Published on 5/13/2020 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1.04 million autocallable cash-settled notes on Russell, Stoxx Banks
By Kiku Steinfeld
Chicago, May 13 – Bank of Montreal priced $1.04 million of autocallable cash-settled notes with contingent interest payments due May 7, 2030 linked to the least performing of the Russell 2000 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
An annualized coupon of 10.3% will be paid if each underlying closes above its 60% coupon barrier level on any monthly valuation date.
The notes will be called at par plus the interest payment if each underlying closes above its initial level on any monthly call date beginning Feb. 3, 2021.
The payout at maturity will be par plus any interest payment due unless either underlying finishes below its 50% trigger level, in which case investors will be fully exposed to the losses of the least performing underlying.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Autocallable cash-settled notes with contingent interest payments
|
| Underlying assets: | Russell 2000 index, Euro Stoxx Banks index
|
| Amount: | $1,037,000
|
| Maturity: | May 7, 2030
|
| Coupon: | 10.3% annual rate, paid if each underlying closes above coupon barrier level on any monthly valuation date
|
| Price: | Par
|
| Payout at maturity: | Par plus any interest payment unless either underlying finishes below trigger level, in which case investors will be fully exposed to the losses of the least-performing asset
|
| Call: | At par plus interest payment if each asset closes above initial level on any monthly call date beginning Feb. 3, 2021
|
| Initial levels: | 1,329.638 for Russell, 53.73 for Stoxx Banks
|
| Coupon barriers: | 797.783 for Russell, 32.24 for Stoxx Banks, 60% of initial levels
|
| Trigger levels: | 664.819 for Russell, 26.87 for Stoxx Banks, 50% of initial levels
|
| Pricing date: | May 8
|
| Settlement date: | May 13
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | 4.9%
|
| Cusip: | 06367WG56
|
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