Investor Solutions

BNS S&P/TSX Insurance Income and Growth Notes, Series 1

ISSUE SUMMARY
Product Type: Principal at Risk Note
Fund Code: SSP1223
Issuer: The Bank of Nova Scotia
Issue Date: 2017-04-21 00:00:00.0
Maturity Date: 2023-04-21 00:00:00.0 – 6.0 yr term
Principal Payment: The original principal amount invested is not protected (See Maturity Redemption Amount Calculation for more details)


Semi-Annual Coupon Payments: Holders of record on the applicable Semi-Annual Coupon Record Date will be entitled to receive from the Bank on the applicable Semi-Annual Coupon Date a semi-annual coupon payment (the “Semi-Annual Coupon Payment”). The Semi-Annual Coupon Payment will be determined as follows:

  1. If the Closing Index Level on the relevant Semi-Annual Coupon Payment Valuation Date is greater than the Barrier Level, the Semi-Annual Coupon will be $1.50 per Note; and
  2. If the Closing Index Level on the relevant Semi-Annual Coupon Payment Valuation Date is less than or equal to the Barrier Level, no Semi-Annual Coupon Payment will be made.

    The aggregate Semi-Annual Coupon Payments over the term of the Notes will not exceed $18.00. If the Notes are called, holders will receive both the Principal Amount and the Semi-Annual Coupon Payment for the applicable Valuation Date.

Variable Return: The variable return, if any, applicable to the Final Valuation Date will be determined as follows (the “Variable Return”):

  • If the Index Return is positive, a Variable Return will be paid based on the following formula:

    • Principal Amount x Index Return x Participation Rate

  • If the Index Return is negative or equal to 0.00%, then no Variable Return will be paid.
Maturity Redemption Amount: Maturity Redemption Amount is linked to the performance of the S&P/TSX Composite Life & Health Insurance Sub Industry Index (See Maturity Redemption Amount Calculation for more details)
Underlying Index: The Index contains the life and health insurance constituents of the S&P/TSX Composite Index, which is a capitalization-weighted index designed to measure market activity of stocks listed on the TSX. The constituents of this Index are not capped. Index values are calculated and published by Bloomberg independently from the Index Sponsor.
  • S&P/TSX Composite Life & Health Insurance Sub Industry Index

ISSUE DOCUMENTS
Base Shelf Prospectus: English | French
Product Supplement: English | French
Pricing Supplement: English | French
Investor Summary: English | French
CURRENT ISSUE STATUS
Current Bid Price: 96.1
Term Remaining: 5.0 Years
Annualized Return: -3.9%
Adjusted Cost Base if held since Inception: 100
Current ETC: Nil
ETC End Date: 2018-04-17 00:00:00.0
Indicative Variable Rate of Return at Maturity: 1.59753856000000000000
Historical Bid Prices: view

MATURITY REDEMPTION AMOUNT CALCULATION

The amount payable on the Notes at maturity (in each case the “Maturity Redemption Amount”) will be calculated by the Calculation Agent in accordance with the formulae below:


i.             If the Index Return on the Final Valuation Date is greater than the Initial Index Level on the Final Valuation Date, the Maturity Redemption Amount will equal:

Principal Amount + Variable Return

ii.            If the Index Return on the Final Valuation Date is greater than the Barrier Level and less than the Initial Index Level on the Final Valuation Date, the Maturity Redemption Amount will equal:

Principal Amount

iii.            If the Index Return on the Final Valuation Date is less than, or equal to, the Barrier Level on the Final Valuation Date, the Maturity Redemption Amount will equal the actual Index Return (subject to a minimum payment of $1.00 per Note):

Principal Amount + (Principal Amount x Index Return)

Where:

Barrier Level: 80% of the Initial Index Level;

Participation Rate: 100% of any positive Index Return;

The Maturity Redemption Amount may be less than the Principal Outstanding and the Principal Amount invested by an Investor.

The Maturity Redemption Amount will be subject to a minimum principal repayment of $1.00 per Note.


Performance Commentary

Index Performance
Index Weight Initial Level
2017-04-21 00:00:00.0		 Current Level
2018-04-23 00:00:00.0		 Actual Performance Index Performance Lock-In Date
S&P/TSX Composite Life & Health Insurance Sub Industry Index 100% 1251.3 1271.29 1.5975385600% 1.59753856000000000000%
Overall Return         1.59753856000000000000%  
Indicative Variable Return         1.59753856000000000000  

Coupon Payment History
Payment Date Annualized Yield Payment Per Note
2017-10-23 00:00:00.0 3% 1.5
2018-04-23 00:00:00.0 3% 1.5
  TOTAL 3.0



Note: An investment in principal at risk notes may not be suitable for all investors. Important information about these investments is contained in the Base Shelf Prospectus, the Product Supplement and the Pricing Supplement for the note (see above for such documents). Investors should obtain and carefully read a copy of these documents prior to investing, paying particular attention to the associated risks. Past performance is not indicative of future returns. Commissions, trailing commissions, management fees and expenses all may be associated with these investments. None of the Bank, the investment dealers or any of their respective affiliates, or any other person guarantees that investors in the notes will receive an amount equal to their original investment or guarantees that any return will be paid on the notes (subject to a minimum principal repayment of $1.00 per note) at or prior to maturity. Since the notes are not principal protected, it is possible that an investor could lose substantially all of his or her investment in the notes (subject to a minimum principal repayment of $1.00 per note). A person should reach a decision to invest in the notes only after carefully considering with his or her advisor, the suitability of this investment in light of his or her investment objectives and the information set out in the respective documentation.

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