By William Gullotti
Buffalo, N.Y., May 23 – Bank of Montreal priced $3 million of callable barrier notes with memory coupons due May 23, 2024 linked to the performance of the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon equal to 9.5% per year if the ETF’s closing level is at least 80% of its initial level on the relevant observation date. Previously unpaid coupons, if any, will be automatically included whenever a contingent coupon is paid.
The notes will be callable at par plus any coupon otherwise due on any quarterly observation date.
If the notes are not called and the ETF finishes at or above its coupon barrier, the payout at maturity will be par plus all unpaid coupons.
If the ETF finishes below its coupon barrier but at or above its 60% trigger level, the payout will be par. Otherwise, investors will lose 1% for each 1% of ETF decline from its initial level.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Callable barrier notes with memory coupons
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| Underlying fund: | SPDR S&P 500 ETF Trust
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| Amount: | $3 million
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| Maturity: | May 23, 2024
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| Coupon: | 9.5% per year, payable quarterly if the ETF’s closing level is at or above its coupon barrier level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons
|
| Price: | Par
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| Payout at maturity: | Par plus all unpaid coupons if the ETF finishes at or above coupon barrier; if ETF finishes below coupon barrier but not below its trigger level, par; otherwise, investors will lose 1% for each 1% of ETF decline 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 level: | $391.86
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| Coupon barrier level: | $313.49; 80% of initial level
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| Trigger level: | $235.12; 60% of initial level
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| Pricing date: | May 18
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| Settlement date: | May 23
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.5%
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| Cusip: | 06368GTW7
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