Published on 6/2/2023 in the Prospect News Structured Products Daily.
New Issue: Scotia prices $5.08 million contingent income autocalls on sector ETFs
New York, April 25 – Bank of Nova Scotia priced $5.08 million of contingent income autocallable securities due June 4, 2025 linked to the worst performing of the Consumer Staples Select Sector SPDR fund, the Utilities Select Sector SPDR fund and the Health Care Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a coupon of 10%, paid quarterly, if each underlying fund closes at or above its 75% coupon threshold on the related quarterly observation date.
The securities will be called automatically at par if each ETF closes at or above its initial level on any quarterly call determination date.
At maturity, the payout will be par unless the worst performing ETF finishes below its 75% downside threshold level, in which case investors will be fully exposed to the decline of that ETF.
Scotia Capital (USA) Inc. and Morgan Stanley & Co. LLC are the agents.
| Issuer: | Bank of Nova Scotia
|
| Issue: | Contingent income autocallable securities
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| Underlying ETFs: | Consumer Staples Select Sector SPDR fund, Utilities Select Sector SPDR fund and Health Care Select Sector SPDR fund
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| Amount: | $5,079,000
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| Maturity: | June 4, 2025
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| Coupon: | 10% annual rate, paid quarterly, if each underlying fund closes at or above its 75% coupon threshold on the related quarterly observation date
|
| Price: | Par
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| Payout at maturity: | Par unless the worst performing ETF finishes below its downside threshold level, in which case investors will be fully exposed to the decline of that ETF
|
| Call: | Automatically at par if each ETF closes at or above its initial level on any quarterly call determination date
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| Initial levels: | $72.59 for consumer, $64.34 for utilities, $126.74 for health
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| Coupon thresholds: | $54.4425 for consumer, $48.255 for utilities, $95.055 for health; 75% of initial levels
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| Downside thresholds: | $54.4425 for consumer, $48.255 for utilities, $95.055 for health; 75% of initial levels
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| Pricing date: | May 30
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| Settlement date: | June 2
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| Agents: | Scotia Capital (USA) Inc. and Morgan Stanley & Co. LLC
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| Fees: | 2.25%
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| Cusip: | 06417YJR1
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