Scotia plans market-linked step-up autocalls on financial stocks basket

By Emma Trincal

New York, March 16 – Bank of Nova Scotia plans to price 0% autocallable market-linked step-up notes due April 2024, linked to a basket of three financial stocks, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the common stocks of Citigroup Inc., JPMorgan Chase & Co. and Morgan Stanley, each with a weight of 33.33%.

The notes will be called at par of $10 plus an annualized call premium of 14% to 15% if the basket closes at or above the initial level on any annual observation date. The exact call premium will be determined at pricing.

If the basket finishes above the step-up level – 145% of the initial level – the payout at maturity will be par of $10 plus the basket gain.

If the index is unchanged or gains by up to the step-up level, the payout will be par plus the step-up payment of 45%.

Investors will lose 1% for each 1% decline.

BofA Securities Inc. is the agent.

The notes will price in March and settle in April.

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