NEW ISSUE: Bank of Montreal s Autocallable Cash-Settled Notes with Fixed Coupons Linked to a Single Underlying Asset

Transcription

1 NEW ISSUE: Bank of Montreal s Autocallable Cash-Settled Notes with Fixed Coupons Linked to a Single Underlying Asset These Notes do not guarantee any return of principal at maturity SEC File No July 1, 2015 NOTE INFORMATION Issuer: Minimum Investment: Protection Type: KEY DATES Offering Period Closes: Bank of Montreal $1,000 (and $1,000 increments thereafter) These Notes are NOT principal protected Tuesday, July 28, 2015 (at 2 pm NY Time.) Pricing Date: On or about July 28, 2015 Settlement Date: On or about July 31, 2015 Valuation Date: On or about July 26, 2017 Maturity Date: On or about July 31, 2017 Term: INVESTMENT OBJECTIVE Approximately 2 year The objective of the notes is to provide clients monthly income, subject to an automatic redemption, while offering limited downside protection against a slight to moderate decline in the Underlying Asset over the term of the Notes. As such, the Notes may be suitable for investors with a moderately bullish view of the Underlying Asset over the term of the Notes. KEY TERMS Call Dates: Call Settlement Dates: Interest Rate: Interest Payment Dates: Trigger Price: Automatic Redemption: Payment Upon Automatic Redemption: Three business days prior to the last business day of the month, whereby the final Call Date with be the Valuation Date. The third (3 rd ) business day following a Call Date, provided that the final Call Settlement Date is the Maturity Date. See Interest Rate below. Interest will be payable on the each Interest Payment Date and on the Maturity Date, unless previously called. Unless otherwise called, the last business day of each month beginning on August 31, 2015 to and including the Maturity Date. The level (expressed as a percentage of the Initial Level) set forth below. If, on any Call Date, the closing level of the Underlying Asset is greater than the Call Level, the notes will be automatically redeemed. If the notes are automatically redeemed, then, on the applicable Call Settlement Date, for each $1,000 principal amount, investors will receive $1,000 in addition to the scheduled coupon payment. Issue Underlying Asset Ticker Interest Rate (per month) Call Level Trigger Price (% of the Initial Level) CUSIP ARC-94 SPDR S&P Oil & Gas Exploration and Production ETF XOP 0.60% 120% 80% 06366RS48 Please see the following page, and the hypothetical calculations below, for further information about the terms set forth on this cover page, and how they impact the return on the notes. Any capitalized term not defined herein shall have the meaning set forth in the preliminary pricing supplement for the notes (see hyperlink below). This relates to the Preliminary Pricing Supplement dated July 1, 2015 to the Prospectus dated June 27, 2014, the Prospectus Supplement dated June 27, 2014, and the Product Supplement dated June 30,

2 Payment at Maturity (if held to the Maturity Date): If the notes are not automatically redeemed, the payment at maturity for each of the notes will be based on the performance of the Underlying Asset. You will receive $1,000 for each $1,000 in principal amount of the note, unless: (1) the Final Level is less than the Initial Level; and (2) on any day during the Monitoring Period, the closing price of the Reference Stock has declined to a price that is less than the Trigger Price. If the conditions described in both (1) and (2) are satisfied, then you will receive at maturity, instead of the principal amount of your notes, a cash amount equal to: $1,000 + ($1,000 x Percentage Change) In this case, investors will lose 1% of their principal for each 1% that the price of the Underlying Asset decreases from the Initial Level. This amount will be less than the principal amount of your notes, and may be zero. Percentage Change: The Percentage Change, expressed as a percentage, is calculated using the following formula: Final Level - Initial Level Initial Level Initial Level: Final Level: Monitoring Period: Secondary Market: Principal at Risk: The closing price of one share of the Underlying Asset on the Pricing Date. The closing price of one share of the Underlying Asset on the Valuation Date. The period from the Pricing Date to and including the Valuation Date. Although not obligated to do so, BMO Capital Markets Corp. (or one of its affiliates), plans to maintain a secondary market in the notes after the Settlement Date. The amount that an investor may receive upon the sale of their notes prior to maturity may be less than the Principal Amount. Investors in these notes could lose all or a substantial portion of their investment at maturity if there has been a decline in the market value of the Underlying Asset and the Final Level is less than the Trigger Price. We encourage you to review carefully the documents described in Additional Information below, including the risk factors set forth or incorporated by reference therein, prior to making an investment decision. 2

3 Selected Risk Factors: You should carefully review the risk factors set forth in the preliminary pricing supplement and the product supplement before making an investment decision. In particular, please note the following: 3 Your investment in the notes may result in a loss. The exchange traded fund to which the notes are linked holds a group of equity securities, and no assurances can be given that the level of the Underlying Asset will not decline over the term of the notes. The protection provided by the Trigger Price may terminate on any day during the Monitoring Period. Your notes are subject to automatic early redemption. If the notes are so called, you may be unable to invest the proceeds in a security with a similar return. Your return on the notes, if any, is limited to the applicable interest payments, regardless of any appreciation in the value of the Underlying Asset. The notes are unsecured debt obligations of the Bank of Montreal and your investment is subject to the credit risk of the Bank of Montreal. Our and our affiliates activities may conflict with your interests and may also adversely affect the value of the notes. Our initial estimated value does not represent any future value of the notes, and may also differ from the estimated value of any other party. The terms of the notes are not determined by reference to the credit spreads for our conventional fixed-rate debt. The inclusion of the agent s commission and hedging profits, if any, in the initial price to public of the notes, as well as our hedging costs, is likely to adversely affect the price at which you can sell your notes. The cover page of the preliminary pricing supplement for the notes (see hyperlink below) sets forth our estimate of the initial value of the notes, which reflects these amounts. Our estimated initial value of the notes is less than the purchase price of the notes. Owning the notes is not the same as owning the Underlying Asset or a security directly linked to the Underlying Asset. You will not have any shareholder rights and will have no right to receive any shares of any company included in any Underlying Asset set at maturity. The exchange traded fund to which your notes are linked has no duties or responsibilities in connection with the notes. The notes will be payable only in cash. You should not invest in the notes if you seek to have the shares of the Underlying Asset delivered to you at maturity. Changes that affect the index underlying the Underlying Asset will affect the market value of the notes, whether the notes will be automatically called, and the amount you will receive at maturity. Adjustments to the Underlying Asset could adversely affect the notes. We and our affiliates do not have any affiliation with the investment advisor of the Underlying Asset and are not responsible for its public disclosure of information. We have no affiliation with the sponsor of the index underlying the Underlying Asset and will not be responsible for its actions. The correlation between the performance of the Underlying Asset and the performance of the index underlying the Underlying Asset may be imperfect. The Underlying Asset is subject to management risks. The notes will not be listed on any securities exchange. There may be a lack of liquidity in the notes to allow you to trade or sell the notes easily. If you are able to sell the notes prior to maturity, you may receive a price that is significantly less than your original investment. We and our affiliates may engage in hedging and trading activities related to the notes that could adversely affect our payment to you at maturity. Many economic and market factors will influence the value of the notes. You must rely on your own evaluation of the merits of an investment linked to the Underlying Asset. Significant aspects of the tax treatment of the notes are uncertain. Each investor will agree to treat the notes as an investment unit consisting of (i) a non-contingent debt instrument issued by us to you, and (ii) a put option with respect to the Underlying Asset written by you and purchased by use, as described in more detail in the product supplement for the offering. The stocks included in the index underlying the Underlying Asset are concentrated in the oil and gas exploration and production sector. The stocks of the companies in the oil and gas sector are subject to swift price fluctuations caused by events relating to international politics, energy conservation, the success of exploration projects and tax and other governmental regulatory politics.

4 Hypothetical Calculations for the Payment at Maturity: Examples of the Hypothetical Payment at Maturity for a $1,000 Investment in the Notes The following table illustrates the hypothetical payments on a note at maturity, assuming that the notes are not automatically called. The hypothetical payments are based on a $1,000 investment in the note, a hypothetical Initial Stock Price of $100.00, a hypothetical Trigger Price of $80.00 (80% of the hypothetical Initial Stock Price), a hypothetical Call Level of $120 (120% of the hypothetical Initial Stock Price), the Interest Rate of 0.60% per month, a range of hypothetical Final Stock Prices and the effect on the payment at maturity if (i) a Trigger Event occurs or (ii) if a Trigger Event does not occur. The hypothetical examples shown below are intended to help you understand the terms of the notes. If the notes are not automatically called, the actual cash amount that you will receive at maturity will depend upon the Final Stock Price of the Reference Stock, and whether its closing price is below the Trigger Price on any trading day during the Monitoring Period. If the notes are automatically called prior to maturity, the hypothetical examples below will not be relevant, and you will receive on the applicable Call Settlement Date, for each $1,000 principal amount, the principal amount plus the applicable interest payment. These examples do not give effect to any tax payments you may need to make as a result of the payments on the notes, or any brokerage commissions that you may pay in connection with your purchase of the notes. Payment at Maturity (Excluding Interest Payments) Hypothetical Final Stock Price Hypothetical Final Stock Price Expressed as a Percentage of the Initial Stock Price (i) if the closing market price of the Reference Stock does not fall below the Trigger Price on any day during the Monitoring Period (ii) if the closing market price of the Reference Stock falls below the Trigger Price on any day during the Monitoring Period $ % $1, $1, $ % $1, $1, $ % $1, $1, $ % $1, $1, $ % $1, $ $ % $1, $ $ % $1, $ $ % N/A $ $ % N/A $ $ % N/A $ $ % N/A $ $ % N/A $0.00 4

5 Additional Information Neither the U.S. Securities and Exchange Commission (the SEC ), nor any state securities commission, has reviewed or approved these notes, nor or otherwise passed upon the accuracy of this document, the preliminary pricing supplement to which it relates or the accompanying product supplement, prospectus or prospectus supplement. Any representation to the contrary is a criminal offense. The notes will not constitute deposits insured under the Canada Deposit Insurance Corporation or by the U.S. Federal Deposit Insurance Corporation or any other Canadian or U.S. governmental agency or instrumentality. The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and the other documents that the issuer has filed with the SEC for more complete information about the issuer and this offering. You may obtain these documents free of charge by visiting the SEC s web site at Alternatively, the issuer will arrange to send to you the prospectus (as supplemented by the prospectus supplement and relevant preliminary pricing supplement) if you request it by calling its agent on or ing investor.solutions@bmo.com. These notes are medium-term notes issued by the Bank of Montreal. These notes may be offered to certain investors outside the United States in accordance with applicable local law. We urge non-u.s. investors to consult with an advisor to determine the extent to which their investment in the notes may give rise to any additional risks. The information in this term sheet is qualified in its entirety by the more detailed explanations set forth elsewhere in our preliminary pricing supplement dated, July 1, 2015 and the accompanying product supplement, prospectus and prospectus supplement. References to the prospectus mean our prospectus, dated June 27, 2014; references to the prospectus supplement mean our prospectus supplement dated June 27, 2014; and reference to the product supplement mean our product supplement dated June 30, (Capitalized terms used here or in the preliminary pricing supplement, which are defined in the accompanying product supplement, prospectus or prospectus supplement, shall have the respective meanings assigned to them in the product supplement, prospectus or prospectus supplement.) You may access these documents on the SEC website at as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website): Preliminary Pricing Supplement dated July 1, 2015: Product supplement dated June 30, 2014: Prospectus supplement dated June 27, 2014: Prospectus dated June 27, 2014: Our Central Index Key, or CIK, on the SEC website is As used in this term sheet, the Company, we, us or our refers to Bank of Montreal. IRS Circular 230 Notice: To ensure compliance with IRS Circular 230, you are hereby notified that: (a) any discussion of federal tax issues contained or referred to herein is not intended or written to be used, and cannot be used, by you for the purpose of avoiding penalties that may be imposed on you under the Internal Revenue Code; (b) such discussion is written in connection with the promotion or marketing by us of the transactions or matters addressed herein; and (c) you should seek advice based on your particular circumstances from an independent tax advisor. 5