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Published on 11/1/2021 in the Prospect News Structured Products Daily.

New Issue: Scotiabank sells $31.59 million autocallable market-linked step-up notes on S&P 500

By Marisa Wong

Los Angeles, Nov. 1 – Bank of Nova Scotia priced $31.59 million of 0% autocallable market-linked step-up notes due Oct. 29, 2027 linked to the S&P 500 index, according to a 424B2 with the Securities and Exchange Commission.

Scotiabank is selling 3,160,812 units with a face amount of $10 each, or a total principal amount of $31,608,120, for a total price of $31,592,636.70. An individual investor will purchase 309,666 units at $9.95 per unit; the remainder will be sold to the public at par.

The notes will be called at par plus a call premium of 4.75% per year if the index closes at or above its initial level on any annual observation date.

If the index finishes above the step-up value, 130% 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 30%.

If the index falls by up to 15%, the payout will be par. Otherwise, investors will lose 1% for each 1% decline of the index beyond 15%.

BofA Securities, Inc. is the agent.

Issuer:Bank of Nova Scotia
Issue:Autocallable market-linked step-up notes
Underlying index:S&P 500
Amount:$31,608,120 (3,160,812 units)
Proceeds:$31,592,636.70
Maturity:Oct. 29, 2027
Coupon:0%
Price:$9.95 for 309,666 units; par of $10 for remainder
Payout at maturity:If the index finishes above the step-up level, par plus the index gain; if the index finishes flat or gains up to the step-up level, par plus 30%; par if index falls by up to 15%; otherwise, 1% loss for each 1% index decline beyond 15%
Call:At par plus 4.75% per year if the index closes at or above its initial level on any annual observation date
Initial level:4,596.42
Step-up value:5,975.35, 130% of initial level
Threshold value:3,906.96, 85% of initial level
Pricing date:Oct. 28
Settlement date:Nov. 4
Agent:BofA Securities, Inc.
Fees:2%
Cusip:06417X648

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