Published on 4/11/2018 in the Prospect News Structured Products Daily.
New Issue: Scotiabank sells $33.79 million Capped Leveraged Index Return Notes on index basket
By Marisa Wong
Morgantown, W.Va., April 11 – Bank of Nova Scotia priced $33.79 million of 0% Capped Leveraged Index Return Notes due March 27, 2020 linked to a basket of unequally weighted indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket components are the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei Stock Average index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the Hang Seng index with a 5% weight.
If the basket return is positive, the payout at maturity will be par plus double the basket return, with the return capped at 31.8%.
If the basket falls by up to 10%, the payout will be par. Otherwise, investors will lose 1% for every 1% decline beyond 10%.
BofA Merrill Lynch is the agent.
Issuer: | Bank of Nova Scotia
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Issue: | Capped Leveraged Index Return Notes
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Underlying indexes: | Euro Stoxx 50 (40% weight), FTSE 100 (20% weight), Nikkei Stock Average (20% weight), Swiss Market (7.5% weight), S&P/ASX 200 (7.5% weight), Hang Seng (5% weight)
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Amount: | $33,790,880
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Maturity: | March 27, 2020
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Coupon: | 0%
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Price: | Par of $10
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Payout at maturity: | Par plus 200% of any basket gain, with return capped at 31.8%; par if basket falls by up to 10%; exposure to losses beyond 10%
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Initial index levels: | 3,331.25 for Euro Stoxx 50; 7,044.74 for FTSE 100; 21,031.31 for Nikkei 225; 8,756.12 for Swiss Market; 5,789.465 for S&P/ASX 200; 30,022.53 for Hang Seng
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Pricing date: | March 28
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Settlement date: | April 5
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Agent: | BofA Merrill Lynch
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Fees: | 2%
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Cusip: | 064161565
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