By Angela McDaniels
Tacoma, Wash., Dec. 23 –Bank of Nova Scotia priced $5 million of 0% capped notes with absolute return buffer due Dec. 31, 2021 linked to a basket consisting of the S&P 500 index with a 75% weight and the Euro Stoxx 50 index with a 25% weight, according to a 424B2 filing with the Securities and Exchange Commission.
If the final basket level is greater than the initial basket level, the payout at maturity will be par of $10 plus the basket return, subject to a maximum return of 10%.
If the final basket level is less than or equal to the initial basket level but greater than or equal to the threshold value, 82% of the initial basket level, the payout will be par plus the absolute value of the basket return.
If the final basket level is less than the threshold level, investors will lose 1% for every 1% that the basket declines beyond 18%.
BofA Securities, Inc. is the agent.
| Issuer: | Bank of Nova Scotia
|
| Issue: | Capped notes with absolute return buffer
|
| Underlying indexes: | S&P 500 (75% weight) and Euro Stoxx 50 (25% weight)
|
| Amount: | $5 million
|
| Maturity: | Dec. 31, 2021
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus any basket gain, subject to maximum return of 10%; par plus absolute value of basket return if basket declines by 18% or less; 1% loss for every 1% basket declines beyond 18%
|
| Initial levels: | 3,205.37 for S&P 500 and 3,739.17 for Euro Stoxx 50
|
| Final levels: | For each index, average of closing levels on five trading days ending Dec. 28, 2021
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| Pricing date: | Dec. 19
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| Settlement date: | Dec. 27
|
| Agent: | BofA Securities, Inc.
|
| Fees: | 0.75%
|
| Cusip: | 06417Q577
|
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