidity may be limited and dependent on Scotia Capital's willingness to make a market in the Notes.

Settlement Timeline and Investment Minimums

The Notes were traded on July 15, 2026, and will settle on July 20, 2026, establishing the trade and settlement dates for the offering. The disclosure specifies that the Notes will have a term of approximately 60 months if not automatically called prior to maturity, with a final maturity date of July 18, 2031. Investors should note that the settlement date of July 20, 2026, represents the date on which ownership of the Notes transfers and payment obligations commence.

The minimum investment requirement for the Notes is $1,000, with purchases required in integral multiples of $1,000 in excess thereof. This minimum investment level, combined with the integral multiple requirement, establishes the granularity for investor participation. The Notes are identified by CUSIP number 063941CB2 and ISIN US063941CB21, enabling investors to track and reference the securities through standard financial databases and trading systems.

Derivative Nature and Lack of Underlying Asset Ownership

The disclosure emphasizes that the Notes are derivative products based on the price return of the Russell 2000 Index and that investors do not acquire direct ownership of the underlying index constituents or any economic interest in them. By acquiring the Notes, investors will not have any direct economic or other interest in, claim on, or entitlement to any Russell 2000 constituent stocks or any rights associated with such ownership, including voting rights or rights to receive dividends or other distributions. The Notes represent contractual obligations of the Bank linked to index performance rather than ownership stakes in the companies comprising the index.

Investors should recognize that they are purchasing a structured debt security whose value and return profile derive from index performance but whose risks include both market risk and issuer credit risk. The Notes do not pay interest or coupons prior to maturity, meaning that the entire return depends on either the automatic call at 113.85% of principal or the final index-linked payment at maturity. This structure concentrates investor returns into specific trigger events or the maturity date, with no interim cash flows.

Distribution Arrangements and Market-Making Activities

The filing discloses that Scotia Capital (USA) Inc., the Bank's affiliate, has agreed to purchase the Notes from the Bank at par and to sell them to other registered broker-dealers at a discount of $25.00, or 2.50% per Principal Amount. This arrangement establishes Scotia Capital as the primary distributor and indicates its role in distributing the Notes through broker-dealer channels. The disclosure notes that Scotia Capital may use the pricing supplement in market-making transactions in the Notes after their initial sale and may elect to make a market in the Notes, though it is not obligated to do so.

Unless the Bank, Scotia Capital, or another affiliate informs investors otherwise in the confirmation of sale, the pricing supplement should be understood as being used in a market-making transaction context. This language alerts investors that secondary market trading, if available, would be conducted through Scotia Capital or affiliated entities and would reflect their internal pricing models rather than exchange-based pricing mechanisms. Investors considering purchasing these Notes should inquire about secondary market liquidity and bid-ask spreads available from Scotia Capital.

Risk Disclosure and Regulatory Status

The disclosure contains explicit warnings that investment in the Notes involves certain risks, directing investors to comprehensive risk sections beginning on page P-8 of the pricing supplement, pages PS-6 of the accompanying product supplement, page S-2 of the accompanying prospectus supplement, and page 8 of the accompanying prospectus. The filing emphasizes risks relating to estimated value and liquidity, noting that the initial estimated value of $966.62 per note is significantly below the Original Issue Price of $1,000, reflecting structural costs and the Bank's funding assumptions that reduce economic terms offered to investors.

The SEC has not approved or disapproved of the Notes or passed upon the accuracy or adequacy of the pricing supplement, product supplement, underlier supplement, prospectus supplement, or prospectus. The filing clarifies that this regulatory non-approval is standard in the SEC registration process and should not be interpreted as endorsement or disapproval of the offering. Investors should carefully review all risk disclosures in the accompanying documents before committing capital to these Notes.