Published on 3/22/2022 in the Prospect News Structured Products Daily.
New Issue: BMO sells $2.55 million autocallable barrier notes with contingent coupons on indexes
By William Gullotti
Buffalo, N.Y., March 22 – Bank of Montreal priced $2.55 million of autocallable barrier notes with contingent coupons due March 23, 2027 linked to the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon equal to 8.5% per year if each index’s closing level is at least 80% of its initial level on the corresponding observation date.
The notes will be automatically redeemed at par plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date after one year.
If the notes are not called and each index finishes at or above its 80% coupon barrier level, the payout at maturity will be par plus the final coupon
If the worst performer finishes below its coupon barrier but at or above its 70% trigger level, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level.
BMO Capital Markets Corp. is the agent.
Issuer: | Bank of Montreal
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Issue: | Autocallable barrier notes with contingent coupons
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Underlying indexes: | S&P 500 index, Nasdaq-100 index, Russell 2000 index
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Amount: | $2,554,000
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Maturity: | March 23, 2027
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Coupon: | 8.5% per year, payable monthly if each index’s closing level is at or above its coupon barrier level on the relevant observation date
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Price: | Par
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Payout at maturity: | Par plus the final coupon if all indexes finish at or above coupon barrier; if worst performer finishes below its coupon barrier but at or above trigger level, par; otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level
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Call: | At par plus contingent coupon if indexes close at or above initial levels on any quarterly observation date after one year
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Initial levels: | 4,463.12 for S&P, 14,420.08 for Nasdaq, 2,086.143 for Russell
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Coupon barrier levels: | 3,570.5 for S&P, 11,536.06 for Nasdaq, 1,668.914 for Russell; 80% of initial levels
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Trigger levels: | 3,124.18 for S&P, 10,094.06 for Nasdaq, 1,460.3 for Russell; 70% of initial levels
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Pricing date: | March 18
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Settlement date: | March 23
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Agent: | BMO Capital Markets Corp.
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Fees: | 3.625%
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Cusip: | 06368GMD6
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