Published on 3/24/2020 in the Prospect News Structured Products Daily.
New Issue: BMO sells $5.02 million cash-settled autocallables on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, March 24 – Bank of Montreal priced $5.02 million of autocallable cash-settled notes with contingent interest payments due June 18, 2021 linked to the least performing of the S&P 500 index, Russell 2000 index, VanEck Vectors Gold Miners exchange-traded fund and Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly at an annual rate of 32.5% if each asset closes at or above its 65% coupon barrier on the related monthly observation date.
The notes will be called at par if each asset closes at or above its initial level on any monthly review date beginning Sept. 15.
The payout at maturity will be par unless any asset finishes below its initial level and any asset ever closes below its 65% trigger level on any day during the life of the notes, in which case investors be fully exposed to any losses of the least performing asset.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Autocallable cash-settled notes with contingent interest payments
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| Underlying assets: | S&P 500 index, Russell 2000 index, VanEck Vectors Gold Miners ETF, Euro Stoxx Banks index
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| Amount: | $5,018,000
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| Maturity: | June 18, 2021
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| Coupon: | 32.5%, payable each month that each asset closes at or above coupon barrier on observation date for that month
|
| Price: | Par of $1,000
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| Payout at maturity: | Par unless any asset finishes below its initial level and ever closes below the trigger level during the life of the notes, in which case full exposure to any losses of the least performing asset
|
| Call: | At par if each asset closes at or above its initial level on any monthly call date beginning Sept. 15
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| Initial levels: | 2,711.02 for S&P, 1,210.135 for Russell, $19.00 for gold ETF and 57.48 for Stoxx
|
| Coupon barriers: | 1,762.16 for S&P, 786.588 for Russell, $12.35 for gold ETF and 37.36 for Stoxx; 65% of initial levels
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| Trigger levels: | 1,762.16 for S&P, 786.588 for Russell, $12.35 for gold ETF and 37.36 for Stoxx; 65% of initial levels
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| Pricing date: | March 13
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| Settlement date: | March 18
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.25%
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| Cusip: | 06367WYN7
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