Published on 2/14/2023 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1.24 million callable barrier notes with contingent coupon on S&P, Dow
Chicago, Feb. 14 – Bank of Montreal priced $1.24 million of callable barrier notes with contingent coupons due May 4, 2027 linked to the least performing of 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 8.1% per year if each index’s closing level is at least 70% of its initial level on the relevant observation date.
The notes will be callable on any monthly observation date starting Aug. 1.
If the notes are not called, the payout at maturity will be par plus the final coupon if each index finishes at or above coupon barrier.
If the worst performer finishes below the coupon barrier but at or above its 50% 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: | Callable barrier notes with contingent coupons
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| Underlying indexes: | S&P 500 index, Dow Jones industrial average
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| Amount: | $1,235,000
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| Maturity: | May 4, 2027
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| Coupon: | 8.1% 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 coupon barrier, par plus final coupon; if the worst performer finishes below coupon barrier but at or above trigger level, par; otherwise, lose 1% for every 1% decline of the worst performer from its initial level
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| Call option: | At par plus any coupon due on any monthly observation date starting Aug. 1
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| Initial levels: | 4,131.93 for S&P, 32,977.21 for Dow
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| Coupon barrier levels: | 2,892.35 for S&P, 23,084.05 for Dow; 70% of initial levels
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| Trigger levels: | 2,065.97 for S&P, 116,488.61 for Dow; 50% of initial levels
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| Pricing date: | April 29, 2022
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| Settlement date: | May 4, 2022
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.75%
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| Cusip: | 06368GRQ2
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