By Taylor Fox
New York, Nov. 16 – Bank of Montreal priced $2.38 million of autocallable reverse convertible notes with contingent coupons due Jan. 21, 2022 linked to the least performing of the SPDR S&P 500 ETF trust and the Invesco QQQ trust, series 1, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly at an annualized rate of 7.25% if each fund closes above its coupon barrier, 60% of its initial level, on the observation date for the month.
The notes will be called at par if the shares of each fund close at or above the initial share price on any trigger monthly observation date after six months.
If the notes are not called, the payout at maturity will be par unless the shares of either fund finish below their initial level and close below their trigger level, 60% of their initial price, on any day during the life of the notes in which case investors will receive a number of shares equal to $1,000 divided by the initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.
BMO Capital Markets is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Autocallable reverse convertible notes with contingent coupons
|
| Underlying funds: | SPDR S&P 500 ETF trust and Invesco QQQ trust, series 1
|
| Amount: | $2,376,000
|
| Maturity: | Jan. 21, 2022
|
| Coupon: | 7.25%, payable monthly if each fund closes above coupon barrier on observation day for that month
|
| Payout at maturity: | Par unless either fund finishes below initial price and either fund closes below trigger price during life of notes, in which case a number of shares equal to $1,000 divided by the initial share price or cash value
|
| Call: | At par if funds close at or above initial share price on any monthly trigger observation date after six months
|
| Initial levels: | $347.29 for S&P and $288.51 for Invesco
|
| Coupon barrier/trigger prices: | $208.37 for S&P and $173.11 for Invesco; 60% of initial prices
|
| Pricing date: | Oct. 16
|
| Settlement date: | Oct. 21
|
| Agent: | BMO Capital Markets
|
| Fees: | 2.25%
|
| Cusip: | 06367W7L1
|
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