Published on 7/29/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $5.8 million autocallable barrier notes with memory coupons on indexes
By William Gullotti
Buffalo, N.Y., July 29 – Bank of Montreal priced $5.8 million of autocallable barrier notes with memory coupons due May 26, 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 quarter, the notes will pay a coupon equal to 6.52% per year if each index’s closing level is at least 70% of its initial level on the observation date for that quarter. Previously unpaid coupons will also be paid.
The notes will be automatically redeemed at par plus the contingent coupon if each index closes above its initial level on any quarterly observation date after one year.
If the notes are not called, the payout at maturity will be par unless any index finishes below its 60% 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 index.
BMO Capital Markets Corp. is the agent.
Issuer: | Bank of Montreal
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Issue: | Autocallable barrier notes with memory coupons
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Underlying indexes: | S&P 500 index, Nasdaq 100 index and Russell 2000 index
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Amount: | $5,801,000
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Maturity: | May 26, 2026
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Coupon: | 6.52% per year, payable quarterly if each index’s closing level is at or above its coupon barrier level on the observation date for that quarter; previously unpaid coupons will also be paid
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Price: | Par
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Payout at maturity: | Par unless any index finishes below its trigger level, in which case investors will lose 1% for each 1% decline from the initial level of the least-performing index
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Call: | At par plus contingent coupon if indexes close above initial levels on any quarterly observation date after one year
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Initial levels: | 4,159.12 for S&P, 13,494.09 for Nasdaq, 2,207.76 for Russell
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Coupon barrier levels: | 2,911.38 for S&P, 9,445.86 for Nasdaq, 1,545.432 for Russell; 70% of initial levels
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Trigger levels: | 2,495.47 for S&P, 8,096.45 for Nasdaq, 1,324.656 for Russell; 60% of initial levels
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Pricing date: | May 20
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Settlement date: | May 25
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Agent: | BMO Capital Markets Corp.
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Fees: | 0.25%
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Cusip: | 06368ELP5
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