SRP looked at some of the products with a potential knock out date between 9 and 13 March. The majority of the products reviewed struck six months ago and although none of them autocalled due to the market crash, it was not all bad news with several still paying coupons as downside barriers have not been breached.

Canada: Callable equity income principal at risk notes, Series 1043 (CAD) (F-Class) Bank of Montreal’s notes struck on 18 September 2019 when the underlying S&P/TSX 60 index closed at 1,005.77 basis points. The products first potential knock out date was 11 March 2020 but since the index closed at 854.67bp – well below the early redemption threshold of 1,056.05bp (105% of the strike level) – the product continues until at least 11 September. However, because the index stil

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