Bank of Montreal plans 7%-10% reverse exchangeables on iShares Russell

By Toni Weeks

San Diego, Feb. 10 - Bank of Montreal plans to price 7% to 10% autocallable reverse exchangeable notes due Feb. 28, 2013 linked to the iShares Russell 2000 index fund, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be payable quarterly. The exact coupon will be set at pricing.

The notes will be automatically called at par if the closing share price on any quarterly call date is equal to or greater than the initial share price. The call dates will be May 25, Aug. 28, 2012, Nov. 27, 2012 and Feb. 25, 2013.

If the notes are not called, the payout at maturity will be par unless iShares Russell shares ever close below the trigger price - 70% of the initial share price - and finish below the initial share price, in which case the payout will be a number of shares of the fund equal to $1,000 divided by the initial share price or, at the issuer's option, the cash equivalent.

BMO Capital Markets Corp. is the agent.

The notes (Cusip: 06366Q285) are expected to price Feb. 24 and settle Feb. 29.

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