Published on 1/12/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1.47 million autocallable barrier notes with contingent coupons on indexes
By Kiku Steinfeld
Chicago, Jan. 12 – Bank of Montreal priced $1.47 million autocallable barrier notes with contingent coupons due Jan. 12, 2026 linked to the Russell 2000 index, the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
Every month, the notes will pay a coupon equal to 7.25% per year if each asset’s closing level is at least 60% of the initial level on the observation date for that month.
The notes will be automatically redeemed at par plus the contingent coupon if each asset closes above its initial level on any quarterly observation date after six months.
If the notes are not called, the payout at maturity will be par unless the final level of any asset is less than 60% of the initial level, in which case investors will lose 1% for each 1% decline from the initial level of the least performing asset.
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 assets: | Russell 2000 index, S&P 500 index and Nasdaq-100 index
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| Amount: | $1,470,000
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| Maturity: | Jan. 12, 2026
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| Coupon: | 7.25% per year, payable monthly if each asset’s closing level is at least 60% of the initial level on the observation date for that month
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| Price: | Par
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| Payout at maturity: | Par unless the final level of any asset is less than 60% of the initial level, in which case investors will lose 1% for each 1% decline from the initial level of the least performing asset
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| Call: | At par plus contingent coupon if assets close at or above initial levels on any quarterly observation date after six months
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| Initial levels: | 2,096.885 for Russell, 3,803.79 for S&P, 12,939.57 for Nasdaq
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| Coupon barrier levels: | 1,134.751 for Russell, 2,215.18 for S&P, 7,763.74 for Nasdaq, 60% of initial levels
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| Trigger levels: | 1,258.131 for Russell, 2,282.27 for S&P, 7,763.74 for Nasdaq, 60% of initial levels
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| Pricing date: | Jan. 7
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| Settlement date: | Jan. 12
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.25%
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| Cusip: | 06368ECJ9
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