Published on 12/12/2022 in the Prospect News Structured Products Daily.
New Issue: BMO sells $23,000 autocallable barrier notes with contingent coupon on indexes
By Kiku Steinfeld
Chicago, Dec. 12 – Bank of Montreal priced $23,000 of autocallable barrier notes with contingent coupons due April 19, 2027 linked to the least performing of the Nasdaq-100 index, the S&P 500 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 8.25% 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 called at par on any monthly observation date starting Oct. 14, 2022 if each index closes at or above its initial level.
If the notes are not called, the payout at maturity will be par if each index finishes at or above its 60% trigger level. 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: | S&P 500 index, Russell 2000 index, Nasdaq-100 index
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| Amount: | $23,000
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| Maturity: | April 19, 2027
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| Coupon: | 8.25% 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 above trigger level, par; otherwise, lose 1% for every 1% decline of the worst performer from its initial level
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| Call: | At par on any monthly observation date starting Oct. 14, 2022 if each index closes at or above its initial level
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| Initial levels: | 4,446.59 for S&P, 2,025.102 for Russell, 14,217.29 for Nasdaq
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| Coupon barrier levels: | 3,112.61 for S&P, 1,417.571 for Russell, 9,952.10 for Nasdaq; 70% of initial levels
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| Trigger levels: | 2,667.95 for S&P, 1,215.061 for Russell, 8,530.37 for Nasdaq; 60% of initial levels
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| Pricing date: | April 13, 2022
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| Settlement date: | April 19, 2022
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 2.25%
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| Cusip: | 06368GP50
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