Published on 6/9/2016 in the Prospect News Structured Products Daily.
New Issue: Bank of Montreal prices $613,000 autocallables linked to S&P 500, EM ETF
By Tali Rackner
Norfolk, Va., June 9 – Bank of Montreal priced $613,000 of autocallable cash-settled notes with conditional interest payments due May 31, 2017 linked to the lesser performing of the S&P 500 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is 9.6% per year, payable monthly, if each underlying asset closes above its coupon barrier level, 75% of its initial level, on any monthly observation date. Otherwise, no interest will be paid for that month.
Beginning Dec. 27, the notes will be called at par if each underlying asset closes above its call level, 110% of initial level, on any monthly call date.
If the notes are not called, the payout at maturity will be par unless either underlying asset finishes below its trigger level, 75% of its initial level, in which case investors will be fully exposed to the decline of the lesser-performing underlying asset.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Autocallable cash-settled notes with conditional interest payments
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| Underlying assets: | S&P 500 index and iShares MSCI Emerging Markets ETF
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| Amount: | $613,000
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| Maturity: | May 31, 2017
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| Coupon: | 9.6%, payable monthly if each underlying asset closes above coupon barrier for that month; otherwise, no interest
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| Price: | Par of $1,000
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| Payout at maturity: | Par unless either underlying asset finishes below trigger level, in which case full exposure to decline of lesser-performing underlying asset
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| Call: | Automatically at par if each underlying asset closes above call level on any monthly call date beginning Dec. 27
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| Initial levels: | 2,090.1 for S&P 500 and $33.10 for EM ETF
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| Call levels: | 2,299.11 for S&P 500 and $36.41 for EM ETF; 110% of initial levels
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| Coupon/trigger levels: | 1,567.58 for S&P 500 and $24.83 for EM ETF; 75% of initial levels
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| Pricing date: | May 26
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| Settlement date: | May 31
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.6%
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| Cusip: | 06367TEA4
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