New Issue: BMO sells $1.89 million notes on basket of limited duration closed-end funds

By Marisa Wong

Morgantown, W.Va., Aug. 28 – Bank of Montreal priced $1.89 million 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 97.80% times the performance of the basket. Because of the 97.80% participation rate, investors will receive less than par if the basket return is less than 102.25% of its initial level.

The notes will pay a quarterly coupon equal to the 97.80% participation rate multiplied by the dividends paid on the underlying funds.

BMO Capital Markets Corp. is the agent.

Issuer:	Bank of Montreal
Issue:	Notes
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
Amount:	$1,894,000
Maturity:	Sept. 7, 2018
Coupon:	97.80% of dividend of underlying funds; payable quarterly
Price:	Par
Payout at maturity:	Par times 97.80% times the basket return
Initial price:	For each fund, average of its average intraday prices on Aug. 18, Aug. 21, Aug. 22 and Aug. 23
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
Pricing date:	Aug. 18
Settlement date:	Aug. 25
Agent:	BMO Capital Markets Corp., distribution by Raymond James
Fees:	1.25%
Cusip:	06367TA34

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