Published on 5/1/2020 in the Prospect News Structured Products Daily.
New Issue: BMO prices $780,000 10% cash-settled autocalls tied to Stoxx, Russell
By Wendy Van Sickle
Columbus, Ohio, May 1 – Bank of Montreal priced $780,000 of autocallable cash-settled notes with conditingent interest payments due April 26, 2030 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 10% if each index closes at or above its 75% coupon barrier level on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any review date after one year.
The payout at maturity will be par unless either index finishes below its 60% 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
|
| Issue: | Autocallable cash-settled notes with contingent interest payments
|
| Underlying indexes: | Euro Stoxx 50 index, Russell 2000 index
|
| Amount: | $780,000
|
| Maturity: | April 26, 2030
|
| Coupon: | 10% annualized, payable quarterly if each index closes at or above its 75% coupon barrier on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below 60% trigger level, in which case investors will be fully exposed to losses of worse performing index
|
| Call: | At par plus coupon if each asset closes at or above initial level on any call date beginning April 21, 2021
|
| Initial levels: | 2,882.09 for Stoxx, 1,281.878 for Russell
|
| Coupon barriers: | 2,161.57 for Stoxx, 961.409 for Russell, 75% of initial levels
|
| Trigger levels: | 1,729.25 for Stoxx, 769.127 for Russell, 60% of initial levels
|
| Pricing date: | April 27
|
| Settlement date: | April 30
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | 3%
|
| Cusip: | 06367WB44
|
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