BMO plans contingent interest autocallables linked to indexes, ETFs

By Angela McDaniels

Tacoma, Wash., May 2 – Bank of Montreal plans to price autocallable cash-settled notes with contingent interest payments due Aug. 10, 2020 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index, the VanEck Vectors Gold Miners exchange-traded fund and the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

Each month, the notes will pay a conditional coupon at the rate of 11.85% per year if each underlying asset closes at or above its trigger level, 65% of its initial level, on the observation date for that month.

Beginning Nov. 6, the notes will be automatically called at par if each underlying asset closes at or above its initial level on any monthly call date.

If the notes are not called, the payout at maturity will be par unless any underlying asset closes below its trigger level during the life of the notes and any underlying asset finishes below its initial level, in which case investors will be exposed to the decline of the least-performing underlying asset from its initial level.

BMO Capital Markets Corp. is the agent.

The notes will price May 3.

The Cusip number is 06367WKW2.

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