Published on 5/12/2023 in the Prospect News Structured Products Daily.
New Issue: Scotia sells $10.35 million capped buffered enhanced participation notes on index basket
By Wendy Van Sickle
Columbus, Ohio, May 12 – Bank of Nova Scotia priced $10.35 million of 0% capped buffered enhanced participation notes due May 20, 2025 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 150% of the basket return, subject to a maximum settlement amount of par plus 36.765%.
Investors will receive par if the basket declines by 20% or less and will lose 1.25% for every 1% that it declines beyond 20%.
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: | $10,353,000
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| Maturity: | May 20, 2025
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | If the basket return is positive, the payout at maturity will be par plus 150% of the basket return, subject to a maximum settlement amount of par plus 36.765%; investors will receive par if the basket declines up to 20%; otherwise, lose 1.25% for every 1% that it declines beyond 20%
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| Initial index levels: | 4,323.09 for Stoxx, 2,097.55 for Topix, 7,764.09 for FTSE, 11,546.04 for Swiss Market, 7,264.084 for S&P/ASX
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| Buffer level: | 80% of initial basket level
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| Pricing date: | May 9
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| Settlement date: | May 16
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| Underwriter: | Scotia Capital (USA) Inc.
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| Selected dealer: | Goldman Sachs & Co. LLC
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| Fees: | 1.75%
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| Cusip: | 06417YHV4
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