New Issue: Scotiabank prices $5.84 million market-linked step-up notes on S&P 500

By Tali Rackner

Norfolk, Va., March 28 – Bank of Nova Scotia priced $5.84 million of 0% market-linked step-up notes due March 27, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes at or above the step-up value – 124.55% of the initial level – the payout at maturity will be par of $10 plus the index gain.

If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 24.55%.

Investors receive par if the index declines by up to the 10% threshold level and will be exposed to any losses beyond 10%.

BofA Merrill Lynch is the agent.

Issuer:	Bank of Nova Scotia
Issue:	Market-linked step-up notes
Underlying index:	S&P 500 index
Amount:	$5,840,210
Maturity:	March 27, 2020
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If the index finishes at or above the step-up value, par plus the index gain; if the index gains by up to the step-up level, par plus 24.55%; if index declines by up to 10%, par; full exposure to losses beyond 10%
Initial level:	2,036.71
Step level:	2,536.72, 124.55% of initial level
Threshold level:	1,833.04, 90% of initial level
Pricing date:	March 23
Settlement date:	March 31
Underwriters:	BofA Merrill Lynch
Fees:	2.5%
Cusip:	064160864

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