By Susanna Moon
Chicago, March 21 – Bank of Montreal priced $1 million of autocallable cash-settled notes with conditional interest payments due March 9, 2020 linked to the lesser performing of the SPDR S&P Biotech ETF and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly at an annual rate of 9.1% if each underlying component closes at or above its 60% coupon barrier level on the observation date for that quarter.
The notes will be called at par if each component closes at or above its initial level on any review date after six months.
The payout at maturity will be par unless either fund finishes below its 60% trigger level, in which case investors be fully exposed to any losses of the worse performing fund.
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: | SPDR S&P Biotech ETF and iShares MSCI EAFE ETF
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| Amount: | $1 million
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| Maturity: | March 9, 2020
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| Coupon: | 9.1% annualized, payable quarterly if each component closes at or above its 60% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either fund finishes below trigger level, in which case 1% loss for each 1% decline of worse performing fund
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| Call: | At par plus coupon if each asset closes at or above its initial level on any call date beginning Sept. 5, 2018
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| Initial levels: | $91.96 for biotech fund and for $69.42 for EAFE fund
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| Trigger levels: | $55.18 for biotech fund and for $41.65 for EAFE fund; 60% of initial levels
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| Pricing date: | March 5
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| Settlement date: | March 8
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.1%
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| Cusip: | 06367T3V0
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