New Issue: Scotia sells $1.27 million contingent market-linked autocalls on three indexes

By William Gullotti

Buffalo, N.Y., Sept. 20 – Bank of Nova Scotia priced $1.27 million of market-linked securities due Dec. 30, 2022 – autocallable with contingent coupon and contingent downside linked to the least performing of the Dow Jones industrial average, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent monthly coupon at an annual rate of 6% if each index closes at or above its 70% coupon threshold on the observation date for that period.

The notes will be called at par plus the coupon if each index closes at or above its initial level on any monthly observation date after six months.

The payout at maturity will be par plus the final coupon unless any index finishes below its 70% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.

Scotia Capital (USA) Inc. is the agent with Wells Fargo Securities, LLC acting as the agent for distribution.

Issuer:	Bank of Nova Scotia
Issue:	Market linked securities – autocallable with contingent coupon and contingent downside
Underlying indexes:	Dow Jones industrial average, Russell 2000 index, Nasdaq-100
Amount:	$1,269,000
Maturity:	Dec. 30, 2022
Coupon:	6% annualized, payable monthly if each index closes at or above coupon threshold on observation date for that period
Price:	Par
Payout at maturity:	Par plus final coupon unless any index falls by more than 30%, in which case 1% loss per 1% decline of worst performing index
Call:	At par plus coupon if each index closes at or above its initial level on any interest payment date after six months
Initial levels:	34,292.29 for Dow, 2,308.837 for Russell, 14,572.75 for Nasdaq
Coupon thresholds:	24,004.603 for Dow, 1,616.1859 for Russell, 10,200.925 for Nasdaq; 70% of initial levels
Downside thresholds:	24,004.603 for Dow, 1,616.1859 for Russell, 10,200.925 for Nasdaq; 70% of initial levels
Pricing date:	June 29
Settlement date:	July 2
Agent:	Scotia Capital (USA) Inc. with Wells Fargo Securities, LLC as agent for distribution
Fees:	1.525%
Cusip:	064159W69

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