Scotiabank plans to price autocallable market-linked step-up notes on S&P 500

By Emma Trincal

New York, Oct. 20 – Bank of Nova Scotia plans to price 0% autocallable market-linked step-up notes due October 2028 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of 8.5% to 9.5% per annum if the index closes at or above its initial level on any annual observation date. The exact call premium will be set at pricing.

If the index finishes above the step-up value, 150% of the initial level, the payout at maturity will be par plus the index gain.

If the index finishes flat or gains by up to the step-up level, the payout will be par plus the step-up payment of 50%.

If the index declines no more than 15%, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the index below 15%.

BofA Securities, Inc. is the agent.

The notes will price in October and settle in November.

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