Bank of Nova Scotia Issues $7.77 Million S&P 500-Linked Digital Notes Due September 2028 With 15% Principal Buffer

Structure of the S&P 500-Linked Digital Notes and Payment Mechanics

The Bank of Nova Scotia's Digital Notes are structured so that the payment investors receive at maturity depends entirely on where the S&P 500® Index closes on the valuation date, September 18, 2028. The initial level of the index was set at 7,515.34 on the trade date of July 13, 2026. If the index closes on the valuation date at a level equal to or greater than 85.00% of that initial level — which equates to approximately 6,388.04 — investors will receive the maximum payment amount of $1,192.00 for each $1,000 principal amount held, representing a fixed return of 19.2% over the life of the notes regardless of how much higher the index may finish.

Importantly, the notes do not bear interest, and no payments of any kind are made prior to maturity. The return on the notes is linked exclusively to the price return of the S&P 500® Index and does not include any dividend component. The filing makes clear that investors who hold these notes will not participate in dividend distributions from the constituent stocks of the index, nor will they have any shareholder rights of any kind associated with the underlying securities.

Downside Risk and the Buffer Rate Mechanism Explained

While the 15% buffer provides a degree of downside protection, the filing states clearly that if the S&P 500® Index falls by more than 15% from its initial level as measured on the valuation date, investors will experience a negative return. Specifically, the disclosure states that investors will lose approximately 1.1765% of principal for every 1% decline in the index below the 85% threshold. This leveraged loss factor means that losses can accumulate rapidly if the index falls significantly below the buffer level.

The filing further states that in the most adverse scenario — a complete collapse of the S&P 500® Index — investors may lose up to their entire principal amount. The payment formula works as follows for each $1,000 principal amount: investors receive the sum of $1,000 plus the product of $1,000 multiplied by the buffer rate of approximately 117.65% multiplied by the sum of the reference asset return plus 15.00%. This formula reflects the leveraged nature of losses beyond the buffer zone and represents a critical feature that prospective investors need to evaluate carefully before committing capital.

Initial Estimated Value Below the Original Issue Price

The pricing supplement discloses that the initial estimated value of the notes, as determined by The Bank of Nova Scotia's internal pricing models on the trade date, was $990.80 per $1,000 principal amount. This figure is lower than the original issue price of $1,000 per note at which investors purchase the securities. The Bank's disclosure acknowledges this gap and attributes it to factors including the Bank's internal funding rate, assumptions about market parameters, and the economic terms of certain related hedging arrangements.

The filing notes that the Bank's internal funding rate — the rate it would pay to borrow funds through the issuance of similar market-linked notes — is typically lower than the rate it would pay on conventional fixed-rate debt securities. This lower internal funding rate reduces the economic terms of the notes to investors. The practical effect is that on the trade date, each note purchased at $1,000 had an estimated market value of $990.80, meaning investors begin with an embedded cost that is not immediately recovered in the secondary market price.

Secondary Market Pricing and SCUSA's Role as Distributor

Scotia Capital (USA) Inc. ("SCUSA"), an affiliate of The Bank of Nova Scotia, has agreed to purchase the notes from the Bank for distribution to one or more registered broker-dealers. The filing states that SCUSA may act as a market maker for the notes after their initial sale, but stresses that it is under no obligation to do so. The secondary market price at which SCUSA would buy or sell the notes — if it chooses to make a market — is not guaranteed, and investors seeking to exit their positions before maturity may find liquidity limited.

The pricing supplement includes specific detail on how SCUSA's secondary market pricing works across two distinct periods. Prior to October 13, 2026, the price at which SCUSA would buy or sell the notes (excluding customary bid and ask spreads) will equal approximately the then-current estimated value of the notes plus any remaining portion of an additional amount, initially set at $9.20 per $1,000 principal amount, which will decline to zero on a straight-line basis between the time of pricing and October 12, 2026. On and after October 13, 2026, the secondary market price will reflect only SCUSA's then-current estimated value of the notes based on its pricing models, without the additional amount.

The Notes Are Unsecured and Subject to Bank of Nova Scotia Credit Risk

The filing emphasizes that the Digital Notes are unsubordinated and unsecured obligations of The Bank of Nova Scotia. This means that any payment at maturity — including the return of principal — is contingent on the Bank's ability to meet its financial obligations as they come due. In the event of a default or insolvency of The Bank of Nova Scotia, investors would be treated as unsecured creditors and could receive less than their full principal amount or nothing at all, irrespective of the performance of the S&P 500® Index.

The disclosure also makes explicitly clear that the notes are not insured by the Canada Deposit Insurance Corporation under the CDIC Act, nor by the U.S. Federal Deposit Insurance Corporation, nor by any other government agency in Canada, the United States, or any other jurisdiction. This absence of deposit insurance is a material distinction from bank deposits and represents a risk that investors must weigh independently of the index-linked return structure. The notes are also not listed on any U.S. securities exchange or automated quotation system, further reinforcing the liquidity constraints associated with these instruments.

No Dividend Participation and Price Return Only Structure

One of the more consequential features disclosed in the pricing supplement is that the notes are linked solely to the price return of the S&P 500® Index, not the total return. This distinction means that the substantial dividends paid by index constituent companies — which have historically contributed a meaningful portion of long-term equity market returns — are entirely excluded from the notes' performance calculation. Investors in these notes therefore forgo dividend income that they would otherwise receive from a direct investment in the index or an index-tracking fund.

The filing states explicitly that by acquiring the notes, investors will not have any direct economic or other interest in, claim to, or legal or beneficial ownership of any share, unit, or security represented by the S&P 500® Index. Investors also do not acquire any voting rights or entitlements to dividends or other distributions from the companies whose stocks comprise the index. This structural feature is important context when comparing the maximum payment amount of $1,192.00 per $1,000 note against potential returns from alternative equity investments over the same period.

Total Offering Size, Underwriting Terms, and Potential for Additional Issuances

The total principal amount of notes issued in this offering is $7,765,000. The original issue price is 100.00% of principal, and the filing states that underwriting commissions are 0.00%, with the full proceeds of $7,765,000 going to The Bank of Nova Scotia. The filing notes, however, that additional notes may be issued after the pricing date at original issue prices and with commissions and proceeds that may differ from those stated in the current pricing supplement. Investors who purchase notes in secondary market transactions or in later issuances are advised that their return will depend in part on the original issue price they actually pay.

The distribution arrangement involves SCUSA purchasing the notes from the Bank for onward distribution to one or more registered broker-dealers. The filing references potential conflicts of interest in this arrangement, directing readers to the "Supplemental Plan of Distribution (Conflicts of Interest)" section in both the pricing supplement and the accompanying product supplement. The notes were priced on July 13, 2026, and the filing was dated the same day, with the formal submission filed on July 15, 2026.

Valuation Date, Maturity Date, and Measurement Methodology

The filing establishes clear temporal parameters for how performance is assessed. The reference asset return — defined as the percentage increase or decrease in the final level of the S&P 500® Index from the initial level of 7,515.34 — is calculated using only the closing level of the index on the valuation date of September 18, 2028. Importantly, the pricing supplement states that once the initial level has been set, the payment at maturity will not be affected by the closing level of the reference asset on any day other than the valuation date.

This single-observation valuation structure means that the entire investment outcome is determined by one day's closing index level, approximately 26 months from the trade date. The maturity date is September 20, 2028, two business days after the valuation date. This structure concentrates risk around a specific calendar date rather than averaging performance over time, which represents a meaningful structural consideration for investors evaluating the notes relative to other structured products or equity instruments.

Risk Disclosures and Guidance for Prospective Investors

The pricing supplement directs prospective investors to multiple sections of related documentation covering additional risks specific to these notes. These include the "Additional Risks" section beginning on page P-15 of the pricing supplement itself, "Additional Risk Factors Specific to the Notes" beginning on page PS-6 of the accompanying product supplement, and "Risk Factors" beginning on page S-2 of the accompanying prospectus supplement and page 8 of the accompanying prospectus. The filing strongly urges readers to review all of these materials before making an investment decision, indicating the breadth and complexity of the risks involved.

Among the risks highlighted in the filing are those relating to estimated value and liquidity, the credit risk of The Bank of Nova Scotia, the leveraged loss profile beyond the 15% buffer, and the uncertainty of secondary market pricing. The filing also cautions that the actual value of the notes at any time will reflect many factors and cannot be predicted with accuracy. Investors considering these notes must weigh not only the potential for a fixed 19.2% return at maturity if the buffer holds, but also the real possibility of substantial principal loss in a scenario where the S&P 500® Index experiences a decline exceeding 15% through September 18, 2028.