Published on 11/11/2020 in the Prospect News Structured Products Daily.
New Issue: BMO prices $3.9 million autocallable barrier notes on S&P, Russell
By Taylor Fox
New York, Nov. 11 – Bank of Montreal priced $3.9 million of autocallable barrier notes with contingent coupons due Nov. 19, 2021 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent coupon at a rate of 9% per year if each index closes at or above 70% of its initial level on the observation date for that month.
The notes will be automatically redeemed at par plus the contingent coupon if each index closes above its initial level on any monthly observation date beginning April 14, 2021.
If the notes are not called, the payout at maturity will be par unless the final level of either index is less than 70% of the initial level, in which case investors will lose 1% for each 1% decline of the least performing index from its initial level.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Autocallable barrier notes with contingent coupons
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| Underlying indexes: | Russell 2000 index and S&P 500 index
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| Amount: | $3.9 million
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| Maturity: | Nov. 19, 2021
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| Coupon: | 9% per year, payable each month that each index closes at or above coupon barrier on the observation date for that month
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below trigger level, in which case 1% loss for each 1% decline from the initial level of the least performing index
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| Call: | At par plus contingent coupon if each index closes above its initial level on any monthly observation date beginning April 14, 2021
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| Initial levels: | 1,621.651 for Russell, 3,488.67 for S&P
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| Coupon barriers: | 1,135.156 for Russell, 2,442.07 for S&P, 70% of initial levels
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| Trigger levels: | 1,135.156 for Russell, 2,442.07 for S&P, 70% of initial levels
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| Pricing date: | Oct. 14
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| Settlement date: | Oct. 19
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.65%
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| Cusip: | 06367W6N8
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