BMO plans notes linked to Raymond James CEFR Domestic Equity index

New York, Aug. 8 – Bank of Montreal plans to price 0% equity-linked index notes due June 30, 2021 linked to the Raymond James CEFR Domestic Equity Total Return index, according to an FWP filing with the Securities and Exchange Commission.

The index is composed of closed-end funds selected from a universe of roughly 560 U.S. closed-end funds that are included in either the Morningstar U.S. Sector Equity category or the Morningstar U.S. Equity category. The index’s features and construction seek to measure at least 25 closed-end funds that meet certain minimum market capitalization and daily average value traded characteristics that are then given a modified volume weighting. The constituents are then ranked according to their respective discount to NAV, with those with the lowest discount ranking higher in the index.

The notes will pay a quarterly coupon approximately equal to the distributions paid by each of the closed-end funds that make up the index, reduced by the 97.5% participation rate.

The payout at maturity will be par multiplied by the index return, which could be negative, multiplied by the 97.5% participation rate.

Investors will receive less than their initial investments if the index does not increase by at least 2.56%.

BMO Capital Markets Corp. is the underwriter.

The notes are expected to price on Aug. 24 and settle on Aug. 31.

The Cusip number is 06367WAZ6.

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