By William Gullotti
Buffalo, N.Y., Oct. 18 – Bank of Nova Scotia priced $3.94 million of trigger autocallable contingent yield notes due Oct. 19, 2027 linked to the least performing of the SPDR S&P MidCap 400 ETF Trust and the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.55% if each ETF closes at or above its coupon barrier, 70% of its initial level, on the relevant observation date.
The notes will be called at par of $10 plus the contingent coupon if each ETF closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon if each ETF finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above the downside threshold level, 60% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% loss of the worst performer from its initial level.
UBS Financial Services Inc. and Scotia Capital (USA) Inc. are the agents.
| Issuer: | Bank of Nova Scotia
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| Issue: | Trigger autocallable contingent yield notes
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| Underlying funds: | SPDR S&P MidCap 400 ETF Trust, SPDR S&P 500 ETF Trust
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| Amount: | $3,941,000
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| Maturity: | Oct. 19, 2027
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| Coupon: | 9.55% annual rate, payable quarterly if each ETF closes at or above coupon barrier on quarterly observation date
|
| Price: | Par of $10
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| Payout at maturity: | Par plus the final coupon if each ETF finishes at or above coupon barrier; if worst performer finishes below coupon barrier but at or above downside threshold, par; otherwise, 1% loss for each 1% decline of worse performing ETF
|
| Call: | At par plus coupon if each ETF closes at or above initial level on any quarterly observation date after six months
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| Initial ETF levels: | $357.63 for S&P 500 ETF, $409.49 for MidCap 400 ETF
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| Coupon barrier levels: | $250.34 for S&P 500 ETF, $286.64 for MidCap 400 ETF; 70% of initial levels
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| Downside thresholds: | $214.58 for S&P 500 ETF, $245.69 for MidCap 400 ETF; 60% of initial levels
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| Pricing date: | Oct. 14
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| Settlement date: | Oct. 19
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| Agents: | UBS Financial Services Inc. and Scotia Capital (USA) Inc.
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| Fees: | 2.25%
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| Cusip: | 06417U560
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