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Principal At Risk Notes
Bank of Montreal Covered Call Utilities Callable Equity Income Principal At Risk Notes, Series 507 (USD)
JHN6502
Product Details
TypeCallable Income
IssuerBank of Montreal
ClassEquity
Linked toBMO Covered Call Utilities ETF [ZWU CT Equity]
CurrencyUSD
Issue DateFebruary 07, 2018
Maturity DateFebruary 07, 2025
Term7.0 Years
Contingent Coupon9.00% Per Annum
Payment FrequencySemi-Annual
Coupon Knock-Out-20.00%
Barrier Protection-20.00%
Autocall Level110.00%
Observation DatesSemi-Annual
Maximum Payment$163.00
Minimum Payment$1.00
Product Description
  • The Notes offer semi-annual coupon payments for investors while providing contingent protection against a slight to moderate decline in the unit price of the BMO Covered Call Utilities ETF (the “Reference ETF”) over the term of the Notes. The Principal Amount is NOT protected under these Notes.
  • Issuer: Bank of Montreal.
  • Medium Term: 7-year term to maturity (subject to the Notes being automatically called by the Bank).
  • Reference ETF: The BMO Covered Call Utilities ETF (TSX: ZWU) is designed to provide exposure to an equal weight portfolio of utilities, telecoms and pipeline companies, while earning call option premiums. The Reference ETF invests in a diversified portfolio of utilities, including telecommunications and pipeline companies. The call options are written out of the money and selected based on analysing the option’s implied volatility, and are written in proportion to the securities weight. The option premium provides limited downside protection.*
  • Contingent Semi-Annual Coupon Payments: Semi-annual Coupons equal to 4.50% (equivalent to 9.00% per annum), provided that the Closing Price of the units of the Reference ETF is equal to or above the Coupon Knock-Out Level (i.e., 80% of the Initial Price) on the applicable Observation Date. If the Closing Price of the units of the Reference ETF is below the Coupon Knock-Out Level on an Observation Date, then no Coupon will be payable to a Holder on the related Coupon Payment Date.
  • AutoCall Feature: The Notes will be automatically called by the Bank if the Closing Price of the units of the Reference ETF is equal to or above the AutoCall Level (i.e., 110% of the Initial Price) on any Observation Date. If the AutoCall feature is triggered, Holders will receive the Principal Amount plus the applicable Coupon on the corresponding Coupon Payment Date (in this case, the Call Date). If the Closing Price of the units of the Reference ETF is never equal to or above the AutoCall Level on any Observation Date, the Notes will not be automatically called by the Bank. If the Notes are automatically called by the Bank before Maturity, the Notes will be cancelled and Holders will not be entitled to receive any subsequent payments in respect of the Notes.
  • Contingent Protection: If the ETF Return is negative, the Principal Amount will be protected so long as the Final Price is equal to or above the Barrier Level (i.e., 80% of the Initial Price) on the Final Valuation Date. If the Final Price is below the Barrier Level on the Final Valuation Date, the Maturity Payment will be equal to the Principal Amount reduced by the ETF Return (which will be a negative amount equal to the decline in the unit price of the Reference ETF), subject to the Minimum Payment Amount. The calculation and timing of the payments at Maturity may be adjusted upon the occurrence of certain special circumstances.
  • Daily Secondary Market: Provided by BMO Capital Markets (may be subject to an early trading charge of up to 3.50% declining to zero over 180 days after the Issue Date and other limitations as described in the Prospectus).

Current Status
Update as ofMay 22, 2018
Remaining Term6.72 years
Current ETC2.25%
Current Bid Price historical $95.42