Published on 7/14/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $4.4 million callable buffer notes with contingent coupon on two indexes, ETF
By William Gullotti
Buffalo, N.Y., July 14 – Bank of Montreal priced $4.4 million of callable buffer notes with contingent coupons due Jan. 14, 2026 linked to the iShares MSCI Emerging Markets ETF, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon equal to 8.15% per year if each asset’s closing level is at least 75% of its initial level on the corresponding observation date.
The notes will be callable on any quarterly observation date.
If the notes are not called, the payout at maturity will be par unless any asset finishes below its 70% buffer level, in which case investors will lose 1.4286% for each 1% decline of the least performing asset beyond 30%.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Callable buffer notes with contingent coupons
|
| Underlying assets: | iShares MSCI Emerging Markets ETF, Euro Stoxx 50 index, Russell 2000 index
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| Amount: | $4,400,000
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| Maturity: | Jan. 14, 2026
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| Coupon: | 8.15% per year, payable monthly if each asset’s closing level is at or above its coupon barrier level on the corresponding observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless any asset finishes below its buffer level, in which case investors will lose 1.4286% for each 1% decline of least performing asset beyond 30%
|
| Call option: | At par on any quarterly observation date
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| Initial levels: | $53.55 for ETF, 4,068.09 for Stoxx, 2,280.005 for Russell
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| Coupon barrier levels: | $40.16 for ETF, 3,051.07 for Stoxx, 1,710.004 for Russell; 75% of initial levels
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| Buffer levels: | $37.49 for ETF, 2,847.66 for Stoxx, 1,596.004 for Russell; 70% of initial levels
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| Pricing date: | July 9
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| Settlement date: | July 14
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.07%
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| Cusip: | 06368ESB9
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