Published on 3/18/2022 in the Prospect News Structured Products Daily.
New Issue: Scotia prices $8.39 million of trigger autocallable contingent yield notes on Russell, S&P
By William Gullotti
Buffalo, N.Y., March 18 – Bank of Nova Scotia priced $8.39 million of trigger autocallable contingent yield notes due March 12, 2027 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.7% if each index closes at or above its coupon barrier, 70% of its initial level, on the relevant observation date.
The notes will be called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon if each index finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above the downside threshold level, 60% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% loss of the worst performer from its initial level.
UBS Financial Services Inc. and Scotia Capital (USA) Inc. are the agents.
Issuer: | Bank of Nova Scotia
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Issue: | Trigger autocallable contingent yield notes
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Underlying indexes: | S&P 500 index, Russell 2000 index
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Amount: | $8,387,750
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Maturity: | March 12, 2027
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Coupon: | 9.7% annual rate, payable quarterly if each index closes at or above coupon barrier on quarterly observation date
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Price: | Par of $10
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Payout at maturity: | Par plus the final coupon if each index finishes at or above coupon barrier; if worst performer finishes below coupon barrier but at or above downside threshold, par; otherwise, 1% loss for each 1% decline of worse performing index
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Call: | At par plus coupon if both indexes close at or above initial levels on any quarterly observation date after six months
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Initial index levels: | 4,277.88 for S&P, 2,016.291 for Russell
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Coupon barrier levels: | 2,994.52 for S&P, 1,411.404 for Russell; 70% of initial levels
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Downside thresholds: | 2,566.73 for S&P, 1,209.775 for Russell; 60% of initial levels
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Strike date: | March 9
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Pricing date: | March 15
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Settlement date: | March 18
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Agents: | UBS Financial Services Inc. and Scotia Capital (USA) Inc.
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Fees: | None
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Cusip: | 06417U115
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