Chicago, Dec. 30 – Bank of Montreal priced $48.39 million of notes due Dec. 31, 2020 linked to an unequally-weighted basket of four stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying stocks are AGNC Investment Corp. (with a 42.5% weight), Annaly Capital Management, Inc. (with a 42.5% weight), Armour Residential REIT, Inc. (with a 10% weight), and Capstead Mortgage Corp. (with a 5% weight).
Investors will receive a quarterly contingent interest payment. The calculation of the interest payment will be the sum of the dividend amount on each reference share times 99%.
The dividend amount is par divided by the applicable initial share prices multiplied by the applicable reference share weighting times 100% of the gross cash distributions per reference share.
The payout at maturity will be 99% of the product of par times the sum of the weighted reference share performances.
The weighted reference share performance is the return of the stock times the reference share weighting.
The basket level percentage must be at least 101.0101% in order for investors to receive a positive return on their investment.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Notes
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| Underlying basket: | AGNC Investment Corp. (with a 42.5% weight), Annaly Capital Management, Inc. (with a 42.5% weight), Armour Residential REIT, Inc. (with a 10% weight), and Capstead Mortgage Corp. (with a 5% weight)
|
| Amount: | $48,388,000
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| Maturity: | Dec. 31, 2020
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| Coupon: | Quarterly, sum of the dividend amount on each reference share times 99%
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| Price: | Par
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| Payout at maturity: | 99% of the product of par times the sum of the weighted reference share performances
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| Initial levels: | Average intra-day prices on Dec. 20, Dec. 23, Dec. 24 and Dec. 26
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| Pricing date: | Dec. 20
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| Settlement date: | Dec. 26
|
| Agent: | BMO Capital Markets Corp.
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| Fees: | None
|
| Cusip: | 06367WTE3
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