Published on 10/27/2021 in the Prospect News Structured Products Daily.
New Issue: BMO prices $5.64 million step-down autocallable barrier notes linked to S&P, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, Oct. 27 – Bank of Montreal priced $5.64 million of 0% step-down autocallable barrier notes due Oct. 25, 2024 linked to the lesser performing of the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
Beginning April 22, 2022, the notes will be called at par plus a 6.25% annualized premium if each index closes at or above its call level on any semiannual observation date. The call level is 100% of the initial level on the first observation date and steps down by 50 basis points each subsequent year.
If the final level of the lesser-performing index is greater than or equal to its 70% barrier level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the lesser-performing index finishes below its initial level.
BMO Capital Markets Corp. is the underwriter.
| Issuer: | Bank of Montreal
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| Issue: | Step-down autocallable barrier notes
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| Underlying indexes: | S&P 500 and Nasdaq-100
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| Amount: | $5.64 million
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| Maturity: | Oct. 25, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final level of lesser-performing index is greater than or equal to trigger level, par; otherwise, 1% loss for every 1% that lesser-performing index finishes below initial level
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| Call: | Beginning April 22, 2022, notes will be called at par plus 6.25% annualized premium if each index closes at or above call level on any semiannual observation date; call level is 100% of the initial level on the first observation date and steps down by 50 basis points each year
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| Initial index levels: | 4,544.9 for S&P 500 and 15,355.07 for Nasdaq-100
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| Barrier levels: | 3,181.43 for S&P 500 and 10,748.55 for Nasdaq-100; 70% of initial levels
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| Pricing date: | Oct. 22
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| Settlement date: | Oct. 27
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| Underwriter: | BMO Capital Markets Corp.
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| Fees: | 2%
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| Cusip: | 78013G2L0
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