Published on 9/27/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $4.34 million callable barrier notes with contingent coupon on indexes, ETF
By William Gullotti
Buffalo, N.Y., Sept. 27 – Bank of Montreal priced $4.34 million of callable barrier notes with contingent coupons due Sept. 26, 2024 linked to the iShares MSCI Emerging Markets 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 8.6% 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 at par plus any coupon due.
If the notes are not called, the payout at maturity will be par plus the final coupon if each underlier finishes at or above its coupon barrier level.
If the worst performer finishes below the coupon barrier but at or above 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 Emerging Markets ETF, Nasdaq-100 index, Russell 2000 index
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| Amount: | $4,339,000
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| Maturity: | Sept. 26, 2024
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| Coupon: | 8.6% 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: | If each underlier finishes at or above coupon barrier, par plus final coupon; par if the worst performer finishes below coupon barrier but at or above 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 plus any coupon due on any quarterly observation date
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| Initial levels: | $50.99 for ETF, 15,176.51 for Nasdaq, 2,218.561 for Russell
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| Coupon barrier levels: | $35.69 for ETF, 10,623.56 for Nasdaq, 1,552.993 for Russell; 70% of initial levels
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| Trigger levels: | $33.14 for ETF, 9,864.73 for Nasdaq, 1,442.065 for Russell; 65% of initial levels
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| Pricing date: | Sept. 22
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| Settlement date: | Sept. 27
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 1.75%
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| Cusip: | 06368EXS6
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