Published on 6/23/2020 in the Prospect News Structured Products Daily.
New Issue: BMO sells $3.75 million autocallable reverse convertibles on indexes
By Kiku Steinfeld
Chicago, June 23 – Bank of Montreal priced $3.75 million of 7.25% autocallable reverse convertible notes due Dec. 15, 2021 linked to the worst performing of the S&P 500 index and the Euro Stoxx 50 index., according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par if each index closes at or above 95% of its initial level on any monthly observation date after one year.
If the notes are not called, the payout at maturity will be par unless either underlying index finishes below its 70% trigger level, in which case investors will lose 1% for each 1% decrease of the least performing index, payable in cash.
BMO Capital Markets is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Autocallable reverse convertible notes
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| Underlying indexes: | S&P 500 index, Euro Stoxx 50
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| Amount: | $3,750,000
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| Maturity: | Dec. 15, 2021
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| Contingent coupon: | 7.25%, payable monthly
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below its 70% trigger level, in which case investors will lose 1% for each 1% decrease of the least performing index, payable in cash
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| Call: | At par plus the coupon if each index closes at or above call level on any monthly observation date after one year
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| Initial prices: | 3,190.14 for S&P 500, 3,293.71 for Euro Stoxx 50
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| Trigger levels: | 2,233.10 for S&P 500, 2,305.60 for Euro Stoxx 50; 70% of initial prices
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| Call levels: | 3,030.63 for S&P 500, 3,129.02 for Euro Stoxx 50, 95% of initial levels
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| Pricing date: | June 10
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| Settlement date: | June 15
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| Agent: | BMO Capital Markets
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| Fees: | 0.25%
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| Cusip: | 06367WQ63
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