Published on 3/30/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1.21 million autocallable barrier notes with contingent coupon on indexes
By Taylor Fox
New York, March 30 – Bank of Montreal priced $1.21 million of autocallable barrier notes with contingent coupons due March 24, 2026 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
Every quarterly, the notes will pay a coupon equal to 10.25% per year if each index’s closing level is at least 70% of the initial level on the observation date for that period.
The notes will be automatically redeemed at par plus the contingent coupon if each asset closes above its initial level on any quarterly observation date.
If the notes are not called, the payout at maturity will be par unless the final level of any index is less than 65% of the initial level, in which case investors will lose 1% for each 1% decline from the initial level of the least performing index.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Autocallable barrier notes with contingent coupons
|
| Underlying indexes: | Russell 2000 index, S&P 500 index and Nasdaq-100 index
|
| Amount: | $1,212,000
|
| Maturity: | March 24, 2026
|
| Coupon: | 10.25% per year, payable quarterly if each asset’s closing level is above the coupon barrier on the observation date for that period
|
| Price: | Par
|
| Payout at maturity: | Par unless the final level of any asset is less than threshold level, in which case investors will lose 1% for each 1% decline from the initial level of the least performing asset
|
| Call: | At par plus contingent coupon if indexes close at or above initial levels on any quarterly observation date
|
| Initial levels: | 2,287.545 for Russell, 3,913.10 for S&P, 12,866.99 for Nasdaq
|
| Coupon barrier levels: | 1,601.282 for Russell, 2,739.17 for S&P, 9,006.89 for Nasdaq, 70% of initial levels
|
| Threshold levels: | 1,486.904 for Russell, 2,543.52 for S&P, 8,363.54 for Nasdaq, 65% of initial levels
|
| Pricing date: | March 19
|
| Settlement date: | March 24
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | 0.25%
|
| Cusip: | 06368EH47
|
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