Published on 8/28/2017 in the Prospect News Structured Products Daily.
New Issue: BMO sells $290,000 notes on basket of limited duration closed-end funds
By Marisa Wong
Morgantown, W.Va., Aug. 28 – Bank of Montreal priced $290,000 of notes due Sept. 7, 2018 linked to a basket of 22 closed-end funds selected in July by Raymond James & Associates, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The funds invest in short- to medium-term bonds and senior loans and other assets. Specifically, the reference shares are Apollo Senior Floating Rate Fund Inc. with a 4.5% weight, Ares Dynamic Credit Allocation Fund Inc. with a 5% weight, BlackRock Floating Rate Income Trust with a 4.5% weight, Wells Fargo Income Opportunities Fund with a 5% weight, Eaton Vance Senior Floating-Rate Trust with a 5% weight, Eaton Vance Floating-Rate Income Trust with a 5% weight, Eaton Vance Senior Income Trust with a 4% weight, Eaton Vance Short Duration Diversified Income Fund with a 4% weight, Eaton Vance Limited Duration Income Fund with a 5% weight, BlackRock Floating Rate Income Strategies Fund, Inc. with a 5% weight, New America High Income Fund, Inc. with a 3.5% weight, BlackRock Corporate High Yield Fund, Inc. with a 5% weight, Prudential Short Duration High Yield Fund, Inc. with a 5% weight, Nuveen Credit Strategies Income Fund with a 5% weight, Nuveen Floating Rate Income Opportunity Fund with a 5% weight, Nuveen Senior Income Fund with a 4.5% weight, Pioneer Floating Rate Trust with a 4.5% weight, Pioneer High Income Trust with a 4.5% weight, Putnam Premier Income Trust with a 5% weight, Western Asset Corporate Loan Fund Inc. with a 2.5% weight, THL Credit Senior Loan Fund with a 3.5% weight and Invesco Dynamic Credit Opportunities Fund with a 5% weight.
The payout at maturity will be par of $1,000 times 99.05% times the performance of the basket. Because of the 99.05% participation rate, investors will receive less than par if the basket return is less than 100.96% of its initial level.
The notes will pay a quarterly coupon equal to the 99.05% participation rate multiplied by the dividends paid on the underlying funds.
BMO Capital Markets Corp. is the agent.
Issuer: | Bank of Montreal
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Issue: | Notes
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Underlying funds: | Apollo Senior Floating Rate Fund Inc. with a 4.5% weight, Ares Dynamic Credit Allocation Fund Inc. with a 5% weight, BlackRock Floating Rate Income Trust with a 4.5% weight, Wells Fargo Income Opportunities Fund with a 5% weight, Eaton Vance Senior Floating-Rate Trust with a 5% weight, Eaton Vance Floating-Rate Income Trust with a 5% weight, Eaton Vance Senior Income Trust with a 4% weight, Eaton Vance Short Duration Diversified Income Fund with a 4% weight, Eaton Vance Limited Duration Income Fund with a 5% weight, BlackRock Floating Rate Income Strategies Fund, Inc. with a 5% weight, New America High Income Fund, Inc. with a 3.5% weight, BlackRock Corporate High Yield Fund, Inc. with a 5% weight, Prudential Short Duration High Yield Fund, Inc. with a 5% weight, Nuveen Credit Strategies Income Fund with a 5% weight, Nuveen Floating Rate Income Opportunity Fund with a 5% weight, Nuveen Senior Income Fund with a 4.5% weight, Pioneer Floating Rate Trust with a 4.5% weight, Pioneer High Income Trust with a 4.5% weight, Putnam Premier Income Trust with a 5% weight, Western Asset Corporate Loan Fund Inc. with a 2.5% weight, THL Credit Senior Loan Fund with a 3.5% weight and Invesco Dynamic Credit Opportunities Fund with a 5% weight
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Amount: | $290,000
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Maturity: | Sept. 7, 2018
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Coupon: | 99.05% of dividend of underlying funds; payable quarterly
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Price: | Par
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Payout at maturity: | Par times 99.05% times the basket return
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Initial price: | For each fund, average of its average intraday prices on Aug. 18, Aug. 21, Aug. 22 and Aug. 23
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Final price: | For each fund, average of its closing share prices on Aug. 28, 2018, Aug. 29, 2018, Aug. 30, 2018 and Aug. 31, 2018
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Pricing date: | Aug. 18
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Settlement date: | Aug. 25
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Agent: | BMO Capital Markets Corp., distribution by Raymond James
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Fees: | None
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Cusip: | 06367TA42
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