Published on 9/25/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $4.28 million autocallable barrier notes with contingent coupon on three indexes
By Kiku Steinfeld
Chicago, Sept. 27 – Bank of Montreal priced $4.28 million of autocallable barrier notes with contingent coupons due April 28, 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 5.3% 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 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: | $4.28 million
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Maturity: | April 28, 2026
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Coupon: | 5.3% 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 all indexes finish above coupon barrier; if any index finishes below coupon barrier but all finish 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 quarterly observation date after one year
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Initial levels: | 4,411.79 for S&P, 15,111.79 for Nasdaq, 2,209.649 for Russell
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Coupon barriers: | 3,308.84 for S&P, 11,333.84 for Nasdaq, 1,657.237 for Russell, 75% of initial levels
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Downside thresholds: | 2,647.07 for S&P, 9,067.07 for Nasdaq, 1,325.789 for Russell, 60% of initial levels
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Pricing date: | July 23
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Settlement date: | July 28
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Agent: | BMO Capital Markets Corp.
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Fees: | 3.25%
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Cusip: | 06368ET51
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