Scotiabank plans six-year market-linked step-up autocalls on S&P 500

Chicago, Nov. 30 – Bank of Nova Scotia plans to price autocallable market-linked step-up notes due December 2024 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at a call premium of 6% to 7% on the first observation date, doubling to 12% to 14% in the second year, tripling to 18% to 21% in year three, increasing to 24% to 28% in year four and finally reaching 30% to 35% in the fifth year if the notes have not been called. The exact premiums will be set at pricing.

If the index finishes at or above the step-up value – 130% 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 30%.

Otherwise, investors will lose 1% for each 1% decline beyond 15%.

BofA Merrill Lynch is the agent.

The notes will price and settle in December.

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