Published on 6/4/2020 in the Prospect News Structured Products Daily.
New Issue: BMO sells $4.2 million autocallable cash-settled notes on S&P, Russell
By Kiku Steinfeld
Chicago, June 4 – Bank of Montreal priced $4.2 million of autocallable cash-settled notes with conditional interest payments due June 30, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a conditional monthly coupon at an annual rate of 11.35% if each index closes at or above its 75% coupon barrier level on any observation date for that month.
The notes will be called at par if each index closes above its initial level on any call date beginning on Nov. 20.
The payout at maturity will be par unless either index finishes below its 75% trigger level, in which case investors will be fully exposed to any losses of the lesser-performing index.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Autocallable cash-settled notes with conditional interest payments
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| Underlying indexes: | Russell 2000, S&P 500
|
| Amount: | $4,199,000
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| Maturity: | June 30, 2021
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| Coupon: | 11.35% payable monthly if each index closes above coupon barrier on observation date for that month
|
| Price: | Par
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| Payout at maturity: | Par unless either index finishes below its trigger level, in which case investors will be fully exposed to any losses of the lesser-performing index
|
| Call: | At par if each index closes above its initial level on any call date beginning on Nov. 20.
|
| Initial levels: | 1,400.673 for Russell, 3,029.73 for S&P
|
| Coupon barrier/triggers: | 1,050.505 for Russell, 2,272.30 for S&P; 75% of initial levels
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| Pricing date: | May 28
|
| Settlement date: | May 29
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | 2.15%
|
| Cusip: | 06367WK36
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