Published on 2/21/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $12.78 million autocallable barrier notes on indexes
By Taylor Fox
New York, Feb. 22 – Bank of Montreal priced $12.78 million of 9.5% autocallable barrier notes due May 3, 2022 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly.
The notes will be automatically redeemed at par plus the coupon if each index closes above its initial level on any quarterly call observation date after six months.
If the notes are not called, the payout at maturity will be par unless the final level of any index closes below its initial level and the final level of any index is less than 75% of the initial level on any day during the life of the notes, in which case investors will lose 1% for each 1% decline from the initial level of the least performing index.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Autocallable barrier notes
|
| Underlying indexes: | S&P 500 index and Russell 2000 index
|
| Amount: | $12,778,000
|
| Maturity: | May 3, 2022
|
| Coupon: | 9.5% per year, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless the final level of any index is less than its initial level and any index closes below 75% of its initial level on any day during the life of the notes, in which case investors will lose 1% for each 1% decline from the initial level of the least performing index
|
| Call: | At par plus contingent coupon if indexes close at or above initial levels on any quarterly call observation date after six months
|
| Initial levels: | 3,714.24 for S&P, 2,073.641 for Russell
|
| Trigger levels: | 2,785.68 for S&P, 1,555.231 for Russell; 75% of initial levels
|
| Pricing date: | Jan. 29
|
| Settlement date: | Feb. 3
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | 0.75%
|
| Cusip: | 06368EDB5
|
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