Published on 11/23/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $32.8 million autocallable barrier notes with contingent coupon on three indexes
By Wendy Van Sickle
Columbus, Ohio, Nov. 23 – Bank of Montreal priced $32.8 million of autocallable barrier notes with contingent coupons due March 24, 2025 linked to the Nasdaq-100 index, the Euro Stoxx 50 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 10% per year if each index’s closing level is at least 70% 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 above its initial level on any monthly observation date after six months.
If the notes are not called, the payout at maturity will be par plus the final coupon if each index’s final level is greater than or equal to its coupon barrier level.
If the worst performer finishes below its coupon barrier but at or above the 70% trigger level, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% decline of the least-performing index 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: | Nasdaq-100 index, Euro Stoxx 50 index, Russell 2000 index
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Amount: | $32,797,000
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Maturity: | March 24, 2025
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Coupon: | 10% 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 coupon barrier but at or above trigger level, par; otherwise, investors will lose 1% for each 1% decline of the least-performing index from its initial level
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Call: | At par plus contingent coupon if indexes close above initial levels on any monthly observation date after six months
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Initial levels: | 16,482.97 for Nasdaq, 4,383.7 for Stoxx, 2,363.589 for Russell
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Coupon barrier levels: | 11,538.08 for Nasdaq, 3,068.59 for Stoxx, 1,654.512 for Russell; 70% of initial levels
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Trigger levels: | 11,538.08 for Nasdaq, 3,068.59 for Stoxx, 1,654.512 for Russell; 70% of initial levels
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Pricing date: | Nov. 18
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Settlement date: | Nov. 23
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Agent: | BMO Capital Markets Corp.
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Fees: | 0.25%
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Cusip: | 06368G4W4
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