By Susanna Moon
Chicago, Oct. 31 – Bank of Montreal priced $1.33 million of autocallable cash-settled notes with conditional interest payments due Oct. 29, 2021 linked to the least performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the VanEck Vectors Gold Miners ETF, according to an FWP filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 11% if each fund closes at or above its 62.5% coupon barrier on the review date for that quarter.
The notes will be called at par plus the coupon if each fund closes above the initial level on any call date.
The payout at maturity will be par unless either fund finishes below its 62.5% trigger level, in which case investors will be fully exposed to any losses of worse performing fund.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Autocallable cash-settled notes with conditional interest payments
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| Underlying funds: | SPDR S&P Oil & Gas Exploration & Production ETF, the VanEck Vectors Gold Miners ETF
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| Amount: | $1,327,000
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| Maturity: | Oct. 29, 2021
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| Coupon: | 11%, payable quarterly if each fund closes at or above its 62.5% coupon barrier on the review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either fund finishes below trigger, in which case 1% loss per 1% decline of worse performing fund
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| Call: | At par plus the coupon if fund finishes above its initial level on any call date beginning Jan. 26, 2018
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| Initial levels: | $32.42 for oil fund, $22.43 for gold fund
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| Trigger levels: | $20.26 for oil fund, $14.02 for gold fund; 62.5% of initial levels
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| Pricing date: | Oct. 26
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| Settlement date: | Oct. 31
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 3%
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| Cusip: | 06367TL57
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