Published on 6/22/2018 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1.61 million cash-settled autocallables on ETF, indexes
By Marisa Wong
Morgantown, W.Va., June 22 – Bank of Montreal priced $1.61 million of autocallable cash-settled notes with contingent interest payments due Sept. 16, 2019 linked to the least performing of the S&P 500 index, Russell 2000 index, VanEck Vectors Gold Miners exchange-traded fund and iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly at an annual rate of 10.5% if each asset closes at or above its 65% coupon barrier level on the applicable monthly observation date.
The notes will be called at par if each asset closes above its initial level on any monthly review date beginning Dec. 12.
The payout at maturity will be par unless any asset finishes below its initial level and any asset ever closes below its 65% trigger level during the life of the notes, in which case investors be fully exposed to any losses of the least performing 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, Russell 2000 index, VanEck Vectors Gold Miners ETF and iShares MSCI Emerging Markets ETF
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Amount: | $1,612,000
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Maturity: | Sept. 16, 2019
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Coupon: | 10.5% per year, payable each month that each asset closes at or above its coupon barrier on observation date for that month
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Price: | Par of $1,000
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Payout at maturity: | Par unless any asset finishes below its initial level and ever closes below the trigger level during the life of the notes, in which case investors will be fully exposed to any losses of the least performing asset
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Call: | At par plus the coupon if each asset finishes above its initial level on any monthly call date beginning Dec. 12
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Initial levels: | 2,775.63 for S&P, 1,676.537 for Russell, $22.48 for gold ETF, $45.90 for EM ETF
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Coupon barriers: | 1,804.16 for S&P, 1,089.749 for Russell, $14.61 for gold ETF and $29.84 for EM ETF; 65% of initial levels
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Trigger levels: | 1,804.16 for S&P, 1,089.749 for Russell, $14.61 for gold ETF and $29.84 for EM ETF; 65% of initial levels
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Pricing date: | June 13
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Settlement date: | June 15
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Agent: | BMO Capital Markets Corp.
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Fees: | 0.25%
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Cusip: | 06367T6R6
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