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Published on 12/2/2011 in the Prospect News Structured Products Daily.

Bank of Montreal plans 8%-10% two-year autocallable reverse exchangeables tied to iShares Russell

By Susanna Moon

Chicago, Dec. 2 - Bank of Montreal plans to price 8% to 10% autocallable reverse exchangeable notes due Dec. 30, 2013 linked to the iShares Russell 2000 index fund, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable quarterly.

The notes will be called at par if the closing fund price is at or above the initial price on any quarterly call date.

The payout at maturity will be par unless the fund ever closes below the trigger price - 60% of the initial share price - during the life of the notes and finishes below the initial price, in which case the payout will be a number of shares equal to $1,000 divided by the initial price or, at the issuer's option, the cash equivalent.

BMO Capital Markets Corp. is the agent.

The notes will price on Dec. 22 and settle on Dec. 28.

The Cusip number is 06366QQ75.


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