By Angela McDaniels
Tacoma, Wash., Aug. 15 - Bank of Montreal priced $6.79 million of reverse exchangeable notes due Nov. 18, 2011 linked to a basket of common stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The three-month notes carry an interest rate of 12% per year. Interest is payable monthly.
The basket includes equal weights of Abercrombie & Fitch Co., Baidu, Inc., Cameron International Corp., Ford Motor Co., Freeport-McMoRan Copper & Gold Inc., SanDisk Corp., Tesoro Corp. and Wynn Resorts, Ltd.
The principal amount of each note is $2,000.
A conversion event will occur for a basket stock if that stock closes below its trigger price during the life of the notes and its final share price is less than its initial share price. The trigger price is 60% of the initial share price for Tesoro, 65% of the initial share price for Abercrombie & Fitch, Baidu, Cameron, SanDisk and Wynn Resorts and 70% of the initial share price for Ford and Freeport-McMoRan.
For each note, the payout at maturity will be (a) the physical delivery amount for each stock that recorded a conversion event plus (b) $250 in cash for each of the remaining stocks. The physical delivery amount equals $250 divided by the initial share price of that stock.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Reverse exchangeable notes
|
| Underlying stocks: | Abercrombie & Fitch Co., Baidu, Inc., Cameron International Corp., Ford Motor Co., Freeport-McMoRan Copper & Gold Inc., SanDisk Corp., Tesoro Corp. and Wynn Resorts, Ltd., equally weighted
|
| Amount: | $6.79 million
|
| Maturity: | Nov. 18, 2011
|
| Coupon: | 12%, payable monthly
|
| Price: | Par of $2,000
|
| Payout at maturity: | Number of shares equal to $250 divided by initial share price for each basket stock that closes below trigger price during life of notes and finishes below initial share price; $250 in cash for each remaining basket stock
|
| Initial share prices: | $65.64 for Abercrombie & Fitch; $140.79 for Baidu; $43.76 for Cameron; $10.41 for Ford; $43.55 for Freeport-McMoRan; $36.51 for SanDisk; $18.66 for Tesoro; $134.68 for Wynn Resorts
|
| Trigger prices: | 60% of initial share price for Tesoro; 65% of initial share price for Abercrombie & Fitch, Baidu, Cameron, SanDisk and Wynn Resorts; 70% of the initial share price for Ford and Freeport-McMoRan
|
| Pricing date: | Aug. 10
|
| Settlement date: | Aug. 17
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | 1.75%
|
| Cusip: | 06366QTR8
|
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