New Issue: BMO sells $3.56 million autocallable cash-settled notes on indexes, ETFs

By Kiku Steinfeld

Chicago, July 30 – Bank of Montreal priced $3.56 million of autocallable cash-settled notes with contingent interest payments due Oct. 19, 2020 linked to the least performing of the S&P 500 index, the Russell 2000 index, the VanEck Vectors Gold Miners exchange-traded fund and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable monthly at an annual rate of 10.2% if each asset closes above its 60% coupon barrier on the observation date for that month.

The notes will be called at par if each asset closes at or above its initial level on any monthly review date beginning Jan. 15, 2020.

The payout at maturity will be par unless any asset finishes below its initial level and any asset ever closes below its 60% trigger level during the life of the notes, in which case investors be fully exposed to any losses of the least performing asset.

BMO Capital Markets Corp. is the agent.

Issuer:	Bank of Montreal
Issue:	Autocallable cash-settled notes with contingent interest payments
Underlying assets:	S&P 500 index, Russell 2000 index, VanEck Vectors Gold Miners ETF, iShares MSCI Emerging Markets ETF
Amount:	$3,557,000
Maturity:	Oct. 19, 2020
Coupon:	10.2%, payable monthly if each asset closes at or above coupon barrier on observation date for that month
Price:	Par
Payout at maturity:	Par unless any asset finishes below its initial level and ever closes below the trigger level during the life of the notes, in which case investors will be fully exposed to any losses of the least performing asset
Call:	At par plus the coupon if each asset finishes at or above its initial level on any monthly call date beginning Jan. 15, 2020
Initial levels:	3,004.04 for S&P, 1,561.995 for Russell, $26.05 for gold ETF and $42.95 for EM ETF
Coupon barriers:	1,802.42 for S&P, 937.197 for Russell, $15.63 for gold ETF and $25.77 for EM ETF; 60% of initial levels
Trigger levels:	1,802.42 for S&P, 937.197 for Russell, $$15.63 for gold ETF and $25.77 for EM ETF; 60% of initial levels
Pricing date:	July 16
Settlement date:	July 19
Agent:	BMO Capital Markets Corp.
Fees:	0.25%
Cusip:	06367WNJ8

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