Published on 4/25/2022 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1.01 million callable barrier notes with contingent coupon on three indexes
By William Gullotti
Buffalo, N.Y., April 25 – Bank of Montreal priced $1.01 million of callable barrier notes with contingent coupons due Jan. 21, 2027 linked to the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon equal to 12.1% per year if each index’s closing level is at least 75% of its initial level on the relevant observation date.
The notes will be callable on any monthly observation date after three months.
If the notes are not called, the payout at maturity will be par plus the final coupon if each index finishes at or above coupon barrier.
If the worst performer finishes below the coupon barrier but at or above its 70% trigger level, the payout at maturity will be par. 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: | Callable barrier notes with contingent coupons
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| Underlying indexes: | S&P 500 index, Nasdaq-100 index, Russell 2000 index
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| Amount: | $1,009,000
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| Maturity: | Jan. 21, 2027
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| Coupon: | 12.1% per year, payable monthly 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: | If all indexes finish at or above coupon barrier, par plus final coupon; if the worst performer finishes below coupon barrier but at or above trigger level, par; otherwise, lose 1% for every 1% decline of the worst performer from its initial level
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| Call option: | At par plus any coupon due on any monthly observation date after three months
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| Initial levels: | 4,577.11 for S&P, 15,210.76 for Nasdaq, 2,096.225 for Russell
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| Coupon barrier levels: | 3,432.83 for S&P, 11,408.07 for Nasdaq, 1,572.169 for Russell; 75% of initial levels
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| Trigger levels: | 3,203.98 for S&P, 10,647.53 for Nasdaq, 1,467.358 for Russell; 70% of initial levels
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| Pricing date: | Jan. 18
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| Settlement date: | Jan. 21
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.25%
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| Cusip: | 06368GFM4
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