The Notes will not constitute deposits insured under the Canada Deposit Insurance Corporation Act.

Transcription

1 Amended and Restated Pricing Supplement No. 222 to the Short Form Base Shelf Prospectus dated December 19, 2014 and the Prospectus Supplement thereto dated January 5, No securities regulatory authority has expressed an opinion about these securities and it is an offence to claim otherwise. This amended and restated pricing supplement together with the short form base shelf prospectus dated December 19, 2014 and the prospectus supplement dated January 5, 2015 to which it relates, as supplemented, and each document incorporated by reference into such prospectus, constitutes a public offering of these securities only in those jurisdictions where they may be lawfully offered for sale and therein only by persons permitted to sell such securities. The securities to be issued hereunder have not been, and will not be, registered under the United States Securities Act of 1933, as amended and, subject to certain exceptions, may not be offered, sold or delivered, directly or indirectly, in the United States of America or for the account or benefit of U.S. persons. January 12, 2016 The Bank of Nova Scotia Senior Notes (Principal at Risk Notes) Equity Linked Notes BNS Core Canadian Financials ROC Notes, Series 1A and 1F Maximum $50,000,000 (500,000 Notes) Due February 22, 2021 Principal at Risk Notes The Bank of Nova Scotia (the Bank ) is offering up to $50,000,000 Core Canadian Financials ROC Notes, Series 1A and Series 1F (the Notes ). The Notes are designed for investors who are seeking an investment product with exposure to an equally-weighted notional portfolio (the Notional Portfolio ) composed of four out of six Canadian chartered bank stocks. Every quarter, the portfolio will be rebalanced to exclude the highest and lowest dividend yielding banks stocks from the Notional Portfolio. The Notes are designed to provide investors with Quarterly Partial Principal Repayments and a Variable Return at the Maturity Date based on the performance of the Notional Portfolio. The return of the Notes will reflect the performance over an approximately five-year term of a Notional Portfolio selected from the common shares (the Underlying Securities and each an Underlying Security ) of Bank of Montreal, Canadian Imperial Bank of Commerce, National Bank of Canada, Royal Bank of Canada, The Toronto Dominion Bank and The Bank of Nova Scotia (each an Issuer ). The Notional Portfolio will be selected based on the most recently announced gross dividend, annualized, and then divided by the closing market price (the Indicated Dividend Yield ) of the Underlying Securities as at the last Exchange Business Day of the most recent calendar quarter. The investment strategy (the Strategy ) for the Notional Portfolio will be to exclude the Underlying Securities with the highest and lowest Indicated Dividend Yield from the Notional Portfolio. The remaining four Underlying Securities will be equally weighted in the Notional Portfolio. The Strategy will be updated by the Calculation Agent on the Quarterly Valuation Date, and any necessary adjustments will be made to the Notional Portfolio. While the actual weightings of Underlying Securities in the Notional Portfolio may vary depending on market performance, the Notional Portfolio will be rebalanced back to equal weighting on a quarterly basis. The Notes are designed to provide investors with Quarterly Partial Principal Repayments calculated quarterly and payable on the second Exchange Business Day following the Quarterly Valuation Date. Such amounts will be equivalent to any cash dividends and distributions declared payable on the Underlying Securities held in the Notional Portfolio. The maximum aggregate Quarterly Partial Principal Repayments over the term of the Notes will be $99.00 per Note. Any cash dividends and distributions in excess of this amount, and any non-cash dividends and distributions, will be reinvested in the Notional Portfolio on the second Exchange Business Day following the relevant Quarterly Valuation Date. See Quarterly Partial Principal Repayments.

2 At maturity, investors will receive a Variable Return based on the performance of the Underlying Securities held in the Notional Portfolio. The Maturity Redemption Amount payable to each holder of Series 1A Notes will equal the Series 1A NAV per Note and the amount payable to each holder of Series 1F Notes will equal the Series 1F NAV per Note (subject in each case to a minimum principal repayment of $1.00 per Note). The Series NAV per Note will differ and will vary through the term and the Notional Portfolio Value will not be determinable before the Final Valuation Date. The Series NAV per Note reflects the deduction of fees and expenses associated with the offering and the management of the Notional Portfolio. If the value of the Notional Portfolio decreases or does not increase sufficiently an investor will receive less than the amount they invested in the Notes and could lose some or substantially all of their investment in the Notes. See Suitability for Investment in this amended and restated pricing supplement (the pricing supplement ). The Notional Portfolio is notional only, meaning the Underlying Securities in the Notional Portfolio will be used solely as a reference to calculate the Maturity Redemption Amount. An investment in the Notes does not represent a direct or indirect investment in the Underlying Securities comprising the Notional Portfolio, and investors do not have an ownership or any other interest (including voting rights or the right to receive dividends or distributions) in respect of such Underlying Securities. All actions (e.g., purchases, sales, liquidations, dividends and distributions) taken in connection with the Notional Portfolio are notional actions only. The Notes described in this pricing supplement will be delivered together with the Bank s short form base shelf prospectus dated December 19, 2014 establishing the Bank s senior (principal at risk) note program (the base shelf prospectus ) and a prospectus supplement, which generally describes equity and unit linked Notes that may be offered under such program, dated January 5, 2015 (the product supplement ). The Notes will not constitute deposits insured under the Canada Deposit Insurance Corporation Act. An investment in the Notes involves risks. The Notes are only appropriate investments for persons who understand the risks associated with structured products and derivatives. The Notes are considered to be specified derivatives under applicable Canadian securities laws. An investment in the Notes does not represent a direct or indirect investment in the Underlying Securities comprising the Notional Portfolio, and investors do not have an ownership or any other interest (including voting rights or the right to receive dividends or distributions) in respect of such securities. A purchaser of Notes will be exposed to fluctuations and changes in the levels of the Notional Portfolio of Underlying Securities to which the Notes are linked. Securities prices may be volatile and an investment linked to a Notional Portfolio may also be volatile. 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. The Maturity Redemption Amount will depend on the performance of the Notional Portfolio. 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). See Risk Factors. Price: $ per Note Minimum Subscription: $5,000 (50 Notes) Price to Public Investment Dealer Fees (2) Net Proceeds to the Bank Per Series 1A Note... $ $2.00 $98.00 Per Series 1F Note... $ Nil $ Total (1)... $50,000,000 $1,000,000 $49,000,000 (1) Reflects the maximum offering size for the Notes. There is no minimum amount of funds that must be raised under this offering. This means that the Bank could complete this offering after raising only a small proportion of the offering amount set out above. PS222-2

3 (2) A selling concession fee of $2.00 per Series 1A Note sold (or 2.00% of the Principal Amount) will be payable to the Investment Dealers for further payment to representatives employed by the Investment Dealers whose clients purchase the Notes. A fee of up to $0.15 per Note sold (or up to 0.15% of the Principal Amount) will be payable directly by the Bank to Manulife Securities Incorporated at closing for acting as an independent agent. The Series 1A Notes are intended for purchase within a regular investment account while the Series 1F Notes are available to investors who participate in programs that already charge a fee for the investment advice they are receiving rather than commissions on each transaction and who purchase the Notes under such programs. The decision to offer the Notes pursuant to this pricing supplement has been taken independently of any decision by the Bank to purchase common shares of the Underlying Securities Issuers in the primary or secondary market. Except with respect to any hedging activities in which the Bank engages with respect to its obligations under the Notes, any decision by the Bank to purchase the common shares of the Underlying Securities Issuers in the primary or the secondary market will have been taken independently of the Bank s decision to offer the Notes pursuant to this pricing supplement. The Bank s employees involved in the structuring and the decision to offer the Notes are not privy to any non-public information regarding either primary or secondary market purchases of common shares of the Underlying Securities Issuers made by the Bank in connection with any primary distribution made by the Underlying Securities Issuers. The expected estimated value of the Series 1A Notes as of the date of this pricing supplement is $98.00 per $ in Principal Amount, which is less than the price at which the Notes are being offered. The expected estimated value of the Series 1F Notes as of the date of this pricing supplement is $ per $ in Principal Amount. The actual value of the Notes at any given time will reflect a variety of factors, cannot be predicted with accuracy and may be less than the estimated value. The estimated value was determined by the Bank on the pricing date of the Notes and is not an indication of actual profit to the Bank or any of its affiliates. The estimated value of the Notes does not account for the Maintenance Fee (as defined in this pricing supplement) payable to the Bank. See Determination of Estimated Value, Risk Factors and Summary of Fees and Expenses Maintenance Fee. Prospectus for Notes and Capitalized Terms The Notes described in this pricing supplement will be issued under the Bank s senior (principal at risk) note program and will be unsecured and unsubordinated debt securities. The Notes are described in three separate documents: (1) the base shelf prospectus, (2) the product supplement, and (3) this pricing supplement which contains the specific terms (including pricing information) about the Notes offered, all of which, collectively, constitute the prospectus in respect of such Notes. Each of these documents should be read and considered carefully before a purchaser makes an investment decision in respect of the Notes. See About this Prospectus for Notes in the base shelf prospectus. A copy of the prospectus for the Notes will be posted at Any capitalized terms used in this pricing supplement and not defined herein have the meaning ascribed to them in the product supplement or the base shelf prospectus, as the case may be. Documents Incorporated by Reference This pricing supplement is deemed to be incorporated by reference into the base shelf prospectus solely for the purpose of the Notes issued hereunder. Other documents are also incorporated or deemed to be incorporated by reference into the base shelf prospectus and reference should be made to the base shelf prospectus for full particulars. Any statement contained or contemplated in a document incorporated or deemed to be incorporated by reference in the base shelf prospectus or in this pricing supplement will be deemed to be modified or superseded for purposes of this pricing supplement to the extent that a statement contained herein or in any other subsequently filed document which also is or is deemed to be incorporated by reference in the base PS222-3

4 shelf prospectus or in this pricing supplement modifies or supersedes such statement. The modifying or superseding statement need not state that it has modified or superseded a prior statement or include any other information set forth in the document that it modifies or supersedes. The making of a modifying or superseding statement will not be deemed an admission for any purpose that the modified or superseded statement, when made, constituted a misrepresentation, an untrue statement of a material fact or an omission to state a material fact that is required to be stated or that is necessary to make a statement not misleading in light of the circumstances in which it was made. Any statement so modified or superseded will not be deemed, except as so modified or superseded, to constitute a part of this pricing supplement. Marketing Materials The marketing materials in respect of the Notes dated the date hereof and filed with the securities regulatory authorities in each province and territory of Canada are specifically incorporated by reference into this pricing supplement. Any additional marketing materials (as defined in National Instrument General Prospectus Requirements) filed with the securities commission or similar authority in each of the provinces and territories of Canada in connection with this offering on or after the date hereof but prior to the termination of the distribution of the Notes under this pricing supplement (including any amendments to, or an amended version of, the marketing materials) are deemed to be incorporated by reference herein. Any marketing materials are not part of this pricing supplement to the extent that the contents of the marketing materials have been modified or superseded by a statement contained in an amendment to this pricing supplement. Forward-looking Statements The Bank s public communications often include oral or written forward-looking statements. Statements of this type are included in this document, and may be included in other filings with Canadian securities regulators or the U.S. Securities and Exchange Commission, or in other communications. All such statements are made pursuant to the safe harbour provisions of the U.S. Private Securities Litigation Reform Act of 1995 and any applicable Canadian securities legislation. Forward-looking statements may include, but are not limited to, statements made in this document, the Bank s 2015 Annual MD&A under the headings Overview Outlook, for Group Financial Performance Outlook, for each business segment Outlook and in other statements regarding the Bank s objectives, strategies to achieve those objectives, expected financial results (including those in the area of risk management), and the outlook for the Bank s businesses and for the Canadian, U.S. and global economies. Such statements are typically identified by words or phrases such as believe, expect, anticipate, intent, estimate, plan, may increase, may fluctuate, and similar expressions of future or conditional verbs, such as will, should, would and could. By their very nature, forward-looking statements involve numerous assumptions, inherent risks and uncertainties, both general and specific, and the risk that predictions and other forward-looking statements will not prove to be accurate. Do not unduly rely on forward-looking statements as a number of important factors, many of which are beyond the Bank s control, could cause actual results to differ materially from the estimates and intentions expressed in such forward-looking statements. These factors include, but are not limited to: the economic and financial conditions in Canada and globally; fluctuations in interest rates and currency values; liquidity; significant market volatility and interruptions; the failure of third parties to comply with their obligations to the Bank and its affiliates; the effect of changes in monetary policy; legislative and regulatory developments in Canada and elsewhere, including changes in tax laws; the effect of changes to the Bank s credit ratings; amendments to, and interpretations of, risk-based capital guidelines and reporting instructions and liquidity regulatory guidance; operational and reputational risks; the risk that the Bank s risk management models may not take into account all relevant factors; the accuracy and completeness of information the Bank receives on customers and counterparties; the timely development and introduction of new products and services in receptive markets; the Bank s ability to expand existing distribution channels and to develop and realize revenues from new distribution channels; the Bank s ability to complete and integrate acquisitions and its other growth strategies; changes in accounting policies and methods the Bank uses to report its financial condition and financial performance, including uncertainties associated with critical accounting assumptions and estimates (see Controls and Accounting Policies Critical accounting estimates in the 2015 Annual PS222-4

5 MD&A, as updated by quarterly reports); the effect of applying future accounting changes (see Controls and Accounting Policies Future accounting developments in the 2015 Annual MD&A, as updated by quarterly reports); global capital markets activity; the Bank s ability to attract and retain key executives; reliance on third parties to provide components of the Bank s business infrastructure; unexpected changes in consumer spending and saving habits; technological developments; fraud by internal or external parties, including the use of new technologies in unprecedented ways to defraud the Bank or its customers; increasing cyber security risks which may include theft of assets, unauthorized access to sensitive information or operational disruption; consolidation in the Canadian financial services sector; competition, both from new entrants and established competitors; judicial and regulatory proceedings; acts of God, such as earthquakes and hurricanes; the possible impact of international conflicts and other developments, including terrorist acts and war on terrorism; the effects of disease or illness on local, national or international economies; disruptions to public infrastructure, including transportation, communication, power and water; and the Bank s anticipation of and success in managing the risks implied by the foregoing. A substantial amount of the Bank s business involves making loans or otherwise committing resources to specific companies, industries or countries. Unforeseen events affecting such borrowers, industries or countries could have a material adverse effect on the Bank s financial results, businesses, financial condition or liquidity. These and other factors may cause the Bank s actual performance to differ materially from that contemplated by forward-looking statements. For more information, see the Risk Management section starting on page 66 of the 2015 Annual MD&A. Material economic assumptions underlying the forward-looking statements are set out in the 2015 Annual MD&A under the heading Overview Outlook, as updated by quarterly reports; and for each business segment Outlook. The Outlook sections in the 2015 Annual MD&A are based on the Bank s views and the actual outcome is uncertain. Readers should consider the above-noted factors when reviewing these sections. The preceding list of important factors is not exhaustive. When relying on forward-looking statements to make decisions with respect to the Bank and its securities, investors and others should carefully consider the preceding factors, other uncertainties and potential events. The Bank does not undertake to update any forward-looking statements, whether written or oral, that may be made from time to time by or on its behalf, except as required under applicable securities laws. PS222-5

6 The Bank of Nova Scotia Senior Notes (Principal at Risk Notes) Equity Linked Notes BNS Core Canadian Financials ROC Notes, Series 1A and 1F Maximum $50,000,000 (500,000 Notes) Due February 22, 2021 Principal at Risk Notes Issuer: Investment Dealers: Issue Size: Principal Amount: Issue Date: CUSIP: FundSERV Code: Issue Price: Maturity Date: Minimum Investment: Status/Rank: Credit Rating: The Bank of Nova Scotia (the Bank ) Scotia Capital Inc. and Manulife Securities Incorporated Manulife Securities Incorporated, a dealer to which the Bank is neither related nor connected, participated in the due diligence activities performed by the Investment Dealers in respect of the offering, but did not participate in the structuring and pricing of the offering or the preparation of, or review the calculation of, the estimated value of the Notes. See Plan of Distribution in the base shelf prospectus. Maximum $50,000,000 (500,000 Notes). The Bank reserves the right to change the maximum Issue Size in its sole and absolute discretion. $ per Note ( Principal Amount ). The Notes will be issued on or about February 22, 2016, or such other date as may be agreed between the Bank and the Investment Dealers. Series 1A Notes: GD9 Series 1F Notes: GE7 Series 1A Notes: SSP508 Series 1F Notes: SSP % of the Principal Amount. February 22, 2021 (approximately a 5 year term) (the Maturity Date ). See Description of Equity and Unit Linked Notes Maturity Date and Description of Equity and Unit Linked Notes Amounts Payable in the product supplement. $5,000 (50 Notes) The Notes will be direct unsecured and unsubordinated obligations of the Bank and will rank equally with all other present and future unsecured and unsubordinated indebtedness of the Bank, subject to certain priorities under applicable law. The Notes have not been and will not be rated by any credit rating organization. As of the date of this pricing supplement, the Bank s senior deposit liabilities were rated AA by DBRS Limited, A+ by Standard & Poor s, AA by Fitch Ratings and Aa2 by Moody s Investors Services Inc. Moody s Investors Services Inc. recently put the Bank s long term credit ratings on review for possible downgrade. There can be no assurance that if the Notes were specifically rated by these rating agencies that they would have the same rating as the other deposit liabilities of the Bank. A rating is not a recommendation to buy, sell or hold PS222-6

7 investments, and may be subject to revision or withdrawal at any time by the relevant rating agency. Notional Portfolio and the Strategy: The Notional Portfolio will be comprised of the Underlying Securities of Bank of Montreal, Canadian Imperial Bank of Commerce, National Bank of Canada, Royal Bank of Canada, The Toronto Dominion Bank and The Bank of Nova Scotia. The Notional Portfolio will be selected based on the Indicated Dividend Yield of the Underlying Securities as at the last Exchange Business Day of the most recent calendar quarter. At any time the Notional Portfolio will hold only four of the six Underlying Securities. The Strategy for the Notional Portfolio will be to provide investors exposure to four of the six Underlying Securities for any given calendar quarter. The Strategy will exclude the Underlying Securities with the highest and lowest Indicated Dividend Yield from the Notional Portfolio, with the remaining four Underlying Securities being equally weighted in the Notional Portfolio. The Strategy will be updated by the Calculation Agent on the Quarterly Valuation Date, and any necessary adjustments will be made to the Notional Portfolio on the second Exchange Business Day immediately following the completion of the Quarterly Valuation Date. While the actual weightings of Underlying Securities in the Notional Portfolio may vary depending on market performance, the Notional Portfolio will be rebalanced back to an equal weighting on a quarterly basis. An amount equal to $98.00 per Series 1A Note and $ per Series 1F Note (in each case, the amount invested is equal to the Principal Amount less the Investment Dealer Fee, if any) per Note will be invested in the Notional Portfolio on the Issue Date. See Summary of Fees and Expenses. The initial notional acquisition of the Underlying Securities that will be included in the Notional Portfolio on the Issue Date will be made at the Closing Price of the Underlying Securities on the Issue Date. The Indicated Dividend Yield rankings will be updated on the Quarterly Valuation Date. The Calculation Agent will at this time adjust the Notional Portfolio, if necessary, to exclude the Underlying Securities with the highest and lowest Indicated Dividend Yield and rebalance the four remaining Underlying Securities back to an equal-weighting. Where an Underlying Security requires replacement, the replacement Underlying Security will be notionally purchased at a price equal to its Closing Price for the second Exchange Business Day immediately following the completion of the Quarterly Valuation Date. The Underlying Security being replaced will be notionally sold at a price equal to its Closing Price for the second Exchange Business Day immediately following the completion of the Quarterly Valuation Date. The final notional disposition of the Underlying Securities in the Notional Portfolio to determine the Maturity Redemption Amount will be made at the applicable Closing Price on the Final Valuation Date. All cash dividends and distributions in excess of $99.00 per Note which are declared payable on the Underlying Securities held in the Notional Portfolio will be notionally reinvested in additional Underlying Securities across the Notional Portfolio. See Valuation of the Notes. Underlying Securities and the Issuers: The Notes will provide exposure to the performance (i.e., capital appreciation or depreciation plus cash dividends and other cash distributions, if any) of the Notional Portfolio of Underlying Securities of the common shares of Canadian banks. The composition of the Notional Portfolio is subject to the quarterly application of the Strategy along with the potential adjustment for an Underlying Security that may be made upon the occurrence of a PS222-7

8 Merger Event, Tender Offer, Substitution Event or an Extraordinary Event. The Issuers that will initially comprise the Notional Portfolio, the current trading symbols of the Underlying Securities on the relevant Exchange, and the Indicated Dividend Yield as of the most recent calendar quarter end, September 30, 2015, are as follows: Company Trading Symbol Indicated Dividend Yield Initial Notional Portfolio Weight National Bank of Canada NA 4.88% 0% The Bank of Nova Scotia BNS 4.76% 25% Canadian Imperial Bank of Commerce CM 4.67% 25% Bank of Montreal BMO 4.51% 25% Royal Bank of Canada RY 4.28% 25% The Toronto Dominion Bank TD 3.88% 0% Brief descriptions of the Issuers and information concerning historical trading prices of the Underlying Securities are set out under Appendix A - The Underlying Securities and the Issuers. Investors can obtain additional information concerning the Issuers and their business and operations on their respective websites and under their respective profiles at or through investors advisors. The Notes do not represent an interest in the Underlying Securities directly and holders will have no right or entitlement to such securities. There is no requirement for the Bank to hold any interest in the Underlying Securities. The decision to offer the Notes pursuant to this pricing supplement has been taken independently of any decision by the Bank to purchase common shares of the Issuers in the primary or secondary market. Except with respect to any hedging activities in which the Bank engages with respect to its obligations under the Notes, any decision by the Bank to purchase the common shares of the Issuers in the primary or the secondary market will have been taken independently of the Bank s decision to offer the Notes pursuant to this pricing supplement. The Bank s employees involved in the structuring and the decision to offer the Notes are not privy to any non-public information regarding either primary or secondary market purchases of common shares of the Issuers made by the Bank in connection with any primary distribution made by the Issuers. Closing Price: Quarterly Partial Principal Repayments: The Closing Price means, in respect of an Underlying Security, on any day, the official closing price for that Underlying Security as announced by the relevant Exchange, provided that, if on or after the Issue Date such Exchange materially changes the time of day at which such official closing price is determined, the Calculation Agent may thereafter deem the Closing Price to be the price of that Underlying Security as of the time of day used by such Exchange to determine the official closing price prior to such change. Holders of record on the applicable Quarterly Partial Principal Repayment Record Date may be entitled to receive from the Bank on the applicable Quarterly Partial Principal Repayment Date a quarterly partial principal repayment (the Quarterly Partial Principal Repayment ). The Quarterly Partial Principal Repayment will be equal to the amount of any cash dividends or other cash distributions notionally paid by the Underlying Securities held in the Notional Portfolio during the period from the Exchange Business Day immediately following the previous Quarterly Partial Principal Repayment Valuation Date (or the Issue Date in respect of the first Quarterly Partial Principal Repayment) up to and including the current Quarterly Partial Principal Repayment Valuation Date. Quarterly Partial Principal Repayment Valuation Date means the last Exchange Business PS222-8

9 Day of each calendar quarter (March 31, June 30, September 30 and December 31) of each year during the term of the Notes, other than the final calendar quarter prior to maturity, with the first Quarterly Partial Principal Valuation Date occurring on March 31, 2016, provided that if such day is not an Exchange Business Day, then the Quarterly Partial Principal Repayment Valuation Date will be the immediately preceding Exchange Business Day, subject to the occurrence of a Market Disruption Event. Quarterly Partial Principal Repayment Record Date means the date that falls on the second Exchange Business Day preceding the applicable Quarterly Partial Principal Repayment Date. Quarterly Partial Principal Repayment Date means the date that falls on the second Exchange Business Day succeeding the Quarterly Partial Principal Repayment Valuation Date. Addition and Removal of Securities from the Notional Portfolio: Final Valuation Date: Valuation of the Notes: The aggregate Quarterly Partial Principal Repayments over the term of the Notes will not exceed $99.00 per Note. Any cash dividends and distributions in excess of this amount, and any non-cash dividends and distributions, notionally paid by the Underlying Securities held in the Notional Portfolio will be notionally reinvested in the Underlying Securities held in Notional Portfolio on the relevant Quarterly Partial Principal Repayment Date. On the Quarterly Valuation Date, the Calculation Agent will update the Indicated Dividend Yields for the Underlying Securities to determine whether any Underlying Securities need to be added or removed from the Notional Portfolio. Where an Underlying Security requires replacement, the replacement Underlying Security will be notionally purchased at a price equal to the Closing Price for the second Exchange Business Day following the completion of the Quarterly Valuation Date. The Underlying Security being replaced will be notionally sold at a price equal to the Closing Price for the second Exchange Business Day following the completion of the Quarterly Valuation Date. Quarterly Valuation Date means the fifth Business Day following a calendar quarter end date, which is June 30, September 30, December 31 and March 31 of each year during the term of the Notes. The second Business Day prior to the Maturity Date, provided that if such day is not an Exchange Business Day, then the Final Valuation Date will be the immediately preceding Exchange Business Day, subject to the occurrence of a Market Disruption Event. The Series Net Asset Value (the Series NAV ) per Note on any Exchange Business Day will be the Notional Portfolio Value for the relevant series of Notes less any fees and expenses for the relevant Notes divided by the number of Series 1A Notes or Series 1F Notes, as applicable, outstanding on such Exchange Business Day. On any given day, the Notional Portfolio Value will be calculated by the Calculation Agent and will be equal to the sum of the products obtained by multiplying the Closing Price of the Underlying Securities in the Notional Portfolio by the corresponding Number of Shares of the relevant Underlying Security for the relevant Series of Notes. The Number of Shares for the Series 1A Notes shall be equal to the number of shares of the Underlying Securities held in the Notional Portfolio at the relevant time, as purchased by the Calculation Agent using the portion of the net proceeds to the Bank attributable to the Series 1A Notes. The Number of Shares for the Series 1F Notes shall be equal to the number of shares of the Underlying Securities held in the Notional Portfolio at the relevant time, as purchased by the Calculation Agent using the portion of the net proceeds to the Bank attributable to the Series 1F Notes. The relevant Number of Shares will be adjusted to reflect the reinvestment of any dividends and other cash distributions in excess of $99.00 per Note, PS222-9

10 and any non-cash dividends and distributions, payable on the Underlying Securities. Only shares of Underlying Securities held in the Notional Portfolio as of their respective dividend record dates will be eligible for reinvestment in the Notional Portfolio. The reinvestment of any dividends or distributions will be reinvested in shares of the Notional Portfolio on the applicable distribution date and will increase the Number of Shares in the Notional Portfolio by adjusting the Number of Shares proportionally to the amount of such distribution relative to the post-distribution Closing Price of the Underlying Securities in the Notional Portfolio on the dividend or distribution date. The Maintenance Fee for the relevant Series of Notes will accrue daily and be satisfied quarterly, on the second Exchange Business Day following a calendar quarter end date, by liquidating a pro rata (based on their then current weighting in the Notional Portfolio) number of shares notionally included in the Notional Portfolio, thereby reducing the number of Underlying Securities in the Notional Portfolio and therefore the Series NAV per Note, the Maturity Redemption Amount and any potential Variable Return. Variable Return: Principal Outstanding: Maturity Redemption Amount: The difference between the Maturity Redemption Amount and the Principal Outstanding. On any day, the $100 Principal Amount of a Note minus the aggregate Quarterly Partial Principal Repayments made on such Note to and including such date shall equal the Principal Outstanding of such Note. The amount payable on the Notes at maturity (the Maturity Redemption Amount ) will be calculated by the Calculation Agent on the Final Valuation Date as follows: Series 1A Notes: The greater of (i) the Series 1A NAV per Note (which may be positive or negative), and (ii) $1.00. Series 1F Notes: The greater of (i) the Series 1F NAV per Note (which may be positive or negative), and (ii) $1.00. The Maturity Redemption Amount may be less than the Principal Amount invested by an investor. The Maturity Redemption Amount will be subject to a minimum principal repayment of $1.00 per Note. All dollar amounts will be rounded to the nearest whole cent. See Appendix B to this pricing supplement for summary information regarding the Quantitative Model. See Appendix B to this pricing supplement for sample calculations of the Maturity Redemption Amount. Determination of Estimated Value: The Notes are debt securities, the return on which is linked to the performance of the Notional Portfolio. In order to satisfy its payment obligations under the Notes, the Bank may choose to enter into certain hedging arrangements (which may include call options, put options or other derivatives) on the Issue Date with Scotia Capital Inc. or one of the Bank s other subsidiaries, or with a third party, but is under no obligation to do so. The terms of any such hedging arrangements would, if entered into, take into account a number of factors, including the creditworthiness of the Bank, interest rate movements, the volatility of the Notional Portfolio, and the tenor of the Notes. The economic terms of the Notes and their estimated value depend in part on the terms of these hedging arrangements. The Issue Price of the Notes also reflects the selling concession fee payable to the Investment PS222-10

11 Dealers and the Bank s expected profit (which may or may not be realized) based on an estimate of costs the Bank may incur in creating, issuing, maintaining and potentially hedging its obligations under the Notes. These factors result in the estimated value for the Notes on the date of this pricing supplement being less than the Issue Price of the Notes. The estimated value of the Notes does not account for the Maintenance Fee payable to the Bank. See Risk Factors and Summary of Fees and Expenses Maintenance Fee. The Bank has adopted written policies and procedures for determining the estimated initial value of the Notes which include: (i) the methodologies used for valuing each type of component embedded in the Notes, (ii) the methods by which the Bank will review and test valuation to assess the quality of the prices obtained as well as the general functioning of the valuation process, and (iii) conflicts of interest. Listing and Secondary Market: The Notes 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 Notes through the FundSERV network but reserves the right to elect not to do so in the future, in its sole and absolute discretion, without prior notice to investors. See Risk Factors Relating to the Secondary Market in the product supplement and Secondary Market for Notes in the base shelf prospectus. Investors choosing to sell their Notes in a secondary market (if any such secondary market exists at such time) prior to the Maturity Date may receive a price that is less than the Maturity Redemption Amount on the Final Valuation Date. The bid price for the Notes, which will be based primarily on the Series NAV per Note, at any time may also be influenced by, among other things: (i) how much the value of the Notional Portfolio has risen or fallen since the Issue Date; and (ii) a number of other complex and interrelated factors, including: supply and demand for the Notes; interest rates in the market; the time remaining to the Maturity Date; the creditworthiness of the Bank; and economic, financial, political, regulatory or judicial events that affect the Underlying Securities and the Underlying Securities Issuers, the market price of the Underlying Securities that are included in the Notional Portfolio or factors that affect stock markets generally. The effect of any one factor may be offset or magnified by the effect of another factor. The sale of a Note in a secondary market (if any such secondary market exists at such time) prior to the Maturity Date will be effected at a price equal to (i) the bid price on the sale date, less (ii) any applicable Early Trading Charge, less (iii) any transaction charges that may or may not be levied by the relevant selling agent. See Early Trading Charge. Notes may in certain circumstances be transferable through CDS and not the FundSERV network. There is no guarantee that the bid price at any time will be the highest possible price available in any secondary market for the Notes, and the actual price received by an investor and the selling terms for such secondary market sales may be varied by the relevant selling agent. Special Circumstances: Extraordinary Event and Substitution Event: See Special Circumstances in the product supplement for a description of certain special circumstances, including a Market Disruption Event, which may result in an adjustment to the calculation or timing of the Series NAV per Note, the Quarterly Valuation Date, the removal of securities and rebalancing of the Notional Portfolio, and of the payment due on the Notes. Extraordinary Event Determination of the Series NAV per Note or value of an Underlying Security may be postponed, or the Bank can accelerate determination of the Series NAV per Note and repay the Notes in full prior to their maturity, in certain circumstances. If an Extraordinary Event PS222-11

12 occurs then the Calculation Agent may, but is not required to, make such adjustments to any payment or other term of the Notes as it determines to be appropriate, acting in good faith, to account for the economic effect of such event on the Notes and determine the effective date of any such adjustment as outlined in the product supplement. See Special Circumstances Extraordinary Event in the product supplement. In addition to the Extraordinary Events outlined in the product supplement, the determination by the Calculation Agent of the occurrence of any of the following events shall also constitute an Extraordinary Event: (i) Scotia Capital Inc. announces that it will make a material change in the formula for or the methodology used in determining the Notional Portfolio or there is any other material change to the Strategy such that it is determined, in the sole and absolute discretion of the Calculation Agent, that the Strategy can no longer meet the investment objectives of the Notes. Substitution Event Upon the determination by the Calculation Agent that a Substitution Event has occurred in respect of an Underlying Security or Underlying Securities in the Notional Portfolio (each a Deleted Underlying Security and collectively the Deleted Underlying Securities ), the following will apply, effective on a date no later than the Substitution Date: (i) such Deleted Underlying Security will be notionally sold from the Notional Portfolio and the proceeds from such disposition will be used to notionally purchase Underlying Securities of the remaining Underlying Security Issuers in accordance with the following portfolio weights (and such portfolio weights will be used to adjust the Notional Portfolio on each Quarterly Partial Principal Repayment Valuation Date thereafter): a. if following the Substitution Event five Underlying Security Issuers remain, the Underlying Security Issuer with the highest Indicated Dividend Yield and the Underlying Security Issuer with the lowest Indicated Dividend Yield will each be excluded from the Notional Portfolio and the remaining three Underlying Security Issuers will be equally weighted in the Notional Portfolio; and b. if following the Substitution Event either three or four Underlying Security Issuers remain, the Underlying Security Issuer with the lowest Indicated Dividend Yield will be excluded from the Notional Portfolio and the remaining Underlying Security Issuers will be equally weighted in the Notional Portfolio; and (ii) the Calculation Agent will determine the applicable values for both the Deleted Underlying Security and the Underlying Securities of the remaining Underlying Security Issuers based on the most recent Closing Price available. Upon the determination by the Calculation Agent that a Substitution Event has occurred, the Calculation Agent will promptly give details of such substitution and brief details of the Substitution Event to holders by posting such details at Calculation Agent: Scotia Capital Inc. PS222-12

13 Eligibility for Investment: Additional Tax Information: Eligible for RRSPs, RRIFs, RESPs, RDSPs, DPSPs and TFSAs. See Eligibility for Investment in Appendix C of this pricing supplement. This income tax summary is subject to the limitations and qualifications set out under the heading Certain Canadian Federal Income Tax Considerations in Appendix C. Subject to the CRA s review referred to below, a Resident Initial Investor should not be required to include amounts in income in respect of a Note prior to the determination of: (i) the Maturity Redemption Amount payable on the Note at maturity, or (ii) an Accelerated Payment upon the occurrence of an Extraordinary Event. Absent the occurrence of an Extraordinary Event, a Resident Initial Investor will be required to include in its income for the taxation year in which the Notes are redeemed by the Bank, the amount, if any, by which the Maturity Redemption Amount exceeds the Principal Outstanding in respect of the Notes to the extent that such excess was not included in the Resident Initial Investor s income for a preceding taxation year. If the Maturity Redemption Amount is less than the Principal Outstanding in respect of the Notes, the Resident Initial Investor will generally realize a capital loss on the redemption of the Notes. The Quarterly Partial Principal Repayments received in respect of the Notes should not be included in the Resident Initial Investor s income when received but rather should reduce the Resident Initial Investor s adjusted cost base of the Notes. Although not free from doubt, except in circumstances where the Maturity Redemption Amount or an Accelerated Payment (as applicable) has been determined, a Resident Initial Investor who disposes of, or is deemed to dispose of, a Note should, subject to the CRA s review noted below, realize a capital gain (or capital loss) to the extent that the proceeds of disposition exceed (or are less than) the aggregate of the Resident Initial Investor s adjusted cost base of the Note and any reasonable costs of disposition. The CRA is reviewing whether the existence of a secondary market for obligations such as the Notes should be taken into consideration in determining the income tax treatment to holders of a linked-debt obligation in such circumstances. There can be no assurance that the administrative policies or assessing practices of the CRA upon completion of their review will be consistent with the absence of a requirement to accrue interest in respect of a potential Maturity Redemption Amount in respect of the Notes or with the characterization of proceeds received on the disposition of the Notes on capital account. Resident Initial Investors who dispose of Notes prior to the Maturity Date, including Resident Initial Investors who dispose of Notes shortly prior to the Final Valuation Date, should consult their tax advisors with respect to their particular circumstances. Non-Resident Withholding Tax: Performance Disclosure: Suitability for Investment: The Bank intends to withhold Canadian non-resident withholding tax from amounts paid or credited or deemed to have been paid or credited as, on account of or in lieu of payment of, or in satisfaction of, interest in respect of the Notes. Investors who are non-residents of Canada should consult their own tax advisors as to the tax consequences to them of acquiring, holding and disposing of Notes. Ongoing information about the Notional Portfolio, Underlying Securities and the performance of the Notes will be available on the Bank s structured products website ( Investors should independently determine, with their own advisors, whether an investment in the Notes is suitable for them having regard to their own investment objectives and PS222-13

14 expectations. The Notes may be suitable for: investors who are seeking a medium-term investment and who have an investment strategy consistent with the features of the Notes; investors seeking the opportunity for an enhanced return over other traditional equity or fixed rate investments and who are prepared to assume the risks associated with an investment linked to performance of a portfolio of Underlying Securities determined by the Strategy; investors seeking exposure to the large market capitalization financials segment of the Canadian equity markets; investors who are comfortable with the return on the Notes being linked to a set of quantitative factors as opposed to broad index based returns or single stock returns; investors willing to assume the risk of losing substantially all of their investment (subject to a minimum principal repayment of $1.00 per Note); and investors who have carefully considered the risks associated with an investment in the Notes. Risk Factors: Risk factors relating to the Notes include but are not limited to the following: the Notional Portfolio will be selected solely based on the Indicated Dividend Yield and does not consider any other fundamental or technical criteria for portfolio selection; the Strategy is not designed to mimic or outperform any particular index and accordingly may not perform better than any particular index, whether in periods of positive or negative market conditions; Scotia Capital Inc. and its affiliates may make commercial decisions in respect of the Strategy, including a change in its formula or methodology, without taking into account the effect of that change on the amount payable on the Notes at maturity, and those changes could in certain circumstances, result in the accelerated repayment of the Maturity Redemption Value upon a Special Circumstance; any Quarterly Partial Principal Repayments are contingent upon dividend or other distribution payments being made by the Underlying Securities Issuers. There can be no assurance that the Underlying Securities Issuers will continue to pay dividends or other distributions in the future. Historical dividend or other distribution payments may not be representative of future dividend or distribution payments; there may be no return payable on the Notes at maturity. There will be no interest or other payments made during the term of the Notes, other than potential Quarterly Partial Principal Repayments, and there can be no assurance that the return generated by the Notional Portfolio, measured from the Issue Date to the Final Valuation Date, will exceed the applicable upfront and ongoing fees and expenses; if the performance of the Underlying Securities measured from the Issue Date to the Final Valuation Date is negative, or less than the applicable upfront and ongoing fees and expenses, an investor will sustain a loss equal to the performance (which could PS222-14

15 be substantial) on his or her investment in the Notes, less any applicable upfront and ongoing fees (subject to a minimum principal repayment of $1.00 per Note); the Notes have not been rated and will not be insured by the Canada Deposit Insurance Corporation or any other entity and therefore the payment to investors will be dependent upon the financial health and creditworthiness of the Bank; subsidiaries of the Bank (including Scotia Capital Inc.) and the Investment Dealers have published, and in the future expect to publish, research reports with respect to some or all of the Issuers, and such research may express opinions or provide buy/sell recommendations that are inconsistent with the Strategy; the estimated initial value of the Notes indicated on the cover page of this pricing supplement was determined as of the date of this pricing supplement, does not represent a minimum price at which the Bank, Scotia Capital Inc. or any of the Bank s affiliates would be willing to purchase the Notes in any secondary market (if any exists) at any time, and is not an indication of actual profit to the Bank or any of its affiliates. If an investor attempts to sell the Notes prior to Maturity Date, the market value of the Notes may be lower than the price paid for them and the estimated value. This is due to, among other things, changes in the net portfolio value of the Notional Portfolio and the inclusion in the Issue Price of the selling concession fee payable to the Investment Dealers and the estimated costs relating to any hedging activities the Bank may decide to undertake in respect of the Notes. The Notes are not designed to be short-term trading instruments. Accordingly, an investor should be able and willing to hold the Notes to the Maturity Date; and the estimated value of the financial instrument components (plus the costs incurred by the Bank in connection with the issuance of the Notes) that combined would replicate the return on the Notes is equal to the estimated value of the Notes indicated on the cover page of this pricing supplement. The Bank s estimated value of the Notes is based on a variety of assumptions, including expectations as to dividends, interest rates and volatility, the Bank s internal funding rates (which may differ from the market rates for the Bank s conventional debt securities), and the expected term of the Notes. These assumptions are based on certain forecasts about future events, which may prove to be incorrect. Other entities may value the Notes or similar securities at a price that is significantly different than the Bank. The value of the Notes at any time after the date of this pricing supplement will vary based on many factors, including changes in market conditions, and cannot be predicted by the Bank. As a result, the actual value investors would receive if they sold the Notes in any secondary market (if any such secondary market exists at such time) should be expected to differ materially from the estimated value of Notes determined on the pricing date of the Notes. Investors should carefully consider with their advisors all of the information set out in the prospectus before making any potential investment in the Notes. In particular, investors should evaluate the key risks highlighted above as well as the risks described under Risk Factors in the base shelf prospectus and under Risk Factors in the product supplement. SUMMARY OF FEES AND EXPENSES PS222-15

16 The following table contains a summary of the fees and expenses that may have to be paid directly by an investor in the Notes or indirectly through a reduction in the Notional Portfolio Value. The upfront selling concession and the Service Fee applied to the Series 1A and Series 1F Notes will differ and, consequently, the Notional Portfolio Value and the Series NAV per Note will be lower for the Series 1A Notes than for the Series 1F Notes. Type of Fee or Charge Investment Dealer Fees Series 1A Notes Description A selling concession fee of $2.00 per Note sold (or 2.00% of the Principal Amount) is payable to the Investment Dealers for further payment to representatives, including representatives employed by the Investment Dealers whose clients purchase the Notes. A fee of $0.15 per Note sold (or 0.15%) will be payable directly by the Bank to Manulife Securities Incorporated for acting as independent agent. The Series NAV on the Issue Date for the Series 1A Notes will be $ Series 1F Notes No selling concession fee will be payable to the Investment Dealers for further payment to representatives, including representatives employed by the Investment Dealers whose clients purchase the Notes. A fee of $0.15 per Note sold (or 0.15%) will be payable directly by the Bank to Manulife Securities Incorporated for acting as independent agent. The Series NAV on the Issue Date for the Series 1F Notes will be $ Maintenance Fee Series 1A Notes As an allowance for the ongoing management for the Series 1A Notes, the Bank will be entitled to an ongoing annual Maintenance Fee of 1.50% of the Notional Portfolio Value, which will be calculated daily and satisfied quarterly, on the second Exchange Business Day following a calendar quarter end date, in arrears. Series 1F Notes As an allowance for the ongoing management for the Series 1F Notes, the Bank will be entitled to an ongoing annual Maintenance Fee of 0.65% of the Notional Portfolio Value, which will be calculated daily and satisfied quarterly, on the second Exchange Business Day following a calendar quarter end date, in arrears. In order to satisfy the ongoing quarterly portion of the Maintenance Fee, the Bank will liquidate a pro rata number of shares notionally held in the Notional Portfolio (based upon current weighting in the Notional Portfolio), thereby reducing the number of Underlying Securities in the Notional Portfolio and therefore reducing the Notional Portfolio Value. The Bank will not receive any other amount or seek reimbursement for any other expense related to the issuance or administration of the Notes. Service Fee (payable by the Calculation Agent) Series 1A Notes From the Maintenance Fee, the Calculation Agent will be responsible for paying a service fee or trailing commission, which will be calculated daily and satisfied quarterly, on the second Exchange Business Day following a calendar quarter end date, in arrears, of 0.85% of the PS222-16

17 Notional Portfolio Value in respect of the Series 1A Notes to the Investment Dealers for further payment to representatives, including representatives employed by the Investment Dealers whose clients purchase the Notes. The Series 1A Notes are intended for purchase within a regular investment account and will be subject to an upfront selling concession and maintenance fees payable to the sales representative of qualified selling members. In order for the Maturity Redemption Amount to exceed the Principal Amount, the return generated by the Notional Portfolio, measured from the Issue Date to the Final Valuation Date, will have to exceed the applicable upfront and ongoing fees and expenses. In order for the Series 1A Notes to return the Principal Amount on the Maturity Date the Notional Portfolio must generate a minimum return of 9.50% or $9.50 per Note (equivalent to an annual compound return of 1.83%) on the Principal Amount. Series 1F Notes There will be no service fee or trailing commission payable in respect of the Series 1F Notes. The Series 1F Notes are available only to investors who participate in programs that already charge a fee for the advice they are receiving (for example, dealer-sponsored fee for service or wrap programs or pay their advisor an hourly fee or annual asset-based fee) rather than commissions on each transaction and who purchase the Notes in connection with such programs. In order for the Maturity Redemption Amount to exceed the Principal Amount, the return generated by the Notional Portfolio, measured from the Issue Date to the Final Valuation Date, will have to exceed the applicable upfront and ongoing fees and expenses. In order for the Series 1F Notes to return the Principal Amount on the Maturity Date the Notional Portfolio must generate a minimum return of 3.25% or $3.25 per Note (equivalent to an annual compound return of 0.64%). Early Trading Charge The Notes are designed for investors who are prepared to hold the Notes to maturity. Any sale of Notes in the secondary market prior to the Maturity Date will be subject to an early trading charge, deductible from the sale proceeds of the Notes and determined as follows: Early Trading Charge (% of Principal Amount) If Sold Within Series 1A Notes Series 1F Notes days of Issue Date 2.70% 1.20% days of Issue Date 1.80% 0.80% days of Issue Date 0.90% 0.40% Thereafter Nil Nil PS222-17

18 Appendix A Summary Information The Underlying Securities and the Issuers All information in this pricing supplement relating to the Underlying Securities and the Issuers is derived from and based solely upon publicly available sources and is presented in this pricing supplement in summary form only. Neither the Bank nor the Investment Dealers make any representation or warranty as to the accuracy, reliability or completeness of such information and neither the Bank nor the Investment Dealers have independently verified this information. None of the Bank, the Investment Dealers or any of their respective affiliates or associates has any obligation or responsibility for the provision of future information in respect of the Underlying Securities or the Issuers. Bank of Montreal Bank of Montreal, doing business as BMO Financial Group, is a Canadian chartered bank which operates throughout the world. The Bank offers commercial, corporate, governmental, international, personal banking, and trust services. Bank of Montreal also offers full brokerage, underwriting, investment, and advisory services. Bank of Montreal is listed on the Toronto Stock Exchange (TSX) under the symbol BMO. As at November 18, 2015, its market capitalization was approximately $48.83 billion Canadian dollars. Further information concerning Bank of Montreal can be sourced by investors at During the period between November 18, 2005 up to and including November 18, 2015, the lowest Closing Price was $24.51 on February 23, 2009 and the highest Closing Price was $85.42 on September 18, The starting Closing Price was $58.84 on November 18, 2005 and the ending Closing Price was $76.00 on November 18, The Closing Price is quoted in Canadian dollars. PS222 A-1

19 The Bank of Nova Scotia The Bank of Nova Scotia provides retail, commercial, international, corporate, investment and private banking services and products. The Bank of Nova Scotia is listed on the Toronto Stock Exchange (TSX) under the symbol BNS. As at November 18, 2015, its market capitalization was approximately $73.00 billion Canadian dollars. Further information concerning The Bank of Nova Scotia can be sourced by investors at During the period between November 18, 2005 up to and including November 18, 2015, the lowest Closing Price was $24.20 on February 23, 2009 and the highest Closing Price was $74.35 on July 30, The starting Closing Price was $44.68 on November 18, 2005 and the ending Closing Price was $60.67 on November 18, The Closing Price is quoted in Canadian dollars. PS222 A-2

20 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce provides banking and financial services to consumers, individuals, and corporate clients in Canada and around the world. Canadian Imperial Bank of Commerce is listed on the Toronto Stock Exchange (TSX) under the symbol CM. As at November 18, 2015, its market capitalization was approximately $39.69 billion Canadian dollars. Further information concerning Canadian Imperial Bank of Commerce can be sourced by investors at During the period between November 18, 2005 up to and including November 18, 2015, the lowest Closing Price was $37.10 on March 9, 2009 and the highest Closing Price was $ on December 3, The starting Closing Price was $74.50 on November 18, 2005 and the ending Closing Price was $99.90 on November 18, The Closing Price is quoted in Canadian dollars. PS222 A-3

21 National Bank of Canada National Bank of Canada provides a full array of banking services, including retail, corporate and investment banking. The Bank, through its subsidiaries, is involved in securities brokerage, insurance and wealth management, as well as mutual fund and retirement plan management. National Bank of Canada is listed on the Toronto Stock Exchange (TSX) under the symbol NA. As at November 18, 2015, its market capitalization was approximately $14.62 billion Canadian dollars. Further information concerning National Bank of Canada can be sourced by investors at During the period between November 18, 2005 up to and including November 18, 2015, the lowest Closing Price was $12.81 on December 18, 2008 and the highest Closing Price was $55.06 on November 17, The starting Closing Price was $30.28 on November 18, 2005 and the ending Closing Price was $43.39 on November 18, The Closing Price is quoted in Canadian dollars. PS222 A-4

22 Royal Bank of Canada Royal Bank of Canada is a diversified financial services company. The Company provides personal and commercial banking, wealth management services, insurance, corporate and investment banking, and transaction processing services. Royal Bank of Canada offers its services to personal, business, public sector and institutional clients with operations worldwide. Royal Bank of Canada is listed on the Toronto Stock Exchange (TSX) under the symbol RY. As at November 18, 2015, its market capitalization was approximately $115.6 billion Canadian dollars. Further information concerning Royal Bank of Canada can be sourced by investors at During the period between November 18, 2005 up to and including November 18, 2015, the lowest Closing Price was $25.82 on February 23, 2009 and the highest Closing Price was $83.33 on November 27, The starting Closing Price was $42.85 on November 18, 2005 and the ending Closing Price was $75.50 on November 18, The Closing Price is quoted in Canadian dollars. PS222 A-5

23 The Toronto-Dominion Bank The Toronto-Dominion Bank conducts a general banking business through banking branches and offices located throughout Canada and overseas. The Bank and other subsidiaries offer a broad range of banking, advisory services, and discount brokerage to individuals, businesses, financial institutions, governments, and multinational corporations. The Toronto-Dominion Bank is listed on the Toronto Stock Exchange (TSX) under the symbol TD. As at November 18, 2015, its market capitalization was approximately $ billion Canadian dollars. Further information concerning The Toronto-Dominion Bank can be sourced by investors at During the period between November 18, 2005 up to and including November 18, 2015, the lowest Closing Price was $16.40 on February 23, 2009 and the highest Closing Price was $57.90 on August 21, The starting Closing Price was $29.00 on November 18, 2005 and the ending Closing Price was $54.49 on November 18, The Closing Price is quoted in Canadian dollars. PS222 A-6

24 Appendix B Sample Calculations of Maturity Redemption Amount The following examples show how the Variable Return and Maturity Redemption Amount would be calculated based on certain hypothetical values and assumptions set out below. These examples are for illustrative purposes only and should not be construed as an estimate or forecast of the performance of the Notional Portfolio or the return that an investor might realize on the Notes. The Variable Return will be calculated based on the performance (i.e., capital appreciation or depreciation plus dividends and other cash distributions, if any) of the Notional Portfolio, net of Maintenance Fees. All dollar amounts are rounded to the nearest whole cent. See Summary of Fees and Expenses. Example One Scenario: Performance of the Notional Portfolio is negative. Series 1A Notes Variable Return = Series 1A NAV per Note Principal Outstanding Variable Return = $45.68 per Note - $83.30 per Note Variable Return = -$37.62 per Note In this example, an investor would receive aggregate Quarterly Partial Principal Repayments of $16.70 per Note and a Maturity Redemption Amount of $45.68 per Note consisting of the Principal Outstanding of $83.30 per Note plus a Variable Return of -$37.62 per Note, on the Maturity Date, equivalent to an annual compound rate of return of approximately -9.01% in respect of the Series 1A Notes. Series 1F Notes Variable Return = Series 1F NAV per Note Principal Outstanding Variable Return = $48.82 per Note - $82.64 per Note Variable Return = -$33.82 per Note PS222 B-1

25 In this example, an investor would receive aggregate Quarterly Partial Principal Repayments of $17.36 per Note and a Maturity Redemption Amount of $48.82 per Note consisting of the Principal Outstanding of $82.64 per Note plus a Variable Return of -$33.82 per Note, on the Maturity Date, equivalent to an annual compound rate of return of approximately -7.92% in respect of the Series 1F Notes. Example Two Scenario: Performance of the Notional Portfolio is positive. Series 1A Notes Variable Return = Series 1A NAV per Note Principal Outstanding Variable Return = $ per Note - $75.78 per Note Variable Return = $60.40 per Note In this example, an investor would receive aggregate Quarterly Partial Principal Repayments of $24.22 per Note and a Maturity Redemption Amount of $ per Note consisting of the Principal Outstanding of $75.78 per Note plus a Variable Return of $60.40 per Note, on the Maturity Date, equivalent to an annual compound rate of return of approximately 9.91% in respect of the Series 1A Notes. Series 1F Notes Variable Return = Series 1F NAV per Note Principal Outstanding Variable Return = $ per Note - $74.76 per Note Variable Return = $70.44 per Note In this example, an investor would receive aggregate Quarterly Partial Principal Repayments of $25.24 per Note and a Maturity Redemption Amount of $ per Note consisting of the Principal Outstanding of $74.76 per Note plus a Variable Return of $70.44 per Note, on the Maturity Date, equivalent to an annual compound rate of return of approximately 11.25% in respect of the Series 1F Notes. PS222 B-2