BMO eyes autocallable cash-settled notes on Nasdaq 100, Russell 2000

By Wendy Van Sickle

Columbus, Ohio, Dec. 17 – Bank of Montreal intends to price autocallable cash-settled notes with contingent interest payments due Jan. 31, 2020 linked to the lesser performing of the Nasdaq 100 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable monthly at an annual rate of 9.5% if each index closes above its coupon barrier, 75% of its initial level, on the observation date for that month.

The notes will be called at par plus the coupon if each index finishes above its initial level on any monthly call date beginning on June 21, 2019.

The payout at maturity will be par plus the coupon due unless either index finishes below its initial level and either index drops below the 75% trigger level during the life of the notes, in which case investors will lose 1% for each 1% decline of the worst performing index from its initial level.

BMO Capital Markets Corp. is the agent.

The notes (Cusip: 06367WFB4) will price on Dec. 27 and settle on Dec. 31.

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