Chicago, May 3 – Bank of Nova Scotia priced $10 million of 0% autocallable contingent coupon buffer notes with memory coupon due May 3, 2024 linked to the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 12.15% if the ETF closes at or above its coupon barrier, 85% of its initial level, on the related observation date. Previously unpaid coupons will also be paid.
The notes will be called at par plus the coupon if the ETF closes at or above its initial level on any monthly observation date prior to the final valuation date.
The payout at maturity will be par plus the coupon unless the ETF finishes below the 85% buffer, in which case investors will lose 1.1765% for each 1% decline of the ETF beyond the 15% buffer.
Scotia Capital (USA) Inc. is the agent. J.P. Morgan Securities LLC is the placement agent.
Issuer: | Bank of Nova Scotia
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Issue: | Autocallable contingent coupon buffer notes with memory coupon
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Underlying ETF: | SPDR S&P 500 ETF Trust
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Amount: | $10 million
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Maturity: | May 3, 2024
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Coupon: | 12.15% annual rate, payable each month that the ETF closes at or above coupon barrier on observation date for that period; previously unpaid coupons will also be paid
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Price: | Par
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Payout at maturity: | Par plus coupon if ETF closes above buffer; otherwise, 1.1765% for each 1% decline of ETF beyond buffer
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Call: | At par plus coupon if the ETF closes at or above initial level on any monthly observation date prior to final valuation date
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Initial level: | $404.36
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Coupon barrier level: | $343.71, 85% of initial level
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Buffer level: | $343.71, 85% of initial level
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Strike date: | April 26
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Pricing date: | April 27
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Settlement date: | May 2
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Agent: | Scotia Capital (USA) Inc.
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Placement agent: | J.P. Morgan Securities LLC
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Fees: | 0.1%
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Cusip: | 06417YHS1
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