Published on 11/21/2023 in the Prospect News Structured Products Daily.
New Issue: Bank of Montreal prices $1 million autocallable buffer notes linked to S&P
By Angela McDaniels
Tacoma, Wash., Nov. 21 – Bank of Montreal priced $1 million of autocallable buffer notes with contingent coupons due Oct. 4, 2024 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent coupon at the rate of 5.8% per year if the index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that month.
Beginning Sept. 29, 2023, the notes will be automatically called at pat if the index closes above its initial level on any monthly observation date.
If the notes are not called and the final index level is greater than or equal to its buffer level, 70% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the index declines beyond 30%.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Autocallable buffer notes with contingent coupons
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| Underlying index: | S&P 500 index
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| Amount: | $1 million
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| Maturity: | Oct. 4, 2024
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| Coupon: | 5.8% per year, payable monthly if index closes at or above coupon barrier level on observation date for that month
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| Price: | Par
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| Payout at maturity: | Par unless index finishes below buffer level, in which case 1% loss for every 1% that index declines beyond 30%
|
| Call: | Beginning Sept. 29, 2023, automatically at pat if index closes above initial level on any monthly observation date
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| Initial level: | 4,050.83
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| Barrier level: | 2,835.58, or 70% of initial level
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| Buffer level: | 2,835.58, or 70% of initial level
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| Pricing date: | March 30
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| Settlement date: | April 4
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.7%
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| Cusip: | 06374VR81
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