Published on 1/25/2022 in the Prospect News Structured Products Daily.
New Issue: Scotia prices $5.75 million of digital basket-linked notes on index basket
By William Gullotti
Buffalo, N.Y., Jan. 25 – Bank of Nova Scotia priced $5.75 million of digital basket-linked notes due Jan. 9, 2025 linked a 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 greater of the basket return and 21.25%.
If the basket declines by up to 21%, investors will lose 1% for every 1% of basket decline from initial level up to a maximum loss of 10%.
Otherwise, investors will lose 10% plus an additional 1.1392% loss for every 1% of basket decline beyond 21%.
Scotia Capital (USA) Inc. is the agent. Goldman Sachs & Co. LLC is the dealer.
| Issuer: | Bank of Nova Scotia
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| Issue: | Digital 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), S&P/ASX 200 (8% weight)
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| Amount: | $5.75 million
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| Maturity: | Jan. 9, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the basket return is positive, par plus the greater of the basket return and 21.25%; if the basket declines up to 21%, lose 1% for every 1% decline up to a maximum loss of 10%; otherwise, lose 10% plus an additional 1.1392% loss for every 1% of basket decline beyond 21%
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| Initial levels: | 4,305.83 for Euro Stoxx, 1,995.68 for Topix, 7,485.28 for FTSE, 12,797.94 for Swiss Market, 7,453.347 for S&P/ASX
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| Threshold level: | 79% of initial level
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| Pricing date: | Jan. 7
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| Settlement date: | Jan. 14
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| Agent: | Scotia Capital (USA) Inc.
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| Dealer: | Goldman Sachs & Co. LLC
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| Fees: | 2.2%
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| Cusip: | 0641596W1
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