New Issue: Scotia sells $6.05 million capped enhanced participation notes on basket of 49 stocks

By Kiku Steinfeld

Chicago, Jan. 16 – Bank of Nova Scotia priced $6.05 million of 0% capped enhanced participation notes due Feb. 5, 2021 linked to an unequally weighted basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of AbbVie Inc. with a weight of 2.2276%, Archer-Daniels-Midland Co. with a weight of 2.1307%, Amgen Inc. with a weight of 2.2277%, Broadcom Inc. with a weight of 2.1206%, Best Buy Co., Inc. with a weight of 2.3327%, Bristol-Myers Squibb Co. with a weight of 2.2572%, Cardinal Health, Inc. with a weight of 1.8696%, Caterpillar Inc. with a weight of 2.0869%, Citizens Financial Group, Inc. with a weight of 2.1624%, Comerica Inc. with a weight of 2.0930%, Cummins Inc. with a weight of 2.0205%, Cisco Systems, Inc. with a weight of 1.8584%, Delta Air Lines, Inc. with a weight of 2.0563%, Darden Restaurants, Inc. with a weight of 1.9972%, DTE Energy Co. with a weight of 1.8716%, DXC Technology Co. with a weight of 2.5275%, Eastman Chemical Co. with a weight of 2.0552%, Eaton Corp. plc with a weight of 2.1736%, Gilead Sciences, Inc. with a weight of 1.8870%, Corning Inc. with a weight of 1.8074%, Huntington Bancshares Inc. with a weight of 2.0216%, Hewlett Packard Enterprise Co. with a weight of 1.9604%, HP Inc. with a weight of 2.2460%, International Business Machines Corp. with a weight of 1.8758%, Interpublic Group of Cos., Inc. with a weight of 2.0298%, KeyCorp. with a weight of 2.1736%, Kroger Co. 2.1726% with a weight of , Kohl's Corp. with a weight of 1.8666%, Eli Lilly and Co. with a weight of 2.2368%, Macy's Inc. with a weight of 1.9624%, Morgan Stanley with a weight of 2.1848%, NetApp Inc. with a weight of 2.1838%, Omnicom Group Inc. with a weight of 1.9522%, Public Service Enterprise Group Inc. with a weight of 1.7891%, Phillips 66 with a weight of 1.9757%, Regency Centers Corp. with a weight of 1.7064%, Snap-on Inc. with a weight of 2.0655%, Simon Property Group, Inc. with a weight of 1.8175%, Seagate Technology plc with a weight of 1.9971%, Skyworks Solutions, Inc. with a weight of 2.4796%, AT&T Inc. with a weight of 1.9196%, Molson Coors Brewing Co. with a weight of 1.7411%, Texas Instruments Inc. with a weight of 1.8197%, Unum Group with a weight of 1.9788%, ViacomCBS Inc. with a weight of 2.0328%, Valero Energy Corp. with a weight of 1.9655%, Verizon Communications Inc. with a weight of 1.8880%, Walgreens Boots Alliance, Inc. with a weight of 1.9155% and Wynn Resorts, Ltd. with a weight of 2.2786%.

If the basket return is positive, the payout at maturity will be par plus twice the basket return, subject to a maximum settlement amount of $1,160 per $1,000 of notes. Otherwise, investors will lose 1% for each 1% decline.

Scotia Capital (USA) Inc. is the agent. Goldman Sachs & Co. LLC is the dealer.

Issuer:	Bank of Nova Scotia
Issue:	Capped enhanced participation notes
Underlying indexes:	AbbVie Inc. (2.2276%), Archer-Daniels-Midland Co. (2.1307%), Amgen Inc. (2.2277%), Broadcom Inc. (2.1206%), Best Buy Co., Inc. (2.3327%), Bristol-Myers Squibb Co. (2.2572%), Cardinal Health), Inc. (1.8696%), Caterpillar Inc. (2.0869%), Citizens Financial Group, Inc. (2.1624%), Comerica Inc. (2.0930%), Cummins Inc. (2.0205%), Cisco Systems, Inc. (1.8584), Delta Air Lines, Inc. (2.0563%), Darden Restaurants, Inc. (1.9972%), DTE Energy Co. (1.8716%), DXC Technology Co. (2.5275%), Eastman Chemical Co. (2.0552%), Eaton Corp. Public Ltd. Co. (2.1736%), Gilead Sciences, Inc. (1.8870%), Corning Inc. (1.8074%), Huntington Bancshares Inc. (2.0216%), Hewlett Packard Enterprise Co. (1.9604%), HP Inc. (2.2460%), International Business Machines Corp. (1.8758%), The Interpublic Group of Companies (2.0298%), KeyCorp. (2.1736%), The Kroger Co. (2.1726%), Kohl's Corp. (1.8666%), Eli Lilly and Co. (2.2368%), Macy's Inc. (1.9624%), Morgan Stanley (2.1848%), NetApp, Inc. (2.1838%), Omnicom Group Inc. (1.9522%), Public Service Enterprise Group Inc. (1.7891%), Phillips 66 (1.9757%), Regency Centers Corp. (1.7064%), Snap-on Inc. (2.0655%), Simon Property Group, Inc. (1.8175%), Seagate Technology Public Ltd. Co. (1.9971%), Skyworks Solutions, Inc. (2.4796%), AT&T Inc. (1.9196%), Molson Coors Brewing Co. (1.7411%), Texas Instruments Inc. (1.8197%), Unum Group (1.9788%), ViacomCBS Inc. (2.0328%), Valero Energy Corp. (1.9655%), Verizon Communications Inc. (1.8880%), Walgreens Boots Alliance, Inc. (1.9155%) and Wynn Resorts, Ltd. (2.2786%)
Amount:	$6,050,000
Maturity:	Feb. 5, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus twice basket return, capped at $1,160 per $1,000 of notes; par if basket declines by 15% or less; 1% loss for each 1% decline
Initial levels:	$88.70 for AbbVie Inc., $46.02 for Archer-Daniels-Midland Co., $238.47 for Amgen Inc., $314.19 for Broadcom Inc., $87.18 for Best Buy Co. Inc., $62.78 for Bristol-Myers Squibb Co., $49.36 for Cardinal Health, Inc., $148.44 for Caterpillar Inc., $39.91 for Citizens Financial Group, Inc., $70.66 for Comerica Inc., $176.81 for Cummins Inc., $47.63 for Cisco Systems, Inc., $58.06 for Delta Air Lines, Inc., $112.38 for Darden Restaurants, Inc., $129.01 for DTE Energy Co., $35.23 for DXC Technology Co., $75.95 for Eastman Chemical Co., $95.16 for Eaton Corp. Public Ltd. Co., $65.07 for Gilead Sciences, Inc., $29.60 for Corning Inc., $14.81 for Huntington Bancshares Inc., $15.77 for Hewlett Packard Enterprise Co., $20.53 for HP Inc., $134.34 for International Business Machines Corp., $22.73 for The Interpublic Group of Companies, Inc., $19.91 for KeyCorp., $28.70 for The Kroger Co., $49.19 for Kohl's Corp., $131.77 for Eli Lilly and Co., $16.53 for Macy's, Inc., $51.20 for Morgan Stanley, $61.70 for NetApp, Inc., $79.93 for Omnicom Group Inc., $58.70 for Public Service Enterprise Group Inc., $108.49 for Phillips 66, $62.41 for Regency Centers Corp., $167.09 for Snap-on Inc., $145.35 for Simon Property Group, Inc., $58.91 for Seagate Technology Public Ltd. Co., $118.65 for Skyworks Solutions, Inc., $39.06 for AT&T Inc., $53.38 for Molson Coors Brewing Co., $127.85 for Texas Instruments Inc., $29.06 for Unum Group, $41.45 for ViacomCBS Inc., $91.52 for Valero Energy Corp., $60.40 for Verizon Communications Inc., $59.08 for Walgreens Boots Alliance, Inc. and $141.47 for Wynn Resorts, Ltd.
Pricing date:	Jan. 3
Settlement date:	Jan. 10
Agent:	Scotia Capital (USA) Inc.
Dealer:	Goldman Sachs & Co. LLC
Fees:	1.1%
Cusip:	064159RP3

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