Published on 3/13/2020 in the Prospect News Structured Products Daily.
New Issue: BMO prices $1 million 12.13% cash-settled autocalls tied to Nasdaq, Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, March 13 – Bank of Montreal priced $1 million of 12.13% autocallable cash-settled notes with fixed interest payments due March 15, 2021 linked to the lesser performing of the Russell 2000 index, the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par if each index closes at or above its initial level on any quarterly call date starting Sept. 10.
The payout at maturity will be par unless any index finishes below its initial level and any index ever closes below its 60% trigger level during the life of the notes, in which case investors be fully exposed to any losses of the worst performing index.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Autocallable cash-settled notes with fixed interest payments
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| Underlying indexes: | Nasdaq-100 index, Russell 2000 index, S&P 500 index
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| Amount: | $1 million
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| Maturity: | March 15, 2021
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| Coupon: | 12.13 annualized, payable monthly
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below initial level and any index ever closes below 60% trigger level, in which case investors will be fully exposed to any losses of worst performing index
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| Call: | At par plus coupon if each asset closes at or above initial level on any quarterly call date starting Sept. 10
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| Initial levels: | 1,350.898 for Russell, 8,372.266 for Nasdaq, 2,882.23 for S&P
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| Trigger levels: | 810.539 for Russell, 5,023.36 for Nasdaq, 1,729.34 for S&P, 60% of initial levels
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| Pricing date: | March 10
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| Settlement date: | March 13
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.25%
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| Cusip: | 06367WYJ6
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