Investor Solutions

BNS U.S. Regional Banking Callable Contingent $6.40 Coupon Notes, Series 1

ISSUE SUMMARY
Product Type: Principal at Risk Note
Fund Code: SSP1266
Issuer: The Bank of Nova Scotia
Issue Date: 2017-05-19 00:00:00.0
Maturity Date: 2022-05-19 00:00:00.0 – 5.0 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 Unit Price on any Autocall Valuation Date is greater than or equal to the Autocall Price. The Notes cannot be automatically called prior to May 22, 2018. If the Closing Unit Price on each Autocall Valuation Date is not greater than or equal to the Autocall Price, the Notes will not be automatically called by the Bank.
Autocall Price: 110% of the Initial Unit Price (the "Autocall" Price)
Autocall Valuation Dates: The Closing Unit Price will be observed on May 15, 2018, November 13, 2018, May 14, 2019, November 13, 2019, May 12, 2020, November 13, 2020, May 13, 2021, November 15, 2021 (each an "Autocall Valuation Date"), and May 13, 2022 (the "Final Valuation Date").


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 Unit Price on the relevant Semi-Annual Coupon Payment Valuation Date is greater than the Barrier Price, the Semi-Annual Coupon Payment will be $3.20 per Note; and
  2. If the Closing Unit Price on the relevant Semi-Annual Coupon Payment Valuation Date is less than or equal to the Barrier Price, no Semi-Annual Coupon Payment will be made.

    The aggregate Semi-Annual Coupon Payments over the term of the Notes will not exceed $32.00. If the Notes are called, investors will receive both the Principal Amount and the Semi-Annual Coupon Payment for the applicable Autocall Valuation Date.

Maturity Redemption Amount: Variable Return, if any, is linked to the performance of the SPDR® S&P® Regional Banking ETF. (See Variable Return Calculation for more details).
Reference ETF: The Reference ETF seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the Underlying Index, which is a modified equally weighted index that seeks to reflect the performance of publicly traded companies that represent the U.S. regional banks and thrifts segment of a broader U.S. equity market index, the S&P Total Market Index. The Underlying Index is currently comprised of eligible common stocks of leading regional banks or thrifts listed on the NYSE or another U.S. national securities exchange, or NASDAQ®/NMS. The Reference Unit is listed on the New York Stock Exchange Arca (NYSE Arca) (the “Exchange”) under the symbol KRE.
  • SPDR S&P Regional Banking

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: 98.7
Term Remaining: 4.5 Years
Annualized Return: -1.3%
Adjusted Cost Base if held since Inception: 100
Current ETC: 1%
ETC End Date: 2018-02-14 00:00:00.0
Indicative Variable Rate of Return at Maturity: 0
Historical Bid Prices: view

MATURITY REDEMPTION AMOUNT CALCULATION

The amount payable on the Notes if they are automatically called by the Bank or at maturity will be calculated by the Calculation Agent in accordance with the formulae below:


i.             If the Closing Unit Price on an Autocall Valuation Date or the Final Valuation Date is greater than or equal to the Autocall Price, the Maturity Redemption Amount will equal:

Principal Amount

ii.            If the Final Unit Price on the Final Valuation Date is greater than the Barrier Price, but less than the Autocall Price, the Maturity Redemption Amount will equal:

Principal Amount

iii.           If the Final Unit Price on the Final Valuation Date is equal to or less than the Barrier Price, the Maturity Redemption Amount will equal:

Principal Amount + (Principal Amount x Index Return)

Where:

Autocall Price: 110% of the Initial Unit Price;

Barrier Price: 70% of the Initial Unit Price;

The Maturity Redemption Amount will be less than the Principal Amount invested by an investor if the Final Unit Price on the Final Valuation Date is equal to or less than the Barrier Price. The return on the Notes will not reflect the total return that an investor would receive if such investor owned the ETF.

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
2017-05-19 00:00:00.0
Current Level
2017-11-21 00:00:00.0
Index Performance Lock-In Date
SPDR S&P Regional Banking 100% 52.48 56.49 7.6410061000%

Coupon Payment History
Payment Date Annualized Yield Payment Per Note
2017-11-19 00:00:00.0 6.4% 3.2
  TOTAL 3.2



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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