BMO plans 10.2% autocallable cash-settled notes on S&P 500, iShares EM

By Tali Rackner

Norfolk, Va., April 13 – Bank of Montreal plans to price 10.2% 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 a 424B2 filing with the Securities and Exchange Commission.

Interest will be payable monthly if each underlying component closes at or above the 75% coupon barrier level for that month. Otherwise, no interest will be paid.

The notes will be called at par plus the coupon if each underlying component finishes above the 110% call level on any monthly call date beginning Nov. 25, 2016.

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

BMO Capital Markets Corp. is the agent.

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

The Cusip number is 06367TCU2.

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