Chicago, Feb. 27 – Bank of Nova Scotia priced $925,000 of contingent income autocallable securities due May 25, 2023 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The securities will pay a contingent quarterly coupon at an annualized rate of 11.4% if the underlying index closes at or above the 75% downside threshold on the related observation date. Previously unpaid coupons will also be paid.
If the underlying index closes at or above its initial level on any of the quarterly determination dates, the securities will be redeemed at par plus the contingent coupon.
If the underlying index finishes at or above the 75% downside threshold, the payout at maturity will be par plus the final coupon. Otherwise, investors will be fully exposed to the losses of the index.
Scotia Capital (USA) Inc. is the agent with J.P. Morgan Securities LLC listed as the placement agent.
| Issuer: | Bank of Nova Scotia
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| Issue: | Contingent income autocallable securities
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| Underlying index: | S&P 500 index
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| Amount: | $925,000
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| Maturity: | May 25, 2023
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| Coupon: | 11.4% annualized, payable quarterly if the underlying index closes at or above downside threshold on the relevant observation date; previously unpaid coupons will also be paid
|
| Price: | Par
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| Payout at maturity: | Par plus contingent coupon if underlying index finishes at or above downside threshold; otherwise, full exposure to losses of index
|
| Call: | At par plus contingent coupon if underlying index closes at or above initial level on any quarterly determination date
|
| Initial level: | 3,991.24
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| Downside threshold: | 2,993.43; 75% of initial level
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| Strike date: | May 9, 2022
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| Pricing date: | May 10, 2022
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| Settlement date: | May 13, 2022
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| Agent: | Scotia Capital (USA) Inc. with J.P. Morgan Securities LLC as placement agent
|
| Fees: | 1%
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| Cusip: | 06416DAZ9
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