Obbligazione ScotiaBank 0% ( US0641602299 ) in USD

Emittente ScotiaBank
Prezzo di mercato 100 USD  ⇌ 
Paese  Canada
Codice isin  US0641602299 ( in USD )
Tasso d'interesse 0%
Scadenza 24/06/2022 - Obbligazione è scaduto



Prospetto opuscolo dell'obbligazione Bank of Nova Scotia US0641602299 in USD 0%, scaduta


Importo minimo 1 000 USD
Importo totale 15 794 000 USD
Cusip 064160229
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
Descrizione dettagliata La Bank of Nova Scotia, nota anche come Scotiabank, è una delle più grandi banche del Canada, operante a livello internazionale con una forte presenza in America Latina e nel Caraibi.

The Obbligazione issued by ScotiaBank ( Canada ) , in USD, with the ISIN code US0641602299, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 24/06/2022







424B2 1 a17-14659_4424b2.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
LI RN -1 da t e d Fe brua ry 2 3 , 2 0 1 7 )

1,579,350 Units
Pricing Date
June
$10 principal amount per unit
Settlement Date
7,
CUSIP No. 064160229
Maturity Date
2017
June
14,
2017

June
24,
2022





Le ve ra ge d I nde x Re t urn 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


166% leveraged upside exposure to increases in the Index


1-to-1 downside exposure to decreases in the Index beyond a 20% decline, with up to 80% of your principal at risk


All payments occur at maturity and 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 -6 of t his t e rm she e t a nd be ginning on pa ge PS -6 of produc t prospe c t us supple m e nt
EQU I T Y I N DI CES LI RN -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 .5 1 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-6 of this term sheet and "Structuring the
Notes" on page TS-10 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
$
15,793,500.00


Underwriting discount
$
0.25
$
394,837.50


Proceeds, before expenses, to BNS
$
9.75
$
15,398,662.50



https://www.sec.gov/Archives/edgar/data/9631/000110465917038359/a17-14659_4424b2.htm[6/12/2017 9:28:46 AM]


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.
June 7, 2017


Leveraged Index Return Notes®
Linked to the EURO STOXX 50® Index, due June 24, 2022



Summary

The Leveraged Index Return Notes Linked
®
to the EURO STOXX 50 Index,
®
due June 24, 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 provide you a leveraged return if the Ending Value of the Market Measure, which is the EURO STOXX
50 Index
®
(the "Index"), is greater than the Starting Value. If the Ending Value is equal to or 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, 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 Participation Rate) 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-10.

Terms of the Notes
Redemption Amount Determination
I ssue r:
The Bank of Nova Scotia ("BNS")
On the maturity date, you will receive a cash payment per unit determined as
follows:
Princ ipa l Am ount :
$10.00 per unit
T e rm :
Approximately five years
M a rk e t M e a sure :
The EURO STOXX 50 Index
®
(Bloomberg
symbol: "SX5E"), a price return index
St a rt ing V a lue :
3,548.84
Ending V a lue :
The average of the closing levels of the
Market Measure on each scheduled
calculation day occurring during the
Maturity Valuation Period. The calculation
days are subject to postponement in the
event of Market Disruption Events, as
described beginning on page PS-18 of
product prospectus supplement EQUITY
INDICES LIRN-1.
T hre shold V a lue :
2,839.07(80% of the Starting Value,
rounded to two decimal places).
Pa rt ic ipa t ion
166%
Ra t e :
M a t urit y
June 15, 2022, June 16, 2022, June 17,
V a lua t ion Pe riod:
2022, June 20, 2022 and June 21, 2022
Fe e s a nd
The underwriting discount of $0.25 per unit
Cha rge s:
listed on the cover page and the hedging
https://www.sec.gov/Archives/edgar/data/9631/000110465917038359/a17-14659_4424b2.htm[6/12/2017 9:28:46 AM]


related charge of $0.075 per unit
described in "Structuring the Notes" on
page TS-10.
Ca lc ula t ion
Merrill Lynch, Pierce, Fenner & Smith
Age nt :
Incorporated ("MLPF&S").

Leveraged Index Return Notes®
TS-2



Leveraged Index Return Notes®
Linked to the EURO STOXX 50® Index, due June 24, 2022



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


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

https://www.sec.gov/Archives/edgar/data/9631/000110465917011151/a17-4372_3424b5.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 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 LIRN-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 anticipate that the Index will increase from the Starting

You believe that the Index will decrease from the Starting Value to


Value to the Ending Value.
the Ending Value or that it will not increase sufficiently over the term

of the notes to provide you with your desired return.
You are willing to risk a substantial loss of principal if the Index


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decreases from the Starting Value to an Ending Value that is
You seek 100% principal repayment or preservation of capital.
below the Threshold Value.

You seek interest payments or other current income on your


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

conventional interest bearing debt securities.

You want to receive dividends or other distributions paid on the


You are willing to forgo dividends or other benefits of owning the
stocks included in the Index.

stocks included in the Index.

You seek an investment for which there will be a liquid secondary


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

maturity, and understand that the market prices for the notes, if

You are unwilling or are unable to take market risk on the notes or to

any, will be affected by various factors, including our actual and
take our credit risk as issuer of the notes.
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.

Leveraged Index Return Notes®
TS-3



Leveraged Index Return Notes®
Linked to the EURO STOXX 50® Index, due June 24, 2022



Hypothetical Payout Profile and Examples of Payments at
Maturity

Le ve ra ge d I nde x Re t urn N ot e s®
This graph reflects the returns on the notes, based on the
Participation Rate of 166% and a Threshold Value of 80% 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.

The following table and examples are for purposes of illustration only. They are based on hypothetical values and show hypothetical returns on
the notes. They illustrate the calculation of the Redemption Amount and total rate of return based on a hypothetical Starting Value of 100, a
Threshold Value of 80, the Participation Rate of 166% 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 , a nd Ending V a lue , 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.

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Pe rc e nt a ge Cha nge from t he
Re de m pt ion Am ount
St a rt ing V a lue t o t he Ending
pe r
T ot a l Ra t e of Re t urn on t he
Ending V a lue
V a lue
U nit (1)
N ot e s






0.00
-100.00%
$2.00
-80.00%



50.00
-50.00%
$7.00
-30.00%



70.00
-30.00%
$9.00
-10.00%



80.00(3)
-20.00%
$10.00
0.00%



90.00
-10.00%
$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%
$10.00
0.00%



105.00
5.00%
$10.83
8.30%



110.00
10.00%
$11.66
16.60%



120.00
20.00%
$13.32
33.20%



130.00
30.00%
$14.98
49.80%



140.00
40.00%
$16.64
66.40%



150.00
50.00%
$18.30
83.00%



160.00
60.00%
$19.96
99.60%

(1)
The Redemption Amount per unit is based on the hypot he t ic a l Participation Rate.

(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 3,548.84, which was the closing level of the Market Measure on the pricing date.
(3)
This is the Threshold Value.


Leveraged Index Return Notes®
TS-4



Leveraged Index Return Notes®
Linked to the EURO STOXX 50® Index, due June 24, 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 70.00, or 70.00% of the Starting Value:
Starting Value:
100.00

Threshold Value: 80.00

Ending Value:
70.00

Redemption Amount per unit

Ex a m ple 2
The Ending Value is 90.00, or 90.00% of the Starting Value:
Starting Value:
100.00

Threshold Value: 80.00

Ending Value:
90.00

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

Ex a m ple 3
The Ending Value is 150.00, or 150.00% of the Starting Value:
https://www.sec.gov/Archives/edgar/data/9631/000110465917038359/a17-14659_4424b2.htm[6/12/2017 9:28:46 AM]


Starting Value:
100.00

Ending Value:
150.00

= $ 1 8 .3 0 Redemption Amount per unit

Leveraged Index Return Notes®
TS-5



Leveraged Index Return Notes®
Linked to the EURO STOXX 50® Index, due June 24, 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-6 of product prospectus supplement EQUITY INDICES LIRN-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.


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.


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-10.


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
https://www.sec.gov/Archives/edgar/data/9631/000110465917038359/a17-14659_4424b2.htm[6/12/2017 9:28:46 AM]


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 and the value of the notes may be affected by exchange rate movements and factors affecting the international

securities markets, including economic, financial, social and political conditions. Specifically, the stocks included in the Index are issued
by companies located 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.


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.


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.


Leveraged Index Return Notes®
TS-6



Leveraged Index Return Notes®
Linked to the EURO STOXX 50® Index, due June 24, 2022




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-27 of product prospectus supplement EQUITY INDICES LIRN-
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 supplement EQUITY
INDICES LIRN-1.

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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.


Leveraged Index Return Notes®
TS-7



Leveraged Index Return Notes®
Linked to the EURO STOXX 50® Index, due June 24, 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 LIRNs- Discontinuance of an Index" on page PS-20 of product prospectus supplement
EQUITY INDICES LIRN-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

The Index is a capitalization-weighted index of 50 European blue-chip stocks. 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 April 28, 2017, the top ten industry sectors which comprise the Index represent the following weights in the Index: Banks (15.7%), Industrial
Goods & Services (10.6%), Chemicals (9.1%), Personal & Household Goods (9.0%), Health Care (7.8%), Technology (7.0%), Insurance (6.6%),
Oil & Gas (6.3%), Telecommunications (5.2%), and Automobiles & Parts (5.1%). As of April 28, 2017, the eight countries which comprise the
Index represent the following weights therein: France (36.0%), Germany (33.5%), Spain (10.7%), Netherlands (9.7%), Italy (4.5%), Belgium
(3.2%), Finland (1.3%) and Ireland (1.2%).

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
https://www.sec.gov/Archives/edgar/data/9631/000110465917038359/a17-14659_4424b2.htm[6/12/2017 9:28:46 AM]


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 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


Leveraged Index Return Notes®
TS-8



Leveraged Index Return Notes®
Linked to the EURO STOXX 50® Index, due June 24, 2022



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.

The following graph shows the daily historical performance of the Index in the period from January 1, 2008 through June 7, 2017. We
obtained this historical data from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information
obtained from Bloomberg L.P. On the pricing date, the closing level of the Index was 3,548.84.

H ist oric a l Pe rform a nc e of t he I nde x

https://www.sec.gov/Archives/edgar/data/9631/000110465917038359/a17-14659_4424b2.htm[6/12/2017 9:28:46 AM]



This historical data on the Index is not necessarily indicative of the future performance of the Index or what the value of the notes may
be. Any historical upward or downward trend in the level of the Index during any period set forth above is not an indication that the level
of the Index is more or less likely to increase or decrease at any time over the term of the notes.

Before investing in the notes, you should consult publicly available sources for the levels of the Index.

Lic e nse Agre e m e nt

BNS has entered into a non-exclusive license agreement with STOXX, which grants BNS a license in exchange for a fee to use the Index in
connection with the issuance of certain securities, including the notes.

STOXX has no relationship to BNS, other than the licensing of the Index and its service marks for use in connection with the notes.

STOXX does not:

·
sponsor, endorse, sell or promote the notes;


·
recommend that any person invest in the notes or any other financial products;


·
have any responsibility or liability for or make any decisions about the timing, amount or pricing of the notes;


·
have any responsibility or liability for the administration, management or marketing of the notes; and


·
consider the needs of the notes or the owners of the notes in determining, composing or calculating the Index or have any obligation

to do so.

STOXX will not have any liability in connection with the notes. Specifically, STOXX does not make any warranty, express or implied, and STOXX
disclaims any warranty about:

·
the results to be obtained by the notes, the owner of the notes or any other person in connection with the use of the Index and the

data included in the Index;

·
the accuracy or completeness of the Index or its data;


·
the merchantability and the fitness for a particular purpose or use of the Index or its data;


·
any errors, omissions or interruptions in the Index or its data; and


·
any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX knows that they might occur.


The licensing relating to the use of the Index and trademark referred to above by BNS will be solely for the benefit of BNS, and not for any other
third parties.


Leveraged Index Return Notes®
TS-9



Leveraged Index Return Notes®
https://www.sec.gov/Archives/edgar/data/9631/000110465917038359/a17-14659_4424b2.htm[6/12/2017 9:28:46 AM]


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