BNS S&P/TSX Banks Autocallable Notes, Series 30F

Transcription

1 BNS S&P/TSX Banks Autocallable tes, Series 30F Principal at Risk tes Due December 7, 2021 vember 4, 2016 A Bank of va Scotia short form base shelf prospectus dated October 31, 2016, a prospectus supplement thereto dated vember 4, 2016 and pricing supplement. 354 thereto dated vember 4, 2016 (together, the Prospectus ) have been filed with the securities regulatory authorities in each of the provinces and territories of Canada. A copy of the Prospectus, and any amendments thereto that have been filed is required to be delivered with this document. The Prospectus, and any amendments thereto, contains important information relating to the securities described in this document. This document does not provide full disclosure of all material facts relating to the securities offered and investors should read the Prospectus, and any amendments thereto, for disclosure of those facts, especially risk factors relating to the securities offered, before making an investment decision. A copy of the short form base shelf prospectus, the prospectus supplement and the pricing supplement can also be obtained at Unless the context otherwise requires, terms not otherwise defined herein will have the meaning ascribed thereto in the Prospectus. GRAPHICAL DESCRIPTION OF PAYOFF Yes Yes Yes Yes Autocall - $ $11.00 per te + 5% of exceeds 11.00% Autocall - $ $22.00 per te + 5% of exceeds 22.00% Autocall - $ $33.00 per te + 5% of exceeds 33.00% Autocall - $ $44.00 per te + 5% of exceeds 44.00% Final Yes Is the Final Index Level greater than or equal to the Initial Index Level? Is the Final Index Level greater than the Barrier Level? Investors receive initial investment reduced by the Index Return (min. principal repayment of $1.00 per te) Yes $ $55.00 per te + 5% of exceeds 55.00% $ per te INVESTMENT HIGHLIGHTS Issuer: The Bank of va Scotia Reference Index*: S&P/TSX Composite Index Banks (Industry Group) Potential Return: The Fixed Return for the 2017 Autocall, Valuation,, 2020 Autocall and the is 11.00%, 22.00%, 33.00%, 44.00% and 55.00%, respectively. The Fixed Return is equivalent to an annualized return of 11.00%, 10.45%, 9.97%, 9.54%, and 9.16%, respectively. Investors may also receive an additional return of 5% of the amount, if any, by which the Index Return exceeds the Fixed Return on the applicable. s: December 1, 2017, December 3, 2018, December 3, 2019, December 1, 2020 and December 1, Barrier Protection: The tes provide contingent downside principal protection at maturity if the Final Index Level is above the Barrier Level (75% of the Initial on the Final. If the Final Index Level is below or equal to the Barrier Level on the Final, an investor in the tes will be fully exposed to any negative price performance of the Index, meaning that substantially all such investor s investment may be lost (subject to a minimum principal repayment of $1.00 per te). * The Index level reflects only the price appreciation or depreciation of the securities of the companies comprising the Index and does not reflect the payment of dividends, distributions or other income or amounts on such securities. The annual dividend yield on the Index as of October 31, 2016, was 3.93%, representing an aggregate dividend yield of approximately 21.26% annually compounded over the approximately 5-year term of the tes on the assumption that the dividends, distributions or other income or amounts paid on the securities comprising the Index remain constant. FundSERV Available Until Issue Maturity Min. Investment (if not called) SSP1158 vember 30, 2016 December 7, 2016 December 7, 2021 CAD $5,000 CONTACT INFORMATION Western Canada Ontario & Eastern Canada Quebec National Todd Thal: Chris Janson: Todd Chalmers: Evelyn Kamiliotis: Stephanie Kirin: Toll Free: The information above must be read in conjunction with the Prospectus.

2 KEY TERMS Issuer: Principal Issue : CUSIP: FundSERV Code: Maturity : Autocall: Minimum Investment: Index: The Bank of va Scotia (the Bank ) $ per te. The tes will be issued on or about December 7, 2016, or such other date as may be agreed between the Bank and Scotia Capital Inc. and Desjardins Securities Inc PN7 SSP1158 December 7, 2021 (approximately a 5 year term), subject to the tes being automatically called by the Bank. The tes will be automatically called (i.e., redeemed) by the Bank and a Variable Return will be paid to investors if the Closing Index Level on any Autocall is greater than or equal to the Initial Index Level. If the Closing Index Level on any Autocall is not greater than or equal to the Initial Index Level, the tes will not be automatically called by the Bank and the Variable Return will not be paid to investors. $5,000 (50 tes) Whether there is a return on the tes through the Variable Return and whether the Principal is returned at maturity is based on the price performance of the S&P/TSX Composite Index Banks (Industry Group). Initial : December 7, 2016 s: Index Return: The Closing Index Level will be observed on December 1, 2017, December 3, 2018, December 3, 2019, December 1, 2020 (each an Autocall ) and on December 1, 2021 (the Final ), provided, in each case, that if such day is not an Exchange Business Day then the Autocall or the Final, as the case may be, will be the immediately preceding Exchange Business Day, subject to the occurrence of a Market Disruption Event. Investors of record on the Business Day prior to an Autocall and the Maturity, as applicable, will be entitled to an amount payable on the tes if they are automatically called by the Bank or at maturity will be calculated as follows: If the Closing Index Level on an Autocall or the Final is greater than or equal to the Initial Index Level, the will equal: Principal + Variable Return If the Index Return on the Final is less than 0.00% and the Final Index Level is greater than the Barrier Level on the Final, the will equal: Principal If the Final Index Level is equal to or less than the Barrier Level on the Final, the will equal: Principal + (Principal x Index Return) The may be substantially less than the Principal invested by an investor. The Maturity Redemption will be subject to a minimum principal repayment of $1.00 per te. Final Index Level Initial Index Level Initial Index Level Closing Index Level: Initial Index Level: Final Index Level: Barrier Level: Variable Return: Listing and Secondary Market: The official closing level or value of the Index on a given day as calculated and announced by the Index Sponsor on an Exchange Business Day. The Closing Index Level on the Initial, provided that if the Initial is not an Exchange Business Day, the Initial Index Level will be determined as of the first succeeding day that is an Exchange Business Day. The Closing Index Level on an Autocall or the Final, as the case may be. 75% of the Initial Index Level. The Variable Return, if any, applicable to each respective will be calculated using the following formula: Principal x (Fixed Return + Additional Return) Final Fixed Return 11.00% 22.00% 33.00% 44.00% 55.00% Additional Return (if Index Return > Fixed Return) (Index Return less 11.00%) x 5% (Index Return less 22.00%) x 5% (Index Return less 33.00%) x 5% (Index Return less 44.00%) x 5% (Index Return less 55.00%) x 5% The Fixed Return for the, the, the, the 2020 Autocall and the FInal is equivalent to an annualized return of 11.00%, 10.45%, 9.97%, 9.54% and 9.16%, respectively. The tes will not be listed on any exchange or marketplace. Scotia Capital Inc. will use reasonable efforts under normal market conditions to provide a daily secondary market for the sale of the tes but reserves the right to elect not to do so, in its sole and absolute discretion, without prior notice to investors. Eligibility for Investment: RRSPs, RRIFs, RESPs, RDSPs, DPSPs and TFSAs Fees and Expenses: There is no selling concession fee payable to the Investment Dealers in respect of the tes. A fee of up to $0.15 per te sold (or up to 0.15% of the Principal ) will be payable directly by the Bank to Desjardins Securities Inc. for acting as independent agent.

3 HYPOTHETICAL EXAMPLES Values for hypothetical calculations: Initial Index Level: 2, Barrier Level: 75% of the Initial Index Level = 75% x 2, = 1, Example One Scenario: The tes are not automatically called on an Autocall as the Closing Index Level on each Autocall Valuation is less than the Initial Index Level, and the Final Index Level is equal to or less than the Barrier Level on the Final. 1, (Final Index Return: -5.05% (Actual) % (Actual) % (Actual) % (Actual) % (Actual) $50.33 per te In this example, an investor would receive the of $50.33 per te, which is equivalent to a compound annual return of approximately % on the tes. Example Two Scenario: The tes are not automatically called on an Autocall as the Closing Index Level on each Autocall Valuation is less than the Initial Index Level, and the Index Return on the Final is less than 0.00% but the Final Index Level is greater than the Barrier Level on the Final. 2, (Final Index Return: -5.05% (Actual) % (Actual) % (Actual) % (Actual) % (Actual) $ per te In this example, an investor would receive the of $ per te, which is equivalent to a compound annual return of 0.00% on the tes. Example Three Scenario: The tes are not automatically called on an Autocall as the Closing Index Level on each Autocall Valuation is less than the Initial Index Level. The Closing Index Level on the Final is greater than or equal to the Initial Index Level but no Additional Return is paid because the Index Return is less than or equal to the Fixed Return. 2, (Final Index Return: -5.05% (Actual) % (Actual) % (Actual) % (Actual) 2.08% (Actual) $ per te In this example, an investor would receive the of $ per te, which is equivalent to a compound annual return of approximately 9.16% on the tes. These examples are for illustrative purposes only and should not be construed as an estimate or forecast of the performance of the Index or the return that an investor might realize on the tes. The Index Return will be calculated based on the price return of the Index, which will not reflect the value of any dividends, distributions or other income or amounts accruing on the constituent securities of the Index. All dollar amounts are rounded to the nearest whole cent.

4 HYPOTHETICAL EXAMPLES Example Four Scenario: The tes are not automatically called on the or the. The tes are automatically called in 2019 as the Closing Index Level on the is greater than or equal to the Initial Index Level and an Additional Return is paid because the Index Return is greater than the Fixed Return. Closing Index Level: 2, , , (Autocall) Index Return: -5.05% (Actual) % (Actual) 39.24% (Actual) $ per te In this example, an investor would receive the of $ per te, which is equivalent to a compound annual return of approximately 10.06% on the tes. Example Five Scenario: The tes are automatically called in 2017 as the Closing Index Level on the is greater than or equal to the Initial Index Level but no Additional Return is paid because the Index Return is less than or equal to the Fixed Return. Closing Index Level: 2, (Autocall) Index Return: 6.00% (Actual) $ per te In this example, an investor would receive the of $ per te, which is equivalent to a compound annual return of 11.00% on the tes. These examples are for illustrative purposes only and should not be construed as an estimate or forecast of the performance of the Index or the return that an investor might realize on the tes. The Index Return will be calculated based on the price return of the Index, which will not reflect the value of any dividends, distributions or other income or amounts accruing on the constituent securities of the Index. All dollar amounts are rounded to the nearest whole cent.

5 DISCLAIMER securities regulatory authority has in any way passed upon the merits of securities referred to herein and any representation to the contrary is an offence. The tes are not principal protected (subject to a minimum principal repayment of $1.00 per te) and an investor may receive substantially less than the original principal amount at maturity. A person should reach a decision to invest in the tes only after carefully considering, with his or her investment, legal, accounting, tax and other advisors, the suitability of the tes in light of his or her investment objectives and the information set out in the Prospectus. The Bank, the Calculation Agent, Scotia Capital Inc. and Desjardins Securities Inc. make no recommendation as to the suitability of the tes for investment by any particular person. The tes have not been, and will not be, registered under the United States Securities Act of 1933, as amended (the 1933 Act ), or any State securities laws and, subject to certain exceptions, may not be offered for sale, sold or delivered, directly or indirectly, in the United States, its territories or possessions or to or for the account or benefit of U.S. persons within the meaning of Regulation S under the 1933 Act. In addition, the tes may not be offered or sold to residents of any jurisdiction or country in Europe. Scotiabank, Scotiabank Global Banking and Markets, Scotia Capital Inc. and the flying S logo are registered trademarks of The Bank of va Scotia. s paid to holders of tes will depend on the performance of underlying interests. Unless otherwise specified in the Prospectus, the Bank does not guarantee that any of the principal amount of tes will be paid at maturity or that any return will be paid on tes (subject to a minimum principal repayment of $1.00 per te). Purchasers could lose substantially all of their investment in tes (subject to a minimum principal repayment of $1.00 per te). tes are not appropriate investments for persons who do not understand the risks associated with structured products or derivatives. A purchaser of tes will be exposed to fluctuations and changes in the levels of the Index to which the tes are linked. Index levels may be volatile and an investment linked to index levels may also be volatile. Purchasers should read carefully the Risk Factors sections in the Prospectus. The tes will not constitute deposits under the Canada Deposit Insurance Corporation Act. The tes have not been rated and will not be insured by the Canada Deposit Insurance Corporation or any other entity and therefore the payments to investors will be dependent upon the financial health and creditworthiness of the Bank. Scotia Capital Inc. is a wholly owned subsidiary of the Bank. Consequently, the Bank is a related and connected issuer of Scotia Capital Inc. within the meaning of applicable securities legislation. See Plan of Distribution in the Prospectus. The information contained herein, while obtained from sources believed to be reliable, is not guaranteed as to its accuracy or completeness. INDEX SPONSOR The tes are not sponsored, endorsed, sold or promoted by Standard & Poor s. Standard & Poor s makes no representation or warranty, express or implied, to the owners of the tes or any member of the public regarding the advisability of investing in securities generally or in the tes particularly, or the ability of the Standard & Poor s Index to track general stock market performance. Standard & Poor s only relationship to the Bank is the licensing of certain trademarks and trade names of Standard & Poor s and of the Standard & Poor s Index which is determined, composed and calculated by Standard & Poor s without regard to the Bank or the tes. Standard & Poor s has no obligation to take the needs of the Bank or the owners of the tes into consideration in determining, composing or calculating the Index. Standard & Poor s is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the tes to be issued or in the determination or calculation of the equation by which the tes are to be converted into cash. Standard & Poor s has no obligation or liability in connection with the administration, marketing or trading of the tes. STANDARD & POOR S DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN AND STANDARD & POOR S SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. STANDARD & POOR S MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE BANK, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN. STANDARD & POOR S MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL STANDARD & POOR S HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. Standard & Poor s, S&P and S&P/TSX Composite are trademarks of Standard & Poor s Financial Services LLC and have been licensed for use by the Bank. The tes are not sponsored, endorsed, sold or promoted by S&P and S&P makes no representation regarding the advisability of investing in the tes.