By Marisa Wong
Morgantown, W.Va., Aug. 23 – Bank of Nova Scotia priced $54.68 million of 0% absolute return trigger notes due Aug. 5, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A barrier event occurs if the closing level of the index is above or below its initial level by more than 19.75% on any day during the life of the notes.
If a barrier event has occurred, the payout at maturity will be par plus 2%.
If a barrier event has not occurred, the payout will be par plus the absolute value of the index return, subject to a minimum payout of par and a maximum payout of par plus 19.75%.
Scotia Capital (USA) Inc. is the agent with Goldman, Sachs & Co. LLC as dealer.
Issuer: | Bank of Nova Scotia
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Issue: | Absolute return trigger notes
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Underlying index: | S&P 500
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Amount: | $54.68 million
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Maturity: | Aug. 5, 2020
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index closes within upper barrier and lower barrier during life of notes, par plus absolute value of index return, capped at par plus 19.75%, subject to floor of par; otherwise, par plus 2%
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Initial index level: | 2,862.96
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Lower barrier: | 80.25% of initial level
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Upper barrier: | 119.75% of initial level
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Pricing date: | Aug. 21
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Settlement date: | Aug. 29
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Agent: | Scotia Capital (USA) Inc.
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Dealer: | Goldman, Sachs & Co. LLC
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Fees: | 1.35%
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Cusip: | 064159MB9
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