Published on 1/10/2020 in the Prospect News Structured Products Daily.
New Issue: BMO sells $17.59 million autocallable cash-settled notes on S&P, Russell, two ETFs
By Sarah Lizee
Olympia, Wash., Jan. 10 – Bank of Montreal priced $17.59 million of autocallable cash-settled notes with contingent interest payments due April 14, 2021 linked to the lesser performing of the S&P 500 index, the Russell 2000 index, the iShares MSCI Emerging Markets exchange-traded fund and the VanEck Vectors Gold Miners ETF, according to a 424B2 filing with the Securities and Exchange Commission.
An annualized coupon of 11% will be paid if each underlying closes above its 65% coupon barrier level on any monthly valuation date.
The notes will be called at par plus the interest payment due if each underlying closes above its initial level on any monthly call date beginning July 9.
The payout at maturity will be par unless any underlying finishes below its initial level and any asset ever closes below its 65% trigger level any day during the life of the notes, in which case investors will be fully exposed to any losses of the least performing underlying.
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, the Russell 2000 index, the iShares MSCI Emerging Markets exchange-traded fund and the VanEck Vectors Gold Miners ETF
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Amount: | $17,593,000
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Maturity: | April 14, 2021
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Coupon: | 11% annual rate, paid if each underlying closes above 65% coupon barrier level on any monthly valuation date
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Price: | Par
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Payout at maturity: | Par unless any underlying finishes below initial level and any asset closes below trigger level during life of notes, in which case investors will be fully exposed to any losses of the least-performing asset
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Call: | At par if each asset closes above initial level on any monthly call date beginning July 9
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Initial levels: | 3,274.70 for S&P, 1,664.988 for Russell, $45.35 for EM and $28.04 for VanEck
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Coupon/trigger levels: | 2,128.56 for S&P, 1,082.242 for Russell, $29.48 for EM and $18.23 for VanEck, 65% of initial levels
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Pricing date: | Jan. 9
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Settlement date: | Jan. 14
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Agent: | BMO Capital Markets Corp.
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Fees: | 0.25%
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Cusip: | 06367WUM3
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