Published on 12/7/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $3.5 million autocallable barrier notes with contingent coupon on three indexes
By William Gullotti
Buffalo, N.Y., Dec. 7 – Bank of Montreal priced $3.5 million of autocallable barrier notes with contingent coupons due Dec. 7, 2026 linked to the S&P 500 index, the Euro Stoxx 50 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 65% 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 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 65% trigger level. 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, Euro Stoxx 50 index, Russell 2000 index
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| Amount: | $3.5 million
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| Maturity: | Dec. 7, 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 plus the final coupon if all indexes finish at or above trigger level; 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 quarterly observation date after one year
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| Initial levels: | 4,513.04 for S&P, 4,179.15 for Stoxx, 2,147.42 for Russell
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| Coupon barrier levels: | 2,933.48 for S&P, 2,716.45 for Stoxx, 1,395.823 for Russell; 65% of initial levels
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| Trigger levels: | 2,933.48 for S&P, 2,716.45 for Stoxx, 1,395.823 for Russell; 65% of initial levels
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| Pricing date: | Dec. 1
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| Settlement date: | Dec. 7
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 3.35%
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| Cusip: | 06368G7K7
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