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

By Marisa Wong

Morgantown, W.Va., June 28 – Bank of Nova Scotia plans to price 0% market-linked step-up notes due June 2019 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index finishes at or above the step-up value – 109% to 115% of the initial level – the payout at maturity will be par of $10 plus the index gain.

If the index is unchanged or gains by up to the step-up level, the payout will be par plus the step-up payment of 9% to 15%.

Investors will lose 1% for each 1% index decline.

BofA Merrill Lynch is the agent.

The notes will price in June and settle in July.

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