Published on 3/3/2020 in the Prospect News Structured Products Daily.
New Issue: Scotia sells $13.7 million capped notes with absolute return buffer on basket
By Wendy Van Sickle
Columbus, Ohio, March 3 – Bank of Nova Scotia priced $13.7 million of 0% capped notes with absolute return buffer due Feb. 24, 2023 linked to an international equity basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index (40% weight), the FTSE 100 index (20% weight), the Nikkei Stock Average index (20% weight), the Swiss Market index (7.5% weight), the S&P/ASX 200 index (7.5% weight) and the Hang Seng index (5% weight).
The payout at maturity will be par of $10 plus any basket gain, up to a maximum return of 57%. If the basket falls by up to 15%, investors will receive par plus the absolute value of its return.
Investors will be exposed to any basket decline beyond 15%.
BofA Securities, Inc. is the agent.
| Issuer: | Bank of Nova Scotia
|
| Issue: | Capped notes with absolute return buffer
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| Underlying basket: | Euro Stoxx 50 index (40% weight), FTSE 100 index (20% weight), Nikkei Stock Average index (20% weight), Swiss Market index (7.5% weight), S&P/ASX 200 index (7.5% weight) and Hang Seng index (5% weight)
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| Amount: | $13,701,480
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| Maturity: | Feb. 24, 2023
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | Par plus any basket gain, capped at 57%; if basket falls by up to 15%, par plus absolute value of basket return; exposure to any basket decline beyond 15%
|
| Initial levels: | 3,455.92 for Stoxx, 6,796.40 for FTSE, 21,948.23 for Nikkei, 10,205.46 for Swiss, 6,657.852 for S&P/ASX, 26,778.62 for Hang Seng
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| Final index level: | Average of index’s closing levels on five trading days ending Feb. 21, 2023
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| Pricing date: | Feb. 27
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| Settlement date: | March 5
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| Underwriter: | BofA Merrill Lynch
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| Fees: | 2.25% Cusip: | 06417Q935
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