Published on 10/19/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1 million callable barrier notes with contingent coupon on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Oct. 19 – Bank of Montreal priced $1 million of callable barrier notes with contingent coupons due July 31, 2026 linked to the iShares MSCI Emerging Markets ETF, 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 contingent monthly coupon equal to 7.35% per year if each asset’s closing level is at least 65% of its initial level on the relevant observation date.
The notes will be callable on any quarterly call observation date.
If the notes are not called, the payout at maturity will be par if each asset finishes at or above its 60% trigger level.
Otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Callable barrier notes with contingent coupons
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| Underlying assets: | iShares MSCI Emerging Markets ETF, Nasdaq-100 index, Russell 2000 index
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| Amount: | $1 million
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| Maturity: | July 31, 2026
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| Coupon: | 7.35% per year, payable monthly if each asset’s closing level is at or above its coupon barrier level on the relevant observation date
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| Price: | Par
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| Payout at maturity: | If all assets finish above trigger level, par; otherwise, lose 1% for every 1% decline of the worst performer from its initial level
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| Call option: | At par plus any coupon due on any quarterly call observation date
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| Initial levels: | $50.47 for ETF, 14,956.97 for Nasdaq, 2,191.833 for Russell
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| Coupon barrier levels: | $32.81 for ETF, 9,722.03 for Nasdaq, 1,424.691 for Russell; 65% of initial levels
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| Trigger levels: | $30.28 for ETF, 8,974.18 for Nasdaq, 1,315.1 for Russell; 60% of initial levels
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| Pricing date: | July 27
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| Settlement date: | July 30
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.25%
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| Cusip: | 06368ETS1
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