Published on 6/20/2017 in the Prospect News Structured Products Daily.
New Issue: BMO sells $2.1 million cash-settled autocallables tied to indexes, fund
By Susanna Moon
Chicago, June 20 – Bank of Montreal priced $2.1 million of autocallable cash-settled notes with conditional interest payments due Sept. 6, 2018 linked to the least performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 10.8% if each underlying component closes at or above its 70% coupon barrier on any observation date for that month.
The notes will be called at par if each component closes above its initial level on any review date.
The payout at maturity will be par unless any component finishes below its 70% trigger level, in which case investors be fully exposed to any losses of the worst performing component.
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 assets: | the least performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF
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| Amount: | $2,095,000
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| Maturity: | Sept. 6, 2018
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| Coupon: | 10.8%, payable monthly, if each component closes above coupon barrier on observation date for that month
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| Price: | Par
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| Payout at maturity: | Par unless any component falls below trigger, in which case full exposure to any losses of worst performing component
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| Call: | At par if each fund closes above initial level on any call date beginning Dec. 1, 2017
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| Initial levels: | 2,430.06 for S&P, 1,396.06 for Russell and $41.55 for fund
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| Trigger levels: | 1,701.04 for S&P, 977.24 for Russell and $29.09 for fund, 70% of initial levels
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| Pricing date: | June 1
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| Settlement date: | June 6
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.25%
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| Cusip: | 06367TXL9
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