Published on 5/8/2020 in the Prospect News Structured Products Daily.
New Issue: BMO sells $500,000 autocallable cash-settled notes on SPDR Dow ETF, Russell
By Kiku Steinfeld
Chicago, May 8 – Bank of Montreal priced $500,000 of autocallable cash-settled notes with contingent interest payments due April 23, 2030 linked to the lesser performing of the SPDR Dow Jones industrial average exchange-traded fund 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 8.3% if each asset closes at or above its 65% coupon barrier level on any observation date for that month.
The notes will be called at par plus the coupon if each asset closes above its initial level on any monthly call date after one year.
If the notes are not called, the payout at maturity will be par plus any final coupon unless either asset finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the lesser-performing asset.
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: | Russell 2000 index, SPDR Dow Jones industrial average ETF
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| Amount: | $500,000
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| Maturity: | April 23, 2030
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| Coupon: | 8.3% payable monthly if each asset closes above coupon barrier on observation date for that month
|
| Price: | Par
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| Payout at maturity: | Par plus any coupon unless either asset finishes below its trigger level, in which case full exposure to any losses of lesser-performing asset
|
| Call: | At par plus coupon if each asset closes above its initial level on any call date after one year
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| Initial levels: | $237.83 for ETF, 1,233.053 for Russell
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| Coupon barriers: | $154.59 ETF, 801.484 for Russell; 65% of initial levels
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| Triggers: | $142.70 for ETF, 739.832 for Russell; 60% of initial levels
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| Pricing date: | April 24
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| Settlement date: | April 29
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 4%
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| Cusip: | 06367WB77
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