Published on 4/27/2022 in the Prospect News Structured Products Daily.
New Issue: Scotiabank prices $19 million capped buffered notes on Russell 2000
By William Gullotti
Buffalo, N.Y., April 27 – Bank of Nova Scotia priced $19 million of 0% capped buffered index-linked notes due March 10, 2026 tied to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final index level is at least 137% of the initial index level, the payout at maturity will be 44.44% plus (ii) the product of (a) 2.4434 times (b) the index return minus 37%, subject to the maximum payment amount of $1,591.004 for each $1,000 principal amount.
If the index finishes flat or gains up to 37%, the payout will be par plus 3% plus 1.12 times the index return.
If the index declines up to 10%, the payout at maturity will be par plus 0.3 times the sum of the index return and 10%. Otherwise, investors will lose 1% per 1% drop beyond the 10% buffer.
Scotia Capital (USA) Inc. is the agent. Goldman Sachs & Co. LLC is the dealer.
| Issuer: | Bank of Nova Scotia
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| Issue: | Capped buffered index-linked notes
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| Underlying index: | Russell 2000 index
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| Amount: | $19 million
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| Maturity: | March 10, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final index level is at least 137% of initial level, 44.44% plus (ii) product of (a) 2.4434 times (b) index return minus 37%, subject to maximum payment of $1,591.004 for each $1,000 principal amount; if final index level is between 100% and 137% of initial index level, par plus 3% plus 1.12 times the return; if the index declines up to 10%, the payout will be par plus 0.3 times the sum of the return and 10%; otherwise, 1% loss per 1% drop beyond 10% buffer
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| Initial level: | Average of closing levels from Jan. 26 through Feb. 7
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| Final level: | Average of closing levels from Dec. 3, 2025 through March 5, 2026
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| Pricing date: | Jan. 28
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| Settlement date: | Feb. 4
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| Agent: | Scotia Capital (USA) Inc.
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| Dealer: | Goldman Sachs & Co. LLC
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| Fees: | 0.4%
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| Cusip: | 0641597P5
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