Published on 8/2/2016 in the Prospect News Structured Products Daily.
New Issue: BMO prices $6,000 autocallable cash-settled notes on S&P 500, iShares EM fund
By Tali Rackner
Norfolk, Va., Aug. 2 – Bank of Montreal priced $6,000 autocallable cash-settled notes with conditional interest payments due July 31, 2017 linked to the lesser performing of the S&P 500 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will be payable monthly at an annualized rate of 7.2% if each underlying asset 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 underlying asset finishes above the 110% call level on any monthly call date beginning Feb. 23, 2017.
The payout at maturity will be par plus the coupon due unless either component finishes below its initial level and either of the components dropped below the 75% trigger level during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing component.
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 and iShares MSCI Emerging Markets ETF
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| Amount: | $6,000
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| Maturity: | July 31, 2017
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| Coupon: | 7.2%, payable monthly if each asset closes above coupon barrier on observation date
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| Price: | Par
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| Payout at maturity: | Par unless either asset closes below 75% trigger price at any time during life of the notes and either asset finishes below initial price, in which case full exposure to decline in lesser performing asset
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| Call: | At par plus the coupon if fund closes above 110% call level on any monthly call date starting Feb. 23, 2017
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| Initial levels: | 2,169.18 for S&P 500 and $35.89 for iShares EM ETF
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| Coupon barrier/trigger: | 1,626.89 for S&P 500 and $26.92 iShares EM ETF, 75% of initial levels
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| Call levels: | 2,386.18 for S&P 500 and $39.48 iShares EM ETF, 110% of initial levels
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| Pricing date: | July 26
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| Settlement date: | July 29
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 2.1%
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| Cusip: | 06367THD5
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