Published on 6/28/2022 in the Prospect News Structured Products Daily.
New Issue: Scotiabank sells $2.06 million autocallable market-linked step-up notes on index basket
By William Gullotti
Buffalo, N.Y., June 28 – Bank of Nova Scotia priced $2.06 million of 0% autocallable market-linked step-up notes due June 26, 2025 tied to a weighted basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei Stock Average index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the FTSE China 50 index with a 5% weight.
The notes will be called at par of $10 plus an annualized premium of 13.7% if the basket's closing level is greater than or equal to the initial level on either of two annual observation dates.
If the basket finishes above the step-up value, 130% of the initial value, the payout at maturity will be par plus the basket return.
If the basket return is zero or positive but the basket finishes at or below the step-up value, the payout will be par plus the step-up payment of 30%.
Investors will be fully exposed to any decline of the basket.
BofA Securities, Inc. is the underwriter.
| Issuer: | Bank of Nova Scotia
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| Issue: | Autocallable market-linked step-up notes
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| Underlying indexes: | Euro Stoxx 50 index (40% weight), FTSE 100 index (20% weight), Nikkei Stock Average index (20% weight), Swiss Market index (7.5% weight), S&P/ASX 200 index (7.5% weight), FTSE China 50 index (5% weight)
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| Amount: | $2,055,620
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| Maturity: | June 26, 2025
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If basket finishes above step-up value, par plus basket return; if basket stays flat or gains but finishes at or below step-up value, par plus 30%; full exposure to any basket decline
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| Call: | Automatically at par plus a call premium of 13.7% per year if the basket's closing level is greater than or equal to the initial level on either of two annual observation dates
|
| Initial levels: | 3,436.29 for Stoxx, 7,020.45 for FTSE, 26,171.25 for Nikkei, 10,453.31 for Swiss, 6,528.445 for S&P/ASX, 14,867.52 for FTSE China
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| Step-up value: | 130% of initial value
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| Pricing date: | June 23
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| Settlement date: | June 30
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| Underwriter: | BofA Securities, Inc.
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| Fees: | 2%
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| Cusip: | 06418B728
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