Published on 6/6/2022 in the Prospect News Structured Products Daily.
New Issue: BMO sells $4.45 million autocallable barrier notes with contingent coupons on indexes
By William Gullotti
Buffalo, N.Y., June 6 – Bank of Montreal priced $4.45 million of autocallable barrier notes with contingent coupons due June 1, 2027 linked to the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon equal to 8% per year if each index’s closing level is at least 60% of its initial level on the corresponding observation date.
The notes will be automatically redeemed at par plus the contingent 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 finishes at or above its 60% trigger level, the payout at maturity will be par plus the final coupon.
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: | Autocallable barrier notes with contingent coupons
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| Underlying indexes: | S&P 500 index, Russell 2000 index, Nasdaq-100 index
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| Amount: | $4.45 million
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| Maturity: | June 1, 2027
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| Coupon: | 8% per year, payable quarterly 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: | Par plus the final coupon if all indexes finish at or above trigger level; otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level
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| Call: | At par plus contingent coupon if indexes close at or above initial levels on any quarterly observation date after six months
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| Initial levels: | 4,057.84 for S&P, 1,838.238 for Russell, 12,276.79 for Nasdaq
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| Coupon barrier levels: | 2,434.7 for S&P, 1,102.943 for Russell, 7,366.07 for Nasdaq; 60% of initial levels
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| Trigger levels: | 2,434.7 for S&P, 1,102.943 for Russell, 7,366.07 for Nasdaq; 60% of initial levels
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| Pricing date: | May 26
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| Settlement date: | May 31
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 2.5%
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| Cusip: | 06368GTQ0
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