Published on 3/30/2022 in the Prospect News Structured Products Daily.
New Issue: BMO sells $2.35 million autocallable barrier notes with contingent coupons on indexes
By William Gullotti
Buffalo, N.Y., March 30 – Bank of Montreal priced $2.35 million of autocallable barrier notes with contingent coupons due Sept. 29, 2023 linked to the S&P 500 index, the Dow Jones industrial average 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 6.6% per year if each index’s closing level is at least 55% 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 six months.
If the notes have not been called, the payout at maturity will be par unless any index closes below its 55% trigger level during the life of the notes and any index finishes below its initial level, in which case investors will lose 1% for every 1% that the worst performer finishes below 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, Dow Jones industrial average, Russell 2000 index
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| Amount: | $2,349,000
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| Maturity: | Sept. 29, 2023
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| Coupon: | 6.6% 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 unless any index closes below its trigger level during the life of the notes and any index finishes below its initial level, in which case investors will lose 1% for every 1% that the worst performer finishes below its initial level
|
| Call: | At par plus contingent coupon if indexes close at or above initial levels on any quarterly observation date after six months
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| Initial levels: | 4,543.06 for S&P, 34,861.24 for Dow, 2,077.983 for Russell
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| Coupon barrier levels: | 2,498.68 for S&P, 19,173.68 for Dow, 1,142.891 for Russell; 55% of initial levels
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| Trigger levels: | 2,498.68 for S&P, 19,173.68 for Dow, 1,142.891 for Russell; 55% of initial levels
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| Pricing date: | March 25
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| Settlement date: | March 30
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.9%
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| Cusip: | 06368GLQ8
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