Scotia eyes leveraged index return notes with absolute return buffer on basket

By Sarah Lizee

Olympia, Wash., June 17 – Bank of Nova Scotia plans to price 0% leveraged index return notes with absolute return buffer due June 2022 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei 225 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 finishes at or above the initial level, the payout at maturity will be par plus 105% to 125% of the gain.

If the basket falls by up to 15%, the payout at maturity will be par plus the absolute value of the basket decline.

If the basket falls by more than 15%, investors will be fully exposed to any losses beyond the buffer.

BofA Securities, Inc. is the agent.

The notes will price in June and settle in July.

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