Bond ScotiaBank 0% ( US0641601796 ) in USD

Issuer ScotiaBank
Market price 100 %  ▲ 
Country  Canada
ISIN code  US0641601796 ( in USD )
Interest rate 0%
Maturity 28/07/2022 - Bond has expired



Prospectus brochure of the bond Bank of Nova Scotia US0641601796 in USD 0%, expired


Minimal amount 1 000 USD
Total amount 4 158 723 USD
Cusip 064160179
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
Detailed description The Bank of Nova Scotia, also known as Scotiabank, is a multinational banking and financial services corporation headquartered in Toronto, Canada, with a significant international presence focusing on the Americas and select Asian markets.

The Bond issued by ScotiaBank ( Canada ) , in USD, with the ISIN code US0641601796, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 28/07/2022







424B2 1 a17-16065_15424b2.htm 424B2




File d Pursua nt
t o Rule 4 2 4
(b)(2 )



Re gist ra t ion
St a t e m e nt
N o. 3 3 3 -2 1 5 5 9 7



(T o Prospe c t us
da t e d
Fe brua ry 1 ,
2 0 1 7 ,



Prospe c t us
Supple m e nt
da t e d
Fe brua ry 1 3 ,
2 0 1 7 a nd



Produc t
Prospe c t us
Supple m e nt
EQU I T Y
I N DI CES
SU N -1 da t e d
Fe brua ry 2 3 ,
2 0 1 7 )



4,158,723 Units
Pricing Date
July 27,
$10 principal amount per unit
Settlement Date
2017
CUSIP No. 064160179
Maturity Date
August 3,
2017
July 28,
2022




Aut oc a lla ble M a rk e t -Link e d St e p U p N ot e s Link e d
t o
t he EU RO ST OX X 5 0 ® I nde x

Maturity of approximately five years, if not called prior to maturity



Automatic call of the notes per unit at $10 plus the applicable Call Premium ($0.89 on the first Observation Date, $1.78 on the second Observation
Date, $2.67 on the third Observation Date, and $3.56 on the final Observation Date) if the Index is flat or increases above 100.00% of the Starting
Value on the relevant Observation Date



The Observation Dates will occur approximately one year, two years, three years and four years after the pricing date



If the notes are not called, at maturity:
a return of 40.00% if the Index is flat or increases up to the Step Up Value

a return equal to the percentage increase in the Index if the Index increases above the Step Up Value

1-to-1 downside exposure to decreases in the Index beyond a 15.00% decline, with up to 85.00% of your principal at risk




All payments are subject to the credit risk of The Bank of Nova Scotia



No periodic interest payments



In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.075 per unit. See "Structuring the Notes"



Limited secondary market liquidity, with no exchange listing



The notes are unsecured debt securities and are not savings accounts or insured deposits of a bank. The notes are not insured or guaranteed by the
Canada Deposit Insurance Corporation (the "CDIC"), the U.S. Federal Deposit Insurance Corporation (the "FDIC"), or any other governmental agency
of Canada, the United States or any other jurisdiction



T he not e s a re be ing issue d by T he Ba nk of N ova Sc ot ia ("BN S"). T he re a re im port a nt diffe re nc e s be t w e e n t he not e s
a nd a c onve nt iona l de bt se c urit y, inc luding diffe re nt inve st m e nt risk s a nd c e rt a in a ddit iona l c ost s. Se e "Risk
Fa c t ors" be ginning on pa ge T S -7 of t his t e rm she e t a nd be ginning on pa ge PS -7 of produc t prospe c t us supple m e nt
https://www.sec.gov/Archives/edgar/data/9631/000110465917048083/a17-16065_15424b2.htm[8/1/2017 10:44:52 AM]


EQU I T Y I N DI CES SU N -1 .

T he init ia l e st im a t e d va lue of t he not e s a s of t he pric ing da t e is $ 9 .6 3 pe r unit , w hic h is le ss t ha n t he public
offe ring pric e list e d be low . See "Summary" on the following page, "Risk Factors" beginning on page TS-7 of this term sheet and
"Structuring the Notes" on page TS-11 of this term sheet for additional information. The actual value of your notes at any time will reflect many
factors and cannot be predicted with accuracy.


None of the U.S. Securities and Exchange Commission (the "SEC"), any state securities commission, or any other regulatory body has approved
or disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any representation to the
contrary is a criminal offense.



Per Unit
Total





Public offering price
$
10.00
$41,587,230.00





Underwriting discount
$
0.20
$ 831,744.60





Proceeds, before expenses, to BNS
$
9.80
$40,755,485.40

T he not e s:

Are N ot FDI C I nsure d
Are N ot Ba nk Gua ra nt e e d
M a y Lose V a lue

M e rrill Lync h & Co.

July 27, 2017



Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due July 28, 2022



Summary

The Autocallable Market-Linked Step Up Notes Linked to the EURO STOXX 50 Index,
®
due July 28, 2022 (the "notes") are our senior unsecured debt
securities. The notes are not guaranteed or insured by the CDIC or the FDIC, and are not, either directly or indirectly, an obligation of any third party. T he
not e s w ill ra nk e qua lly w it h a ll of our ot he r unse c ure d se nior de bt . Any pa ym e nt s due on t he not e s, inc luding a ny re pa ym e nt
of princ ipa l, w ill be subje c t t o t he c re dit risk of BN S. The notes will be automatically called at the applicable Call Amount if the Observation
Level of the Market Measure, which is the EURO STOXX 50® Index (the "Index"), is equal to or greater than the Call Level on the relevant Observation Date.
If not called, at maturity, the notes provide you with a Step Up Payment if the Ending Value of the Index is equal to or greater than the Starting Value, but is
not greater than the Step Up Value. If the Ending Value is greater than the Step Up Value, you will participate on a 1-for-1 basis in the increase in the level
of the Index above the Starting Value. If the Ending Value is less than the Starting Value but greater than or equal to the Threshold Value, you will receive
the principal amount of your notes. If the Ending Value is less than the Threshold Value, you will lose a portion, which could be significant, of the principal
amount of your notes. Payments on the notes, including the amount you receive at maturity or upon an automatic call, will be calculated based on the $10
principal amount per unit and will depend on the performance of the Index, subject to our credit risk. See "Terms of the Notes" below.

The economic terms of the notes (including the Call Premiums and Call Amounts) are based on our internal funding rate, which is the rate we would pay to
borrow funds through the issuance of market-linked notes, and the economic terms of certain related hedging arrangements. Our internal funding rate is
typically lower than the rate we would pay when we issue conventional fixed rate debt securities. This difference in funding rate, as well as the underwriting
discount and the hedging related charge described below, reduced the economic terms of the notes to you and the initial estimated value of the notes on the
pricing date. Due to these factors, the public offering price you pay to purchase the notes is greater than the initial estimated value of the notes.

On the cover page of this term sheet, we have provided the initial estimated value for the notes. This estimated value was determined by reference to our
internal pricing models, which take into consideration certain factors, such as our internal funding rate on the pricing date and our assumptions about market
parameters. For more information about the initial estimated value and the structuring of the notes, see "Structuring the Notes" on page TS-11.


Terms of the Notes
I ssue r:
The Bank of Nova Scotia ("BNS ")
Ca ll Se t t le m e nt
Approximately the fifth business day following the applicable
https://www.sec.gov/Archives/edgar/data/9631/000110465917048083/a17-16065_15424b2.htm[8/1/2017 10:44:52 AM]


Observation Date, subject to postponement if the related

Da t e s:
Observation Date is postponed, as described beginning on
page PS-20 of product prospectus supplement EQUITY
INDICES SUN-1.
Princ ipa l
$10.00 per unit
Ca ll Pre m ium s:
$0.89 per unit if called on the first Observation Date
Am ount :
(which represents a return of 8.90% over the principal
amount), $1.78 per unit if called on the second
Observation Date (which represents a return of 17.80%
over the principal amount), $2.67 per unit if called on
the third Observation Date (which represents a return
of 26.70% over the principal amount), and $3.56 per
unit if called on the final Observation Date (which
represents a return of 35.60% over the principal
amount).
T e rm :
Approximately five years, if not called
Ending V a lue :
The closing level of the Market Measure on the

scheduled calculation day. The calculation day is
subject to postponement in the event of Market
Disruption Events, as described beginning on page PS-
21 of product prospectus supplement EQUITY INDICES
SUN-1.
M a rk e t
The EURO STOXX 50 Index
®
(Bloomberg
St e p U p V a lue :
4,890.40 (140.00% of the Starting Value, rounded to
M e a sure :
symbol: "SX5E"), a price return index
two decimal places).

St a rt ing V a lue :
3,493.14
St e p U p
$4.00 per unit, which represents a return of 40.00%

Pa ym e nt :
over the principal amount.
Obse rva t ion
The closing level of the Market Measure on the
T hre shold V a lue :
2,969.17 (85.00% of the Starting Value, rounded to two
Le ve l:
applicable Observation Date.
decimal places).

Obse rva t ion
August 2, 2018, July 18, 2019, July 23, 2020
Ca lc ula t ion Da y:
July 21, 2022
Da t e s:
and July 22, 2021 subject to postponement in the
event of Market Disruption Events, as described
beginning on page PS-20 of product prospectus
supplement EQUITY INDICES SUN-1.
Ca ll Le ve l:
3,493.14 (100.00% of the Starting Value)
Fe e s a nd
The underwriting discount of $0.20 per unit listed on the

Cha rge s:
cover page and the hedging related charge of $0.075
per unit described in "Structuring the Notes" on
page TS-11.
Ca ll Am ount s
$10.89 if called on the first Observation Date,
Ca lc ula t ion
Merrill Lynch, Pierce, Fenner & Smith Incorporated
(pe r U nit ):
$11.78 if called on the second Observation
Age nt :
("MLPF&S").
Date, $12.67 if called on the third Observation
Date, and $13.56 if called on the final
Observation Date.

Autocallable Market-Linked Step Up Notes
TS-2



Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due July 28, 2022



Determining Payment on the Notes

Aut om a t ic Ca ll Provision

The notes will be called automatically on an Observation Date if the Observation Level on that Observation Date is equal to or greater than the Call Level. If
the notes are called, you will receive $10 per unit plus the applicable Call Premium.

https://www.sec.gov/Archives/edgar/data/9631/000110465917048083/a17-16065_15424b2.htm[8/1/2017 10:44:52 AM]



Re de m pt ion Am ount De t e rm ina t ion

If the notes are not automatically called, on the maturity date, you will receive a cash payment per unit determined as follows:


Autocallable Market-Linked Step Up Notes
TS-3



Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due July 28, 2022



The terms and risks of the notes are contained in this term sheet and in the following:


Product prospectus supplement EQUITY INDICES SUN-1 dated February 23, 2017:

https://www.sec.gov/Archives/edgar/data/9631/000110465917011241/a17-4372_4424b5.htm


Prospectus supplement dated February 13, 2017:

https://www.sec.gov/Archives/edgar/data/9631/000110465917008642/a17-4372_1424b3.htm


Prospectus dated February 1, 2017:

https://www.sec.gov/Archives/edgar/data/9631/000119312517027656/d338678d424b3.htm

These documents (together, the "Note Prospectus") have been filed as part of a registration statement with the SEC, which may, without cost,
be accessed on the SEC website as indicated above or obtained from MLPF&S by calling 1-800-294-1322. Before you invest, you should read
https://www.sec.gov/Archives/edgar/data/9631/000110465917048083/a17-16065_15424b2.htm[8/1/2017 10:44:52 AM]


the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or contemporaneous oral statements and
any other written materials you may have received are superseded by the Note Prospectus. Capitalized terms used but not defined in this term
sheet have the meanings set forth in product prospectus supplement EQUITY INDICES SUN-1. Unless otherwise indicated or unless the
context requires otherwise, all references in this document to "we," "us," "our," or similar references are to BNS.

Investor Considerations

Y ou m a y w ish t o c onside r a n inve st m e nt in t he not e s if:
T he not e s m a y not be a n a ppropria t e inve st m e nt for you
if:


You are willing to receive a return on your investment capped at

You want to hold your notes for the full term.


the applicable Call Premium if the relevant Observation Level is

You believe that the notes will not be automatically called and the

equal to or greater than the Call Level.
Index will decrease from the Starting Value to an Ending Value

You anticipate that the notes will be automatically called or the
that is below the Threshold Value.

Index will increase from the Starting Value to the Ending Value.

You seek 100.00% principal repayment or preservation of capital.


You are willing to risk a substantial loss of principal and return if


You seek interest payments or other current income on your

the notes are not automatically called and the Index decreases
investment.
from the Starting Value to an Ending Value that is below the

You want to receive dividends or other distributions paid on the
Threshold Value.

stocks included in the Index.

You are willing to forgo the interest payments that are paid on


You seek an investment for which there will be a liquid secondary
conventional interest bearing debt securities.

market.

You are willing to forgo dividends or other benefits of owning the


You are unwilling or are unable to take market risk on the notes or
stocks included in the Index.

to take our credit risk as issuer of the notes.

You are willing to accept a limited or no market for sales prior to

maturity, and understand that the market prices for the notes, if
any, will be affected by various factors, including our actual and
perceived creditworthiness, our internal funding rate and fees and
charges on the notes.

You are willing to assume our credit risk, as issuer of the notes,

for all payments under the notes, including the Redemption
Amount.


We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.

Autocallable Market-Linked Step Up Notes
TS-4



Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due July 28, 2022



Hypothetical Payout Profile and Examples of Payments at
Maturity

T he se hypot he t ic a l va lue s show a pa yout profile a t m a t urit y, w hic h w ould only a pply if t he not e s a re not c a lle d on
a ny Obse rva t ion Da t e .

Aut oc a lla ble M a rk e t -Link e d St e p U p N ot e s
This graph reflects the returns on the notes, based on the Threshold
Value of 85.00% of the Starting Value, the Step Up Payment of
$4.00 per unit and the Step Up Value of 140.00% of the Starting
Value. The green line reflects the returns on the notes, while the
dotted gray line reflects the returns of a direct investment in the
stocks included in the Index, excluding dividends.
This graph has been prepared for purposes of illustration only.
https://www.sec.gov/Archives/edgar/data/9631/000110465917048083/a17-16065_15424b2.htm[8/1/2017 10:44:52 AM]



The following table and examples are for purposes of illustration only. They are based on hypothetical values and show hypothetical returns on
the notes, assuming the notes are not called on any Observation Date. They illustrate the calculation of the Redemption Amount and total rate of
return based on a hypothetical Starting Value of 100, a hypothetical Threshold Value of 85, a hypothetical Step Up Value of 140, the Step Up
Payment of $4.00 per unit and a range of hypothetical Ending Values. T he a c t ua l a m ount you re c e ive a nd t he re sult ing t ot a l ra t e
of re t urn w ill de pe nd on t he a c t ua l St a rt ing V a lue , T hre shold V a lue , Ending V a lue , St e p U p V a lue , w he t he r t he not e s
a re c a lle d on a n Obse rva t ion Da t e , a nd w he t he r you hold t he not e s t o m a t urit y. The following examples do not take into
account any tax consequences from investing in the notes.

For recent actual levels of the Market Measure, see "The Index" section below. The Index is a price return index and as such the Ending Value
will not include any income generated by dividends paid on the stocks included in the Index, which you would otherwise be entitled to receive if
you invested in those stocks directly. In addition, all payments on the notes are subject to issuer credit risk.

Pe rc e nt a ge Cha nge from t he
T ot a l Ra t e of Re t urn on
St a rt ing V a lue t o t he Ending
t he
Ending V a lue
V a lue
Re de m pt ion Am ount pe r U nit
N ot e s
0.00
-100.00%
$1.50
-85.00%
50.00
-50.00%
$6.50
-35.00%
75.00
-25.00%
$9.00
-10.00%
80.00
-20.00%
$9.50
-5.00%
85.00(1)
-15.00%
$10.00
0.00%
90.00
-10.00%
$10.00
0.00%
94.00
-6.00%
$10.00
0.00%
95.00
-5.00%
$10.00
0.00%
97.00
-3.00%
$10.00
0.00%
100.00(2)
0.00%
$14.00(3)
40.00%
102.00
2.00%
$14.00
40.00%
105.00
5.00%
$14.00
40.00%
110.00
10.00%
$14.00
40.00%
120.00
20.00%
$14.00
40.00%
130.00
30.00%
$14.00
40.00%
140.00(4)
40.00%
$14.00
40.00%
150.00
50.00%
$15.00
50.00%
154.00
54.00%
$15.40
54.00%
160.00
60.00%
$16.00
60.00%

(1)
This is the hypot he t ic a l Threshold Value.

(2)
The hypot he t ic a l Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual Starting

Value is 3,493.14, which was the closing level of the Market Measure on the pricing date.
(3)
This amount represents the sum of the principal amount and the Step Up Payment of $4.00.

(4)
This is the hypot he t ic a l Step Up Value.


Autocallable Market-Linked Step Up Notes
TS-5



https://www.sec.gov/Archives/edgar/data/9631/000110465917048083/a17-16065_15424b2.htm[8/1/2017 10:44:52 AM]


Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due July 28, 2022



Re de m pt ion Am ount Ca lc ula t ion Ex a m ple s

Ex a m ple 1
The Ending Value is 75.00, or 75.00% of the Starting Value:
Starting Value:
100.00

Threshold Value: 85.00

Ending Value:
75.00

Redemption Amount per unit

Ex a m ple 2
The Ending Value is 95.00, or 95.00% of the Starting Value:
Starting Value:
100.00

Threshold Value: 85.00

Ending Value:
95.00

Redemption Amount per unit = $ 1 0 .0 0 , the principal amount, since the Ending Value is less than the Starting Value, but is equal to or
greater than the Threshold Value.

Ex a m ple 3
The Ending Value is 110.00, or 110.00% of the Starting Value:
Starting Value:
100.00

Step Up Value:
140.00

Ending Value:
110.00

Redemption Amount per unit, the principal amount plus the Step Up Payment, since the Ending Value is
equal to or greater than the Starting Value, but less than the Step Up Value.

Ex a m ple 4
The Ending Value is 154.00, or 154.00% of the Starting Value:
Starting Value:
100.00

Step Up Value:
140.00

Ending Value:
154.00

Redemption Amount per unit

Autocallable Market-Linked Step Up Notes
TS-6



Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due July 28, 2022



Risk Factors

There are important differences between the notes and a conventional debt security. An investment in the notes involves significant risks,
including those listed below. You should carefully review the more detailed explanation of risks relating to the notes in the "Risk Factors"
sections beginning on page PS-7 of product prospectus supplement EQUITY INDICES SUN-1, page S-2 of the prospectus supplement, and
page 6 of the prospectus identified above. We also urge you to consult your investment, legal, tax, accounting, and other advisors before you
invest in the notes.
https://www.sec.gov/Archives/edgar/data/9631/000110465917048083/a17-16065_15424b2.htm[8/1/2017 10:44:52 AM]




If the notes are not automatically called, depending on the performance of the Index as measured shortly before the maturity date, your

investment may result in a loss; there is no guaranteed return of principal.


Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of

comparable maturity.


If the notes are called, your investment return is limited to the return represented by the applicable Call Premium.



Your investment return may be less than a comparable investment directly in the stocks included in the Index.



Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect the

value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire investment.


Our initial estimated value of the notes is lower than the public offering price of the notes. Our initial estimated value of the notes is only

an estimate. The public offering price of the notes exceeds our initial estimated value because it includes costs associated with selling
and structuring the notes, as well as hedging our obligations under the notes with a third party, which may include MLPF&S or one of its
affiliates. These costs include the underwriting discount and an expected hedging related charge, as further described in "Structuring
the Notes" on page TS-11.


Our initial estimated value of the notes does not represent future values of the notes and may differ from others' estimates. Our initial

estimated value of the notes is determined by reference to our internal pricing models when the terms of the notes are set. These
pricing models consider certain factors, such as our internal funding rate on the pricing date, the expected term of the notes, market
conditions and other relevant factors existing at that time, and our assumptions about market parameters, which can include volatility,
dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the notes that
are different from our initial estimated value. In addition, market conditions and other relevant factors in the future may change, and any
of our assumptions may prove to be incorrect. On future dates, the market value of the notes could change significantly based on,
among other things, the performance of the Index, changes in market conditions, our creditworthiness, interest rate movements and
other relevant factors. These factors, together with various credit, market and economic factors over the term of the notes, are
expected to reduce the price at which you may be able to sell the notes in any secondary market and will affect the value of the notes in
complex and unpredictable ways. Our initial estimated value does not represent a minimum price at which we or any agents would be
willing to buy your notes in any secondary market (if any exists) at any time.


Our initial estimated value is not determined by reference to credit spreads or the borrowing rate we would pay for our conventional

fixed-rate debt securities. The internal funding rate used in the determination of our initial estimated value of the notes generally
represents a discount from the credit spreads for our conventional fixed-rate debt securities and the borrowing rate we would pay for our
conventional fixed-rate debt securities. If we were to use the interest rate implied by the credit spreads for our conventional fixed-rate
debt securities, or the borrowing rate we would pay for our conventional fixed-rate debt securities, we would expect the economic terms
of the notes to be more favorable to you. Consequently, our use of an internal funding rate for the notes would have an adverse effect
on the economic terms of the notes, the initial estimated value of the notes on the pricing date, and the price at which you may be able
to sell the notes in any secondary market.


A trading market is not expected to develop for the notes. Neither we nor MLPF&S is obligated to make a market for, or to repurchase,

the notes. There is no assurance that any party will be willing to purchase your notes at any price in any secondary market.


Your return on the notes may be affected by factors affecting the international securities markets, specifically changes within the

Eurozone. The Eurozone is and has been undergoing severe financial stress, and the political, legal and regulatory ramifications are
impossible to predict. Changes within the Eurozone could adversely affect the performance of the Index and, consequently, the value of
the notes. In addition, you will not obtain the benefit of any increase in the value of the euro against the U.S. dollar, which you would
have received if you had owned the securities in the Index during the term of your notes, although the level of the Index may be
adversely affected by general exchange rate movements in the market.


Our business, hedging and trading activities, and those of MLPF&S and our respective affiliates (including trades in shares of

companies included in the Index), and any hedging and trading activities we, MLPF&S or our respective affiliates engage in for our
clients' accounts, may affect the market value and return of the notes and may create conflicts of interest with you.


The Index sponsor may adjust the Index in a way that may adversely affect its level and your interests, and the Index sponsor has no

obligation to consider your interests.


You will have no rights of a holder of the securities included in the Index, and you will not be entitled to receive securities or dividends or

other distributions by the issuers of those securities.

Autocallable Market-Linked Step Up Notes
TS-7


https://www.sec.gov/Archives/edgar/data/9631/000110465917048083/a17-16065_15424b2.htm[8/1/2017 10:44:52 AM]



Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due July 28, 2022




While we, MLPF&S or our respective affiliates may from time to time own securities of companies included in the Index, we, MLPF&S

and our respective affiliates do not control any company included in the Index, and have not verified any disclosure made by any other
company.


There may be potential conflicts of interest involving the calculation agent, which is MLPF&S. We have the right to appoint and remove

the calculation agent.


The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See "Summary of

U.S. Federal Income Tax Consequences" below.


The conclusion that no portion of the interest paid or credited or deemed to be paid or credited on a note will be "Participating Debt

Interest" subject to Canadian withholding tax is based in part on the current published administrative position of the CRA. There cannot
be any assurance that CRA's current published administrative practice will not be subject to change, including potential expansion in
the current administrative interpretation of Participating Debt Interest subject to Canadian withholding tax. If, at any time, the interest
paid or credited or deemed to be paid or credited on a note is subject to Canadian withholding tax, you will receive an amount that is
less than the Redemption Amount. You should consult your own adviser as to the potential for such withholding and the potential for
reduction or refund of part or all of such withholding, including under any bilateral Canadian tax treaty the benefits of which you may be
entitled. For a discussion of the Canadian federal income tax consequences of investing in the notes, see "Summary of Canadian
Federal Income Tax Consequences" below, "Canadian Taxation--Debt Securities" on page 50 of the prospectus dated February 1,
2017, and "Supplemental Discussion of Canadian Federal Income Tax Consequences" on page PS-29 of product prospectus
supplement EQUITY INDICES SUN-1.

Other Terms of the Notes

The provisions of this section supersede and replace the definition of "Market Measure Business Day" set forth in product prospectus
supplement EQUITY INDICES SUN-1.

M a rk e t M e a sure Busine ss Da y

A "Market Measure Business Day" means a day on which:

(A) the Eurex (or any successor) is open for trading; and

(B) the Index or any successor thereto is calculated and published.

Autocallable Market-Linked Step Up Notes
TS-8



Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due July 28, 2022



The Index

All disclosures contained in this term sheet regarding the Index, including, without limitation, its make-up, method of calculation, and changes in
its components, have been derived from publicly available sources. The information reflects the policies of, and is subject to change by, STOXX
Limited ("STOXX" or the "Index sponsor"). The Index sponsor, which owns the copyright and all other rights to the Index, has no obligation to
continue to publish, and may discontinue publication of, the Index. The consequences of the Index sponsor discontinuing publication of the Index
are discussed in the section entitled "Description of the Notes- Discontinuance of an Index" beginning on page PS-22 of product prospectus
supplement EQUITY INDICES SUN-1. None of us, the calculation agent, or MLPF&S accepts any responsibility for the calculation, maintenance
or publication of the Index or any successor index.

Ge ne ra l

https://www.sec.gov/Archives/edgar/data/9631/000110465917048083/a17-16065_15424b2.htm[8/1/2017 10:44:52 AM]


The Index is a capitalization-weighted index of 50 European blue-chip stocks in 11 Eurozone countries. Publication of the Index began on
February 26, 1998, based on an initial Index value of 1,000 at December 31, 1991. The level of the Index is disseminated on, and additional
information about the Index is published on, the STOXX website. Information contained in the STOXX website is not incorporated by reference
in, and should not be considered a part of, this term sheet.

As of June 30, 2017, the top ten industry sectors which comprise the Index represent the following weights in the Index: Banks
(15.9%), Industrial Goods & Services (10.3%), Personal & Household Goods (9.1%), Chemicals (9.0%), Health Care (7.7%), Technology
(7.1%), Insurance (6.7%), Oil & Gas (6.1%), Utilities (5.1%), and Telecommunications (5.1%). As of June 30, 2017, the eight countries which
comprise the Index represent the following weights therein: France (36.0%), Germany (33.1%), Spain (10.8%), Netherlands (9.8%), Italy (4.7%),
Belgium (3.1%), Finland (1.3%) and Ireland (1.1%).

I nde x Com posit ion a nd M a int e na nc e

For each of the 19 EURO STOXX regional supersector indices, the stocks are ranked in terms of free-float market capitalization. The largest
stocks are added to the selection list until the coverage is close to, but still less than, 60% of the free-float market capitalization of the
corresponding supersector index. If the next highest-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to
the selection list. All current stocks in the Index are then added to the selection list. All of the stocks on the selection list are then ranked in terms
of free-float market capitalization to produce the final index selection list. The largest 40 stocks on the selection list are selected; the remaining
10 stocks are selected from the largest remaining current stocks ranked between 41 and 60; if the number of stocks selected is still below 50,
then the largest remaining stocks are selected until there are 50 stocks. In exceptional cases, STOXX's management board can add stocks to
and remove them from the selection list.

The Index components are subject to a capped maximum index weight of 10%, which is applied on a quarterly basis.

The composition of the Index is reviewed annually, based on the closing stock data on the last trading day in August. Changes in the
composition of the Index are made to ensure that the Index includes the 50 market sector leaders from within the Index.

The Index is subject to a "fast exit rule." The Index components are monitored for any changes based on the monthly selection list ranking. A
stock is deleted from the Index if: (a) it ranks 75 or below on the monthly selection list and (b) it ranked 75 or below on the selection list of the
previous month. The highest-ranked stock that is not an Index component will replace it. Changes will be implemented on the close of the fifth
trading day of the month, and are effective the next trading day.

The Index is also subject to a "fast entry rule." All stocks on the latest selection lists and initial public offering (IPO) stocks are reviewed for a
fast-track addition on a quarterly basis. A stock is added, if (a) it qualifies for the latest STOXX blue-chip selection list generated at the end of
February, May, August or November and (b) it ranks within the "lower buffer" (ranks 1-25) on this selection list.

The Index is also reviewed on an ongoing basis. Corporate actions (including initial public offerings, mergers and takeovers, spin-offs, delistings,
and bankruptcy) that affect the Index composition are immediately reviewed. Any changes are announced, implemented, and effective in line
with the type of corporate action and the magnitude of the effect.

Index Calculation

The Index is calculated with the "Laspeyres formula," which measures the aggregate price changes in the component stocks against a fixed
base quantity weight. The formula for calculating the Index value can be expressed as follows:

Index = free float market capitalization of the Index at the time

divisor of the Index at the time

The "free float market capitalization of the Index" is equal to the sum of the products of the closing price, number of shares, free float factor, and
weighting cap factor for the component company as of the time that the Index is being calculated.

The Index is calculated using a divisor that helps to maintain the continuity of the Index's value so that corporate actions do not artificially
increase or decrease the level of the Index. The divisor of the Index is adjusted to maintain the continuity of the Index's values across changes
due to corporate actions, such as cash dividends, rights offerings, stock dividends from treasury shares, repurchases of shares and self-tender,
and spin-offs.

Autocallable Market-Linked Step Up Notes
TS-9



Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due July 28, 2022


https://www.sec.gov/Archives/edgar/data/9631/000110465917048083/a17-16065_15424b2.htm[8/1/2017 10:44:52 AM]


Document Outline