Published on 10/12/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $2.63 million callable barrier notes with contingent coupon on indexes, ETF
By William Gullotti
Buffalo, N.Y., Oct. 12 – Bank of Montreal priced $2.63 million of callable barrier notes with contingent coupons due Oct. 12, 2023 linked to the iShares MSCI EAFE 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 quarterly coupon equal to 11.25% per year if each underlier’s closing level is at least 70% of its initial level on the relevant observation date.
The notes will be callable on any quarterly observation date after.
If the notes are not called, the payout at maturity will be par plus the final coupon if every underlier finishes at or above coupon barrier.
If the worst performer finishes below its coupon barrier but not below its 65% 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: | Callable barrier notes with contingent coupons
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Underlying assets: | iShares MSCI EAFE ETF, Nasdaq-100 index, Russell 2000 index
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Amount: | $2,625,000
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Maturity: | Oct. 12, 2023
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Coupon: | 11.25% 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 final coupon if all underliers finish at or above coupon barrier; if the worst performer finishes below coupon barrier but not below its 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 option: | At par on any quarterly observation date
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Initial levels: | $77.39 for ETF, 14,766.75 for Nasdaq, 2,214.958 for Russell
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Coupon barrier levels: | $54.17 for ETF, 10,336.73 for Nasdaq, 1,550.471 for Russell; 70% of initial levels
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Trigger levels: | $50.30 for ETF, 9,598.39 for Nasdaq, 1,439.723 for Russell; 65% of initial levels
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Pricing date: | Oct. 6
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Settlement date: | Oct. 12
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Agent: | BMO Capital Markets Corp.
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Fees: | None
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Cusip: | 06368EZM7
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