Published on 5/1/2023 in the Prospect News Structured Products Daily.
New Issue: Scotia sells $6.2 million capped buffered enhanced participation notes on index basket
By Wendy Van Sickle
Columbus, Ohio, May 1 – Bank of Nova Scotia priced $6.2 million of 0% capped buffered enhanced participation notes due Oct. 25, 2024 linked to 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 26% weight, the FTSE 100 index with a 17% weight, the Swiss Market index with an 12% weight and the S&P/ASX 200 index with an 9% weight.
If the basket return is positive, the payout at maturity will be par plus 200% of the basket return, subject to a maximum settlement amount of par plus 44.14%.
Investors will receive par if the basket declines by 17.5% or less and will lose 1.2121% for every 1% that it declines beyond 17.5%.
Scotia Capital (USA) Inc. is the underwriter. Goldman Sachs & Co. LLC is acting as dealer.
Issuer: | Bank of Nova Scotia
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Issue: | Capped buffered enhanced participation notes
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Underlying indexes: | Euro Stoxx 50 index (36% weight), Topix index (26% weight), FTSE 100 index (17% weight), Swiss Market index (12% weight), S&P/ASX 200 index (9% weight)
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Amount: | $6,199,000
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Maturity: | Oct. 25, 2024
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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, the payout at maturity will be par plus 200% of the basket return, subject to a maximum settlement amount of par plus 44.14%; investors will receive par if the basket declines up to 17.5%; otherwise, lose 1.2121% for every 1% that it declines beyond 17.5%
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Initial index levels: | 4,408.59 for Stoxx, 2,035.06 for Topix, 7,914.13 for FTSE, 11,460.58 for Swiss Market, 7,330.381 for S&P/ASX
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Buffer level: | 82.5% of initial basket level
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Pricing date: | April 21
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Settlement date: | April 28
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Underwriter: | Scotia Capital (USA) Inc.
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Selected dealer: | Goldman Sachs & Co. LLC
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Fees: | 0%
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Cusip: | 06417YGS2
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