Obligation ScotiaBank 0% ( US064159KN55 ) en USD

ScotiaBank

100 % ▼

Canada

US064159KN55 ( en USD )

17/11/2022 - Obligation échue

Prospectus brochure de l'obligation Bank of Nova Scotia US064159KN55 en USD 0%, échue

1 000 USD

33 595 000 USD

064159KN5

N/A

La Banque de Nouvelle-Écosse (Scotiabank) est une banque multinationale canadienne offrant une vaste gamme de services financiers personnels et commerciaux à travers les Amériques, en Europe et en Asie-Pacifique.

L'Obligation émise par ScotiaBank ( Canada ) , en USD, avec le code ISIN US064159KN55, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 17/11/2022

424B2 1 bn38802232-424b2.htm (BNSIDEE5) LEVERAGE BUFFERED BASKET NOTES (NOVEMBER 2017) PS

File d Pursua nt t o Rule 4 2 4 (b)(2 )
Re gist ra t ion N o. 3 3 3 -2 1 5 5 9 7

T he Ba nk of N ova Sc ot ia
$ 3 3 ,5 9 5 ,0 0 0 Buffe re d Enha nc e d Pa rt ic ipa t ion Ba sk e t -Link e d N ot e s Due N ove m be r 1 7 , 2 0 2 2
T he not e s do not be a r int e re st . The amount that you will be paid on your notes at maturity (November 17, 2022) is based on the performance of a weighted
basket comprised of the EURO STOXX 50® Index (37.00% weighting), the FTSE® 100 Index (23.00% weighting), TOPIX (23.00% weighting), the Swiss Market Index
(9.00% weighting) and the S&P/ASX 200 Index (8.00% weighting) as measured from the trade date (November 14, 2017) to and including the valuation date
(November 14, 2022). The initial basket level is 100 and the final basket level will equal the sum of the products, as calculated for each basket component, of: (i) the
final index level divided by the initial index level (3,556.38 with respect to the EURO STOXX 50® Index, 7,414.42 with respect to the FTSE® 100 Index, 1,778.87 with
respect to TOPIX, 9,130.48 with respect to the Swiss Market Index and 5,968.746 with respect to the S&P/ASX 200 Index) multiplied by (ii) the applicable initial
weighted value for each basket component. If the final basket level on the valuation date is greater than the initial basket level, the return on your notes will be
positive and will equal the product of the basket return multiplied by 138%. I f t he fina l ba sk e t le ve l de c line s by up t o t he buffe r pe rc e nt a ge of 4 5 .0 0 %
from t he init ia l ba sk e t le ve l, you w ill re c e ive t he princ ipa l a m ount of your not e s. I f t he fina l ba sk e t le ve l de c line s by m ore t ha n t he buffe r
pe rc e nt a ge from t he init ia l ba sk e t le ve l, t he re t urn on your not e s w ill be ne ga t ive a nd you m a y lose your e nt ire princ ipa l a m ount .
Spe c ific a lly, you w ill lose a pprox im a t e ly 1 .8 1 8 2 % for e ve ry 1 % ne ga t ive ba sk e t re t urn be low t he buffe r le ve l of 5 5 .0 0 % of t he init ia l
ba sk e t le ve l. Any pa ym e nt on your not e s is subje c t t o t he c re dit w ort hine ss of T he Ba nk of N ova Sc ot ia .
To determine your payment at maturity, we will calculate the basket return, which is the percentage increase or decrease in the final basket level from the initial
basket level. At maturity, for each $1,000 principal amount of your notes:
?
if the final basket level is greater than the initial basket level (the basket return is positive), you will receive an amount in cash equal to the sum of (i) $1,000 plus
(ii) the product of (a) $1,000 times (b) the basket return times (c) 138%;
?
if the final basket level is equal to the initial basket level or less than the initial basket level but not by more than the buffer percentage (the basket return is zero
or negative but equal to or greater than -45.00%), you will receive an amount in cash equal to $1,000; or
?
if the final basket level is less than the initial basket level by more than the buffer percentage (the basket return is negative and is less than -45.00%), you will
receive an amount in cash equal to the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the buffer rate times (c) the sum of the basket return plus the
buffer percentage.
De c line s in one ba sk e t inde x m a y offse t inc re a se s in t he ot he r ba sk e t indic e s. Due t o t he une qua l w e ight ing of e a c h ba sk e t c om pone nt ,
t he pe rform a nc e s of t he EU RO ST OX X 5 0 ® I nde x , t he FT SE® 1 0 0 I nde x a nd T OPI X w ill ha ve a signific a nt ly la rge r im pa c t on your re t urn on
t he not e s t ha n t he pe rform a nc e of t he Sw iss M a rk e t I nde x or t he S& P/ASX 2 0 0 I nde x . I n a ddit ion, no pa ym e nt s on your not e s w ill be
m a de prior t o m a t urit y.
I nve st m e nt in t he not e s involve s c e rt a in risk s. Y ou should re fe r t o "Addit iona l Risk s" be ginning on pa ge P -1 6 of t his pric ing supple m e nt
a nd "Addit iona l Risk Fa c t ors Spe c ific t o t he N ot e s" be ginning on pa ge PS-6 of t he a c c om pa nying produc t prospe c t us supple m e nt a nd
"Risk Fa c t ors" be ginning on pa ge S -2 of t he a c c om pa nying prospe c t us supple m e nt a nd on pa ge 6 of t he a c c om pa nying prospe c t us.
T he init ia l e st im a t e d va lue of your not e s a t t he t im e t he t e rm s of your not e s w e re se t on t he t ra de da t e w a s $ 9 5 1 .0 1 pe r $ 1 ,0 0 0 princ ipa l
a m ount , w hic h is le ss t ha n t he origina l issue pric e of your not e s list e d be low . Se e "Addit iona l I nform a t ion Re ga rding Est im a t e d V a lue of
t he N ot e s" on t he follow ing pa ge a nd "Addit iona l Risk s" be ginning on pa ge P -1 6 of t his doc um e nt for a ddit iona l inform a t ion. T he a c t ua l
va lue of your not e s a t a ny t im e w ill re fle c t m a ny fa c t ors a nd c a nnot be pre dic t e d w it h a c c ura c y.

Per Note
Total
Original Issue Price
100.00%
$33,595,000.00
Underwriting commissions
3.50%
$1,175,825.00
Proceeds to The Bank of Nova Scotia
96.50%
$32,419,175.00
N EI T H ER T H E U N I T ED ST AT ES SECU RI T I ES AN D EX CH AN GE COM M I SSI ON N OR AN Y ST AT E SECU RI T I ES COM M I SSI ON H AS APPROV ED
OR DI SAPPROV ED OF T H E N OT ES OR PASSED U PON T H E ACCU RACY OR T H E ADEQU ACY OF T H I S PRI CI N G SU PPLEM EN T , T H E
ACCOM PAN Y I N G PROSPECT U S, ACCOM PAN Y I N G PROSPECT U S SU PPLEM EN T OR ACCOM PAN Y I N G PRODU CT PROSPECT U S
SU PPLEM EN T . AN Y REPRESEN T AT I ON T O T H E CON T RARY I S A CRI M I N AL OFFEN SE.
T H E N OT ES ARE N OT I N SU RED BY T H E CAN ADA DEPOSI T I N SU RAN CE CORPORAT I ON PU RSU AN T T O T H E CAN ADA DEPOSI T I N SU RAN CE
CORPORAT I ON ACT OR T H E U .S. FEDERAL DEPOSI T I N SU RAN CE CORPORAT I ON OR AN Y OT H ER GOV ERN M EN T AGEN CY OF CAN ADA,
T H E U N I T ED ST AT ES OR AN Y OT H ER J U RI SDI CT I ON .
Sc ot ia Ca pit a l (U SA) I nc .
Goldm a n Sa c hs & Co. LLC
De a le r

Pricing Supplement dated November 14, 2017

The Buffered Enhanced Participation Basket-Linked Notes Due November 17, 2022 (the "notes") offered hereunder are unsubordinated and unsecured obligations of The
Bank of Nova Scotia (the "Bank") and are subject to investment risks including possible loss of the principal amount invested due to the negative performance of the
basket and the credit risk of The Bank of Nova Scotia. As used in this pricing supplement, the "Bank," "we," "us" or "our" refers to The Bank of Nova Scotia. The notes
will not be listed on any U.S. securities exchange or automated quotation system.
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The return on your notes will relate to the price return of the basket components and will not include a total return or dividend component. The notes are derivative
products based on the performance of the basket. The notes do not constitute a direct investment in any of the shares, units or other securities represented by the
basket components. By acquiring notes, you will not have a direct economic or other interest in, claim or entitlement to, or any legal or beneficial ownership of any such
share, unit or security and will not have any rights as a shareholder, unitholder or other security holder of any of the issuers including, without limitation, any voting rights
or rights to receive dividends or other distributions.
Scotia Capital (USA) Inc., our affiliate, has agreed to purchase the notes from us for distribution to other registered broker dealers or has offered the notes directly to
investors. Scotia Capital (USA) Inc. or any of its affiliates or agents may use this pricing supplement in market-making transactions in notes after their initial sale. Unless
we, Scotia Capital (USA) Inc. or another of our affiliates or agents selling such notes to you informs you otherwise in the confirmation of sale, this pricing supplement is
being used in a market-making transaction. See "Supplemental Plan of Distribution (Conflicts of Interest)" in this pricing supplement and "Supplemental Plan of
Distribution (Conflicts of Interest)" on page PS-32 of the accompanying product prospectus supplement.
The original issue price, commissions and proceeds to the Bank listed above relate to the notes we issue initially. We may decide to sell additional notes after the date
of this pricing supplement, at original issue prices and with commissions and proceeds to the Bank that differ from the amounts set forth above. The return (whether
positive or negative) on your investment in the notes will depend in part on the original issue price you pay for such notes.
Addit iona l I nform a t ion Re ga rding Est im a t e d V a lue of t he N ot e s
On the cover page of this pricing supplement, the Bank has provided the initial estimated value for the notes. This initial estimated value was determined by reference to
the Bank's internal pricing models, which take into consideration certain factors, such as the Bank's internal funding rate on the trade date and the Bank's assumptions
about market parameters. For more information about the initial estimated value, see "Additional Risks" on page P-16.
The economic terms of the notes are based on the Bank's internal funding rate, which is the rate the Bank would pay to borrow funds through the issuance of similar
market-linked notes, the underwriting discount and the economic terms of certain related hedging arrangements. Due to these factors, the original issue price you pay to
purchase the notes will be greater than the initial estimated value of the notes. The Bank's internal funding rate is typically lower than the rate the Bank would pay when
it issues conventional fixed rate debt securities as discussed further under "Additional Risks -- Neither the Bank's nor Goldman Sachs & Co. LLC's ("GS&Co.")
estimated value of the notes at any time is determined by reference to credit spreads or the borrowing rate the Bank would pay for its conventional fixed-rate debt
securities". The Bank's use of its internal funding rate reduces the economic terms of the notes to you.
The value of your notes at any time will reflect many factors and cannot be predicted; however, the price (not including GS&Co.'s customary bid and ask spreads) at
which GS&Co. would initially buy or sell notes in the secondary market (if GS&Co. makes a market, which it is not obligated to do) and the value that GS&Co. will
initially use for account statements and otherwise is equal to approximately GS&Co.'s estimate of the market value of your notes on the trade date, based on its pricing
models and taking into account the Bank's internal funding rate, plus an additional amount (initially equal to $38.00 per $1,000 face amount).
Prior to February 14, 2018, the price (not including GS&Co.'s customary bid and ask spreads) at which GS&Co. would buy or sell your notes (if it makes a market,
which it is not obligated to do) will equal approximately the sum of (a) the then-current estimated value of your notes (as determined by reference to GS&Co.'s pricing
models) plus (b) any remaining additional amount (the additional amount will decline to zero on a straight-line basis from the time of pricing through February 13, 2018).
On and after February 14, 2018, the price (not including GS&Co.'s customary bid and ask spreads) at which GS&Co. would buy or sell your notes (if it makes a market)
will equal approximately the then-current estimated value of your notes determined by reference to such pricing models. For additional information regarding the value of
your notes shown in your GS&Co. account statements and the price at which GS&Co. would buy or sell your notes (if GS&Co. makes a market, which it is not obligated
to do), each based on GS&Co.'s pricing models; see "Additional Risks--The price at which GS&Co. would buy or sell your notes (if GS&Co. makes a market, which it is
not obligated to do) will be based on GS&Co.'s estimated value of your notes".
We urge you t o re a d t he "Addit iona l Risk s" be ginning on pa ge P -1 6 of t his pric ing supple m e nt .

P-2

Sum m a ry
The information in this "Summary" section is qualified by the more detailed information set forth in this pricing supplement, the accompanying prospectus, accompanying
prospectus supplement, and accompanying product prospectus supplement, each filed with the Securities and Exchange Commission ("SEC"). See "Additional Terms of
Your Notes" in this pricing supplement.
I ssue r:

The Bank of Nova Scotia (the "Bank")

CU SI P/I SI N :

064159KN5 / US064159KN55

T ype of N ot e s:

Buffered Enhanced Participation Basket-Linked Notes

Ba sk e t Com pone nt s:

The EURO STOXX 50® Index (Bloomberg Ticker: "SX5E Index"), as published by STOXX Limited ("STOXX"); the
FTSE® 100 Index (Bloomberg Ticker: "UKX Index"), as published by FTSE International Limited ("FTSE"); TOPIX
(Bloomberg Ticker: "TPX Index"), as maintained by the Tokyo Stock Exchange, Inc. ("TSE"); the Swiss Market Index
(Bloomberg Ticker: "SMI Index"), as published by SIX Group Ltd. ("SIX Group"); and the S&P/ASX 200 Index
(Bloomberg Ticker: "AS51 Index"), as published by S&P Dow Jones Indices LLC ("S&P"); see "Information Regarding
the Basket and the Basket Components" on page P-24. We refer to each of STOXX, FTSE, TSE, SIX Group and S&P
as a "basket component sponsor", and together as the "basket component sponsors".

M inim um I nve st m e nt a nd

$1,000 and integral multiples of $1,000 in excess thereof
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De nom ina t ions:

Princ ipa l Am ount :

$1,000 per note; $33,595,000 in the aggregate for all the offered notes; the aggregate principal amount of the offered
notes may be increased if the Bank, at its sole option, decides to sell an additional amount of the offered notes on a
date subsequent to the date of this pricing supplement.

Origina l I ssue Pric e :

100% of the principal amount of each note

Curre nc y:

U.S. dollars

T ra de Da t e :

November 14, 2017

Origina l I ssue Da t e :

November 20, 2017

Delivery of the notes will be made against payment therefor on or about the 4th business day following the date of
pricing of the notes (this settlement cycle being referred to as "T+4"). Under Rule 15c6-1 of the Securities and
Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business
days (T+2), unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade
the notes more than 2 business days prior to the Original Issue Date will be required, by virtue of the fact that each
note initially will settle in 4 business days (T+4), to specify alternative settlement arrangements to prevent a failed
settlement.

V a lua t ion Da t e :

November 14, 2022

The valuation date could be delayed by the occurrence of a market disruption event. See "General Terms of the
Notes -- Market Disruption Events" beginning on page PS-20 in the accompanying product prospectus supplement.

P-3

M a t urit y Da t e :

November 17, 2022, subject to adjustment as described in more detail under "General Terms of the Notes Maturity
Date" on page PS-18 in the accompanying product prospectus supplement.

Princ ipa l a t Risk :

You may lose all or a substantial portion of your initial investment at maturity if there is a percentage decrease from
the initial basket level to the final basket level of more than the buffer percentage.

Purc ha se a t a m ount ot he r t ha n
The amount we will pay you on the maturity date for your notes will not be adjusted based on the original issue price
princ ipa l a m ount :
you pay for your notes, so if you acquire notes at a premium (or discount) to principal amount and hold them to the
maturity date, it could affect your investment in a number of ways. The return on your investment in such notes will be
lower (or higher) than it would have been had you purchased the notes at principal amount. Also, the stated buffer
level would not offer the same measure of protection to your investment as would be the case if you had purchased
the notes at principal amount. See "Additional Risks--If you purchase your notes at a premium to principal amount,
the return on your investment will be lower than the return on notes purchased at principal amount and the impact of
certain key terms of the notes will be negatively affected" on page P-21 of this pricing supplement.

Fe e s a nd Ex pe nse s:

As part of the distribution of the notes, Scotia Capital (USA) Inc. or one of our affiliates will sell notes to GS&Co. at a
discount reflecting commissions of $35.00 per $1,000 principal amount of notes. The commissions per $1,000 principal
amount are comprised of $2.50 of fees and $32.50 of selling commission. See "Supplemental Plan of Distribution
(Conflicts of Interest)" in this pricing supplement.

The price at which you purchase the notes includes costs that the Bank or its affiliates expect to incur and profits that
the Bank or its affiliates expect to realize in connection with hedging activities related to the notes, as set forth below
under "Supplemental Plan of Distribution (Conflicts of Interest)". These costs and profits will likely reduce the
secondary market price, if any secondary market develops, for the notes. As a result, you may experience an
immediate and substantial decline in the market value of your notes on the trade date. See "Additional Risks--
Hedging activities by the Bank and GS&Co. may negatively impact investors in the notes and cause our respective
interests and those of our clients and counterparties to be contrary to those of investors in the notes" in this pricing
supplement.

P-4
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Pa ym e nt a t M a t urit y:

The payment at maturity will be based on the performance of the basket and will be calculated as follows:
·
If the final basket level is greater than the initial basket level, then the payment at maturity will equal:

o The principal amount + (principal amount x basket return x participation rate)

· If the final basket level is greater than or equal to the buffer level, but less than or equal to the initial basket level,

then the payment at maturity will equal the principal amount
· If the final basket level is less than the buffer level, then the payment at maturity will equal:

o
principal amount + [principal amount x buffer rate x (basket return + buffer percentage)]

In this case you will suffer a percentage loss on your initial investment equal to the buffer rate multiplied by
the negative basket return in excess of the buffer percentage. Accordingly, you could lose up to 100% of your
initial investment.

I nit ia l Ba sk e t Le ve l:

100

I nit ia l We ight e d V a lue :

The initial weighted value for each of the basket components equals the product of the initial weight of such basket
component times the initial basket level. The initial weight of each basket component is shown in the table below:

Ba sk e t Com pone nt

I nit ia l We ight in Ba sk e t

EURO STOXX 50® Index

37.00%

FTSE® 100 Index

23.00%

TOPIX

23.00%

Swiss Market Index

9.00%

S&P/ASX 200 Index

8.00%

I nit ia l EU RO ST OX X 5 0 ® I nde x Le ve l:

3,556.38

I nit ia l FT SE 1 0 0 ® I nde x Le ve l:

7,414.42

I nit ia l T OPI X Le ve l:

1,778.87

I nit ia l Sw iss M a rk e t I nde x Le ve l:

9,130.48

I nit ia l S& P/ASX 2 0 0 I nde x Le ve l:

5,968.746

Fina l EU RO ST OX X 5 0 ® I nde x Le ve l:

The closing level of such basket component calculated on the valuation date. In certain special circumstances, the
final level will be determined by the calculation agent, in its discretion. See "General Terms of the Notes --
Unavailability of the Level of the Reference Asset on a Valuation Date" on page PS-19 and "General Terms of the
Notes -- Market Disruption Events" beginning on page PS-20 in the accompanying product prospectus supplement.

P-5

Fina l FT SE® 1 0 0 I nde x Le ve l:

The closing level of such basket component calculated on the valuation date. In certain special circumstances, the final
level will be determined by the calculation agent, in its discretion. See "General Terms of the Notes -- Unavailability of
the Level of the Reference Asset on a Valuation Date" on page PS-19 and "General Terms of the Notes -- Market
Disruption Events" beginning on page PS-20 in the accompanying product prospectus supplement.

Fina l T OPI X Le ve l:

The closing level of such basket component calculated on the valuation date. In certain special circumstances, the final
level will be determined by the calculation agent, in its discretion. See "General Terms of the Notes -- Unavailability of
the Level of the Reference Asset on a Valuation Date" on page PS-19 and "General Terms of the Notes -- Market
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Disruption Events" beginning on page PS-20 in the accompanying product prospectus supplement.

Fina l Sw iss M a rk e t I nde x le ve l:

The closing level of such basket component calculated on the valuation date. In certain special circumstances, the final
level will be determined by the calculation agent, in its discretion. See "General Terms of the Notes -- Unavailability of
the Level of the Reference Asset on a Valuation Date" on page PS-19 and "General Terms of the Notes -- Market
Disruption Events" beginning on page PS-20 in the accompanying product prospectus supplement.

Fina l S& P/ASX 2 0 0 I nde x le ve l:

The closing level of such basket component calculated on the valuation date. In certain special circumstances, the final
level will be determined by the calculation agent, in its discretion. See "General Terms of the Notes -- Unavailability of
the Level of the Reference Asset on a Valuation Date" on page PS-19 and "General Terms of the Notes -- Market
Disruption Events" beginning on page PS-20 in the accompanying product prospectus supplement.

Fina l Ba sk e t Le ve l:

The sum of the following: (1) the final EURO STOXX 50® Index level divided by the initial EURO STOXX 50®
Index level, multiplied by the initial weighted value of the EURO STOXX 50® Index plus (2) the final FTSE® 100
Index level divided by the initial FTSE® 100 Index level, multiplied by the initial weighted value of the FTSE® 100 Index
plus (3) the final TOPIX level divided by the initial TOPIX level, multiplied by the initial weighted value of the TOPIX
plus (4) the final Swiss Market Index level divided by the initial Swiss Market Index level, multiplied by the initial
weighted value of the Swiss Market Index plus (5) the final S&P/ASX 200 Index level divided by the initial S&P/ASX 200
Index level, multiplied by the initial weighted value of the S&P/ASX 200 Index.

Ba sk e t Re t urn:

The quotient of (1) the final basket level minus the initial basket level divided by (2) the initial basket level, expressed as
a percentage.

Pa rt ic ipa t ion Ra t e :

138.00%

Buffe r Le ve l:

55.00% of the initial basket level

Buffe r Pe rc e nt a ge :

45.00%

Buffe r Ra t e :

The quotient of the initial basket level divided by the buffer level, which equals approximately 181.82%.

Closing Le ve l:

As used herein, the "closing level" of a basket component on any date will be determined based upon the closing level
published on the Bloomberg page for such basket component, or any successor page on Bloomberg or any successor
service, as applicable, on such date.

P-6

T ra ding Da y:

(i) With respect to the EURO STOXX 50® Index, a day on which the level of such basket component is calculated
and published by the basket component sponsor, regardless of whether one or more of the principal securities
markets for the constituent stocks comprising such basket component ("component stocks") are closed on that day
and (ii) with respect to each of the FTSE® 100 Index, TOPIX, the Swiss Market Index and the S&P/ASX 200 Index, a
day on which the respective principal securities markets for all of the component stocks are open for trading, such
basket component sponsor is open for business and such basket component is calculated and published by such
basket component sponsor; although a basket component sponsor may publish a level with respect to a basket
component on a day when one or more of the principal securities markets for such component stocks are closed, that
day would not be a trading day for purposes of such basket component.

Form of N ot e s:

Book-entry

Ca lc ula t ion Age nt :

Scotia Capital Inc., an affiliate of the Bank

St a t us:

The notes will constitute direct, unsubordinated and unsecured obligations of the Bank ranking pari passu with all
other direct, unsecured and unsubordinated indebtedness of the Bank from time to time outstanding (except as
otherwise prescribed by law). Holders will not have the benefit of any insurance under the provisions of the Canada
Deposit Insurance Corporation Act, the U.S. Federal Deposit Insurance Act or under any other deposit insurance
regime of any jurisdiction.

T a x Re de m pt ion:

The Bank (or its successor) may redeem the notes, in whole but not in part, at a redemption price determined by the
calculation agent in a manner reasonably calculated to preserve your and our relative economic position, if it is
determined that changes in tax laws or their interpretation will result in the Bank (or its successor) becoming obligated
to pay additional amounts with respect to the notes. See "Tax Redemption" below.

List ing:

The notes will not be listed on any securities exchange or quotation system.

U se of Proc e e ds:

General corporate purposes
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Cle a ra nc e a nd Se t t le m e nt :

Depository Trust Company

Busine ss Da y:

New York and Toronto

T e rm s I nc orpora t e d:
All of the terms appearing above the item under the caption "General Terms of the Notes" beginning on page PS-15
in the accompanying product prospectus supplement, as modified by this pricing supplement.

I N V EST I N G I N T H E N OT ES I N V OLV ES SI GN I FI CAN T RI SK S. Y OU M AY LOSE ALL OR A SU BST AN T I AL PORT I ON OF Y OU R I N V EST M EN T .
AN Y PAY M EN T ON T H E N OT ES, I N CLU DI N G AN Y REPAY M EN T OF PRI N CI PAL, I S SU BJ ECT T O T H E CREDI T WORT H I N ESS OF T H E BAN K . I F
T H E BAN K WERE T O DEFAU LT ON I T S PAY M EN T OBLI GAT I ON S Y OU M AY N OT RECEI V E AN Y AM OU N T S OWED T O Y OU U N DER T H E
N OT ES AN D Y OU COU LD LOSE Y OU R EN T I RE I N V EST M EN T .

P-7

ADDI T I ON AL T ERM S OF Y OU R N OT ES
You should read this pricing supplement together with the prospectus dated February 1, 2017, as supplemented by the prospectus supplement dated February 13, 2017
and the product prospectus supplement (Equity Linked Index Notes, Series A) dated March 2, 2017, relating to our Senior Note Program, Series A, of which these notes
are a part. Capitalized terms used but not defined in this pricing supplement will have the meanings given to them in the product prospectus supplement. In the event of
any conflict, this pricing supplement will control. The notes may vary from the terms described in the accompanying prospectus, accompanying prospectus
supplement and accompanying product prospectus supplement in several important ways. You should read this pricing supplement carefully, including the
documents incorporated by reference herein.
This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all prior or contemporaneous oral statements as well
as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in "Additional Risk Factors Specific to the Notes" in the
accompanying product prospectus supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisors before you invest in the notes. You may access these documents on the SEC website at www.sec.gov as follows (or if that
address has changed, by reviewing our filings for the relevant date on the SEC website.
Product Prospectus Supplement (Equity Linked Index Notes, Series A) dated March 2, 2017:
http://www.sec.gov/Archives/edgar/data/9631/000110465917013557/a17-7248_7424b5.htm
Prospectus Supplement dated February 13, 2017:
http://www.sec.gov/Archives/edgar/data/9631/000110465917008642/a17-4372_1424b3.htm
Prospectus dated February 1, 2017:
http://www.sec.gov/Archives/edgar/data/9631/000119312517027656/d338678d424b3.htm

P-8

I N V EST OR SU I T ABI LI T Y
The notes may be suitable for you if:
·
You fully understand the risks inherent in an investment in the notes, including the risk of losing all or a substantial portion of your initial investment.
·
You believe the level of the basket will appreciate over the term of the notes.
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·
You are willing to invest in the notes based on the buffer level indicated above.
·
You can tolerate a loss of up to 100% of your initial investment and are willing to make an investment that, if the final basket level is less than the buffer level,
has an accelerated downside risk greater than the downside market risk of an investment in the basket components or in the component stocks.
·
You are willing to hold the notes to maturity, a term of approximately 60 months, and accept that there may be little or no secondary market for the notes.
·
You can tolerate fluctuations in the price of the notes prior to maturity that may be similar to or exceed the downside fluctuations in the level of the basket
components or the price of the component stocks.
·
You do not seek current income from your investment.
·
You seek an investment with exposure to companies in the Eurozone, United Kingdom, Japan, Switzerland and Australia.
·
You are willing to assume the credit risk of the Bank for all payments under the notes, and understand that if the Bank defaults on its obligations you may not
receive any amounts due to you including any repayment of principal.

The notes may not be suitable for you if:
·
You do not fully understand the risks inherent in an investment in the notes, including the risk of losing all or a substantial portion of your initial investment.
·
You believe that the level of the basket will decline during the term of the notes.
·
You are unwilling to invest in the notes based on the buffer level indicated above.
·
You require an investment designed to guarantee a full return of principal at maturity.
·
You cannot tolerate a loss of up to 100% of your initial investment or are not willing to make an investment that, if the final basket level is less than the buffer
level, has an accelerated downside risk greater than the downside market risk of an investment in the basket components or in the component stocks.
·
You cannot tolerate fluctuations in the price of the notes prior to maturity that may be similar to or exceed the downside fluctuations in the level of the basket
components or the price of the component stocks.
·
You seek current income from your investment or prefer to receive dividends paid on the component stocks.
·
You are unable or unwilling to hold the notes to maturity, a term of approximately 60 months, or you seek an investment for which there will be a secondary
market.
·
You do not seek an investment with exposure to companies in the Eurozone, United Kingdom, Japan, Switzerland and Australia.
·
You are not willing to assume the credit risk of the Bank for all payments under the notes.
T he inve st or suit a bilit y c onside ra t ions ide nt ifie d a bove a re not e x ha ust ive . Whe t he r or not t he not e s a re a suit a ble inve st m e nt for you w ill
de pe nd on your individua l c irc um st a nc e s a nd you should re a c h a n inve st m e nt de c ision only a ft e r you a nd your inve st m e nt , le ga l, t a x ,
a c c ount ing a nd ot he r a dvisors ha ve c a re fully c onside re d t he suit a bilit y of a n inve st m e nt in t he not e s in light of your pa rt ic ula r
c irc um st a nc e s. Y ou should a lso re vie w ``Addit iona l Risk s'' be ginning on pa ge P -1 6 of t his pric ing supple m e nt , ``Addit iona l Risk Fa c t ors
Spe c ific t o t he N ot e s'' be ginning on pa ge PS-6 of t he a c c om pa nying produc t prospe c t us supple m e nt a nd "Risk Fa c t ors" be ginning on pa ge
S -2 of t he a c c om pa nying prospe c t us supple m e nt a nd "Risk Fa c t ors" on pa ge 6 of t he a c c om pa nying prospe c t us for risk s re la t e d t o a n
inve st m e nt in t he not e s.
P-9

H Y POT H ET I CAL PAY M EN T S AT M AT U RI T Y ON T H E N OT ES
The examples set out below are included for illustration only. They should not be taken as an indication or prediction of future investment results and are intended
merely to illustrate the impact that the various hypothetical basket closing levels or hypothetical closing levels of the basket components, as applicable, on the valuation
date could have on the payment at maturity assuming all other variables remain constant.
The examples below are based on a range of final basket levels and closing levels of the basket components that are entirely hypothetical; the level of the basket on any
day throughout the life of your notes, including the final basket level on the valuation date, cannot be predicted. The basket components have been highly volatile in the
past, meaning that the levels of the basket components have changed considerably in relatively short periods, and their performances cannot be predicted for any future
period.
The information in the following examples reflects hypothetical rates of return on the offered notes assuming that they are purchased on the original issue date at the
principal amount and held to the maturity date. If you sell your notes in a secondary market prior to the maturity date, your return will depend upon the market value of
your notes at the time of sale, which may be affected by a number of factors that are not reflected in the examples below, such as interest rates, the volatility of the
basket components and our creditworthiness. In addition, the estimated value of your notes at the time the terms of your notes were set on the trade date (as
determined by reference to pricing models used by us) is less than the original public offering price of your notes. For more information on the estimated value of your
notes, see "Additional Risks--The Bank's initial estimated value of the notes at the time of pricing (when the terms of your notes were set on the trade date) is lower
than the original issue price of the notes" on page P-16 of this pricing supplement. The information in the examples also reflect the key terms and assumptions in the
box below.
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K e y T e rm s a nd Assum pt ions
Principal amount
$1,000
Participation rate
138.00%
Initial basket level
100
Buffer level
55.00% of the initial basket level
Buffer percentage
45.00%
Buffer rate
approximately 181.82%
Neither a market disruption event nor a non-trading day occurs with respect to any basket component on the originally scheduled valuation date.

No change in or affecting any of the basket components or the methods by which any of the basket component sponsors calculates the EURO STOXX 50® Index, the
FTSE® 100 Index, the TOPIX, the Swiss Market Index or the S&P/ASX 200 Index, respectively.

Notes purchased on the original issue date at the principal amount and held to the maturity date.
The actual performance of the basket over the life of your notes, as well as the amount payable at maturity, if any, may bear little relation to the hypothetical
examples shown below or to the historical level of each basket component shown elsewhere in this pricing supplement. For information about the historical level of each
basket component see "Information Regarding the Basket and the Basket Components" below. Before investing in the offered notes, you should consult publicly
available information to determine the levels of the basket components between the date of this pricing supplement and the date of your purchase of the offered notes.
Also, the hypothetical examples shown below do not take into account the effects of applicable taxes. Because of the U.S. tax treatment applicable to your notes,
tax liabilities could affect the after-tax rate of return on your notes to a comparatively greater extent than the after-tax return on the basket components.

The levels in the left column of the table below represent hypothetical final basket levels and are expressed as percentages of the initial basket level. The amounts in
the right column represent the hypothetical payment at maturity, based on the corresponding hypothetical final basket level (expressed as a percentage of the initial
basket level), and are expressed as percentages of the principal amount of a note (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical payment
at maturity of 100.000% means that the value of the cash payment that we would deliver for each $1,000 of the
P-10

outstanding principal amount of the offered notes on the maturity date would equal 100.000% of the principal amount of a note, based on the corresponding hypothetical
final basket level (expressed as a percentage of the initial basket level) and the assumptions noted above.
H ypot he t ic a l Fina l Ba sk e t Le ve l
H ypot he t ic a l Pa ym e nt a t M a t urit y
(a s Pe rc e nt a ge of I nit ia l Ba sk e t Le ve l)
(a s Pe rc e nt a ge of Princ ipa l Am ount )
200.000%
238.000%
175.000%
203.500%
150.000%
169.000%
125.000%
134.500%
1 0 0 .0 0 0 %
1 0 0 .0 0 0 %
88.000%
100.000%
77.000%
100.000%
66.000%
100.000%
5 5 .0 0 0 %
1 0 0 .0 0 0 %
50.000%
90.909%
25.000%
45.455%
0 .0 0 0 %
0 .0 0 0 %
If, for example, the final basket level were determined to be 25.000% of the initial basket level, the payment at maturity that we would pay on your notes at maturity
would be approximately 45.455% of the principal amount of your notes, as shown in the table above. As a result, if you purchased your notes on the original issue date
at the principal amount and held them to the maturity date, you would lose approximately 54.545% of your investment (if you purchased your notes at a premium to
principal amount you would lose a correspondingly higher percentage of your investment). If the final basket level were determined to be 0.000% of the initial basket
level, you would lose 100.000% of your investment in the notes.

P-11
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The following chart shows a graphical illustration of the hypothetical payment at maturity that we would pay on your notes on the maturity date, if the final basket level
were any of the hypothetical levels shown on the horizontal axis. The hypothetical payments at maturity in the chart are expressed as percentages of the principal
amount of your notes and the hypothetical final basket levels are expressed as percentages of the initial basket level. The chart shows that any hypothetical final basket
level of less than 55.000% (the section left of the 55.000% marker on the horizontal axis) would result in a hypothetical payment at maturity of less than 100.000% of
the principal amount of your notes (the section below the 100.000% marker on the vertical axis) and, accordingly, in a loss of principal to the holder of the notes.

The following examples illustrate the hypothetical payment at maturity for each note based on hypothetical final levels of the basket components, calculated based on
the key terms and assumptions above. The levels in Column A represent initial levels for each basket component, and the levels in Column B represent hypothetical
final levels for each basket component. The percentages in Column C represent hypothetical final levels for each basket component in Column B expressed as
percentages of the corresponding initial levels in Column A. The amounts in Column D represent the applicable initial weighted value for each basket component, and
the amounts in Column E represent the products of the percentages in Column C times the corresponding amounts in Column D. The final basket level for each
example is shown beneath each example, and will equal the sum of the products shown in Column E. The basket return for each example is shown beneath the final
basket level for such example, and will equal the quotient of (i) the final basket level for such example minus the initial basket level divided by (ii) the initial basket level,
expressed as a percentage. The values below have been rounded for ease of analysis.
P-12

Ex a m ple 1 : T he fina l ba sk e t le ve l is gre a t e r t ha n t he init ia l ba sk e t le ve l.

Colum n A

Colum n B

Colum n C

Colum n D

Colum n E

H ypot he t ic a l Fina l
Colum n B / Colum n
I nit ia l We ight e d
Ba sk e t Com pone nt

I nit ia l Le ve l

Le ve l

A

V a lue
Colum n C × Colum n D
EURO STOXX 50® Index
3,556.38

3,591.94

101.00%

37.00

37.37
FTSE® 100 Index

7,414.42

7,562.71

102.00%

23.00

23.46
TOPIX

1,778.87

1,832.24

103.00%

23.00

23.69
Swiss Market Index

9,130.48

9,860.92

108.00%

9.00

9.72
S&P/ASX 200 Index

5,968.746

7,162.495

120.00%

8.00

9.60

Final Basket Level:

103.84

Basket Return:

3.84%
In this example, all of the hypothetical final levels for the basket components are greater than the applicable initial levels, which results in the hypothetical final basket
level being greater than the initial basket level of 100.00. Since the hypothetical final basket level was determined to be 103.84, the hypothetical payment at maturity for
each $1,000 principal amount of your notes will equal:
Payment at maturity = $1,000 + ($1,000 × 3.84% × 138.00%) = $1,052.99
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Ex a m ple 2 : T he fina l ba sk e t le ve l is le ss t ha n t he init ia l ba sk e t le ve l, but e qua l t o or gre a t e r t ha n t he buffe r le ve l. T he pa ym e nt a t m a t urit y
e qua ls t he $ 1 ,0 0 0 princ ipa l a m ount .

Colum n A

Colum n B

Colum n C

Colum n D

Colum n E

H ypot he t ic a l Fina l
Colum n B / Colum n
I nit ia l We ight e d
Ba sk e t Com pone nt

I nit ia l Le ve l

Le ve l

A

V a lue
Colum n C × Colum n D
EURO STOXX 50® Index
3,556.38

3,378.56

95.00%

37.00

35.15
FTSE® 100 Index

7,414.42

7,043.70

95.00%

23.00

21.85
TOPIX

1,778.87

1,689.93

95.00%

23.00

21.85
Swiss Market Index

9,130.48

8,673.96

95.00%

9.00

8.55
S&P/ASX 200 Index

5,968.746

5,670.309

95.00%

8.00

7.60

Final Basket Level:

95.00

Basket Return:

-5.00%
In this example, all of the hypothetical final levels for the basket components are less than the applicable initial levels, which results in the hypothetical final basket level
being less than the initial basket level of 100.00. Since the hypothetical final basket level of 95.00 is greater than the buffer level of 55.00% of the initial basket level but
less than the initial basket level of 100.00, the hypothetical payment at maturity for each $1,000 principal amount of your notes will equal the principal amount of the
note, or $1,000.
P-13

Ex a m ple 3 : T he fina l ba sk e t le ve l is le ss t ha n t he buffe r le ve l. T he pa ym e nt a t m a t urit y is le ss t ha n t he $ 1 ,0 0 0 princ ipa l a m ount .

Colum n A

Colum n B

Colum n C

Colum n D

Colum n E

H ypot he t ic a l Fina l
I nit ia l We ight e d
Ba sk e t Com pone nt

I nit ia l Le ve l

Le ve l
Colum n B / Colum n A
V a lue

Colum n C × Colum n D
EURO STOXX 50® Index
3,556.38

711.28

20.00%

37.00

7.40
FTSE® 100 Index

7,414.42

1,482.88

20.00%

23.00

4.60
TOPIX

1,778.87

1,778.87

100.00%

23.00

23.00
Swiss Market Index

9,130.48

9,587.00

105.00%

9.00

9.45
S&P/ASX 200 Index

5,968.746

6,267.183

105.00%

8.00

8.40

Final Basket Level:

52.85

Basket Return:

-47.15%

In this example, the hypothetical final levels of the EURO STOXX 50® Index and FTSE® 100 Index are less than their applicable initial levels, while the hypothetical final
level of TOPIX is equal to its initial level and the hypothetical final levels of the Swiss Market Index and S&P/ASX 200 Index are greater than their applicable initial levels.
Because the basket is unequally weighted, increases in the lower weighted basket components will be offset by decreases in the more heavily weighted basket
components. In this example, the large declines in the EURO STOXX 50® Index and FTSE® 100 Index results in the hypothetical final basket level being less than the
buffer level of 55.00% of the initial basket level even though TOPIX remained flat and the Swiss Market Index and the S&P/ASX 200 Index increased.
Since the hypothetical final basket level of 52.85 is less than the buffer level of 55.00% of the initial basket level, the hypothetical payment at maturity for each $1,000
principal amount of your notes will equal:

Payment at maturity = $1,000 + [$1,000 × 181.82% × (-47.15% + 45.00%)] = $960.91
Ex a m ple 4 : T he fina l ba sk e t le ve l is le ss t ha n t he buffe r le ve l. T he pa ym e nt a t m a t urit y is le ss t ha n t he $ 1 ,0 0 0 princ ipa l a m ount .

Colum n A

Colum n B

Colum n C

Colum n D

Colum n E

H ypot he t ic a l Fina l
Colum n B / Colum n
I nit ia l We ight e d
Ba sk e t Com pone nt

I nit ia l Le ve l

Le ve l

A

V a lue
Colum n C × Colum n D
EURO STOXX 50® Index
3,556.38

1,778.19

50.00%

37.00

18.50
FTSE® 100 Index

7,414.42

3,707.21

50.00%

23.00

11.50
TOPIX

1,778.87

1,067.32

60.00%

23.00

13.80
Swiss Market Index

9,130.48

5,934.81

65.00%

9.00

5.85
S&P/ASX 200 Index

5,968.746

3,282.810

55.00%

8.00

4.40

Final Basket Level:

54.05

Basket Return:

-45.95%
https://www.sec.gov/Archives/edgar/data/9631/000091412117001666/bn38802232-424b2.htm[11/17/2017 12:12:01 PM]

Document Outline

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