Bank of Nova Scotia Issues $5.097 Million Autocallable Notes Linked to Tech and Broad Market ETFs

Structure and Automatic Call Features of the Linked Notes

The Bank of Nova Scotia's newly issued notes contain an automatic call feature that activates if the closing value of each reference asset reaches or exceeds its initial value on any designated call observation date. Should this occur, investors receive a cash payment per note equal to the principal amount plus any contingent coupon otherwise payable on the corresponding contingent coupon payment date, along with any accrued unpaid contingent coupons. Following automatic call execution, no further payments are made on the notes, effectively terminating the investor's exposure to the underlying assets.

The notes are structured as unsubordinated and unsecured debt obligations of the Bank, meaning they carry full credit risk of the issuer. All payments and deliveries depend on the Bank's creditworthiness and ability to meet its obligations. The notes do not constitute direct ownership in the Invesco QQQ Trust shares or State Street SPDR S&P 500 ETF Trust shares, nor do investors hold voting rights, dividend entitlements, or other ownership interests in either reference asset unless and until physical delivery occurs at maturity.

Contingent Coupon Payment Mechanics and Memory Feature

The notes incorporate a contingent coupon structure with a memory feature, meaning if the closing value of either reference asset falls below its contingent coupon barrier value on any observation date prior to final valuation, the coupon for that period does not pay on the scheduled date but instead accumulates as an unpaid contingent coupon. These unpaid coupons become payable on the next contingent coupon payment date when a contingent coupon otherwise becomes payable, if such a date occurs before maturity.

The contingent coupon is payable only when the closing value of each reference asset equals or exceeds its contingent coupon barrier value on a contingent coupon observation date and the notes have not been automatically called. The filing does not disclose the specific coupon rate, barrier level, or observation dates in numerical terms. This design creates scenarios where investors may receive no coupon payments if performance conditions are not met, and the memory feature ensures that missed payments accumulate and may be paid later if conditions improve.

Maturity Settlement Based on Least Performing Reference Asset

If the notes remain uncalled through maturity, the payment at maturity depends solely on the performance of the reference asset with the lowest percentage change from its initial value to its final value—designated as the least performing reference asset. This structure means investors' ultimate payoff is determined by whichever of the two assets (Invesco QQQ Trust or State Street SPDR S&P 500 ETF Trust) performs worse over the note term, introducing asymmetric downside risk concentrated in the weaker performer.

If the final value of the least performing reference asset equals or exceeds its barrier value at maturity, investors receive cash equal to the principal amount plus any contingent coupon due on the final valuation date and any accrued unpaid contingent coupons. However, if the final value falls below the barrier value, investors receive a number of shares (or cash in lieu of fractional shares) of the least performing reference asset equal to the physical delivery amount per note, which exposes them to potential loss of up to 100% of the principal amount invested.

Reference Assets and Market Linkage

The notes are linked to two widely recognized exchange-traded funds: the Invesco QQQ Trust, Series 1, which tracks the Nasdaq-100 index and emphasizes technology and growth stocks, and the State Street SPDR S&P 500 ETF Trust, which tracks the broad-market S&P 500 index. By tying the notes to the least performing of these two assets, the structure creates exposure to the asset that underperforms relative to its starting price, rather than the stronger performer.

The choice of these reference assets reflects market interest in both technology-focused and diversified broad-market equity exposure. The Invesco QQQ Trust provides concentration in technology and high-growth sectors, while the State Street SPDR S&P 500 ETF Trust offers diversification across the 500 largest U.S. companies spanning all major sectors. The use of two reference assets with different risk and return characteristics means the notes' outcome depends on the relative performance gap between these two distinct market segments.

Pricing, Commissions, and Initial Valuation

The notes were priced on July 16, 2026, with an original issue price of 100% per note and a total offering size of $5,097,000. Scotia Capital (USA) Inc., an affiliate of the Bank, agreed to purchase the entire offering at par and resell it to Citigroup Global Markets Inc., with underwriting commissions of 1.50% totaling $76,455. The Bank of Nova Scotia received net proceeds of $5,020,545 after deducting these commissions, representing 98.50% of the original issue price.

The initial estimated value of the notes at the time terms were set on the trade date was $977.21 per $1,000 principal amount, representing approximately 97.7% of the $1,000 original issue price. This valuation gap reflects the Bank's internal pricing models incorporating the Bank's internal funding rate, underwriting costs, and hedging arrangements. The Bank notes that its internal funding rate is typically lower than the rate it would pay for conventional fixed-rate debt securities, which the Bank characterizes as reducing economic terms available to investors.

Investment Minimums, Settlement Terms, and Identification

Investors in the notes must commit a minimum of $1,000 with integral multiples of $1,000 in excess thereof. The notes traded on July 16, 2026, and settled on July 21, 2026, providing a standard five-day settlement period. The CUSIP identifier for the notes is 063941BA5, with the corresponding ISIN designation US063941BA56, enabling investors and brokers to track and reference the securities in trading systems and custodial accounts.

The notes have an approximate 18-month term from settlement to their stated maturity of January 21, 2028, subject to early termination through automatic call if market conditions trigger the call mechanism on any observation date before that final date. The notes will not be listed on any U.S. securities exchange or automated quotation system, limiting liquidity to secondary trading conducted through brokers and market makers, primarily through the Bank's affiliate Scotia Capital (USA) Inc.

Credit Risk, Lack of Government Insurance, and Structural Limitations

The notes are unsubordinated and unsecured obligations of The Bank of Nova Scotia, meaning they rank equally with other unsecured debt but are not backed by specific collateral and rank below secured creditors in the event of the Bank's financial distress or failure. All payments and deliveries on the notes are entirely subject to the Bank's credit risk, and investors have no recourse beyond the Bank's general creditworthiness. The notes are not insured by the Canada Deposit Insurance Corporation under the CDIC Act, nor are they covered by the U.S. Federal Deposit Insurance Corporation or any other government insurance scheme in Canada, the United States, or any other jurisdiction.

Investors should recognize that the notes do not guarantee any interest payments, and contingent coupon payments may not be made if performance barriers are not satisfied. The structure allows for the possibility that investors receive no income during the note term if the underlying assets do not meet coupon payment conditions. Additionally, the notes are derivative products that do not provide direct investment in the underlying ETFs or their constituent stocks, eliminating any voting rights, dividend participation, or ownership claims that would accompany direct equity ownership.

Valuation Risk and Secondary Market Considerations

The Bank acknowledges that the actual value of the notes at any time will reflect many factors and cannot be predicted with accuracy. The pricing supplement warns that the initial estimated value of $977.21 per $1,000 principal represents a substantial discount to the original issue price, highlighting the gap between what investors pay and what the Bank's internal models suggest the notes are worth at inception. This valuation gap reflects various costs and the Bank's internal funding assumptions embedded in the offering price.

The Bank's affiliate Scotia Capital (USA) Inc. may engage in market-making transactions in the notes after their initial sale, potentially buying and selling notes in the secondary market. This role creates potential conflicts of interest, as the affiliate may profit from spreads between bid and ask prices or from hedging activities related to notes it holds. The pricing supplement notes that unless explicitly stated otherwise in the sales confirmation, market-making transactions should be assumed when SCUSA, the Bank, or another affiliate sells notes.

Risk Considerations and Investor Protections

Investment in the notes involves substantial risks that warrant careful consideration before purchase. The documents reference additional risks detailed in supplemental sections, including risks relating to estimated value and liquidity beginning on page P-16 of the pricing supplement, additional risks specific to the notes on page PS-6 of the accompanying product supplement, and general risk factors on page S-2 of the accompanying prospectus supplement and page 8 of the accompanying prospectus. Investors should thoroughly review these sections to understand the full range of potential outcomes.

The ability to recover principal or receive positive returns depends on the performance of the least-performing of two equity-linked assets, contingent coupon conditions, and the Bank's continued creditworthiness. The possibility of 100% principal loss exists if the final value of the least performing reference asset falls below its barrier value, and investors would receive shares of that asset rather than cash at maturity. Investors should also understand that liquidity in the secondary market for the notes may be limited, and any attempt to sell before maturity may result in significant price concessions.