Published on 7/26/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $2.25 million autocallable barrier notes with contingent coupon on indexes
By Kiku Steinfeld
Chicago, July 26 – Bank of Montreal priced $2.25 million of autocallable barrier notes with contingent coupons due July 20, 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 quarterly coupon equal to 6% 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 above its initial level on any quarterly observation date after one year.
If the notes are not called, the payout at maturity will be par if each index closes at or above the coupon barrier.
If any index lags below the coupon barrier, but each index finishes at or above its 65% trigger level, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% decline based on the final level from the initial level of the least-performing index.
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: | $2.25 million
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| Maturity: | July 20, 2026
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| Coupon: | 6% per year, payable quarterly 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 if each index finishes at or above the coupon barrier; if the worst performing index finishes below the coupon barrier, but each index finishes at or above the trigger level, par; otherwise, investors will lose 1% for each 1% decline from the initial level of the least-performing index
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| Call: | At par plus contingent coupon if indexes close above initial levels on any quarterly observation date after one year
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| Initial levels: | 4,327.16 for S&P, 14,681.38 for Nasdaq, 2,163.23 for Russell
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| Coupon barrier levels: | 3,245.37 for S&P, 11,011.04 for Nasdaq, 1,622.429 for Russell; 75% of initial levels
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| Trigger levels: | 2,812.65 for S&P, 9,542.90 for Nasdaq, 1,406.105 for Russell; 65% of initial levels
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| Pricing date: | July 16
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| Settlement date: | July 20
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 2.25%
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| Cusip: | 06368ESC7
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