New Issue: BMO prices $4.31 million notes on basket of four stocks

By Wendy Van Sickle

Columbus, Ohio, Jan. 30 – Bank of Montreal priced $4.31 million of notes due Feb. 4, 2021 linked to a basket of four unequally weighted stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The stocks are AGNC Investment Corp. with a 42.5% weight, Annaly Capital Management, Inc. with a 42.5% weight, Armour Residential REIT, Inc. with a 10% weight and Capstead Mortgage Corp. with a 5% weight.

Interest is payable quarterly based on 99% of dividends paid on the sum of the dividend amounts for each of the reference shares that quarter.

For each $1,000 principal amount, the payout at maturity will be (a) $1,000 multiplied by (b) the basket level percentage – the sum of the weighted reference share performances – multiplied by (c) 99%. Because the participation rate is less than 100%, the basket level percentage must exceed 101.0101% in order for investors to receive more than par.

For each stock, the initial share price is the average of that stock’s average closing prices on Jan. 24, Jan. 27, Jan. 28 and Jan. 29. The final share price will be the sum of the average of that stock’s closing share prices on Jan. 28, 2021, Jan. 29, 2021, Feb. 1, 2021 and Feb. 2, 2021.

BMO Capital Markets Corp. is the agent. Raymond James will handle distribution.

Issuer:	Bank of Montreal
Issue:	Notes linked to Raymond James Analysts’ Best Picks for 2020
Underlying stocks:	AGNC Investment Corp. (42.5% weight), Annaly Capital Management, Inc. (42.5% weight), Armour Residential REIT, Inc. (10% weight) and Capstead Mortgage Corp. (5% weight)
Amount:	$4,309,000
Maturity:	Feb. 4, 2021
Coupon:	Payable quarterly based on 99% of dividends paid on the sum of the dividend amounts for each of the reference shares that quarter
Price:	Par
Payout at maturity:	For each $1,000 principal amount, (a) $1,000 multiplied by (b) the basket level percentage – the sum of the weighted reference share performances – multiplied by (c) 99%; basket level percentage must exceed 101.0101% in order for investors to receive more than par
Initial share prices:	Average of a stock’s average closing prices on Jan. 24, Jan. 27, Jan. 28 and Jan. 29
Final share price:	Sum of the average of stock’s closing share prices on Jan. 28, 2021, Jan. 29, 2021, Feb. 1, 2021 and Feb. 2, 2021
Pricing date:	Jan. 24
Settlement date:	Jan. 31
Agents:	BMO Capital Markets Corp. with distribution through Raymond James
Fees:	0%
Cusip:	06367WUR2

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