Principal at Risk Notes Due March 2, 2023

Transcription

1 BNS ishares Core S&P 500 Index ETF (CAD-Hedged) Callable Contingent $5.10 Coupon Notes, Series 3 Principal at Risk Notes Due March 2, 2023 January 30, 2017 A Bank of Nova Scotia short form base shelf prospectus dated October 31, 2016, a prospectus supplement thereto dated November 4, 2016 and pricing supplement No. 396 thereto dated January 30, 2017 (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 or supplements thereto that have been filed is required to be delivered with this document. The Prospectus, and any amendments or supplements 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 or supplements 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. INVESTMENT HIGHLIGHTS Issuer: The Bank of Nova Scotia Reference ETF: Payments on the Notes will be based on the price performance of the units (the Reference Units ) comprising the ishares Core S&P 500 Index ETF (CAD-Hedged) (TSX: XSP) (the Reference ETF ), which seeks to provide long term growth by replicating, to the extent possible, the S&P 500 Hedged to Canadian Dollars Index, net of expenses. This index is a market capitalization-weighted index of securities of 500 of the largest U.S. public issuers provided by the S&P Dow Jones Indices LLC hedged to Canadian dollars. Coupon Payments: Holders of record on the applicable Coupon Payment Record Date may be entitled to receive from the Bank a Coupon Payment, determined as follows: (i) If the Closing Unit Price on the relevant Coupon Payment Valuation Date is greater than the Barrier Price, the Coupon Payment will be $2.55 per Note; and (ii) If the Closing Unit Price on the relevant Coupon Payment Valuation Date is less than or equal to the Barrier Price, no Coupon Payment will be made. The aggregate Coupon Payments over the term of the Notes will not exceed $ Autocall: 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 September 4, 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. Valuation Dates: August 28, 2018, February 26, 2019, August 27, 2019, February 25, 2020, August 27, 2020, February 24, 2021, August 27, 2021, February 24, 2022, August 29, 2022 (each an "Autocall Valuation Date"), and February 24, 2023 (the "Final Valuation Date") Barrier Protection: The Notes provide contingent downside protection at maturity if the Final Unit Price on the Final Valuation Date is above the Barrier Price (which is 70% of the Initial Unit Price). If the Final Unit Price on the Final Valuation Date is below or equal to the Barrier Price, an investor in the Notes will be fully exposed to any negative price performance of the Reference Unit, meaning that substantially all such investor s investment may be lost (subject to a minimum principal repayment of $1.00 per Note). The price performance of the Reference Unit does not take into account dividends, distributions or other income or amounts paid by the issuers of the constituent securities that comprise the Reference ETF. The annual distribution yield of the Reference Unit as of December 30, 2016 was 1.75%, representing an aggregate distribution yield of approximately 10.97% compounded annually over the term of the Notes (assuming the dividend yield remains constant). FundSERV Available Until Issue Date Maturity Date Min. Investment (if not called) SSP1200 February 23, 2017 March 2, 2017 March 2, 2023 $5,000 CONTACT INFORMATION Western Canada Ontario & Eastern Canada Quebec National Todd Thal: Chris Janson: Todd Chalmers: The information above must be read in conjunction with the Prospectus. Evelyn Kamiliotis: Stephanie Kirin: Toll Free:

2 KEY TERMS Issuer: : Issue Date: CUSIP: FundSERV Code: Maturity Date: Autocall: Minimum Investment: Reference Unit and Reference ETF: The Bank of Nova Scotia (the Bank ) $ per Note. The Notes will be issued on or about March 2, 2017, or such other date as may be agreed between the Bank and Scotia Capital Inc. and Laurentian Bank Securities Inc RV7 SSP1200 March 2, 2023 (approximately a 6 year term), subject to the Notes being automatically called by the Bank. 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 September 4, 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. $5,000 (50 Notes) The Notes provide exposure to the price performance of the units of the Reference ETF, which seeks to provide long term growth by replicating, to the extent possible, the S&P 500 Hedged to Canadian Dollars Index (the Underlying Index ), net of expenses. The Underlying Index is a market capitalization-weighted index of securities of 500 of the largest U.S. public issuers provided by the S&P Dow Jones Indices LLC hedged to Canadian dollars. The primary investment strategy of the Reference ETF is to invest in securities of one or more ishares ETFs, and/or securities of the constituent issuers included in the Underlying Index, such that the resulting portfolio will have characteristics that closely match the characteristics of the Underlying Index. The Reference ETF seeks to hedge any resulting foreign currency exposure back to Canadian dollars. Initial Valuation Date: March 2, 2017 The Notes do not represent an interest in the Reference Unit or the Reference ETF or in the securities included in the Reference ETF, and holders will have no right or entitlement to the Reference Unit including any dividends, distributions or other income or amounts paid on it. The price of the Reference Unit reflects only the price appreciation or depreciation of the Reference Unit and does not reflect the payment of dividends, distributions or other income or amounts on the Reference Unit. The annual distribution yield on the Reference Unit as of December 30, 2016 was 1.75%, representing an aggregate distribution yield of approximately 10.97% annually compounded over the approximately 6 year term of the Notes on the assumption that the dividends, distributions or other income or amounts paid on the securities comprising the Reference Unit remain constant. There is no requirement for the Bank to hold any interest in the Reference Unit, the Reference ETF or in the securities of the companies that comprise the Reference ETF. Valuation Dates: August 28, 2018, February 26, 2019, August 27, 2019, February 25, 2020, August 27, 2020, February 24, 2021, August 27, 2021, February 24, 2022, August 29, 2022 (each an "Autocall Valuation Date"), and February 24, 2023 (the "Final Valuation Date") provided, in each case, that if such day is not an Exchange Business Day then the Autocall Valuation Date or the Final Valuation Date, as the case may be, will be the immediately preceding Exchange Business Day, subject to the occurrence of any Market Disruption Event. Coupon Payments: Maturity Redemption Amount: Holders of record on the applicable Coupon Payment Record Date may be entitled to receive from the Bank on the applicable Coupon Payment Date a semi-annual coupon payment (the Coupon Payment ). The Semi- Annual Coupon Payment will be determined as follows: (i) If the Closing Unit Price on the relevant Coupon Payment Valuation Date is greater than the Barrier Price, the Coupon Payment will be $2.55 per Note; and (ii) If the Closing Unit Price on the relevant Coupon Payment Valuation Date is less than or equal to the Barrier Price, no Coupon Payment will be made. Holders of record on the applicable Record Date will be entitled to an amount payable on the Notes if they are automatically called by the Bank or at maturity (in each case the Maturity Redemption Amount ) as calculated by the Calculation Agent in accordance with the applicable formula below: 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: 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: 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: + ( x Price Return) Price Return: Closing Unit Price: Initial Unit Price: Final Unit Price: Autocall Price: Barrier Price: The Maturity Redemption Amount may be substantially less than the invested by an investor if the Final Unit Price on the Final Valuation Date is equal to or less than the Barrier Price. The Maturity Redemption Amount will be subject to a minimum principal repayment of $1.00 per Note. (Final Unit Price Initial Unit Price) / Initial Unit Price The official closing price or value of the Reference Unit on a given day as calculated and announced by the Exchange on an Exchange Business Day. The Closing Unit Price on the Initial Valuation Date, provided that if the Initial Valuation Date is not an Exchange Business Day, the Initial Unit Price will be determined as of the first succeeding day that is an Exchange Business Day. The Closing Unit Price on an Autocall Valuation Date or the Final Valuation Date, as the case may be. 110% of the Initial Unit Price. 70% of the Initial Unit Price.

3 Listing and Secondary Market: Early Trading Charge 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 but reserves the right to elect not to do so, in its sole and absolute discretion, without prior notice to investors. If Sold Within Early Trading Charge (% of ) 0-90 days of Issue Date 4.50% days of Issue Date 3.25% days of Issue Date 2.00% days of Issue Date 1.00% Thereafter Nil Eligibility for Investment: RRSPs, RRIFs, RESPs, RDSPs, DPSPs and TFSAs Fees and Expenses: A selling concession fee of $2.50 per Note sold (or 2.50% of the ) 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 up to $0.15 per Note sold (or up to 0.15% of the ) will be payable directly by the Bank to Laurentian Bank Securities Inc. at closing for acting as an independent agent. The payment of these fees will not reduce the amount on which the Maturity Redemption Amount payable on the Notes is calculated. The return on the Reference Unit and on the Notes will be affected by (i) ongoing costs of the Reference ETF, including the annual management fee payable by the Reference ETF to the ETF Advisor, which, as at December 30, 2016, represented 0.10% of the Reference ETF s net asset value, and (ii) transaction costs of the Reference ETF, including brokerage commissions payable on the purchase and sales of the securities held by the Reference ETF. The ETF Advisor will adjust the management fee payable to it by the Reference ETF to ensure that the total annual fees paid directly or indirectly to the ETF Advisor and its affiliates by the Reference ETF will not exceed 0.10% of the net asset value.

4 HYPOTHETICAL EXAMPLES These examples are for illustrative purposes only and should not be construed as an estimate or forecast of the performance of the Reference Unit or the return that an investor might realize on the Notes. The Price Return will be calculated based on the price return of the Reference Unit, which will not reflect the value of any dividends, distributions or other income or amounts accruing on the constituent securities of the Reference ETF. All dollar amounts are rounded to the nearest whole cent. Values for hypothetical calculations: Initial Unit Price: $25.46 Barrier Price: 70.00% of the Initial Unit Price = 70.00% x $25.46 = $17.82 Example #1 The Notes are not automatically called on an Autocall Valuation Date as the Closing Unit Price on each Autocall Valutation Date is less than the Autocall Price and the Final Unit Price on the Final Valuation Date is equal to or less than the Barrier Price. Coupon Payment Valuation Date % of Initial Unit Price Coupon Payment Issue Date % 0.5y (not callable) 55.00% $0.00 1y (not callable) 46.00% $ y 46.00% $0.00 2y 45.00% $ y 56.00% $0.00 3y 49.00% $ y 52.00% $0.00 4y 52.00% $ y 54.00% $0.00 5y 50.00% $ y 47.00% $0.00 6y 56.00% $0.00 The Notes are not automatically called on an Autocall Valuation Date as the Closing Unit Price on each Autocall Valuation Date is less than the Autocall Price. The Final Unit Price on the Final Valuation Date is equal to or less than the Barrier Price. The Maturity Redemption Amount is calculated as: + ( x Price Return) $ ($ x %) = $56.00 In this example, since the Closing Unit Price is below the Barrier Price on all Coupon Payment Valuation Dates, an investor would not receive any Coupon Payments. An investor would receive a Maturity Redemption Amount of $56.00 per Note on the Maturity Date, equivalent to an annual compound rate of return of approximately -9.21%

5 Example #2 The Notes are not automatically called on an Autocall Valuation Date as the Closing Unit Price on each Autocall Valuation Date is less than the Autocall Price, and the Final Unit Price on the Final Valuation Date is less than the Autocall Price, but greater than the Barrier Price. Coupon Payment Valuation Date % of Initial Unit Price Semi- Annual Coupon Payment Issue Date % 0.5y (not callable) % $2.55 1y (not callable) % $ y % $2.55 2y % $ y 85.00% $2.55 3y 49.00% $ y 56.00% $0.00 4y 46.00% $ y 82.00% $2.55 5y 81.00% $ y 86.00% $2.55 6y 81.00% $2.55 The Notes are not automatically called as the Closing Unit Price on each Autocall Valuation Date is less than the Autocall Price. The Final Unit Price on the Final Valuation Date is less than the Autocall Price, but greater than the Barrier Price. The Maturity Redemption Amount is calculated as: $ per Note In this example, since the Closing Unit Price is below the Barrier Price on the sixth, seventh and eighth Coupon Payment Valuation Dates, an investor would not receive a Coupon Payment for the related Coupon Payment Dates. An investor would receive aggregate Semi Annual Coupon Payments of $22.95 per Note and a Maturity Redemption Amount of $ per Note, on the Maturity Date, equivalent to an annual compound rate of return of approximately 3.50% Example #3 The Notes are automatically called on the first Autocall Valuation Date as the Closing Unit Price on the first Autocall Valuation Date is greater than or equal to the Autocall Price. Coupon Payment Valuation Date % of Initial Unit Price Coupon Payment Issue Date % 0.5y (not callable) % $2.55 1y (not callable) % $ y % $2.55 The Notes are automatically called - No future payments in respect of the Notes

6 Since the Final Unit Price (121.00% of the Initial Unit Price) is greater than the Autocall Price (110.00% of the Initial Unit Price) on the first Autocall Valuation Date, the Notes are automatically called. The Maturity Redemption Amount is calculated as: $ In this example, the Closing Unit Price is greater than the Barrier Price on each applicable Coupon Payment Valuation Date, so an investor would receive a Coupon Payment of $2.55 on each of the first three Coupon Payment Dates. An investor would receive aggregate Coupon Payments of $7.65 per Note and a Maturity Redemption Amount of $ per Note, on the Maturity Date, equivalent to an annual compound rate of return of approximately 5.04%

7 DISCLAIMER No securities regulatory authority has in any way passed upon the merits of the securities referred to herein and any representation to the contrary is an offence. The Notes are not principal protected (subject to a minimum principal repayment of $1.00 per Note) and an investor may receive substantially less than the original principal amount at maturity. A person should reach a decision to invest in the Notes only after carefully considering, with his or her investment, legal, accounting, tax and other advisors, the suitability of the Notes 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 Laurentian Bank Securities Inc. make no recommendation as to the suitability of the Notes for investment by any particular person. The Notes 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 Notes 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 Nova Scotia. Amounts paid to holders of Notes will depend on the price performance of the underlying interests. Unless otherwise specified in the Prospectus, the Bank does not guarantee that any of the principal amount of Notes will be paid at maturity or that any return will be paid on Notes (subject to a minimum principal repayment of $1.00 per Note). Purchasers could lose substantially all of their investment in Notes (subject to a minimum principal repayment of $1.00 per Note). Notes are not appropriate investments for persons who do not understand the risks associated with structured products or derivatives. A purchaser of Notes will be exposed to fluctuations and changes in the prices of the Reference Unit to which the Notes are linked. The price of the Reference Unit may be volatile and an investment linked to the price of the Reference Unit may also be volatile. Purchasers should read carefully the Risk Factors sections in the Prospectus. The Notes will not constitute deposits under the Canada Deposit Insurance Corporation Act. The Notes 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. ETF ADVISOR The Notes are not in any way sponsored, endorsed, sold or promoted by the Reference ETF or the ETF Advisor. The ETF Advisor is not responsible for, nor has it participated in the determination of, the structuring, timing, pricing or number of Notes to be issued. Neither the Reference ETF nor the ETF Advisor has any statutory liability with respect to the accuracy or completeness of any of the information contained in this pricing supplement nor does the Reference ETF or the ETF Advisor have any obligation or liability in connection with the administration, marketing or trading of the Notes. Investing in the Notes is not equivalent to investing in the Reference Unit, the Reference ETF or the securities held by the Reference ETF. The issuance of the Notes is not a financing for the benefit of the Reference ETF, the ETF Advisor or any of their respective insiders. Neither the Reference ETF nor the ETF Advisor will receive any proceeds from the offering and sale of the Notes. Neither the Reference ETF nor the ETF Advisor participated in the preparation of this pricing supplement, takes any responsibility or assumes any liability with respect to the accuracy or completeness of any information contained herein nor makes any representation regarding the advisability of purchasing the Notes.