Bank of Montreal to price autocallables linked to S&P, iShares EM ETF

By Angela McDaniels

Tacoma, Wash., June 7 – Bank of Montreal plans to price autocallable cash-settled notes with conditional interest payments due June 30, 2017 linked to the lesser performing of the iShares MSCI Emerging Markets exchange-traded fund and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

Each month, the notes will pay a conditional coupon at the rate of 8.4% per year if each underlying asset closes above its trigger level, 75% of its initial level, on the observation date for that month.

The notes will be called at par if each underlying asset closes above its call level, 110% of its initial level, on Jan. 26, 2017, Feb. 23, 2017, March 28, 2017, April 25, 2017, May 25, 2017 or June 27, 2017.

If the notes are not called, the payout at maturity will be par unless either underlying asset closes below its trigger level during the life of the notes and either underlying asset finishes below its initial level, in which case investors will be exposed to the decline of the lesser-performing underlying asset from its initial level.

BMO Capital Markets Corp. is the agent.

The notes will price June 27.

The Cusip number is 06367TFR6.

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