By Marisa Wong
Morgantown, W.Va., March 21 – Bank of Nova Scotia priced $17.62 million of 0% autocallable market-linked step-up notes due March 31, 2023 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index closes at or above its initial level on an annual observation date, the notes will be called at par plus a premium of 6.6% a year.
If the index finishes above the step-up level – 135% of the initial level – the payout at maturity will be par of $10 plus the index gain.
If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 35%.
If the index falls by up to 15%, the payout will be par. Investors will be exposed to any losses beyond 15%.
BofA Merrill Lynch is the agent.
| Issuer: | Bank of Nova Scotia
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | Russell 2000
|
| Amount: | $17,616,820
|
| Maturity: | March 31, 2023
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Call: | At par plus 6.6% a year premium if index closes at or above initial level on an annual observation date
|
| Payout at maturity: | If the index finishes above the step-up level, par plus the index gain; if the index gains up to the step-up level, par plus 35%; par if index falls by up to 15%; exposure to any losses beyond 15%
|
| Initial level: | 1,576.618
|
| Step-up value: | 2,128.434, 135% of initial level
|
| Threshold value: | 1,340.125, 85% of initial level
|
| Pricing date: | March 15
|
| Settlement date: | March 22
|
| Underwriter: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 064161599
|
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