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

By Wendy Van Sickle

Columbus, Ohio, July 7 – Bank of Montreal plans to price autocallable cash-settled notes with conditional interest payments due July 31, 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.

Interest will be payable monthly at an annualized rate of 9% if each underlying asset closes above its coupon barrier, 75% of its initial level, on the observation date for that month.

The notes will be called at par plus the coupon if each underlying asset finishes above the 110% call level on any monthly call date beginning Feb. 3, 2017.

The payout at maturity will be par plus the coupon due unless either component finishes below its initial level and either of the components dropped below the 75% trigger level during the life of the notes, 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 (Cusip: 06367THE3) will price on July 26 and settle on July 29.

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