Published on 12/10/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $4.52 million contingent market-linked autocalls on S&P, Russell, Dow
Chicago, Dec. 10 – Bank of Montreal priced $4.52 million of market-linked securities due March 27, 2025 – autocallable with contingent coupon and contingent downside linked to the least performing of the Dow Jones industrial average, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 10% if each index closes at or above its 80% threshold on the observation date for that period.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any index finishes below its 80% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Wells Fargo Securities, LLC acting as the agent for distribution.
| Issuer: | Bank of Montreal
|
| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
|
| Underlying indexes: | Dow Jones industrial average, Russell 2000 index and S&P 500 index
|
| Amount: | $4,518,000
|
| Maturity: | March 27, 2025
|
| Coupon: | 10% annualized, payable quarterly if each index closes at or above coupon threshold on observation date for that period
|
| Price: | Par
|
| Payout at maturity: | Par unless any index falls by more than 20%, in which case 1% loss per 1% decline of worst performing index
|
| Call: | At par if each index closes at or above its initial level on any interest payment date after six months
|
| Initial levels: | 33,066.96 for Dow, 2,195.796 for Russell, 3,958.55 for S&P
|
| Coupon thresholds: | 26,453.568 for Dow, 1,756.6368 for Russell, 3,166.84 for S&P; 80% of initial levels
|
| Downside thresholds: | 26,453.568 for Dow, 1,756.6368 for Russell, 3,166.84 for S&P; 80% of initial levels
|
| Pricing date: | March 30
|
| Settlement date: | April 5
|
| Agent: | Wells Fargo Securities, LLC
|
| Fees: | 2.175%
|
| Cusip: | 06368EFJ6
|
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