By William Gullotti
Buffalo, N.Y., July 11 – Bank of Nova Scotia priced $5 million of autocallable contingent coupon buffer notes with memory coupon due July 9, 2024 linked to 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 a 10.34% annualized rate if the ETF closes at or above the buffer level, 90% of the initial level, on the relevant review date. Previously unpaid coupons, if any, will be automatically included whenever a contingent coupon is paid.
If the ETF closes at or above the initial level on any quarterly review date other than the final, the notes will be called at par plus the contingent coupon and any previously unpaid contingent coupons.
If the notes are not called and the ETF finishes at or above the 90% buffer level, the payout at maturity will be par plus all unpaid coupons. Otherwise, investors will lose 1.1111% for every 1% decline beyond 10%.
Scotia Capital (USA) Inc. is the agent with J.P. Morgan Securities LLC as placement agent.
| Issuer: | Bank of Nova Scotia
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| Issue: | Autocallable contingent coupon buffer notes with memory coupon
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| Underlying fund: | SPDR S&P 500 ETF Trust
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| Amount: | $5 million
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| Maturity: | July 9, 2024
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| Coupon: | 10.34% per year, payable quarterly if the ETF closes at or above its buffer level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons
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| Price: | Par
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| Payout at maturity: | If the ETF finishes at or above buffer level, par plus all unpaid coupons; otherwise, investors will lose 1.1111% for every 1% decline beyond 10%
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| Call: | Automatically at par plus coupon if the ETF closes at or above initial level on any quarterly review date other than the final one
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| Initial ETF level: | $443.28
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| Buffer level: | $398.95; 90% of initial level
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| Strike date: | June 30
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| Pricing date: | July 3
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| Settlement date: | July 7
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| Agent: | Scotia Capital (USA) Inc.
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| Placement agent: | J.P. Morgan Securities LLC
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| Fees: | 0.1%
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| Cusip: | 06417YLG2
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