Published on 4/25/2022 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1.92 million callable buffer notes with contingent coupon on two indexes
By William Gullotti
Buffalo, N.Y., April 25 – Bank of Montreal priced $1.92 million of callable buffer notes with contingent coupons due Jan. 21, 2027 linked to the S&P 500 index, the Dow Jones industrial average 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 5.85% per year if each index’s closing level is at least 80% of its initial level on the relevant observation date.
The notes will be callable on any monthly observation date after six months.
If the notes are not called and each index finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above its 75% trigger level, the payout will be par. Otherwise, investors will lose 1% for each 1% decline of the worst performer below 25%.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Callable buffer notes with contingent coupons
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| Underlying indexes: | Dow Jones industrial average, Russell 2000 index, S&P 500 index
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| Amount: | $1,915,000
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| Maturity: | Jan. 21, 2027
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| Coupon: | 5.85% 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 worst performer finishes below coupon barrier but at or above trigger level, par; otherwise, lose 1% for every 1% decline of the worst performer beyond 25%
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| Call option: | At par plus any coupon due on any monthly observation date after six months
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| Initial levels: | 35,368.47 for Dow, 2,096.225 for Russell, 4,577.11 for S&P
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| Coupon barrier levels: | 28,294.78 for Dow, 1,676.98 for Russell, 3,661.69 for S&P; 80% of initial levels
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| Trigger levels: | 26,526.35 for Dow, 1,572.169 for Russell, 3,432.83 for S&P; 75% 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: | 0.7%
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| Cusip: | 06368GFT9
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