Published on 10/4/2023 in the Prospect News Structured Products Daily.
New Issue: Scotia sells $23.92 million capped notes with absolute return buffer on index basket
By William Gullotti
Buffalo, N.Y., Oct. 4 – Bank of Nova Scotia priced $23.92 million of 0% capped notes with absolute return buffer due Sept. 26, 2025 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 (40% weight), the FTSE 100 index (20% weight), the Nikkei Stock Average index (20% weight), the Swiss Market index (7.5% weight), the S&P/ASX 200 index (7.5% weight) and the FTSE China 50 index (5% weight).
The payout at maturity will be par of $10 plus 1.25 times any basket gain, subject to a maximum payout of par plus 24%.
If the basket falls by up to 18.7%, investors will receive par plus the absolute value of its return.
Investors will be exposed to any basket decline beyond 18.7%.
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 (40% weight), FTSE 100 index (20% weight), Nikkei Stock Average index (20% weight), Swiss Market index (7.5% weight), S&P/ASX 200 index (7.5% weight) and FTSE China 50 index (5% weight)
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| Amount: | $23,921,050
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| Maturity: | Sept. 26, 2025
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | Par plus 1.25 times any basket gain, capped at 24%; if basket falls by up to 18.7%, par plus absolute value of basket return; otherwise, investors will lose 1% for every 1% of basket decline below the buffer
|
| Initial index levels: | 4,161.56 for Stoxx, 7,601.85 for FTSE 100, 31,872.52 for Nikkei, 10,917.79 for Swiss, 7,024.755 for S&P/ASX, 11,677.37 for FTSE China 50
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| Buffer level: | 81.3% of initial level
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| Pricing date: | Sept. 28
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| Settlement date: | Oct. 5
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| Underwriter: | BofA Merrill Lynch
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| Fees: | 2%
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| Cusip: | 06418G339
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