By Marisa Wong
Morgantown, W.Va., Feb. 23 – Bank of Nova Scotia priced $8.51 million of 0% equity-linked index notes due Feb. 25, 2019 linked to the Raymond James CEFR Domestic Equity Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The index is composed of closed-end funds selected from a universe of roughly 560 U.S. closed-end funds that are included in either the Morningstar U.S. Sector Equity category or the Morningstar U.S. Equity category. The index’s features and construction seek to measure at least 25 closed-end funds that meet certain minimum market capitalization and daily average value traded characteristics that are then given a modified volume weighting. The constituents are then ranked according to their respective discount to NAV, with those with the lowest discount ranking higher in the index.
The notes will pay a quarterly coupon based on, but not actually equal to the sum of, the distributions paid by each of the closed-end funds that make up the index.
The payout at maturity will be par minus fees and commissions of 3% plus the index return, which could be negative, plus the final coupon, if any.
The index return incorporates an aggregate index adjustment amount. The index adjustment amount is $1.25 per note. Index adjustment amounts will accrue quarterly beginning on the next rebalancing date of the index to occur following the first anniversary of settlement. The aggregate amount of index adjustment amounts that may accrue over the tenor of the notes is $10.00 per note.
Investors will receive less than their initial investments if the index does not increase by at least 4.1237%.
Any secondary market transaction executed by Scotia Capital (USA) Inc. will be subject to an early redemption fee of 0.75% through Feb. 20, 2017, 0.5% from and excluding Feb. 20, 2017 to and including Feb. 20, 2018 and 0.25% from and excluding Feb. 20, 2018 to and including the maturity date.
Scotia Capital (USA) is the underwriter.
| Issuer: | Bank of Nova Scotia
|
| Issue: | Equity-linked index notes
|
| Underlying index: | Raymond James CEFR Domestic Equity Total Return index
|
| Amount: | $8.51 million
|
| Maturity: | Feb. 25, 2019
|
| Coupon: | Based on, but not actually equal to the sum of, the distributions paid by each of the closed-end funds that make up the index; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par minus fees and commissions of 3% plus the index return, which could be negative, plus the final coupon, if any
|
| Pricing date: | Feb. 19
|
| Settlement date: | Feb. 24
|
| Agents: | Scotia Capital (USA) Inc.
|
| Fees: | 3%
|
| Cusip: | 064159HF6
|
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