By Wendy Van Sickle
Columbus, Ohio, Dec. 30 – Bank of Nova Scotia priced $26.67 million of autocallable market-linked step-up notes due Dec. 22, 2023 linked to a basket of three financial stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the stocks of Citigroup Inc. with an initial weight of 33%, JPMorgan Chase & Co. with an initial weight of 33.33% and Morgan Stanley with an initial weight of 33.34%.
The notes will be called at par of $10 plus an annualized call premium of 15.45% if the basket closes at or above the initial level on any annual observation date.
If the notes are not called and the basket finishes above the step-up value, 145% of the initial level, the payout at maturity will be par plus the basket gain.
If the basket finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 45%.
BofA Securities, Inc. is the agent.
| Issuer: | Bank of Nova Scotia
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| Issue: | Autocallable market-linked step-up notes
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| Underlying basket: | Citigroup Inc. (33.33% weight), JPMorgan Chase & Co. (33.33% weight) and Morgan Stanley (33.34% weight)
|
| Amount: | $26,673,130
|
| Maturity: | Dec. 22, 2023
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| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If the basket finishes above the step-up level, par plus the basket gain; if the basket gains up to the step-up level, par plus 45%; 1% loss for each 1% decline
|
| Call: | At par plus 15.45% per year if the basket closes at or above its initial level on any annual observation date
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| Initial levels: | $60.78 for Citi, $125.07 for JPMorgan, $68.21 for Morgan Stanley
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| Step-up value: | 145% of initial level
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| Pricing date: | Dec. 23
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| Settlement date: | Dec. 31
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| Underwriter: | BofA Securities, Inc.
|
| Fees: | 2%
|
| Cusip: | 06417R179
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