BMO plans notes tied to basket of limited duration closed-end funds

By Marisa Wong

Morgantown, W.Va., Sept. 18 – Bank of Montreal plans to price notes due Oct. 12, 2018 linked to a basket of 23 closed-end funds selected in August by Raymond James & Associates, Inc., according to an FWP 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 2.75% weight, Eaton Vance Short Duration Diversified Income Fund with a 3.25% weight, Eaton Vance Limited Duration Income Fund with a 5% weight, First Trust Senior Floating Rate Income Fund II with a 4.5% weight, BlackRock Floating Rate Income Strategies Fund, Inc. with a 5% weight, First Trust High Income Long/Short Fund with a 5% weight, New America High Income Fund, Inc. with a 2.5% 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 Senior Income Fund with a 4.25% weight, Pioneer Floating Rate Trust with a 4.25% weight, Pioneer High Income Trust with a 5% weight, Putnam Premier Income Trust with a 5% weight, Western Asset Corporate Loan Fund Inc. with a 1.75% weight, THL Credit Senior Loan Fund with a 2.75% 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 102.25% 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.

The notes will settle on Sept. 29.

The Cusip number is 06367TC73.

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