Published on 8/23/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $4.25 million autocallable barrier notes with contingent coupon on indexes, ETF
By William Gullotti
Buffalo, N.Y., Aug. 23 – Bank of Montreal priced $4.25 million of autocallable barrier notes with contingent coupons due Aug. 23, 2023 linked to the iShares MSCI EAFE ETF, the S&P 500 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 9.7% per year if each underlier’s closing level is at least 75% of its initial level on the relevant observation date.
The notes will be automatically redeemed at par plus the contingent coupon if each underlier closes above its initial level on any quarterly observation date.
If the notes are not called, the payout at maturity will be par plus the final coupon if each underlier finishes at or above the coupon barrier.
If the worst performer lags below the coupon barrier but finishes at or above its 70% trigger level, the payout at maturity will be par. 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: | Autocallable barrier notes with contingent coupons
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| Underlying assets: | iShares MSCI EAFE ETF, Russell 2000 index, S&P 500 index
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| Amount: | $4,250,000
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| Maturity: | Aug. 23, 2023
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| Coupon: | 9.7% per year, payable quarterly if each underlier’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: | Par plus the final coupon if each underlier finishes at or above the coupon barrier; if the worst performer lags below the coupon barrier but finishes at or above its 70% trigger level, par; otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level
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| Call: | At par plus contingent coupon if each underlier closes at or above initial levels on any quarterly observation date
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| Initial levels: | $79.93 for ETF, 2,158.78 for Russell, 4,400.27 for S&P
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| Coupon barrier levels: | $59.95 for ETF, 1,619.085 for Russell, 3,300.2 for S&P; 75% of initial levels
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| Trigger levels: | $55.95 for ETF, 1,511.146 for Russell, 3,080.19 for S&P; 70% of initial levels
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| Pricing date: | Aug. 18
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| Settlement date: | Aug. 23
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| Agent: | BMO Capital Markets Corp.
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| Fees: | None
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| Cusip: | 06368EV58
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