Published on 10/18/2021 in the Prospect News Structured Products Daily.
New Issue: Scotia sells $1 million capped notes linked to basket of indexes
By Kiku Steinfeld
Chicago, Oct. 18 – Bank of Nova Scotia priced $1 million of 0% capped basket-linked notes due Aug. 21, 2023 linked to an unequally weighted basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 36% weight, the Topix index with a 29% weight, the FTSE 100 index with a 16% weight, the Swiss Market index with an 11% weight and the S&P/ASX 200 index with an 8% weight.
If the basket return is positive, the payout at maturity will be par plus the basket gain, up to a maximum return of 24%.
If the basket falls by up to 20%, investors will lose 1% for every 1% that the final basket level is less than the initial basket level, up to a loss of 5%.
If the basket falls by more than 20%, the payout will be 95% of par minus 1.1875% for every 1% that the basket declines beyond 20%.
Scotia Capital (USA) Inc. is the agent. Goldman Sachs & Co. LLC is the dealer.
| Issuer: | Bank of Nova Scotia
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| Issue: | Capped basket-linked notes
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| Underlying basket: | Euro Stoxx 50 (36% weight), Topix (29% weight), FTSE 100 (16% weight), Swiss Market (11% weight) and S&P/ASX 200 (8% weight)
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| Amount: | $1 million
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| Maturity: | Aug. 21, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If basket return is positive, par plus basket gain, up to maximum return of 24%; if basket falls by up to 20%, 1% loss for every 1% that final basket level is less than initial basket level, up to maximum loss of 5%; if basket falls by more than 20%, 95% of par minus 1.1875% for every 1% that basket declines beyond 20%
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| Initial index levels: | 4,064.83 Euro Stoxx, 1,938.04 for Topix, 6,996.08 for FTSE, 12,021.09 for Swiss Market, 7,431.362 for S&P/ASX
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| Buffer level: | 80% of initial basket level
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| Pricing date: | July 27
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| Settlement date: | Aug. 3
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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: | 0641594N3
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