By William Gullotti
Buffalo, N.Y., April 19 – Bank of Montreal priced $1.1 million of autocallable barrier notes with contingent coupons due April 18, 2024 linked to the iShares Russell 2000 ETF and the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon equal to 8.5% per year if each ETF’s closing level is at least 60% of its initial level on the corresponding observation date.
The notes will be automatically redeemed at par plus the contingent coupon if each ETF closes above its initial level on any quarterly observation date.
If the notes have not been called and each ETF finishes at or above its 60% trigger level, the payout at maturity will be par plus the final coupon. Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Autocallable barrier notes with contingent coupons
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| Underlying funds: | iShares Russell 2000 ETF, SPDR S&P 500 ETF Trust
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| Amount: | $1.1 million
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| Maturity: | April 18, 2024
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| Coupon: | 8.5% per year, payable quarterly if each ETF’s closing level is at or above its coupon barrier level on the relevant observation date
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| Price: | Par
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| Payout at maturity: | If each ETF finishes at or above trigger level, par plus final coupon; otherwise, 1% loss for each 1% decline of the worst performer from initial level
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| Call: | At par plus contingent coupon if all ETFs close at or above initial levels on any quarterly observation date
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| Initial levels: | $198.96 for iShares, $437.79 for SPDR
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| Coupon barrier levels: | $119.38 for iShares, $262.67 for SPDR; 60% of initial levels
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| Trigger levels: | $119.38 for iShares, $262.67 for SPDR; 60% of initial levels
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| Pricing date: | April 14
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| Settlement date: | April 20
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.5%
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| Cusip: | 06368GQS9
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