Published on 2/1/2022 in the Prospect News Structured Products Daily.
New Issue: Scotiabank prices $10.67 million autocallable market-linked step-up notes on basket
By Wendy Van Sickle
Columbus, Ohio, Feb. 1 – Bank of Nova Scotia priced $10.67 million of 0% autocallable market-linked step-up notes due Jan. 30, 2025 tied to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with an initial weight of 40%, the FTSE 100 index and the Nikkei Stock Average index each with an initial weight of 20%, the Swiss Market index and the S&P/ASX 200 index each with an initial weight of 7.5% and the FTSE China 50 index with an initial weight of 5%.
The notes will be called at par of $10 plus a premium of 10.65% per year if the basket's closing level is greater than or equal to the initial level on either of two annual observation dates.
If the basket finishes above the step-up value, 124% of the initial value, the payout at maturity will be par plus the basket return.
If the basket return is zero or positive but the basket finishes at or below the step-up value, the payout will be par plus the step-up payment of 24%.
Investors will be exposed to any decline of the basket.
BofA Securities, Inc. is the underwriter.
| Issuer: | Bank of Nova Scotia
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| Issue: | Autocallable market-linked step-up notes
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| Underlying indexes: | Euro Stoxx 50 (40% weight), FTSE 100 (20% weight), Nikkei Stock (20% weight), Swiss Market (7.5% weight), S&P/ASX 200 (7.5% weight), FTSE China 50 (5% weight)
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| Amount: | $10,674,530
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| Maturity: | Jan. 30, 2025
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If basket finishes above step-up value, par plus basket return; if basket stays flat or gains but finishes at or below step-up value, par plus 24%; exposure to decline
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| Call: | Automatically at par plus a premium of 10.65% per year if the basket's closing level is greater than or equal to the initial level on either of two annual observation dates
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| Initial levels: | 4,184.97 for Stoxx, 7,554.31 for FTSE, 26,170.3 for Nikkei, 12,176.9 for Swiss, 6,838.282 for S&P/ASX, 16,394.62 for FTSE China 50
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| Step-up value: | 124% of initial value
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| Pricing date: | Jan. 27
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| Settlement date: | Feb. 3
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| Underwriter: | BofA Securities, Inc.
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| Fees: | 2%
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| Cusip: | 06417X465
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