Published on 10/22/2022 in the Prospect News Structured Products Daily.
New Issue: BMO sells $300,000 autocallable barrier notes with contingent coupons on indexes
By Kiku Steinfeld
Chicago, Oct. 24 – Bank of Montreal priced $300,000 of autocallable barrier notes with contingent coupons due Aug. 31, 2023 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon equal to 8.5% per year if each index’s closing level is at least 80% of its initial level on the relevant observation date.
The notes will be called at par if each index closes at or above its initial level on any monthly observation date after six months.
If the notes are not called and each index finishes at or above its 80% trigger level, the payout at maturity will be par plus the final coupon.
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: | Russell 2000 index, S&P 500 index, Dow Jones industrial average
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| Amount: | $300,000
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| Maturity: | Aug. 31, 2023
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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: | If all indexes finish at or above trigger level, par plus final coupon; otherwise, lose 1% for every 1% decline of the worst performer from its initial level
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| Call: | At par plus any coupon due if each index closes at or above initial level on any monthly observation date after six months
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| Initial levels: | 1,944.092 for Russell, 4,225.50 for S&P, 33,131.76 for Dow
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| Coupon barrier levels: | 1,555.274 for Russell, 3,380.40 for S&P, 26,505.41 for Dow; 80% of initial levels
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| Trigger levels: | 1,555.274 for Russell, 3,380.40 for S&P, 26,505.41 for Dow; 80% of initial levels
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| Pricing date: | Feb. 23, 2022
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| Settlement date: | Feb. 28, 2022
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 2.4%
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| Cusip: | 06368GJD0
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