Published on 4/17/2020 in the Prospect News Structured Products Daily.
New Issue: BMO sells $443,000 8.5% cash-settled autocalls tied to S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, April 17 – Bank of Montreal priced $443,000 of autocallable cash-settled notes with conditional interest payments due May 20, 2021 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 8.5% if each underlying index closes at or above its 75% coupon barrier level on the observation date for that month.
The notes will be called at par if each index closes at or above its initial level on any monthly review date after six months.
The payout at maturity will be par unless either index finishes below its 75% trigger level, in which case investors be fully exposed to the losses of the worse performing index.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Autocallable cash-settled notes with conditional interest payments
|
| Underlying indexes: | S&P 500 index, Russell 2000 index
|
| Amount: | $443,000
|
| Maturity: | May 20, 2021
|
| Coupon: | 8.5% annualized, payable monthly if each index closes at or above coupon barrier on observation date for that month
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below its trigger level, in which case full exposure to losses of worst performing index
|
| Call: | At par plus coupon if each index closes at or above its initial level on any monthly call date beginning Oct. 15
|
| Initial index levels: | 2,783.36 for S&P and 1,183.977 for Russell
|
| Coupon barriers: | 2,087.52 for S&P and 887.983 for Russell, 75% of initial levels
|
| Trigger levels: | 2,087.52 for S&P and 887.983 for Russell, 75% of initial levels
|
| Pricing date: | April 15
|
| Settlement date: | April 20
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | 2.15%
|
| Cusip: | 06367WYW7
|
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