Published on 12/20/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $5 million callable buffer notes with contingent coupon on two indexes, ETF
By William Gullotti
Buffalo, N.Y., Dec. 20 – Bank of Montreal priced $5 million of callable buffer notes with contingent coupons due June 2, 2025 linked to the iShares MSCI Emerging Markets ETF, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon equal to 9.45% per year if each underlier’s closing level is at least 75% of its initial level on the corresponding observation date.
The notes will be callable 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 its 75% coupon barrier.
If the worst performer finishes below its coupon barrier but at or above its 70% buffer level, the payout at maturity will be par. Otherwise, investors will lose 1.4286% for each 1% decline of the worst performer beyond 30%.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Callable buffer notes with contingent coupons
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| Underlying assets: | iShares MSCI Emerging Markets ETF, Euro Stoxx 50 index, Russell 2000 index
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| Amount: | $5 million
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| Maturity: | June 2, 2025
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| Coupon: | 9.45% per year, payable monthly if each underlier’s closing level is at or above its coupon barrier level on the corresponding observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if each underlier finishes at or above its coupon barrier; if the worst performer finishes below its coupon barrier but at or above buffer level, par; otherwise, investors will lose 1.4286% for each 1% decline of worst performer below the buffer
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| Call option: | At par plus any coupon otherwise due on any quarterly observation date
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| Initial levels: | $48.89 for ETF, 4,109.51 for Stoxx, 2,241.976 for Russell
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| Coupon barrier levels: | $36.67 for ETF, 3,082.13 for Stoxx, 1,681.482 for Russell; 75% of initial levels
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| Buffer levels: | $34.22 for ETF, 2,876.66 for Stoxx, 1,569.383 for Russell; 70% of initial levels
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| Pricing date: | Nov. 29
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| Settlement date: | Dec. 2
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.05%
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| Cusip: | 06368G7E1
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