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

By Marisa Wong

Morgantown, W.Va., Aug. 26 – Bank of Nova Scotia plans to price 0% autocallable market-linked step-up notes due September 2022 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par of $10 plus a call premium of 6% to 7% a year if the index closes at or above the initial index level on any annual observation date.

If the notes are not called and the final index level is greater than the step-up value, 135% of the initial index level, the payout at maturity will be par plus the index return.

If the final index level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 35%.

If the index falls by up to 15%, the payout will be par.

If the index falls by more than 15%, investors will lose 1% for every 1% decline beyond 15%.

BofA Merrill Lynch is the agent.

The notes will price and settle in September.

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