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Principal At Risk Notes
Bank of Montreal Covered Call Canadian Banks AutoCallable Principal At Risk Notes, Series 692 (CAD)
JHN6568
Product Details
TypeAutoCallable
IssuerBank of Montreal
ClassEquity
Linked toBMO Covered Call Canadian Banks ETF [ZWB CT Equity]
CurrencyCAD
Issue DateMarch 08, 2018
Maturity DateMarch 08, 2023
Term5.0 Years
AutoCall Coupon (Next Call Date)9.25%
AutoCall Level100.00%
Observation DatesAnnual
Excess Participation5.00%
Barrier Protection-25.00%
Product Description
  • The Notes offer the potential for a variable return while providing contingent protection against a slight to moderate decline in the price of the units of the BMO Covered Call Canadian Banks 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: 5-year term to maturity (subject to the Notes being automatically called by the Bank).
  • Reference ETF: The BMO Covered Call Canadian Banks ETF is designed to provide exposure to a portfolio of Canadian banks while earning call option premiums. The Reference ETF invests in securities of Canadian banks, and dynamically writes covered call options. The call options are written out of the money and selected based on analysing the option’s implied volatility. The option premium provides limited downside protection. The units of the Reference ETF are listed for trading on the Toronto Stock Exchange under the symbol “ZWB”.*
  • 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., 100% of the Initial Price) on any Valuation Date. If the AutoCall feature is triggered, Holders will receive payment of the Principal Amount, plus a Variable Return that increases each Valuation Date. If the Closing Price of the units of the Reference ETF is never equal to or above the AutoCall Level on any Valuation Date, the Notes will not be automatically called by the Bank and there will be no Variable Return paid on the Notes.
  • Potential Variable Return: 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 on any Valuation Date. If the AutoCall feature is triggered, Holders will receive payment of the Principal Amount plus a Variable Return that increases each Valuation Date.
  • Fixed Return in Year 1: 9.25%; Year 2: 18.50%; Year 3: 27.75%; Year 4: 37.00%; Year 5: 46.25%; (or an annualized return of 9.25%, 8.83%, 8.50%, 8.18% and 7.89%, respectively).
  • 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., 75% 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 Term4.79 years
Current ETC2.25%
Current Bid Price historical $99.27