Published on 4/8/2024 in the Prospect News Structured Products Daily.
New Issue: Scotia sells $947,000 capped buffered enhanced participation notes on index basket
By Kiku Steinfeld
Chicago, April 8 – Bank of Nova Scotia priced $947,000 of 0% capped buffered enhanced participation notes due June 25, 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 a 12% weight and the S&P/ASX 200 index with a 9% weight.
If the basket return is positive, the payout at maturity will be par plus 200% of the basket return up to par plus 40.72%.
Investors will receive par if the basket declines by 15% or less and will lose 1.1765% for every 1% that it declines beyond 15%.
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: | $947,000
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| Maturity: | June 25, 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, the payout at maturity will be par plus 200% of the basket return up to par plus 40.72%; investors will receive par if the basket declines up to 15%; otherwise, lose 1.1765% for every 1% that it declines beyond 15%
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| Initial index levels: | 4,350.71 for Stoxx, 2,306.03 for Topix, 7,442.10 for FTSE, 11,193.92 for Swiss Market, 7,253.173 for S&P/ASX
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| Buffer level: | 85% of initial basket level
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| Pricing date: | July 5, 2023
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| Settlement date: | July 12, 2023
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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: | 06417YLE7
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