Scotiabank plans market-linked step-up notes linked to index basket

Chicago, May 28 – Bank of Nova Scotia plans to price 0% market-linked step-up notes with absolute return buffer due May 2023 linked to a basket of indexes, according to an FWP filed with the Securities and Exchange Commission.

The basket includes the Dow Jones industrial average with an initial weight of 50%, the Euro Stoxx 50 index with an initial weight of 20%, each of the FTSE 100 index and the Nikkei Stock Average index with an initial weight of 10%, each of the Swiss Market index and the S&P/ASX 200 index with an initial weight of 3.75% and the Hang Seng index with an initial weight of 2.5%.

If the basket finishes at or above the step-up value – 126% to 132% of the initial level – the payout at maturity will be par of $10 plus the basket gain. The exact step-up value will be set at pricing.

If the basket is unchanged or gains by up to the step-up level, the payout will be par plus the step-up payment of 26% to 32%.

The payout will be par plus the absolute value of the return if the basket declines by up to 10%. Investors will be exposed to any decline in the basket beyond 10%.

BofA Securities is the agent.

The notes will price in May and settle in June.

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