BMO eyes autocallable notes with conditional interest on S&P, EM fund

By Wendy Van Sickle

Columbus, Ohio, April 6 – Bank of Montreal plans to price autocallable cash-settled notes with conditional interest payments due April 28, 2017 linked to the lesser performing of the S&P 500 index and the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a monthly coupon at an annualized rate of 8.4% if both assets close above their 75% coupon barrier on the observation date for that month.

If either asset finishes above the 110% call level on any of six monthly call dates from November 2016 through April 2017, the notes will be called at par plus the coupon.

The payout at maturity will be par plus the coupon due unless either asset closes below the 75% trigger level any day during the life of the notes and finishes below its initial level, in which case investors will be fully exposed to the final loss of the worse performing asset.

BMO Capital Markets Corp. is the agent.

The notes will price on April 26 and settle on April 29.

The Cusip number is 06367TCT5.

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