New Issue: Bank of Montreal prices $2.64 million autocallables linked to indexes, ETF

By Angela McDaniels

Tacoma, Wash., July 26 – Bank of Montreal priced $2.64 million autocallable cash-settled notes with conditional interest payments due Oct. 29, 2018 linked to the least performing of the S&P 500 index, the Russell 2000 index and the SPDR Euro Stoxx 50 exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

Each month, the notes pay a conditional coupon at the rate of 9.45% per year if each underlying asset closes above its trigger level, 70% of its initial level, on the observation date for that month.

Beginning Jan. 24, 2018, the notes will be automatically called at par if each underlying asset closes above its initial level on any monthly call date.

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

BMO Capital Markets Corp. is the agent.

Issuer:	Bank of Montreal
Issue:	Autocallable cash-settled notes with conditional interest payments
Underliers:	S&P 500 index, Russell 2000 index and SPDR Euro Stoxx 50 ETF
Amount:	$2,642,000
Maturity:	Oct. 29, 2018
Coupon:	9.45% per year, payable monthly if each underlying asset closes above trigger level on observation date for that month
Price:	Par
Payout at maturity:	Par unless any underlying asset closes below trigger level during life of notes and any underlying asset finishes below initial level, in which case exposure to decline of least-performing underlying asset from initial level
Call:	Beginning Jan. 24, 2018, notes will be automatically called at par if each underlying asset closes above initial level on any monthly call date
Initial levels:	2,477.08 for S&P 500, 1,450.387 for Russell 2000 and $39.42 for ETF
Trigger levels:	1,733.96 for S&P 500, 1,015.271 for Russell 200 and $27.59 for ETF; 70% of initial levels
Pricing date:	July 25
Settlement date:	July 28
Agent:	BMO Capital Markets Corp.
Fees:	0.25%
Cusip:	06367TZW3

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