Published on 3/6/2018 in the Prospect News Structured Products Daily.
New Issue: BMO prices $1.35 million 14.4% cash-settled autocalls on indexes, funds
By Susanna Moon
Chicago, March 6 – Bank of Montreal priced $1.35 million of autocallable cash-settled notes with conditional interest payments due May 20, 2019 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, the VanEck Vectors Gold Miners ETF and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly at an annual rate of 14.4% if each underlying component closes at or above its 65% coupon barrier level on the observation date for that month.
The notes will be called at par if each component closes at or above its initial level on any review date after six months.
The payout at maturity will be par unless any component finishes below its initial level and ever closes below its 65% trigger level during the life of the notes, in which case investors be fully exposed to any losses of the worst performing index or fund.
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, Euro Stoxx 50 index, VanEck Vectors Gold Miners ETF and iShares MSCI Emerging Markets ETF
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| Amount: | $1.35 million
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| Maturity: | May 20, 2019
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| Coupon: | 14.4% annualized, payable monthly if each component closes at or above its 65% coupon barrier on observation date for that month
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| Price: | Par
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| Payout at maturity: | Par unless any component finishes below its initial level and ever closes below trigger level, in which case 1% loss for each 1% decline of worst performing index or fund
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| Call: | At par plus coupon if each asset closes at or above its initial level on any call date beginning Aug. 15, 2018
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| Initial levels: | 2,698.63 for S&P, 3,369.83 for Stoxx, $23.01 for gold fund and for $48.70 for EM fund
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| Trigger levels: | 65% of initial levels
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| Pricing date: | Feb. 14
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| Settlement date: | Feb. 20
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.25%
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| Cusip: | 06367T2U3
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