Published on 12/18/2020 in the Prospect News Structured Products Daily.
New Issue: BMO sells $6.55 million autocallable barrier notes with contingent coupon on indexes
By Taylor Fox
New York, Dec. 18 – Bank of Montreal priced $6.55 million of autocallable barrier notes with contingent coupons due Dec. 16, 2022 linked to 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.
Every quarter, the notes will pay a coupon equal to 6.9% per year if each index’s closing level is at least 60% of the initial level on the observation date for that period.
The notes will be automatically redeemed at par plus the contingent coupon if each index closes above its initial level on any quarterly observation date beginning March 11.
If the notes are not called, the payout at maturity will be par unless the final level of any index is less than the trigger level, 60% of the initial level, in which case investors will lose 1% for each 1% decline from the initial level of the least performing index.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Autocallable barrier notes with contingent coupons
|
| Underlying indexes: | Nasdaq-100 index, S&P 500 index and Russell 2000 index
|
| Amount: | $6,550,000
|
| Maturity: | Dec. 16, 2022
|
| Coupon: | 6.9% per year, payable quarterly if each asset’s closing level is at or above coupon barrier level on the observation date for that period
|
| Price: | Par
|
| Payout at maturity: | Par unless the final level of the worst performer is below the trigger level, in which case investors will lose 1% for each 1% decline from the initial level of the least performing asset
|
| Call: | At par plus contingent coupon if assets close at or above initial levels on any quarterly observation date beginning March 11
|
| Initial levels: | 12,375.41 for Nasdaq, 3,663.46 for S&P, 1,911.697 for Russell
|
| Coupon barrier levels: | 7,425.25 for Nasdaq, 2,198.08 for S&P, 1,147.018 for Russell, 60% of initial levels
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| Trigger levels: | 7,425.25 for Nasdaq, 2,198.08 for S&P, 1,147.018 for Russell, 60% of initial levels
|
| Pricing date: | Dec. 11
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| Settlement date: | Dec. 16
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | 1.5%
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| Cusip: | 06368EAJ1
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