By Taylor Fox
New York, Nov. 23 – Bank of Montreal priced $4.45 million of autocallable reverse convertible notes with contingent coupons due Feb. 11, 2022 linked to the least performing of the SPDR S&P 500 ETF Trust and the shares of Invesco QQQ Trust, series 1, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly at an annualized rate of 7.65% if the funds close above their coupon barriers, 80% of their initial levels, on the observation date for the month.
The notes will be called at par if both funds close at or above their initial share prices on any monthly trigger observation date after six months.
If the notes are not called, the payout at maturity will be par unless either fund finishes below its trigger level, 70% of its initial price, in which case investors will receive a number of shares equal to $1,000 divided by the initial share price for that fund or, at the issuer’s option, an amount in cash equal to the value of those shares.
BMO Capital Markets is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Autocallable reverse convertible notes with contingent coupons
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| Underlying funds: | SPDR S&P 500 ETF Trust and Invesco QQQ Trust, series 1
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| Amount: | $4,447,000
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| Maturity: | Feb. 11, 2022
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| Coupon: | 7.65% payable monthly if funds close above coupon barrier on observation date
|
| Price: | Par
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| Payout at maturity: | Par unless either fund finishes below trigger price, in which case a number of shares equal to $1,000 divided by the initial share price or cash value represent full exposure to decline of worst performer
|
| Call: | At par if each asset closes at or above initial share price on any monthly trigger observation date after six months
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| Initial levels: | $350.16 for S&P, $294.61 for QQQ
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| Coupon barriers: $280.13 for S&P, $235.69 for QQQ; 80% of initial share price
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| Trigger prices: | $245.11 for S&P, $206.23 for QQQ; 70% of initial share price
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| Pricing date: | Nov. 6
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| Settlement date: | Nov. 11
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| Agent: | BMO Capital Markets
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| Fees: | 2.25%
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| Cusip: | 06368E3K6
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