Published on 6/10/2021 in the Prospect News Structured Products Daily.
New Issue: Scotia sells $16.65 million contingent market-linked autocalls on Euro Stoxx, Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, June 10 – Bank of Nova Scotia priced $16.65 million of market-linked securities due June 9, 2025 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.05% if each index closes at or above its 75% coupon threshold on the observation date for that period.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any index finishes below its 75% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Scotia Capital (USA) Inc. is the agent with Wells Fargo Securities, LLC acting as the agent for distribution.
| Issuer: | Bank of Nova Scotia
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $16,649,000
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| Maturity: | June 9, 2025
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| Coupon: | 8.05% annualized, payable quarterly if each index closes at or above coupon threshold on observation date for that period
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| Price: | Par
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| Payout at maturity: | Par unless any index falls by more than 25%, in which case 1% loss per 1% decline of worst performing index
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| Call: | At par if each index closes at or above its initial level on any interest payment date after six months
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| Initial levels: | 4,229.89 for S&P, 2,286.412 for Russell, 4,089.38 for Euro Stoxx
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| Coupon thresholds: | 3,172.4175 for S&P, 1,714.809 for Russell, 3,067.035 for Euro Stoxx; 75% of initial levels
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| Downside thresholds: | 3,172.4175 for S&P, 1,714.809 for Russell, 3,067.035 for Euro Stoxx; 75% of initial levels
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| Pricing date: | June 4
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| Settlement date: | June 9
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| Agent: | Scotia Capital (USA) Inc. with Wells Fargo Securities, LLC as agent for distribution
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| Fees: | 2.025%
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| Cusip: | 064159X50
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