Published on 5/1/2018 in the Prospect News Structured Products Daily.
New Issue: Scotiabank prices $8.24 million Capped Leveraged Index Return Notes on index basket
By Marisa Wong
Morgantown, W.Va., May 1 – Bank of Nova Scotia priced $8.24 million of 0% Capped Leveraged Index Return Notes due April 24, 2020 linked to a basket of unequally weighted indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with an initial weight of 45%, the Stoxx Europe 600 index with an initial weight of 35% and the Russell 2000 index with an initial weight of 20%.
The payout at maturity will be par plus double any basket gain, up to a maximum return of 21.8%.
Investors will receive par if the basket falls by up to 5% and will lose 1% for each 1% decline beyond 5%.
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: | S&P 500 index (45% weight), Stoxx Europe 600 index (35% weight) and Russell 2000 index (20% weight)
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Amount: | $8,244,230
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Maturity: | April 24, 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 21.8%; par if basket falls by up to 5%; exposure to losses beyond 5%
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Initial index levels: | 2,666.94 for S&P, 383.75 for Stoxx, 1,557.895 for Russell
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Pricing date: | April 26
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Settlement date: | May 3
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Agent: | BofA Merrill Lynch
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Fees: | 2%
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Cusip: | 064161375
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