Published on 2/23/2020 in the Prospect News Structured Products Daily.
New Issue: Scotiabank sells $2.31 million capped buffered enhanced participation notes on basket
By Kiku Steinfeld
Chicago, Feb. 24 – Bank of Nova Scotia priced $2.31 million of 0% capped buffered enhanced participation notes due June 9, 2022 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 36% weight, the Topix index with a 27% weight, the FTSE 100 index with a 19% weight, the Swiss Market index with a 10% weight and the S&P/ASX 200 index with an 8% weight.
If the basket return is positive, the payout at maturity will be par plus 1.8 times the basket return, subject to a maximum settlement amount of $1,394.02 per $1,000 of notes. Investors will receive par if the basket declines by 20% or less and will lose 1.25% for every 1% that it declines beyond 20%.
Scotia Capital (USA) Inc. is the agent.
| Issuer: | Bank of Nova Scotia
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| Issue: | Capped buffered enhanced participation notes
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| Underlying indexes: | Euro Stoxx 50 (36% weight), Topix (27% weight), FTSE 100 (19% weight), Swiss Market (10% weight) and S&P/ASX 200 (8% weight)
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| Amount: | $2,314,000
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| Maturity: | June 9, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If basket return is positive, par plus 1.8 times basket return, capped at $1,394.02 per $1,000 of notes; par if basket declines by 20% or less; 1.25% loss for every 1% that it declines beyond 20%
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| Initial index levels: | 3,798.49 for Stoxx, 1,732.14 for Topix, 7,466.70 for FTSE, 11,001.53 for Swiss and 7,022.580 for S&P/ASX
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| Buffer levels: | 80% of initial levels
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| Pricing date: | Feb. 7
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| Settlement date: | Feb. 14
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| Agent: | Scotia Capital (USA) Inc.
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| Fees: | None
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| Cusip: | 064159TB2
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