Published on 7/26/2018 in the Prospect News Structured Products Daily.
New Issue: BMO prices $560,000 11% cash-settled autocalls on S&P, Russell, Stoxx
By Susanna Moon
Chicago, July 26 – Bank of Montreal priced $560,000 of autocallable cash-settled notes with conditional interest payments due Oct. 28, 2019 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 11% if each underlying asset closes at or above its 90% coupon barrier level on the observation date for that quarter.
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 90% trigger level, 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 conditional interest payments
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| Underlying assets: | S&P 500 index, Russell 2000 index, Euro Stoxx 50 index
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| Amount: | $560,000
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| Maturity: | Oct. 28, 2019
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| Coupon: | 11% annualized, payable quarterly if each asset closes at or above its 90% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below its 90% trigger level, in which case full exposure to any losses of worst performing index
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| Call: | At par plus coupon if each asset closes at or above its initial level on any call date
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| Initial levels: | 2,820.40 for S&P, 1,680.195 for Russell and 3,483.31 for Stoxx
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| Trigger levels: | 90% of initial levels
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| Pricing date: | July 24
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| Settlement date: | July 27
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 2.375%
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| Cusip: | 06367WAF0
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