|Product Type:||Principal at Risk Note|
|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)
Autocall Feature: The Notes will be automatically called (i.e., redeemed) by the Bank if the Closing Index Level on any Autocall Valuation Date or the Final Valuation Date is greater than or equal to the Autocall Level. If the Closing Index Level on each Autocall Valuation Date and the Final Valuation Date is not greater than or equal to the Autocall Level, the Notes will not be automatically called by the Bank.
Autocall Level: 110% of the Initial Index Level (the "Autocall" Level) Autocall Valuation Dates: The Closing Index Level will be observed on October 16, 2018, April 15, 2019, October 15, 2019, April 15, 2020, October 15, 2020, April 15, 2021, October 15, 2021, April 14, 2022, October 17, 2022 (each an "Autocall Valuation Date"), and April 17, 2023 (the "Final Valuation Date").
|Variable Return:||Variable Return, if any, is linked to the performance of the Russel 2000™ Index (See Variable Return Calculation for more details)|
|Underlying Index:||The Russell 2000® Index, is an index calculated, published and disseminated by Russell, and measures the composite price performance of stocks of 2,000 companies in the U.S. equity market. The Index is designed to track the performance of the small capitalization segment of the U.S. equity market and it includes approximately 2,000 of the smallest securities that form the Russell 3000® Index. The Russell 3000® Index is comprised of the 3,000 largest companies, or 98% based on market capitalization, of the investable U.S. equity market. The Russell 2000 Index® represents approximately 10% of the total market capitalization of the Russell 3000® Index.
|MATURITY REDEMPTION AMOUNT CALCULATION|
The amount payable on the Notes if they are automatically called by the Bank or at maturity (in each case the “Maturity Redemption Amount”) will be calculated by the Calculation Agent in accordance with the formulae below:
ii. 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)
Barrier Level: 75% of the Initial Index Level;
Autocall Level: 110% of the Initial Index Level;
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.
|Index Performance||Lock-In Date|
|Russell 2000 Index||100%||1379.85||1379.854||0.0002898900%|
|Indicative Variable Return||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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