By Sarah Lizee
Olympia, Wash., Aug. 11 – Bank of Montreal priced $505,000 of autocallable reverse convertible notes with contingent coupons due Aug. 31, 2021 linked to the iShares Russell 2000 ETF and SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly at an annualized rate of 12% if the assets close above their coupon barriers, 75% of their initial levels, on the observation date for the month.
The notes will be called at par if both assets close at or above their initial share prices on any monthly trigger observation date after six months.
If the notes are not called, the payout at maturity will be par unless either asset finishes below its trigger level, 75% of its initial price, in which case investors will receive a number of shares equal to $1,000 divided by the initial share price for that asset or, at the issuer’s option, an amount in cash equal to the value of those shares.
BMO Capital Markets is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Autocallable reverse convertible notes with contingent coupons
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| Underlying assets: | iShares Russell 2000 ETF and SPDR S&P 500 ETF Trust
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| Amount: | $505,000
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| Maturity: | Aug. 31, 2021
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| Coupon: | 12% payable monthly if assets close above coupon barrier on observation date
|
| Price: | Par
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| Payout at maturity: | Par unless either asset finishes below trigger price, in which case a number of shares equal to $1,000 divided by the initial share price or cash value
|
| Call: | At par if each asset closes at or above initial share price on any monthly trigger observation date after six months
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| Initial levels: | $148.76 for Russell ETF, $323.96 for S&P ETF
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| Coupon barriers/trigger prices: | $111.57 for Russell ETF, $242.97 for S&P ETF; 75% of initial share price
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| Pricing date: | July 30
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| Settlement date: | Aug. 4
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| Agent: | BMO Capital Markets
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| Fees: | 0.65%
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| Cusip: | 06367WY31
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