Scotiabank plans equity-linked notes on S-Network Bank Loan/Limited Duration Closed-End fund index

By Toni Weeks

San Luis Obispo, Calif., March 13 - Bank of Nova Scotia plans to price 0% series A equity-linked index notes due April 21, 2016 tied to the S-Network Bank Loan/Limited Duration Closed-End Fund index, according to a 424B5 filing with the Securities and Exchange Commission.

The index is comprised of closed-end funds listed on exchanges in the United States and includes bank loan closed-end funds and other closed-end funds of short-duration fixed-income instruments. The index reflects price return rather than total return. The securities underlying the index are selected by S-Networks Global Indexes, LLC.

The notes pay a contingent coupon each month in an amount equal to the sum of distribution amounts, if any, paid by each issuer of a security underlying the index. If no distributions are made that month, the coupon will be zero.

The initial index level will be the average of the closing index levels on the 10 trading days immediately following the trade date. The final index level will be the average of the closing levels of the index during the 10 business days prior to and including the final valuation date, which will be three trading days prior to the maturity date. The notes will be sold at 102.5% of par.

The payout at maturity will be par plus the index return and the final coupon, if any. The index return will equal (i) the adjusted final level minus the initial level divided by (ii) the initial level expressed as a positive or negative percentage. The adjusted final level is equal to the excess of (i) the final level minus (ii) the index adjustment amount, which is $2.50 per $1,000 note. An index return of less than 2.75% will reduce the payout at maturity to below par.

The trade date for the notes (Cusip: 064159DU7) will be April 17, and the notes are expected to settle April 23.

Scotia Capital (USA) Inc. is the agent.

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