Published on 3/12/2020 in the Prospect News Structured Products Daily.
New Issue: BMO prices $5 million cash-settled autocalls tied to Stoxx, S&P
By Wendy Van Sickle
Columbus, Ohio, March 12 – Bank of Montreal priced $5 million of autocallable cash-settled notes with contingent interest payments due March 4, 2030 linked to the lesser performing of the Euro Stoxx Banks index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a conditional quarterly coupon at an annual rate of 10.3% if each index closes at or above its 62% coupon barrier level on any observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly call date starting March 1, 2023.
The payout at maturity will be par unless either index finishes below its 62% trigger level, in which case investors be fully exposed to any losses of the worse performing index.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Autocallable cash-settled notes with congtingent interest payments
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| Underlying indexes: | Euro Stoxx Banks index, S&P 500 index
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| Amount: | $5 million
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| Maturity: | March 4, 2030
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| Coupon: | 10.3% payable quarterly if each index closes above coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below 62% trigger level, in which case investors will be fully exposed to any losses of worse performing index
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| Call: | At par plus coupon if each asset closes at or above initial level on any quarterly call date starting March 1, 2023
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| Initial levels: | 77.74 for Stoxx, 3,023.94 for S&P
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| Trigger/coupon barriers: | 48.2 for Stoxx, 1,874.84 for S&P, 62% of initial levels
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| Pricing date: | March 5
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| Settlement date: | March 10
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 4.6%
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| Cusip: | 06367WYE7
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