Published on 5/6/2020 in the Prospect News Structured Products Daily.
New Issue: Scotiabank sells $6.82 million capped notes with absolute return buffer on S&P 500
By Marisa Wong
Los Angeles, May 6 – Bank of Nova Scotia priced $6.82 million of 0% capped notes with absolute return buffer due April 29, 2022 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par of $10 plus any index gain, capped at par plus 15%.
If the index finishes flat or falls by up to 18%, investors will receive par plus the absolute value of the index return.
Investors will be exposed to any losses beyond 18%.
BofA Securities, Inc. is the agent.
Issuer: | Bank of Nova Scotia
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Issue: | Capped notes with absolute return buffer
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Underlying index: | S&P 500
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Amount: | $6,815,860
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Maturity: | April 29, 2022
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Coupon: | 0%
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Price: | Par of $10
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Payout at maturity: | Par plus any index gain, capped at 15%; if index falls by up to 18%, par plus absolute value of index return; exposure to any losses beyond 18%
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Initial value: | 2,797.80
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Threshold value: | 2,294.20, 82% of initial value
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Final value: | Average of index’s closing levels on five trading days ending April 26, 2022
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Pricing date: | April 23
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Settlement date: | April 30
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Agent: | BofA Securities, Inc.
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Fees: | 2%
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Cusip: | 06417R864
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