By Wendy Van Sickle
Columbus, Ohio, Dec. 27 – Bank of Nova Scotia priced $7.39 million of 0% autocallable market-linked step-up notes due Dec. 30, 2021 linked to an equity basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the MSCI EAFE index with a 50% weight and the Russell 2000 index with a 50% weight.
The notes will be called at par plus 6.5% a year if the basket closes above its initial level on any annual observation date.
If the final basket level is greater than or equal to the step-up value, 125% of the initial value, the payout at maturity will be par of $10 plus the basket return.
If the final basket level is greater than or equal to the initial level but less than the step-up value, the payout will be par plus the 25% step-up payment.
Investors will receive par if the basket falls by up to 10% and will lose 1% for every 1% basket decline beyond 10%.
BofA Merrill Lynch 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: | Russell 2000 index (50% weight), MSCI EAFE index (50% weight)
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| Amount: | $7,391,730
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| Maturity: | Dec. 30, 2021
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| Coupon: | 0%
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| Price: | Par of $10
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| Call: | At par plus 6.5% a year if basket closes above initial level on an annual observation date
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| Payout at maturity: | If the final basket level is greater than or equal to 125% of the initial value, par plus the basket return; if the final basket level is greater than or equal to the initial level but less than the 125% step-up value, par plus 25%; par if basket falls by up to 10%; 1% loss for every 1% basket decline beyond 10%
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| Initial index levels: | 1,547.107 for Russell, 2,033.66 for MSCI EAFE
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| Pricing date: | Dec. 21
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| Settlement date: | Dec. 29
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| Underwriter: | BofA Merrill Lynch
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| Fees: | 2%
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| Cusip: | 064161722
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