Published on 2/24/2022 in the Prospect News Structured Products Daily.
New Issue: BMO prices $1.69 million autocallable buffer notes with contingent coupons on ETF, index
By William Gullotti
Buffalo, N.Y., Feb. 24 – Bank of Montreal priced $1.69 million of autocallable buffer notes with contingent coupons due Jan. 29, 2024 linked to the least performing of the VanEck Vectors Gold Miners ETF and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent monthly coupon at an annual rate of 7.5% if each asset finishes above 80% of its initial level on the related observation date.
The notes will be automatically called at par plus the coupon if the least performing asset closes at or above its initial index level on any monthly observation date after six months.
If the notes are not called and the least performing asset return is above 85% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% loss beyond 15%.
BMO Capital Markets Corp. is the underwriter.
| Issuer: | Bank of Montreal
|
| Issue: | Autocallable buffer notes with contingent coupons
|
| Underlying assets: | VanEck Vectors Gold Miners ETF, Russell 2000 index
|
| Amount: | $1,689,000
|
| Maturity: | Jan. 29, 2024
|
| Coupon: | 7.5% annual rate, payable monthly if each asset finishes above its coupon barrier level on related observation date
|
| Price: | Par
|
| Payout at maturity: | If the notes are not called and each asset finishes above 85% of initial level, par; otherwise, 1% loss for each 1% loss beyond 15% buffer
|
| Call: | Automatically at par plus coupon if both assets close at or above their initial level on any monthly observation date after six months
|
| Initial levels: | $36.06 for VanEck, 2,271.856 for Russell
|
| Coupon barrier levels: | $28.85 for VanEck, 1,817.485 for Russell; 80% of initial level
|
| Buffer levels: | $30.65 for VanEck, 1,931.078 for Russell; 85% of initial level
|
| Pricing date: | April 23, 2021
|
| Settlement date: | April 28, 2021
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | 2.9%
|
| Cusip: | 06368EJL7
|
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