Published on 11/4/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $2.88 million contingent market-linked autocalls on Stoxx Banks, Russell, S&P
By William Gullotti
Buffalo, N.Y., Nov. 4 – Bank of Montreal priced $2.88 million of market-linked securities due Oct. 29, 2025 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 12.15% if each index closes at or above its 75% coupon threshold on the observation date for that period.
The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly observation date after six months.
If the notes are not called and each index’s final level is greater than or equal to its 75% downside threshold, the payout at maturity will be par plus the final coupon. Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
BMO Capital Markets Corp. is the agent with Wells Fargo Securities, LLC acting as the agent for distribution.
| 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: | S&P 500 index, Russell 2000 index, Euro Stoxx Banks index
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| Amount: | $2,877,000
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| Maturity: | Oct. 29, 2025
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| Coupon: | 12.15% annualized, payable quarterly if each index closes at or above coupon threshold on observation date for that period
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par plus final coupon; otherwise, 1% loss for every 1% decline of worst performer from initial level
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| Call: | At par plus coupon if each index closes at or above its initial level on any quarterly observation date after six months
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| Initial levels: | 4,596.42 for S&P, 2,297.979 for Russell, 101.8 for Stoxx
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| Coupon thresholds: | 3,447.315 for S&P, 1,723.48425 for Russell, 76.35 for Stoxx; 75% of initial levels
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| Downside thresholds: | 3,447.315 for S&P, 1,723.48425 for Russell, 76.35 for Stoxx; 75% of initial levels
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| Pricing date: | Oct. 28
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| Settlement date: | Nov. 2
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| Agent: | BMO Capital Markets Corp. with Wells Fargo Securities, LLC as agent for distribution
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| Fees: | 2.175%
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| Cusip: | 06368EYV8
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