Published on 6/5/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1.16 million autocallable barrier notes with contingent coupon on indexes
By William Gullotti
Buffalo, N.Y., June 7 – Bank of Montreal priced $1.16 million of autocallable barrier notes with contingent coupons due May 11, 2026 linked to the least performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Every month, the notes will pay a coupon equal to 7% per year if each index’s closing level is at least 70% of its initial level on the observation date for that month.
The notes will be automatically redeemed at par plus the contingent coupon if each asset closes above its initial level on any quarterly observation date after six months.
If the notes are not called, the payout at maturity will be par unless any asset finishes below its 50% trigger level, in which case investors will lose 1% for each 1% decline based on the final level from the initial level of the least-performing asset.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Autocallable barrier notes with contingent coupons
|
| Underlying indexes: | S&P 500 index, Nasdaq 100 index and Russell 2000 index
|
| Amount: | $1,157,000
|
| Maturity: | May 11, 2026
|
| Coupon: | 7% per year, payable monthly if each index’s closing level is at or above its coupon barrier level on the observation date for that month
|
| Price: | Par
|
| Payout at maturity: | Par unless any asset finishes below its trigger level, in which case investors will lose 1% for each 1% decline from the initial level of the least-performing asset
|
| Call: | At par plus contingent coupon if assets close above initial levels on any quarterly observation date after six months
|
| Initial levels: | 4,201.62 for S&P, 13,613.73 for Nasdaq, 2,241.421for Russell
|
| Coupon barrier levels: | 2,941.13 for S&P, 9,529.61 for Nasdaq, 1,568.995 for Russell; 70% of initial levels
|
| Trigger levels: | 2,100.81 for S&P, 6,806.87 for Nasdaq, 1,120.711 for Russell; 50% of initial levels
|
| Pricing date: | May 6
|
| Settlement date: | May 11
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | 0.6%
|
| Cusip: | 06368ELU4
|
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