Published on 4/27/2023 in the Prospect News Structured Products Daily.
New Issue: BMO sells $297,000 autocallable barrier notes with contingent coupons on three indexes
Chicago, April 27 – Bank of Montreal priced $297,000 of autocallable barrier notes with contingent coupons due June 1, 2027 linked to the least performing of the Nasdaq-100 index, the S&P 500 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 7.5% 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 at or above its initial level on any quarterly observation date starting after one year.
If the notes are not called and each index finishes at or above 60% of its initial level, 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: | Nasdaq-100 index, S&P 500 index, Russell 2000 index
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| Amount: | $297,000
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| Maturity: | June 1, 2027
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| Coupon: | 7.5% 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 trigger levels; 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 one year
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| Initial levels: | 4,057.84 for S&P, 1,838.238 for Russell, 12,276.79 for Nasdaq
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| Coupon barrier levels: | 3,043.38 for S&P, 1,378.678 for Russell, 9,207.59 for Nasdaq; 75% of initial levels
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| Trigger levels: | 2,434.70 for S&P, 1,102.943 for Russell, 7,366.07 for Nasdaq; 60% of initial levels
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| Pricing date: | May 26, 2022
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| Settlement date: | June 1, 2022
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 3.625%
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| Cusip: | 06368GTS6
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