Published on 11/24/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $10.6 million autocallable barrier notes with contingent coupon on three indexes
By Wendy Van Sickle
Columbus, Ohio, Nov. 24 – Bank of Montreal priced $10.6 million of autocallable barrier notes with contingent coupons due Nov. 24, 2026 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 9% per year if each index’s closing level is at least 75% 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 monthly observation date after three 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 the coupon barrier.
If any index finishes below its coupon barrier, but each finish at or above the 60% 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: | S&P 500 index, Nasdaq-100 index, Russell 2000 index
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| Amount: | $10,601,000
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| Maturity: | Nov. 24, 2026
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| Coupon: | 9% 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 any index finishes below coupon barrier but all finish 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 at or above initial levels on any monthly observation date after three months
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| Initial levels: | 4,697.96 for S&P, 16,573.34 for Nasdaq, 2,343.161 for Russell
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| Coupon barrier levels: | 3,523.47 for S&P, 12,430.01 for Nasdaq, 1,757.371 for Russell; 75% of initial levels
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| Trigger levels: | 2,818.78 for S&P, 9,944.0 for Nasdaq, 1,405.897 for Russell; 60% of initial levels
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| Pricing date: | Nov. 19
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| Settlement date: | Nov. 24
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.5%
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| Cusip: | 06368G5D5
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