Published on 9/12/2017 in the Prospect News Structured Products Daily.
New Issue: BMO prices $1.67 million cash-settled autocallables tied to indexes, fund
By Susanna Moon
Chicago, Sept. 12 – Bank of Montreal priced $1.67 million of autocallable cash-settled notes with conditional interest payments due March 8, 2019 linked to the least performing of the S&P 500 index, the Russell 2000 index and the SPDR Euro Stoxx 50 exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 10% if each underlying component closes at or above its 70% coupon barrier on a review date for that month.
The notes will be called at par if each underlying index or fund closes above its 110% call level on any monthly review date.
The payout at maturity will be par unless any underlying component finishes below its initial level and ever closes below its 70% trigger level during the life of the notes, in which case investors be fully exposed to any losses of the worst 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, the Russell 2000 index and the SPDR Euro Stoxx 50 exchange-traded fund
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| Amount: | $1,669,000
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| Maturity: | March 8, 2019
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| Coupon: | 10%, payable monthly if each underlying component closes at or above 70% coupon barrier on a review 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 the trigger level during the life of the notes, in which case investors will be fully exposed to any losses of the worst performing component
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| Call: | At par plus the coupon if each component finishes above 100% call level on any monthly call date beginning March 5, 2018
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| Initial levels: | 2,457.85 for S&P, 1,399.655 for Russell and $39.55 for Stoxx fund
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| Trigger levels: | 70% of initial levels
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| Pricing date: | Sept. 5
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| Settlement date: | Sept. 8
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.25%
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| Cusip: | 06367TD49
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