Published on 5/3/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $881,000 contingent market-linked autocalls on ETFs
By Wendy Van Sickle
Columbus, Ohio, May 3 – Bank of Montreal priced $881,000 of market-linked securities due April 22, 2025 – autocallable with contingent coupon and contingent downside linked to the least performing of the SPDR S&P 500 ETF trust, the iShares Russell 2000 ETF and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 6.65% if each ETF closes at or above its 65% coupon threshold on the observation date for that period.
The notes will be called at par if each ETF closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any ETF finishes below its 60% downside threshold, in which case the payout will be par plus the return of the worst performing ETF with full exposure to any losses.
Wells Fargo Securities, LLC is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying ETFs: | SPDR S&P 500 ETF trust, iShares Russell 2000 ETF and iShares MSCI Emerging Markets ETF
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| Amount: | $881,000
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| Maturity: | April 22, 2025
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| Coupon: | 6.65% annualized, payable quarterly if each ETF closes at or above coupon threshold on observation date for that period
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| Price: | Par
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| Payout at maturity: | Par unless any ETF falls by more than 40%, in which case 1% loss per 1% decline of worst performing ETF
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| Call: | At par if each ETF closes at or above its initial level on any interest payment date after six months
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| Initial levels: | $417.26 for S&P, $224.65 for Russell, $54.35 for Emerging Markets
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| Coupon thresholds: | $271.219 for S&P, $146.0225 for Russell, $35.3275 for Emerging Markets; 65% of initial levels
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| Downside thresholds: | $250.356 for S&P, $134.79 for Russell, $32.61 for Emerging Markets; 60% of initial levels
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| Pricing date: | April 16
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| Settlement date: | April 21
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| Agent: | Wells Fargo Securities, LLC
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| Fees: | 2.175%
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| Cusip: | 06368EHP0
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