Published on 12/6/2023 in the Prospect News Structured Products Daily.
New Issue: Scotia sells $14.99 million capped notes with absolute return buffer on index basket
By William Gullotti
Buffalo, N.Y., Dec. 6 – Bank of Nova Scotia priced $14.99 million of 0% capped notes with absolute return buffer due Nov. 21, 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 35%. If the basket falls by up to 13.6%, investors will receive par plus the absolute value of its return.
Investors will be exposed to any basket decline beyond 13.6%.
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: | $14,987,600
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Maturity: | Nov. 21, 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 35%; if basket falls by up to 13.6%, 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: | 4,382.47 for Stoxx, 7,453.75 for FTSE, 33,486.89 for Nikkei, 10,854.32 for Swiss, 7,087.334 for S&P/ASX, 11,260.32 for FTSE China 50
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Buffer level: | 86.4% of initial level
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Pricing date: | Nov. 30
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Settlement date: | Dec. 7
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Underwriter: | BofA Securities, Inc.
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Fees: | 2%
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Cusip: | 06418G214
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