| |
Filed
Pursuant to Rule 433 |
| |
Registration
No. 333-200089 |
Market
Linked Securities – Leveraged Upside Participation to a Cap and Fixed Percentage
Buffered Downside,
Principal
at Risk Securities, Series A Linked to the EURO STOXX 50® Index due December 2, 2019
Term
Sheet to the Pricing Supplement dated November 24, 2015
|
Summary
of Terms
| Issuer |
The
Bank of Nova Scotia (the “Bank”) |
| Term |
Approximately
4 years |
| Market
Measure |
EURO
STOXX 50® Index (SX5E) (the “Index”) |
| Pricing
Date |
November
24, 2015 |
| Issue
Date |
November
30, 2015 |
| Principal
Amount |
$1,000
per Security (100% of par) |
| Redemption
Amount at Maturity |
See
“How the Redemption Amount at Maturity is Calculated” on page 3 |
| Stated
Maturity Date |
December
2, 2019 |
| Starting
Level |
3,409.60 |
| Ending
Level |
The
closing level of the Index on the Calculation Day |
| Capped
Value |
$1,470.00
per $1,000 Principal Amount of the Securities |
| Threshold
Level |
80%
of the Starting Level |
| Threshold
Percentage |
20.00% |
| Participation
Rate |
175% |
| Percentage
Change |
The
percentage increase or decrease in the Ending Level from the Starting Level. The Percentage Change may reflect
a positive return (based on any increase in the level of the Index over the life of the Securities) or a negative return (based
on any decrease in the level of the Index over the life of the Securities). |
| Calculation
Day |
November
22, 2019 |
| Calculation
Agent |
Scotia
Capital Inc., an affiliate of the issuer |
| Denominations |
$1,000
and any integral multiple of $1,000 |
| Agent
Discount |
3.22%
of which dealers, including Wells Fargo Advisors, LLC (“WFA”), may receive a selling concession of 1.50%, and
WFA will receive a distribution expense fee of 0.075% |
| CUSIP/ISIN |
064159GX8
/ US064159GX83 |
| Underwriters |
Scotia
Capital (USA) Inc.; Wells Fargo Securities, LLC |
Investment
Description
| • | Linked
to the EURO STOXX 50® Index |
| • | Unlike
ordinary debt securities, the Securities do not pay interest or repay a fixed amount
of principal at maturity. Instead, the Securities provide for a payment at maturity that
may be greater than, equal to or less than the Principal Amount of the Securities, depending
on the performance of the Index from its Starting Level to its Ending Level. |
The
payment at maturity will reflect the following terms:
| o | If
the value of the Index increases: |
You
will receive the Principal Amount plus 175% participation in the upside performance of the Index, subject to the Capped Value
of $1,470.00 per $1,000 Principal Amount of the Securities;
| o | If
the value of the Index decreases but the decrease is not more than 20%: |
You
will be repaid the Principal Amount;
| o | If
the value of the Index decreases by more than 20%: |
You
will receive less than the Principal Amount and will have 1-to-1 downside exposure to the decrease in the value of the Index in
excess of 20%.
| • | Investors
may lose up to 80% of the Principal Amount. |
| • | All
payments on the Securities are subject to the credit risk of The Bank of Nova Scotia,
and you will have no right to any securities tracked by the Index; if The Bank of Nova
Scotia defaults on its obligations, you could lose some or all of your investment. |
| • | No
periodic interest payments or dividends. |
| • | No
exchange listing; designed to be held to maturity. |
The
estimated value of the Securities as of the Pricing Date is $957.99 per $1,000 Principal Amount. See “The Bank’s Estimated
Value of the Securities” in the pricing supplement.
The
Securities have complex features and investing in the Securities involves risks not associated with an investment in conventional
debt securities. See “Selected Risk Considerations” in this term sheet, “Additional Risks” in the pricing
supplement, “Additional Risk Factors Specific to the Notes” in the product prospectus supplement and “Risk Factors”
in the prospectus supplement and prospectus.
This
final term sheet does not provide all the information that an investor should consider prior to making an investment decision.
This term sheet should be read in conjunction with the pricing supplement, product prospectus supplement, prospectus supplement,
and prospectus. Your financial advisor or broker will not accept an order in respect of the Securities without first confirming
that you have received these documents and that you understand them.
NOT
A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE FDIC OR ANY OTHER GOVERNMENTAL AGENCY
Hypothetical
Payout Profile
The
profile to the right is based on the Capped Value of $1,470 per $1,000 Principal Amount of the Securities, the Participation Rate
of 175% and the Threshold Percentage of 20% (the Threshold Level equal to 80% of the Starting Level).
This
graph has been prepared for purposes of illustration only. Your actual return will depend on the actual Ending Level and whether
you hold your Securities to maturity.
Hypothetical
Returns on the Securities
| Hypothetical
Ending Level |
Hypothetical
Percentage Change from the Starting Level to the hypothetical Ending Level |
Hypothetical
Redemption Amount per Security |
Hypothetical
pre-tax total rate of return |
Hypothetical
pre-tax annualized rate of return(1) |
| 5966.80 |
75.00% |
1,470.00
|
47.00% |
9.87% |
| 5114.40 |
50.00% |
1,470.00
|
47.00% |
9.87% |
| 4432.48 |
30.00% |
1,470.00
|
47.00% |
9.87% |
| 4091.52 |
20.00% |
1,350.00
|
35.00% |
7.65% |
| 3750.56 |
10.00% |
1,175.00
|
17.50% |
4.07% |
| 3580.08 |
5.00% |
1,087.50
|
8.75% |
2.11% |
| 3409.60(2) |
0.00% |
1,000.00
|
0.00% |
0.00% |
| 3239.12 |
-5.00% |
1,000.00
|
0.00% |
0.00% |
| 3068.64 |
-10.00% |
1,000.00
|
0.00% |
0.00% |
| 2898.16 |
-15.00% |
1,000.00
|
0.00% |
0.00% |
| 2727.68 |
-20.00% |
1,000.00
|
0.00% |
0.00% |
| 2693.58 |
-21.00% |
990.00
|
-1.00% |
-0.25% |
| 2557.20 |
-25.00% |
950.00
|
-5.00% |
-1.28% |
| 1704.80 |
-50.00% |
700.00
|
-30.00% |
-8.72% |
| 852.40 |
-75.00% |
450.00
|
-55.00% |
-19.00% |
| 0.00 |
-100.00% |
200.00
|
-80.00% |
-36.45% |
Each
Security has a Principal Amount of $1,000.
(1)
The annualized rates of return are calculated on a semi-annual bond equivalent basis with compounding.
(2)
The Starting Level.
The
above figures are for purposes of illustration only and may have been rounded for ease of analysis. The actual amount you receive
at stated maturity and the resulting pre-tax rates of return will depend on the actual Ending Level.
How
the Redemption Amount at Maturity is Calculated
The
Redemption Amount at Maturity will be determined as follows:
| • | If
the Ending Level is greater than the Starting Level, then the Redemption Amount at Maturity
will equal the lesser of: |
(a)
the Principal Amount + (Principal Amount x Participation Rate x Percentage Change) and (b) the Capped Value
| • | If
the Ending Level is less than or equal to the Starting Level, but greater than or equal
to the Threshold Level, the Redemption Amount at Maturity will be equal to $1,000 |
| • | If
the Ending Level is less than the Threshold Level, the Redemption Amount at Maturity
will be equal to: |
Principal
Amount + [Principal Amount × (Percentage Change + Threshold Percentage)]
If
the Ending Level is less than the Threshold Level, you will receive less, and possibly 80% less, than the Principal Amount of
your Securities at maturity.
EURO
STOXX 50® Index Daily Closing Levels*
*The
graph above sets forth the daily closing levels of the Index for the period from January 2, 2004 to November 24, 2015. The closing
level on November 24, 2015 was 3,409.60.
The historical performance of the Index is not an
indication of the future performance of the Index during the term of the Securities.
Selected
Risk Considerations
The
risks set forth below are discussed in detail in “Additional Risks” in the pricing supplement, “Additional Risk
Factors Specific to the Notes” in the product prospectus supplement and “Risk Factors” in the prospectus supplement
and prospectus. Please review those risk disclosures carefully.
| • | The
inclusion of dealer spread and projected profit from hedging in the original offering
price is likely to adversely affect secondary market prices. |
| • | Risk
of Loss at Maturity: Any payment on the Securities at maturity depends on the Percentage
Change of the Index. The Bank will only repay you the full principal amount of your Securities
if the Percentage Change is equal to or greater than -20.00%. If the Percentage Change
is less than -20.00%, meaning the percentage decline from the Starting Level to the Ending
Level is greater than the 20.00% Threshold Percentage, you will receive less than the
your initial investment and will have a 1-to-1 downside exposure to the decrease in the
value of the Index in excess of 20.00%. Accordingly, you may lose up to 80% of your investment
in the Securities if the percentage decline from the Starting Level to the Ending Level
is greater than 20.00%. |
| • | The
downside market exposure to the Index is buffered only at maturity. |
| • | Your
potential Redemption Amount at Maturity is limited by the Capped Value. |
| • | The
Bank’s estimated value of the Securities is lower than the original offering price
of the Securities. |
| • | The
Bank’s estimated value does not represent future values of the Securities and may
differ from other’s estimates. |
| • | The
Bank’s estimated value is not determined by reference to credit spreads for our
conventional fixed-rate debt. |
| • | The
Securities differ from conventional debt securities. |
| • | No
Interest: The Securities will not bear interest and, accordingly, you will not receive
any interest payments on the Securities. |
| • | Your
investment is subject to the credit risk of The Bank of Nova Scotia. |
| • | The
Securities are subject to market risk. |
| • | An
investment in the Securities is subject to risks associated with foreign securities. |
| • | The
participation rate applies only at maturity. |
| • | The
Redemption Amount at Maturity is not linked to the level of the Index at any time other
than the Calculation Day. |
| • | If
the levels of the Index or the member securities change, the market value of your Securities
may not change in the same manner. |
| • | Holding
the Securities is not the same as holding the member securities of the Index. |
| • | There
is no assurance that the investment view implicit in the Securities will be successful. |
| • | The
Index reflects price return only and not total return. |
| • | Past
performance is not indicative of future performance. |
| • | We
may sell additional Securities at a different issue price. |
| • | Changes
affecting the Index could have an adverse effect on the value of the Securities. |
| • | The
Bank cannot control actions by the sponsor of the Index and the sponsor of the Index
has no obligation to consider your interests. |
| • | The
eurozone financial crisis could negatively impact investors in the Securities. |
| • | The
price at which the Securities may be sold prior to maturity will depend on a number of
factors and may be substantially less than the amount for which they were originally
purchased. |
| • | The
Securities lack liquidity. |
| • | Hedging
activities by the Bank may negatively impact investors in the Securities and cause our
respective interests and those of our clients and counterparties to be contrary to those
of investors in the Securities. |
| • | Market
activities by the Bank or the underwriters for their own respective accounts or for their
respective clients could negatively impact investors in the Securities. |
| • | The
Bank, the Underwriters and their respective affiliates regularly provide services to,
or otherwise have business relationships with, a broad client base, which has included
and may include the issuers of the member securities of the Index. |
| • | Other
investors in the Securities may not have the same interests as you. |
| • | The
calculation agent can postpone the Calculation Day for the Securities if a market disruption
event with respect to the Index occurs. |
| • | There
is no affiliation between any issuer of member securities of the Index or the sponsor
of the Index and us, and neither we nor any of the underwriters is responsible for any
disclosure by any of the issuers of member securities of the Index or the sponsor of
the Index. |
| • | A
participating dealer or its affiliates may realize hedging profits projected by its proprietary
pricing models in addition to any selling concession, creating a further incentive for
the participating dealer to sell the Securities to you. |
| • | Uncertain
Tax Treatment: Significant aspects of the tax treatment of the Securities are uncertain.
You should consult your tax advisor about your own tax situation. See “Canadian
Income Tax Consequences” and “U.S. Federal Income Tax Consequences”
in the pricing supplement. |
Not
suitable for all investors
Investment
suitability must be determined individually for each investor. The Securities described herein are not a suitable investment for
all investors. In particular, no investor should purchase the Securities unless they understand and are able to bear the associated
market, liquidity and yield risks. Unless market conditions and other relevant factors change significantly in your favor, a sale
of the Securities prior to maturity is likely to result in sale proceeds that are substantially less than the Principal Amount
per note. The underwriters and their respective affiliates are not obligated to purchase the Securities from you at any time prior
to maturity.
The
issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates.
Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with
the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR
on the SEC website at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating
in the offering will arrange to send you the prospectus if you request it by calling your financial advisor or by calling Wells
Fargo Securities, LLC at 866-346-7732.
Not
a research report
This
material is not a product of the Bank’s research department.
Consult
your tax advisor
Investors
should review carefully the pricing supplement, product prospectus supplement, prospectus supplement and prospectus and consult
their tax advisors regarding the application of the U.S. federal tax laws to their particular circumstances, as well as any tax
consequences arising under the laws of any state, local or foreign jurisdiction.
"EURO
STOXX 50®” and "STOXX®," are trademarks of STOXX Limited and have been licensed
for use by the Bank. The Securities are not sponsored, endorsed, sold or promoted by EURO STOXX 50® or STOXX Limited
and STOXX Limited make no representation regarding the advisability of investing in the Securities.
