Published on 5/8/2018 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1.42 million 12.6% cash-settled autocalls tied to funds, indexes
By Susanna Moon
Chicago, May 8 – Bank of Montreal priced $1.42 million of autocallable cash-settled notes with conditional interest payments due Aug. 1, 2019 linked to the least performing of the S&P 500 index, the Russell 2000 index, the iShares MSCI Emerging Markets ETF and the VanEck Vectors Gold Miners ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 12.6% if each underlying asset closes at or above its 65% coupon barrier level on the observation date for that month.
The notes will be called at par if each asset closes at or above its initial level on any review date after six months.
The payout at maturity will be par unless any asset finishes below its 65% trigger level, in which case investors will be fully exposed to any losses of the worst performing index or fund.
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: | S&P 500 index, Russell 2000 index, iShares MSCI Emerging Markets ETF and VanEck Vectors Gold Miners ETF
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| Amount: | $1,424,000
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| Maturity: | Aug. 1, 2019
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| Coupon: | 12.6% annualized, payable monthly if each asset closes at or above its 65% coupon barrier on observation date for that month
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| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below its 65% trigger level, in which case full exposure to any losses of worst performing index or fund
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| Call: | At par plus coupon if each asset closes at or above its initial level on any call date beginning Oct. 29, 2018
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| Initial levels: | 2,666.94 for S&P, 1,557.895 for Russell, $46.97 for EM fund and $22.59 for gold fund
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| Trigger levels: | 65% of initial levels
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| Pricing date: | April 26
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| Settlement date: | May 1
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.25%
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| Cusip: | 06367T5H9
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