Published on 8/17/2020 in the Prospect News Structured Products Daily.
New Issue: Scotiabank sells $10.1 million capped notes with absolute return buffer on S&P 500
By Kiku Steinfeld
Chicago, Aug. 17 – Bank of Nova Scotia priced $10.1 million of 0% capped notes with absolute return buffer due July 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 10%.
If the index finishes flat or falls by up to 15.67%, investors will receive par plus the absolute value of the index return.
Investors will be exposed to any losses beyond 15.67%.
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: | $10,095,720
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Maturity: | July 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 10%; if index falls by up to 15.67%, par plus absolute value of index return; exposure to any losses beyond 15.67%
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Initial value: | 3,246.22
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Threshold value: | 2,737.54, 84.33% of initial value
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Final value: | Average of index’s closing levels on five trading days ending July 26, 2022
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Pricing date: | July 30
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Settlement date: | Aug. 6
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Agent: | BofA Securities, Inc.
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Fees: | 2%
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Cusip: | 06417R617
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