Published on 7/26/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1.4 million callable barrier notes with contingent coupon on indexes
By Kiku Steinfeld
Chicago, July 26 – Bank of Montreal priced $1.4 million of callable barrier notes with contingent coupons due July 21, 2026 linked to 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.
The notes will pay a quarterly coupon equal to 7% per year if each index’s closing level is at least 70% of its initial level on the corresponding observation date.
The notes may be redeemed at par plus the contingent coupon on any quarterly observation date starting Oct. 18, 2021.
If the notes are not called, the payout at maturity will be par plus the coupon if each index finishes at or above its coupon barrier. If any index finishes below its coupon barrier but each index finishes at or above its 60% trigger level, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% decline of the least-performing index from its initial level.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Callable barrier notes with contingent coupons
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| Underlying indexes: | S&P 500 index, Nasdaq-100 index, Russell 2000 index
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| Amount: | $1.4 million
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| Maturity: | July 21, 2026
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| Coupon: | 7% per year, payable quarterly if each index’s closing level is at or above its coupon barrier level on the relevant observation date
|
| Price: | Par
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| Payout at maturity: | Par plus coupon if each index finishes at or above coupon barrier; if worst performing index finishes below coupon barrier but each index finishes at or above trigger level, par; otherwise, investors will lose 1% for each 1% decline from initial level of least-performing index
|
| Call option: | At par plus contingent coupon on any quarterly observation date starting Oct. 18, 2021
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| Initial levels: | 4,327.16 for S&P, 14,681.38 for Nasdaq, 2,163.238 for Russell
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| Coupon barrier levels: | 3,029.01 for S&P, 10,276.97 for Nasdaq, 1,514.267 for Russell; 70% of initial levels
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| Trigger levels: | 2,596.30 for S&P, 8,808.83 for Nasdaq, 1,297.943 for Russell; 60% of initial levels
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| Pricing date: | July 16
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| Settlement date: | July 21
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.25%
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| Cusip: | 06368ESN3
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