Published on 3/6/2020 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1.62 million autocallable cash-settled notes on Stoxx, Russell
By Sarah Lizee
Olympia, Wash., March 6 – Bank of Montreal priced $1.62 million of autocallable cash-settled notes with conditional interest payments due Feb. 28, 2030 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a conditional quarterly coupon at an annual rate of 8.05% if each index closes at or above its 75% coupon barrier level on any observation date for that quarter.
The notes will be called at par plus the coupon if each index closes above its initial level on any quarterly call date beginning on Feb. 23, 2021.
The payout at maturity will be par unless either index finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the lesser-performing index.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Autocallable cash-settled notes with conditional interest payments
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| Underlying indexes: | Russell 2000, Euro Stoxx 50
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| Amount: | $1.62 million
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| Maturity: | Feb. 28, 2030
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| Coupon: | 8.05% payable quarterly if each index closes above coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below trigger level, in which case full exposure to any losses of lesser-performing index
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| Call: | At par if each index closes above its initial level on any call date beginning on Feb. 23, 2021
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| Initial levels: | 1,552.761 for Russell, 3,577.68 for Stoxx
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| Coupon barriers: | 1,164.571 for Russell, 2,683.26 for Stoxx; 75% of initial levels
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| Trigger levels: | 931.657 for Russell, 2,146.61 for Stoxx; 60% of initial levels
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| Pricing date: | Feb. 26
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| Settlement date: | Feb. 28
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 3.6%
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| Cusip: | 06367WXG3
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