BMO plans 7.8% cash-settled autocallables on Russell 2000, iShares EM

By Susanna Moon

Chicago, May 6 – Bank of Montreal plans to price 7.8% autocallable cash-settled notes due May 26, 2020 linked to the lesser performing of the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be payable monthly.

The notes will be called at par plus an annual call premium of 12.5% if each underlying component finishes above the initial level on any annual call date beginning May 23, 2017.

The payout at maturity will be par unless either component closes below the 70% trigger level, in which case investors will be fully exposed to any losses of the worse performing component.

BMO Capital Markets Corp. is the agent.

The notes will price on May 20 and settle on May 25.

The Cusip number is 06367TEV8.

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