BMO will price autocallable cash-settled notes tied to oil, gold ETFs

By Devika Patel

Knoxville, Tenn., Dec. 22 – Bank of Montreal plans to price autocallable cash-settled notes with conditional interest payments due Dec. 31, 2021 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the VanEck Vectors Gold Miners exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable quarterly at a rate of 11% per year if each ETF closes above its coupon barrier, 65% of its initial level, on the observation date for that quarter.

The notes will be called at par plus the coupon if each ETF closes above its initial level on any quarterly call date beginning on March 26, 2018.

The payout at maturity will be par unless either ETF finishes below the 65% trigger level, in which case investors will lose 1% for each 1% decline of the worse performing ETF from its initial level.

BMO Capital Markets Corp. is the agent.

The notes (Cusip: 06367TR36) will price on Dec. 26 and settle on Dec. 29.

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