Published on 1/12/2022 in the Prospect News Structured Products Daily.
New Issue: Scotia sells $4.02 million capped notes with absolute return buffer on index basket
By William Gullotti
Buffalo, N.Y., Jan. 12 – Bank of Nova Scotia priced $4.02 million of 0% capped notes with absolute return buffer due Jan. 26, 2024 linked to an international equity basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 25% weight and the S&P 500 index with a 75% weight.
The payout at maturity will be par of $10 plus any basket gain, subject to a maximum payout of par plus 10%. If the basket falls by up to 13.03%, investors will receive par plus the absolute value of its return.
Investors will be exposed to any basket decline beyond 13.03%.
BofA Securities, Inc. is the agent.
Issuer: | Bank of Nova Scotia
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Issue: | Capped notes with absolute return buffer
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Underlying basket: | Euro Stoxx 50 index (25% weight), S&P 500 index (75% weight)
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Amount: | $4.02 million
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Maturity: | Jan. 26, 2024
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Coupon: | 0%
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Price: | Par of $10
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Payout at maturity: | Par plus any basket gain, capped at 10%; if basket falls by up to 13.03%, par plus absolute value of basket return; otherwise, investors will lose 1% for every 1% of basket decline below the buffer
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Initial index levels: | 4,324.81 for Stoxx, 4,696.05 for S&P
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Buffer level: | 86.97% of initial level
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Pricing date: | Jan. 6
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Settlement date: | Jan. 13
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Underwriter: | BofA Merrill Lynch
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Fees: | 2%
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Cusip: | 06417X424
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