BMO eyes autocallable barrier notes with contingent coupon on ETF, fund

Chicago, May 28 – Bank of Montreal plans autocallable barrier notes with contingent coupons due Aug. 31, 2020 linked to the least performing of the SPDR S&P Oil & Gas Exploration and Production ETF and the Energy Select Sector SPDR fund, according to an FWP filing with the Securities and Exchange Commission.

Each month, the notes will pay a coupon equal to 11.7% per year if both fund’s share prices are at least 65% of their initial share prices on the observation date for that month.

The notes will be automatically redeemed at par plus the contingent coupon if each asset’s shares close above 100% of their initial share prices on any monthly observation date beginning in November.

If the notes are not called, the payout at maturity will be par unless the final share price of either asset is less than its initial price and either underlying asset has closed below its 65% trigger price on any day during the life of the notes, in which case investors will lose 1% for each 1% decline of the lesser performing asset from the initial share price.

BMO Capital Markets Corp. is the agent.

The notes will price on May 30.

The Cusip number is 06367WKR3.

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