Published on 2/10/2023 in the Prospect News Structured Products Daily.
New Issue: BMO sells $806,000 autocallable barrier notes with contingent coupons on three indexes
Chicago, Feb. 10 – Bank of Montreal priced $806,000 of autocallable barrier notes with contingent coupons due Nov. 6, 2023 linked to the least performing of the S&P 500 index, the Dow Jones industrial average 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 10% per year if each index’s closing level is at least 70% 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 six months.
If the notes are not called and each index finishes at or above its initial level or no index ever closes below its 70% trigger level during the life of the notes, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for each 1% decline of the worst performer 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, Dow Jones industrial average, Russell 2000 index
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Amount: | $806,000
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Maturity: | Nov. 6, 2023
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Coupon: | 10% 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 three indexes close above initial levels or if no index closes below trigger level during the life of the notes; otherwise, investors will lose 1% for each 1% decline of the worst performer 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 six months
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Initial levels: | 32,977.21 for Dow, 1,864.103 for Russell, 4,131.93 for S&P
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Coupon barrier levels: | 23,084.05 for Dow, 1,304.872 for Russell, 2,892.35 for S&P; 70% of initial levels
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Trigger levels: | 23,084.05 for Dow, 1,304.872 for Russell, 2,892.35 for S&P; 70% of initial levels
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Pricing date: | April 29, 2022
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Settlement date: | May 4, 2022
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Agent: | BMO Capital Markets Corp.
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Fees: | 0.9%
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Cusip: | 06368GPG6
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