Bank of Montreal Canadian Equity Booster Principal At Risk Notes, Series 51 (CAD)
←
→
Page content transcription
If your browser does not render page correctly, please read the page content below
Pricing Supplement No. 9 August 17, 2016
(to prospectus supplement no. 1 dated May 17, 2016 and the short form base shelf
prospectus dated May 17, 2016)
Bank of Montreal Canadian Equity Booster
Principal At Risk Notes, Series 51 (CAD)
Due September 7, 2021
Unsecured
This pricing supplement (the “Pricing Supplement”) relates to the offering of Bank of Montreal Canadian Equity Booster
Principal At Risk Notes, Series 51 (CAD) (each a “Note” and collectively, the “Notes”) issued by Bank of Montreal (the
“Bank”) and scheduled to mature on September 7, 2021 (“Maturity” or the “Maturity Date”). The Notes are designed to
provide investors with the opportunity for an enhanced or “boosted” return over the term of the Notes. The Notes are
Canadian dollar denominated notes linked to the price performance of the S&P/TSX 60 Index (Price Return Version) (the
“Reference Index”).
The Notes will provide investors with a return at Maturity linked to the price return of the Reference Index. If the price
return of the Reference Index is equal to or above the Booster Level (or an Index Return of -10%) on the Final Valuation
Date, the return payable on the Notes will equal the Boosted Return plus 10% participation in any positive price
performance of the Reference Index beyond the Boosted Return. The “Boosted Return” for these Notes will be 40.00%
(equivalent to 6.96% per annum, compounded annually). If the Final Level of the Reference Index is less than the Booster
Level on the Final Valuation Date, the return payable on the Notes will equal the actual price return of the Reference Index
(which would be negative) and a holder of Notes (a “Holder”) will lose some or substantially all of his her or its principal
investment in the Notes. The Principal Amount is not protected under these Notes and Holders will be fully exposed to any
negative price performance of the Reference Index beyond the Booster Level, subject to a minimum principal repayment
of $1.00 per Note. See “Terms of the Offering — Suitability for Investment” in this Pricing Supplement.
The Notes are not equivalent to a direct or indirect investment in any of the constituent securities that comprise the
Reference Index. Holders do not have an ownership interest or other interest (including, without limitation, voting rights
or rights to receive dividends or distributions) in any of the constituent securities comprising the Reference Index. Holders
only have a right against the Bank to be paid any amounts due under the Notes. The Closing Level of the Reference Index
on the Final Valuation Date is used as a reference to determine the amount of the Maturity Payment. The Notes are
linked to the price return version of the S&P/TSX 60 Index which reflects only the applicable price changes of its
constituent securities and not the payment of dividends, distributions or other income or amounts accruing
thereon. The dividend yield of the S&P/TSX 60 Index on August 11, 2016 was 2.91%, representing an aggregate
dividend yield of approximately 15.44% compounded annually over the term of the Notes (assuming the dividend yield
remains constant).
This Pricing Supplement will be delivered together with the short form base shelf prospectus for Medium Term Notes
(Principal At Risk Notes) dated May 17, 2016 (the “Base Shelf Prospectus”) establishing the Bank’s Principal At Risk
Note Program (the “MTN Program”) and prospectus supplement no. 1 dated May 17, 2016 (the “Product Supplement”),
which generally describes the features of enhanced return notes that may be offered by the Bank under the MTN Program.
This Pricing Supplement, together with the Base Shelf Prospectus and Product Supplement and each document
incorporated by reference therein, constitutes a public offering of the Notes only in those jurisdictions where they may be
lawfully offered for sale and therein only by persons permitted to sell such Notes. No securities regulatory authority has
expressed an opinion about these Notes and it is an offence to claim otherwise.
The Notes will not constitute deposits insured under the Canada Deposit Insurance Corporation Act.
A Holder’s return on the Notes will depend on the price performance of the Reference Index over the term of the
Notes. Bank of Montreal does not guarantee that a Holder will receive an amount equal to or greater than his or
her principal investment in the Notes and does not guarantee that any return will be paid on the Notes at Maturity
other than the Minimum Payment Amount. Since the Notes are not protected and the Principal Amount will be at
risk, it is possible that a Holder could lose some or substantially all of his or her principal investment in the Notes.
See “Certain Risk Factors” in the Base Shelf Prospectus, “Additional Risk Factors Specific to Enhanced Return
Notes” in the Product Supplement and “Terms of the Offering — Risk Factors” in this Pricing Supplement.
PS9–1Any capitalized terms used but not defined herein have the meaning ascribed to them in the Product Supplement or
Base Shelf Prospectus, as the case may be. The “Reference Index” is a “Reference Asset” and the “Index Return” is
an “Asset Return” as those terms are used in the Base Shelf Prospectus and the Product Supplement. When
reviewing the information contained in the Base Shelf Prospectus and Product Supplement in conjunction with this
Pricing Supplement, references to a “Reference Asset” should be read as a “Reference Index” and references to an
“Asset Return” should be read as an “Index Return”.
Price: $100.00 Per Note
Minimum Subscription: $2,000.00 (20 Notes)
Selling Commissions
Price to Public and Dealers’ Fee(2)(3) Net Proceeds to the Bank
Per Note ...................................................................... $100.00 $3.00 $97.00
Total(1)......................................................................... $15,000,000.00 $450,000.00 $14,550,000.00
(1)
Reflects the maximum offering size. The Bank reserves the right to change the maximum offering size in its sole and absolute discretion.
There is no minimum amount of funds that must be raised under this offering. This means that the Bank could complete this offering
after raising only a small proportion of the offering amount set out above.
(2)
A selling concession fee of $3.00 per Note sold is payable to the Dealers for further payment to representatives, including representatives
employed by the Dealers, whose clients purchase the Notes. An additional fee of up to $0.20 per Note sold (or 0.20%) will be payable directly
by the Bank to Desjardins Securities Inc. at closing from its own funds for acting as independent agent.
(3)
Reflects the maximum Dealers’ fee that may be payable under the offering.
The Bank expects the estimated value of the Notes on the Issue Date, based on its internal pricing models, will be
$93.39 per $100.00 principal amount, which is less than the issue price. The estimated value is not an indication of
actual profit to the Bank or any of its affiliates, nor is it an indication of the price at which BMO Nesbitt Burns Inc.
(“BMO Capital Markets”) or any other person may be willing to purchase the Notes. See “Terms of the Offering
— Risk Factors” in this Pricing Supplement.
DISTRIBUTION OF THE NOTES
BMO Nesbitt Burns Inc. and Desjardins Securities Inc. (together, the “Dealers”), as agents of the Bank, have agreed
to solicit offers to purchase Notes, on a reasonable best efforts basis, if, as and when such Notes are issued by the
Bank, pursuant to the terms and conditions contained in a dealer agreement dated May 17, 2016, between the Bank
and a syndicate of dealers, including the Dealers, and subject to the approval of certain legal matters by Torys LLP,
as counsel to the Bank, and Stikeman Elliott LLP, as counsel to the Dealers. The Notes may be purchased through
the FundSERV settlement system using the code set forth herein. No interest will be paid on account of funds
deposited through FundSERV pending closing of the offering or return of such funds if subscriptions are rejected or
not fully allotted by Bank.
BMO Nesbitt Burns Inc., one of the Dealers, is a wholly-owned subsidiary of the Bank. As a result, the Bank is a
“related issuer” of BMO Nesbitt Burns Inc. for the purpose of National Instrument 33-105 - Underwriting
Conflicts. See “Plan of Distribution” in the Base Shelf Prospectus. Desjardins Securities Inc., as the independent
Dealer, has performed due diligence in connection with this offering of Notes but has not participated in the
structuring or the pricing of this offering.
The Notes will not be listed on any stock exchange. BMO Capital Markets will use reasonable efforts under normal
market conditions to provide for a daily secondary market for the sale of the Notes through the order entry system
operated by FundSERV Inc. (“FundSERV”) but reserves the right to elect not to do so in the future, in its sole and
absolute discretion, without prior notice to Holders. Notes may be resold through the FundSERV network at a price
determined at the time of sale by the Calculation Agent, which price may be lower than the Principal Amount of
such Notes and will be subject to specified Early Trading Charges, depending on when the Notes are sold. There is
no assurance that a secondary market for the Notes will develop or be sustained. See the sections entitled
“Description of the Notes ― Secondary Market”, “Description of the Notes ― FundSERV” and “Certain Risk
Factors” in the Base Shelf Prospectus, “Secondary Market”, “Calculation Agent” and “Additional Risk Factors
Specific to Enhanced Return Notes” in the Product Supplement and the description under the heading “Terms of the
Offering ― Listing and Secondary Market” in this Pricing Supplement.
The Notes to be offered hereunder have not been, and will not be, registered under the United States Securities Act
of 1933, as amended (the “U.S. Securities Act”) and, subject to certain exceptions, may not be offered, sold or
PS9–2delivered, directly or indirectly, in the United States of America, its territories, its possessions and other areas
subject to its jurisdiction or to, or for the account or benefit of, a U.S. person (as defined in Regulation S under the
U.S. Securities Act).
“BMO (M bar roundel symbol)”, “BMO” and “BMO Capital Markets” are registered trademarks of Bank of
Montreal used under license.
PS9–3PROSPECTUS FOR NOTES
The Notes will be issued under the MTN Program and will be direct, unsubordinated and unsecured debt obligations
of the Bank. The Notes are described in three separate documents: (1) the Base Shelf Prospectus, (2) the Product
Supplement, and (3) this Pricing Supplement, all of which collectively constitute the “prospectus” for the Notes.
See “About this Prospectus” in the Product Supplement.
DOCUMENTS INCORPORATED BY REFERENCE
This Pricing Supplement, together with the Product Supplement, is deemed to be incorporated by reference into the
Base Shelf Prospectus solely for the purpose of the MTN Program and the Notes issued hereunder.
The following documents, filed by the Bank with the Office of the Superintendent of Financial Institutions Canada
and/or the various securities commissions or similar authorities in Canada, are specifically incorporated by reference
into and form an integral part of this Pricing Supplement:
(a) the Bank’s Annual Information Form dated December 1, 2015;
(b) the Bank’s audited consolidated financial statements as at and for the year ended October 31, 2015 with
comparative consolidated financial statements as at and for the year ended October 31, 2014, together with
the auditors’ report thereon and the auditors’ report on internal control over financial reporting as of
October 31, 2015 under Standards of the Public Company Accounting Oversight Board (United States);
(c) the Bank’s Management’s Discussion and Analysis for the year ended October 31, 2015;
(d) the Bank’s unaudited consolidated interim financial statements as at and for the three and six months
ended April 30, 2016;
(e) the Bank’s Management’s Discussion and Analysis for the three and six months ended April 30, 2016;
(f) the Bank’s Management Proxy Circular dated February 8, 2016 in connection with the annual meeting of
shareholders of the Bank held on April 5, 2016; and
(g) the Bank’s marketing materials titled “Bank of Montreal Canadian Equity Booster Principal At Risk
Notes, Series 51 (CAD), Due September 7, 2021” dated the date hereof.
Any statement contained in the Base Shelf Prospectus, the Product Supplement, this Pricing Supplement or
in a document incorporated or deemed to be incorporated by reference herein or in the prospectus for the
purposes of the offering of the Notes shall be deemed to be modified or superseded for purposes of this
Pricing Supplement to the extent that a statement contained herein or in any other subsequently filed
document which also is or is deemed to be incorporated by reference herein or in the prospectus modifies or
supersedes such statement. The modifying or superseding statement need not state that it has modified or
superseded a prior statement nor include any other information set forth in the document that it modifies or
supersedes. The making of a modifying or superseding statement is not to be deemed an admission for any
purposes that the modified or superseded statement, when made, constituted a misrepresentation, an untrue
statement of a material fact or an omission to state a material fact that was required to be stated or that was
necessary to make a statement not misleading in light of the circumstances in which it was made. Any
statement so modified or superseded will not be deemed, except as so modified or superseded, to constitute a
part of this Pricing Supplement.
Information has been incorporated by reference in the Base Shelf Prospectus from documents filed with the
securities commissions or similar regulatory authorities in Canada. Copies of the documents incorporated
herein by reference may be obtained on request without charge from the Corporate Secretary, Bank of
Montreal, 100 King Street West, 1 First Canadian Place, 21st Floor, Toronto, Ontario, M5X 1A1, telephone:
(416) 867-6785 and are also available electronically at http://www.sedar.com.
FORWARD-LOOKING STATEMENTS
Certain statements included in this Pricing Supplement constitute forward-looking statements, including those
identified by the expressions “anticipate”, “believe”, “plan”, “estimate”, “expect”, “intend” and similar expressions
PS9–4to the extent they relate to the Bank or the Reference Index. The forward-looking statements are not historical facts
but reflect the Bank’s current expectations regarding future results or events and are based on information currently
available to management. Reference is also made to the disclosure relating to forward-looking statements contained
in the Bank’s most recent Management’s Discussion and Analysis. These forward-looking statements are subject to
a number of risks and uncertainties that could cause actual results or events to differ materially from current
expectations or a forecast, projection or conclusion in such forward-looking statements, including the matters
discussed under “Certain Risk Factors” in the Base Shelf Prospectus and “Additional Risk Factors Specific to
Enhanced Return Notes” in the Product Supplement.
PS9–5TERMS OF THE OFFERING
The principal terms of the Notes set out below should be read in conjunction with the Base Shelf Prospectus and the Product Supplement, and are
incorporated by reference into the Base Shelf Prospectus. Capitalized terms not defined herein have the meanings given to them in the Product
Supplement or the Base Shelf Prospectus, as the case may be. The “Reference Index” is a “Reference Asset” and the “Index Return” is an “Asset
Return” as those terms are used in the Base Shelf Prospectus and the Product Supplement. The Notes are denominated in Canadian dollars and in
this Pricing Supplement, “$” refer to Canadian dollars, unless otherwise specified.
Issue: Bank of Montreal Canadian Equity Booster Principal At Risk Notes, Series 51 (CAD), Due
September 7, 2021.
Issuer: Bank of Montreal.
Principal Amount: $100.00 per Note.
Minimum Subscription: $2,000.00 (20 Notes).
Issue Size: Maximum $15,000,000.00 of Notes. The Bank reserves the right to change the maximum issue
size in its sole and absolute discretion.
Issue Date: On or about September 7, 2016.
Final Valuation Date: September 2, 2021.
Maturity Date: September 7, 2021.
Term: Approximately five (5) years.
Reference Index: S&P/TSX 60 Index (Price Return Version) (see Appendix C (The Reference Index) for further
information on the Reference Index).
An investment in the Notes does not represent a direct or indirect investment in any of the
constituent securities that comprise the Reference Index, and Holders will have no right or
entitlement to such securities, including any dividends, distributions or other income or amounts
payable on the constituent securities that comprise the Reference Index. The dividend yield of
the S&P/TSX 60 Index on August 11, 2016 was 2.91%, representing an aggregate dividend
yield of approximately 15.44% compounded annually over the term of the Notes (assuming the
dividend yield remains constant). See “The Reference Index”.
Index Sponsor: Standard & Poor’s Financial Services LLC or a person appointed by Standard & Poor’s
Financial Services LLC to act as calculation agent for the Reference Index.
Initial Level: Closing Level of the Reference Index on the Issue Date.
Final Level: Closing Level of the Reference Index on the Final Valuation Date.
Boosted Return: 40.00% where the Index Return is greater than or equal to -10% and equal to or less than
40.00%.
Booster Level: 90% of the Initial Level (or an Index Return of -10%).
Participation Rate: 10% participation where the Final Level is above the Boosted Return.
Downside Participation: 100% participation where the Final Level is below the Booster Level.
Payment at Maturity: At Maturity, a Holder will receive payment of an amount based on the price return (positive or
negative) of the Reference Index. The amount payable on the Notes (the “Maturity Payment
Amount”) will be determined as follows:
(i) If the Final Level of the Reference Index is equal to or above the Booster Level on the
Final Valuation Date, the Maturity Payment Amount on the Notes will be equal to:
$100.00 + [$100.00 x (Boosted Return + Excess Return)]
A Holder will only receive an “Excess Return” when the Index Return is greater than the
PS9–6Boosted Return on the Final Valuation Date. In such circumstances, the Excess Return will
be calculated using the following formula:
(Index Return – Boosted Return) x Participation Rate
The “Participation Rate” for these Notes is 10%. The “Boosted Return” for these Notes
is 40%.
(ii) If the Final Level of the Reference Index is below the Booster Level on the Final
Valuation Date, the Maturity Payment Amount will be calculated as follows (subject to the
Minimum Payment Amount of $1.00 per Note):
$100 + ($100 x Index Return)
See Appendix A (Price Return Profile) and Appendix B (Sample Calculations of Maturity
Payment Amount) to this Pricing Supplement for further discussion of the payout
calculations for the Notes under different hypothetical price return scenarios.
Maximum Payment Amount: None.
Minimum Payment Amount: $1.00 per Note.
Fees and Expenses: A selling concession fee of $3.00 per Note will be payable to the Dealers for further payment to
representatives, including representatives employed by the Dealers, whose clients purchase the
Notes. A fee of up to $0.20 per Note sold (or 0.20%) will be payable directly by the Bank to
Desjardins Securities Inc. at closing from its own funds for acting as independent agent. The
payment of these fees will not reduce the amount on which the Maturity Payment Amount
payable on the Notes is calculated at Maturity.
Status/Rank: The Notes will be issued on an unsecured and unsubordinated basis and will rank equally, as
among themselves, and with all other outstanding direct, unsecured and unsubordinated, present
and future obligations of the Bank (except as otherwise prescribed by law), and will be payable
ratably without any preference or priority.
Credit Rating: The Notes have not been and will not be rated by any credit rating organization. As of the
date of this Pricing Supplement, the deposit liabilities of the Bank with a term to maturity of
more than one year were rated Aa3 by Moody’s Investors Service Inc., A+ by Standard &
Poor’s and AA by DBRS Limited. There is no assurance that, if the Notes were rated by such
rating agencies, they would have the same rating as the other deposit liabilities of the Bank. A
rating is not a recommendation to buy, sell or hold investments, and may be subject to
revision or withdrawal at any time by the relevant rating agency.
Listing and Secondary The Notes will not be listed on any exchange or marketplace. BMO Nesbitt Burns Inc. (“BMO
Market: Capital Markets”) will use reasonable efforts under normal market conditions to provide a
daily secondary market for the sale of the Notes by Holders through the FundSERV network but
reserves the right to elect not to do so in the future, in its sole and absolute discretion, without
prior notice to Holders. See “Secondary Market” in the Product Supplement and “Description of
the Notes — FundSERV” in the Base Shelf Prospectus.
Early Trading Charge: If a Note is sold within the first 360 days after the Issue Date, the proceeds from the sale of the
Note will be reduced by an Early Trading Charge equal to a percentage of the Principal Amount
determined as follows:
If Notes sold within: Early Trading Charge
0 – 90 days 4.50%
91 – 180 days 3.30%
181 – 270 days 2.10%
271 – 360 days 1.10%
Thereafter Nil
PS9–7Special Circumstances: See “Special Circumstances” in the Product Supplement for a description of certain special
circumstances, including a Market Disruption Event and an Extraordinary Event, which may
result in an adjustment to the calculation or timing of payments due on the Notes.
Calculation Agent: BMO Capital Markets.
Dealers: BMO Nesbitt Burns Inc. and Desjardins Securities Inc.
Book-Entry Only System: Book-entry only through CDS. See “Description of the Notes — Form of Notes and Transfer” in
the Base Shelf Prospectus.
Eligibility for Investment: Eligible for trusts governed by RRSPs, RRIFs, RESPs, RDSPs, TFSAs and DPSPs (other than a
trust governed by a DPSP to which contributions are made by the Bank or by an employer with
which the Bank does not deal at arm’s length within the meaning of the Tax Act).
Additional Tax Information: For additional information about the Canadian federal income tax considerations associated with
an investment in the Notes and the eligibility of the Notes for investment for certain registered
plans, see “Certain Canadian Federal Income Tax Considerations” and “Eligibility for
Investment” in the Product Supplement.
Continuous Disclosure: Ongoing information about the price performance of the Notes will be available to Holders on
the Bank’s structured products website (www.bmosp.com). For additional information with
respect to continuous disclosure, please refer to “Description of the Notes — Continuous
Disclosure” in the Product Supplement.
FundSERV Code: JHN8364.
Suitability for Investment: Investors should independently determine, with their own advisors, whether an investment in the
Notes is suitable for them having regard to their own investment objectives and expectations.
The Notes may be suitable for:
investors who are seeking a medium term investment and who have an investment
strategy consistent with the features of the Notes;
investors seeking the opportunity for an enhanced return over other traditional equity or
fixed rate investments and who are prepared to assume the risks associated with an
investment linked to equity markets;
investors seeking exposure to the large-cap segment of the Canadian equity markets;
investors who are comfortable with the price return of the Reference Index measured at
issuance and Maturity only and willing to forego dividends, distributions or other
amounts payable on the constituent securities that comprise the Reference Index in
exchange for the potential to receive a predetermined “boosted” return on the Notes;
investors who are comfortable with no principal protection on an investment in the
Notes; and
investors who have considered the risks associated with an investment in the Notes.
An investment in the Notes is not suitable for investors seeking a guaranteed return or who
cannot withstand to lose some or substantially all of their investment. Investors should
independently determine, with their own advisors, whether an investment in the Notes is
suitable for them having regard to their own investment objectives and expectations.
Risk Factors: Risk factors relating to the Notes include but are not limited to the following:
the return on the Notes is calculated using the price return of the Reference Index only. As
such, an investment in the Notes is not the same as making a direct or indirect investment in
the constituent securities that comprise the Reference Index, including the right to receive
dividends, distributions or other income or amounts payable on the constituent securities
that comprise the Reference Index;
there is no principal protection provided by these Notes. As a result, a Holder will be fully
exposed to the downside risks associated with an investment in the constituent securities of
the Reference Index. If the Final Level of the Reference Index is below the Booster Level,
then a Holder will receive less than the Principal Amount he or she invested in the Notes
PS9–8and could lose some or substantially all of his or her principal investment in the Notes;
there may be no return payable on the Notes at Maturity. There will be no interest or other
payments made during the term of the Notes and there can be no assurance that the Index
Return will be positive at Maturity;
the Bank’s estimated value of the Notes on the Issue Date is only an estimate, and based on
a number of factors. The estimated value was determined on the pricing date using the
Bank’s internal pricing models, which take into account a number of variables and
assumptions about future events that may prove to be incorrect, including expectations as to
dividends and distributions, volatility, interest rates and the Bank’s internal funding rates.
The Bank’s internal funding rates may differ from the market rates for the Bank’s
conventional debt securities. The use of different pricing models and assumptions could
result in materially different values as compared to the Bank’s estimated value. An
estimated value calculated on the Issue Date may differ from the current estimate, and the
actual value of the Notes at any time will reflect many factors and cannot be predicted with
accuracy;
the initial offering price of the Notes exceeds the estimated value of the Notes. The
difference between the initial offering price and the estimated value of the Notes results
from several factors, including any fees to be paid to the Dealers, the estimated profit that
the Bank and its affiliates expect to earn (which may or may not be realized) for assuming
the risks in hedging the Bank’s obligations under the Notes, and the estimated cost of
hedging these obligations. The Bank has adopted written policies and procedures for
determining the estimated value of the Notes which include: (i) the methodologies used for
valuing each type of component embedded in the Notes, (ii) the methods by which the
Bank will review and test valuations to assess the quality of the prices obtained as well as
the general functioning of the valuation process, and (iii) conflicts of interest;
the estimated value of the Notes is not an indication or prediction of the price at which
BMO Capital Markets or any other person may be willing to purchase or sell the Notes in
the secondary market. The value of the Notes after the date of this Pricing Supplement will
vary based on many factors, including changes in market conditions, and cannot be
predicted with accuracy. As a result, the actual value that a Holder would receive upon
selling the Notes in the secondary market, if any, should be expected to differ materially
from the initial estimated value of the Notes. See “Additional Risk Factors Specific to
Enhanced Return Notes – General Risks Relating to Principal At Risk Notes - Secondary
Trading of the Notes” in the Product Supplement and “Secondary Market – Sale Prior to
Maturity” in the Product Supplement for more information concerning the value of the
Notes in the daily secondary market;
subsidiaries of the Bank (including BMO Capital Markets) and the Dealers have published,
and in the future expect to publish, research reports with respect to the Reference Index or
the constituent securities of such index, which research may express opinions or provide
recommendations that are inconsistent with purchasing or holding the Notes, and the Bank
(including BMO Capital Markets) and the Dealers may engage in transactions that affect
the price performance of the Reference Index or the constituent securities of such index;
the historical price performance of the Reference Index should not be interpreted as an
indication of future price performance of the Reference Index and the return on the Notes
will not reflect a direct or indirect investment in the constituent securities that comprise the
Reference Index;
the Index Sponsor has no obligations with respect to the Notes, and may make changes to
the Reference Index that could affect amounts payable on the Notes and the value of the
Notes in any secondary market;
the Reference Index may be replaced with a successor Index or other similar reference asset
in certain circumstances;
none of the Bank, the Dealers or any of their respective affiliates or associates, has any
obligation or responsibility for the provision of future information in respect of the Index
Sponsor, the Reference Index, any of the constituent securities comprising the Reference
Index or any issuers of such constituent securities, and investors shall have no recourse
against the Bank, the Dealers or any of their respective affiliates or associates in connection
PS9–9with any information relating to the Reference Index, the Index Sponsor, any of the
constituent securities comprising the Reference Index or any issuers of such constituent
securities that is not contained in this Pricing Supplement;
risks relating to the constituent securities of the Reference Index are also applicable to an
investment in the Notes; and
the Notes have not been rated and will not be insured by the Canada Deposit Insurance
Corporation or any other entity and therefore the payments to Holders will be dependent
upon the financial health and creditworthiness of the Bank.
Investors should carefully consider with their advisors all of the information set out in the
prospectus for any potential investment in the Notes. In particular, investors should evaluate
the key risks highlighted above as well as the risks under “Certain Risk Factors” in the Base
Shelf Prospectus and under the heading “Additional Risk Factors Specific to Enhanced Return
Notes” in the Product Supplement.
PS9–10APPENDIX A
PRICE RETURN PROFILE
The return profile below is provided for illustration purposes only. This graph demonstrates the payment on the
Notes based on a specific price return on the Reference Index at Maturity. There can be no assurance that any
specific return will be achieved on the Notes. All examples assume that a Holder has purchased Notes with an
aggregate Principal Amount of $100.00, that a Holder holds the Notes until Maturity and that no Extraordinary
Event has occurred during the term of the Notes.
The centre horizontal line represents the range of possible price returns that could be generated by the Reference
Index over the term of the Notes.
If the Final Level of the Reference Index is equal to or above the Booster Level of 90% of the Initial Level (or an
Index Return of -10%) on the Final Valuation Date, a Holder will receive a return on the Notes at Maturity equal to
the Boosted Return plus 10% participation in any positive price performance of the Reference Index beyond the
Boosted Return. The Boosted Return for these Notes will be 40.00% (equivalent to 6.96% per annum, compounded
annually). There is no cap or maximum amount payable on the Notes.
If the Final Level of the Reference Index is below the Booster Level on the Final Valuation Date, a Holder will
receive an amount per Note equal to the Principal Amount less $100.00 multiplied by the actual Index Return
(which would be negative). There is no principal protection provided by the Notes so a Holder could lose some or
PS9-11substantially all of his or her principal investment in the Notes (subject to a minimum principal repayment of $1.00
per Note).
The table below shows the Maturity Payment Amount that a Holder would receive on the Notes based on various
hypothetical Index Returns:
Index Return Enhanced Note Maturity Payment Compounded Annual
Return Amount Return
100.00% 46.00% $146.00 7.86%
90.00% 45.00% $145.00 7.71%
80.00% 44.00% $144.00 7.56%
70.00% 43.00% $143.00 7.41%
60.00% 42.00% $142.00 7.26%
50.00% 41.00% $141.00 7.11%
40.00% 40.00% $140.00 6.96%
30.00% 40.00% $140.00 6.96%
20.00% 40.00% $140.00 6.96%
10.00% 40.00% $140.00 6.96%
0.00% 40.00% $140.00 6.96%
-10.00% 40.00% $140.00 6.96%
-15.00% -15.00% $85.00 -3.20%
-20.00% -20.00% $80.00 -4.36%
-30.00% -30.00% $70.00 -6.88%
-40.00% -40.00% $60.00 -9.71%
-50.00% -50.00% $50.00 -12.94%
-60.00% -60.00% $40.00 -16.74%
-70.00% -70.00% $30.00 -21.39%
-80.00% -80.00% $20.00 -27.51%
-90.00% -90.00% $10.00 -36.89%
-100.00% -99.00% $1.00 -60.17%
The Index Return will be calculated based on the price return version of the S&P/TSX60 Index, which will not
reflect the value of any dividends, distributions or other income or amounts accruing on the constituent securities of
the Reference Index.
PS9–12APPENDIX B
SAMPLE CALCULATIONS OF MATURITY PAYMENT AMOUNT
The following examples show how the Index Return and Maturity Payment Amount would be calculated based on
certain hypothetical values and assumptions set out below. These examples are for illustrative purposes only and
should not be construed as an estimate or forecast of the price performance of the Reference Index or the
return that a Holder might realize on the Notes.
The Index Return will be calculated based on the price return version of the S&P/TSX60 Index, which will not
reflect the value of any dividends, distributions or other income or amounts accruing on the constituent securities of
the Reference Index. For purposes of these examples, the Initial Level is assumed to be 850.00. The following
values can then be determined:
Initial Level = 850.00
Booster Level = 90% of Initial Level = 765.00
Boosted Return = 40%
Participation Rate = 10% beyond Boosted Return
Downside Participation = 100% participation below Booster Level
Based on the terms of the Notes in this Pricing Supplement, there is no Maximum Payment Amount on the Notes
and the Minimum Payment Amount is $1.00 per Note.
Example #1 — Negative Index Return (Final Level below Booster Level)
Step 1 - Calculating the Index Return
If the Final Level on the Final Valuation Date was 510.00, then the Final Level would be below the Initial Level,
resulting in a negative Index Return for the Reference Index.
PS9–13The Index Return would be calculated as follows:
Index Return = (Final Level – Initial Level) = (510.00 – 850.00) = -40.00%
Initial Level 850.00
Step 2 - Calculating the Maturity Payment Amount
Since the Final Level is below the Booster Level on the Final Valuation Date, the Maturity Payment Amount would
be calculated as follows:
Maturity Payment Amount = $100.00 + ($100.00 x Index Return)
= $100.00 + ($100.00 x -40.00%) = $60.00 per Note
In this example, a Holder would receive payment of $60.00 for each $100.00 Note on the Maturity Date (which is
equivalent to a compounded annual loss of 9.71% on the Notes).
Example #2 — Negative Index Return (Final Level between Booster Level and Boosted Return)
Step 1 - Calculating the Index Return
If the Final Level on the Final Valuation Date was 765.00, the Final Level would be below the Initial Level,
resulting in a negative Index Return that is equal to the Booster Level. The Index Return would be calculated as
follows:
PS9–14Index Return = (Final Level – Initial Level) = (765.00 – 850.00) = -10.00%
Initial Level 850.00
Step 2 - Calculating the Maturity Payment Amount
In this example, the Final Level was equal to the Booster Level and the Index Return was less than the Boosted
Return on the Final Valuation Date, so a Holder would not receive an Excess Return. In this example, the Maturity
Payment Amount would be calculated as follows:
Maturity Payment Amount = $100.00 + [$100.00 x (Boosted Return + Excess Return)]
= $100.00 + [$100.00 x (40.00% + 0.00%)]
= $140.00 per Note
In this example, a Holder would receive payment of $140.00 for each $100.00 Note on the Maturity Date (which is
equivalent to a compounded annual return of 6.96%).
Example #3 — Positive Index Return (Final Level between Booster Level and Boosted Return)
Step 1 - Calculating the Index Return
If the Final Level on the Final Valuation Date was 909.50, the Final Level would be above the Initial Level,
resulting in a positive Index Return that is above the Booster Level. The Index Return would be calculated as
follows:
Index Return = (Final Level – Initial Level) = (909.50 – 850.00) = 7.00%
Initial Level 850.00
PS9–15Step 2 - Calculating the Maturity Payment Amount
In this example, the Final Level was above the Booster Level and the Index Return was less than the Boosted Return
on the Final Valuation Date, so a Holder would not receive an Excess Return. In this example, the Maturity Payment
Amount would be calculated as follows:
Maturity Payment Amount = $100.00 + [$100.00 x (Boosted Return + Excess Return)]
= $100.00 + [$100.00 x (40.00% + 0.00%)]
= $140.00 per Note
In this example, a Holder would receive payment of $140.00 for each $100.00 Note on the Maturity Date (which is
equivalent to a compounded annual return of 6.96%).
Example #4 — Positive Index Return (Final Level above Booster Level and Index Return above Boosted
Return)
Step 1 - Calculating the Index Return
If the Final Level on the Final Valuation Date was 1,275.00, the Final Level would be above the Initial Level,
resulting in a positive Index Return. The Index Return would be calculated as follows:
Index Return = (Final Level – Initial Level) = (1,275.00 – 850.00) = 50.00%
Initial Level 850.00
Step 2 - Calculating the Maturity Payment Amount
In this example, the Final Level was above the Booster Level and the Index Return was higher than the Boosted
Return on the Final Valuation Date, so a Holder would receive an Excess Return. In this example, the Excess Return
and the Maturity Payment Amount would be calculated as follows:
PS9–16Excess Return = (Index Return – Boosted Return) x Participation Rate
= (50.00% - 40.00%) x 10%
= 1.00%
Maturity Payment Amount = $100.00 + [$100.00 x (Boosted Return + Excess Return)]
= $100.00 + [$100.00 x (40.00% + 1.00%)]
= $141.00 per Note
On the Maturity Date, a Holder would receive payment of $141.00 for each $100.00 Note (which is equivalent to a
compounded annual return of 7.11% on the Notes).
PS9–17APPENDIX C
THE REFERENCE INDEX
All information in this Pricing Supplement relating to the S&P/TSX 60 Index (Price Return Version) (the
“Reference Index”) and the Index Sponsor, including, without limitation, its composition, method of calculation
and changes in its constituent securities, is derived from and based solely upon publicly available sources and is
presented in this Pricing Supplement in summary form only. Such information is subject to change by the Index
Sponsor. The Index Sponsor has no obligation to continue to publish, and may discontinue publication of, the
Reference Index at any time. Neither the Bank nor the Dealers makes any representation or warranty as to the
accuracy, reliability or completeness of such information or accepts responsibility for the calculation or other
maintenance of or any adjustments to the Reference Index. Investors in the Notes should make their own
investigation into the Reference Index, the constituent securities thereof and the Index Sponsor. In addition, neither
the Bank nor the Dealers has independently verified this information.
General Description
The Reference Index is a large cap index comprising 60 actively traded Canadian companies. The Reference Index
is market cap weighted, with weights adjusted for available share float, and covers ten economic sectors,
representing approximately 73% of Canada’s equity market capitalization. The Reference Index also represents the
Canadian component of Standard & Poor’s flagship S&P Global 1200 Index. Each stock in the Reference Index is
evaluated for sector representation, liquidity, size, and positive company fundamentals. The Reference Index is
maintained by the Canadian S&P Index Committee, whose members include representatives from both S&P and the
TSX. The Reference Index value is determined by multiplying the price of the individual components by their
corresponding free float share amount. Free float share amount adjusts the outstanding float for control blocks. The
market capitalization of all the individual components are summed and divided by the Reference Index divisor,
which divisor may be adjusted for corporate actions and significant restructurings. Criteria for removal from the
Reference Index include a violation of one or more Reference Index requirements, as well as mergers or acquisitions
involving companies in the Reference Index.
Industry Composition
The sector composition of the Reference Index by weight as at August 11, 2016 is set out below. The historical
composition of the Reference Index does not necessarily reflect the composition of the Reference Index in the
future:
Financials 36.89%
Energy 20.78%
Materials 12.50%
Industrials 7.24%
Telecommunication Services 7.16%
Consumer Discretionary 6.46%
Consumer Staples 4.70%
Information Technology 2.26%
Utilities 1.37%
Health Care 0.65%
Source: Bloomberg
PS9–18Constituents of the Reference Index
The 60 companies whose securities are included in the Reference Index as of August 11, 2016 are as follows:
Company Weight Company Weight
Agnico-Eagle Mines Limited 1.18% Goldcorp Inc. 1.44%
Agrium Inc. 1.17% Husky Energy Inc. 0.36%
Alimentation Couche-Tard Inc. 1.76% Imperial Oil Limited 0.73%
ARC Resources Ltd. 0.58% Inter Pipeline Ltd. 0.65%
Bank of Montreal 3.79% Kinross Gold Corporation 0.60%
Barrick Gold Corporation 2.31% Loblaw Companies Limited 1.10%
BCE Inc. 3.86% Magna International Inc. 1.41%
BlackBerry Limited 0.33% Manulife Financial Corporation 2.40%
Bombardier Inc. 0.27% Metro Inc. 0.79%
Brookfield Asset Management Inc. 2.79% National Bank of Canada 1.09%
Cameco Corporation 0.35% Pembina Pipeline Corp. 1.08%
Canadian Imperial Bank of Commerce 2.79% Potash Corporation of Saskatchewan Inc. 1.27%
Canadian National Railway Company 4.51% Power Corporation of Canada 0.70%
Canadian Natural Resources Limited 3.19% Restaurant Brands International Inc. 1.01%
Canadian Pacific Railway Limited 1.86% Rogers Communications Inc. 1.48%
Canadian Tire Corporation Limited 0.70% Royal Bank of Canada 8.41%
Cenovus Energy Inc. 1.12% Saputo Inc. 0.66%
CGI Group, Inc. 1.21% Shaw Communications Inc. 0.75%
Constellation Software Inc. 0.72% Silver Wheaton Corp. 1.23%
Crescent Point Energy Corp. 0.73% SNC-Lavalin Group Inc. 0.60%
Dollarama Inc. 0.76% Sun Life Financial Inc. 1.79%
Eldorado Gold Corporation 0.27% Suncor Energy Inc. 4.24%
Emera Inc. 0.51% Teck Resources Limited 0.70%
Enbridge Inc. 3.55% TELUS Corporation 1.83%
EnCana Corporation 0.71% The Bank of Nova Scotia 5.65%
First Quantum Minerals Ltd. 0.58% The Toronto-Dominion Bank 7.46%
Fortis Inc. 0.86% Thomson Reuters Corporation 1.22%
Franco-Nevada Corp. 1.27% TransCanada Corporation 3.48%
George Weston Limited 0.39% Valeant Pharmaceuticals International, Inc. 0.65%
Gildan Activewear Inc. 0.61% Yamana Gold Inc. 0.49%
Source: Bloomberg
PS9–19Historical Performance
The following graph illustrates the price performance of the Reference Index for the period beginning on
August 11, 2006 and ending on August 11, 2016. Past price performance of the Reference Index is not indicative
of future price performance.
Source: Bloomberg
The price performance of the Reference Index shown above does not take into account dividends and/or
distributions paid by the issuers of the constituent securities that comprise the Reference Index. The dividend yield
of the S&P/TSX 60 Index on August 11, 2016 was 2.91%, representing an aggregate dividend yield of
approximately 15.44%, compounded annually over the term of the Notes (assuming the dividend yield remains
constant). Historical price performance of the Reference Index will not necessarily predict future price performance
of the Reference Index or the Notes.
License Arrangements
S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“S&P”), Dow Jones® is a registered
trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and “TSX” is a trade mark of the TSX. These
trademarks have been licensed for use by S&P Dow Jones Indices LLC. These trademarks have been sublicensed for
certain purposes by Bank of Montreal and its affiliates. The Reference Index is a product of S&P Dow Jones Indices
LLC, its affiliates and/or its third party licensors and has been licensed for use by Bank of Montreal and its affiliates.
The Notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P, any of
their respective affiliates (collectively, “S&P Dow Jones Indices”) or the TSX. None of S&P Dow Jones Indices
nor the TSX make any representation or warranty, express or implied, to the Holders or any member of the public
regarding the advisability of investing in securities generally or in the Notes particularly or the ability of the
Reference Index to track general market performance. S&P Dow Jones Indices’ and the TSX’s only relationship to
Bank of Montreal with respect to the Reference Index is the licensing of the Reference Index and certain trademarks,
service marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The Reference Index is
determined, composed and calculated by S&P Dow Jones Indices and/or the TSX without regard to Bank of
Montreal or the Notes. S&P Dow Jones Indices and the TSX have no obligation to take the needs of Bank of
Montreal or the Holders into consideration in determining, composing or calculating the Reference Index. Neither
S&P Dow Jones Indices nor the TSX is responsible for or has participated in the determination of the prices, and
amount of the Notes or the timing of the issuance or sale of the Notes or in the determination or calculation of the
equation by which the Notes are to be converted into cash. S&P Dow Jones Indices and the TSX have no obligation
or liability in connection with the administration, marketing or trading of the Notes. There is no assurance that
PS9–20investment products based on the Reference Index will accurately track index performance or provide positive
investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion of a
security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor
is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its affiliates may
independently issue and/or sponsor financial products unrelated to the Notes currently being issued by Bank of
Montreal, but which may be similar to and competitive with the Notes. In addition, CME Group Inc. and its
affiliates may trade financial products which are linked to the price performance of the Reference Index. It is
possible that this trading activity will affect the value of the Notes.
NEITHER S&P DOW JONES INDICES NOR THE TSX GUARANTEES THE ADEQUACY, ACCURACY,
TIMELINESS AND/OR THE COMPLETENESS OF THE REFERENCE INDEX OR ANY DATA RELATED
THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN
COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P
DOW JONES INDICES AND THE TSX SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR
ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES AND THE TSX MAKE
NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES, OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE
OBTAINED BY BANK OF MONTREAL, THE HOLDERS, OR ANY OTHER PERSON OR ENTITY FROM
THE USE OF THE REFERENCE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO.
WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW
JONES INDICES OR THE TSX BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR
CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING
LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF
SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE
NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW
JONES INDICES AND BANK OF MONTREAL, OTHER THAN THE LICENSORS OF S&P DOW JONES
INDICES.
Disclaimer
The Pricing Supplement relates only to the Notes offered hereby and does not relate to the Reference Index, any of
the constituent securities of the Reference Index or any issuers of such securities. Information contained in this
Pricing Supplement relating to the Reference Index is derived from and based solely upon publicly available
information. None of the Bank, the Dealers or any of their respective affiliates or associates has any obligation or
responsibility for the provision of future information in respect of the Reference Index, the Index Sponsor, any of
the constituent securities comprising the Reference Index or any issuers of such constituent securities. Investors
shall have no recourse against the Bank, the Dealers or any of their respective affiliates or associates in connection
with any information relating to the Reference Index, the Index Sponsor, any of the constituent securities comprising
the Reference Index or any issuers of such constituent securities, that is not contained in this Pricing Supplement.
The Index Sponsor has not participated in the preparation of this Pricing Supplement.
PS9–21You can also read
