Published on 11/14/2022 in the Prospect News Structured Products Daily.
New Issue: BMO prices $558,000 contingent market-linked autocalls on three indexes
By Kiku Steinfeld
Chicago, Nov. 14 – Bank of Montreal priced $558,000 of market-linked securities due March 19, 2026 – autocallable with contingent coupon and contingent downside linked to the lowest performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent coupon at a 10.3% rate if all indexes close above their 70% interest barrier levels on any quarterly observation date.
The notes will be called automatically if all indexes close above their initial levels on any quarterly observation date after six months.
The payout at maturity will be par unless any index finishes below its 70% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to losses.
Wells Fargo Securities, LLC and BMO Capital Markets Corp. are the agents.
Issuer: | Bank of Montreal
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Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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Underlying indexes: | Russell 2000 index, S&P 500 index, Euro Stoxx 50 index
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Amount: | $558,000
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Maturity: | March 19, 2026
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Coupon: | 10.3% annual rate, payable quarterly if all indexes finish above interest barrier levels on related observation date
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Price: | Par
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Payout at maturity: | Par unless any index finishes below downside threshold, in which case 1% loss per 1% decline of the worst performing index from its initial level
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Call: | Automatically at par if all indexes close above initial levels on any quarterly observation date after six months
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Initial levels: | 4,262.45 for S&P, 1,968.969 for Russell, 3,738.11 for Euro Stoxx
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Interest barrier levels: | 2,983.715 for S&P, 1,378.2783 for Russell, 2,616.677 for Euro Stoxx; 70% of initial levels
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Downside thresholds: | 2,983.715 for S&P, 1,378.2783 for Russell, 2,616.677 for Euro Stoxx; 70% of initial levels
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Pricing date: | March 15, 2022
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Settlement date: | March 18, 2022
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Agents: | Wells Fargo Securities, LLC and BMO Capital Markets Corp.
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Fees: | 2.175%
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Cusip: | 06368GL88
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