BMO Capital Markets Structured Products Overview August 2015 Registration Statement No. 333-196387 Filed Pursuant to Rule 433
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About BMO Financial Group A Premier North American Financial Institution with Global ReachFounded in 1817More than 47,000 employees12 million personal, commercial, corporate, and institutional clients globallyTotal assets of US$633 billion8th largest bank in North America as measured by assets (per Bloomberg)Market capitalization of US$50.8 billionSenior Unsecured Debt ratings:S&P A+Moody’s Aa3Fitch AA- Note: Data as of April 30, 2015. *
BMO Capital Markets Global Structured ProductsFlexible and innovative investment solutions geared towards retail, high-net-worth, and institutional investorsClients include:Broker-dealersRegistered investment advisorsTrust companiesFamily officesClearing platformsFinancial intermediariesProduct focus:Market-linked certificates of depositsStructured notesBasket tracking notesGold Deposit Receipts (GOLDRsSM) *
Structured Notes Note: See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. * Underlying asset(s) can be a wide variety of publicly traded financial assets. The level of exposure to the underlying asset varies based upon the structure’s upside and downside features OverviewA typical senior unsecured debt security issued by a bank:Has a fixed termPays periodic interest at stated interest rates and principal at maturityHas credit risk to the bankHowever, while still carrying credit risk to an issuer, structured notes are designed to potentially provide a higher investment return by linking interest and/or maturity payments to the price performance of an underlying asset
Examples of Uses within Investor Portfolios Yield enhancementObtain customized exposure, or leverage, to a specified asset or asset classMay include bullish, bearish, or range bound preferencesMitigate portfolio volatilityIncrease portfolio diversificationAsset classInvestment vehicle (for potential “alpha” generation) * Note: See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Simplifying a Potentially Complicated Product OfferingA preliminary Pricing Supplement is available for every structure and contains important and detailed information, including: Key and additional termsInformation regarding the underlying assetReturn illustrationsTax informationRisk considerationsUnderstanding the broader terms of a structure helps an advisor determine appropriateness for a clientIssuerUnderlying assetMaturityUpside featureDownside featurePrice * Note: See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Goal: Yield Enhancement * Autocallable Note with Fixed Coupons (Illustrative) Autocallable Note with Fixed Coupons (Illustrative) Issuer Bank of Montreal Underlying asset An exchange traded fund Maturity 1 year maximum (callable on monthly basis if underlying asset has appreciated more than 10% since note inception) Upside feature 1% coupon per month (12% per annum) until note matures or is called Downside feature Principal paid at maturity is fully exposed to underlying asset downside price movements if a “trigger event” occurs (with this note, a trigger event occurs if the underlying asset closes below 70% of its initial value on any day during the note term) Price to advisor Priced to accommodate advisor fee, if any Note: Terms depicted on this page are illustrative and do not represent an actual investment in any specific issuance. See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Illustrative Payoff-At-Maturity Graph for Autocallable Note with Fixed Coupons (Excludes Interest Payments) * Note (Trigger Event occurs) Note (Trigger Event does not occur) Gain / (Loss) + _ Underlying Asset(at maturity) + _ -30% Note: Terms depicted on this page are illustrative and do not represent an actual investment in any specific issuance. See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Goal: Mitigate Portfolio Volatility * Buffered Note (Illustrative) Buffered Note (Illustrative) Issuer Bank of Montreal Underlying asset An equity index Maturity 4 years Upside feature 1 for 1 exposure Downside feature 15% buffer; 1 for 1 exposure below buffer Price to advisor Priced to accommodate advisor fee, if any Note: Terms depicted on this page are illustrative and do not represent an actual investment in any specific issuance. See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Illustrative Payoff-At-Maturity Graph for Buffered Note * Underlying Asset(at maturity) + Underlying asset Note -15% Gain / (Loss) + _ _ Note: Terms depicted on this page are illustrative and do not represent an actual investment in any specific issuance. See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Goals: Mitigate Portfolio Volatility, Leverage * Enhanced Return Note (Illustrative) Enhanced Return Note (Illustrative) Issuer Bank of Montreal Underlying asset An equity index Maturity 4 years Upside feature 1.5x leverage, capped at 130% of initial index price (maximum return of 45%) Downside feature 1 for 1 exposure Price to advisor Priced to accommodate advisor fee, if any Note: Terms depicted on this page are illustrative and do not represent an actual investment in any specific issuance. See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Illustrative Payoff-At-Maturity Graph for Enhanced Return Note * Underlying asset Note +30% +45% +45% Gain / (Loss) + _ Underlying Asset(at maturity) + _ Note: Terms depicted on this page are illustrative and do not represent an actual investment in any specific issuance. See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Goals: Mitigate Portfolio Volatility, Leverage * Buffered Enhanced Return Note (Illustrative) Buffered Enhanced Return Note (Illustrative) Issuer Bank of Montreal Underlying asset An equity index Maturity 4 years Upside feature 1.5x leverage, capped at 120% of initial index price (maximum return of 30%) Downside feature 10% buffer; 1 for 1 exposure below buffer Price to advisor Priced to accommodate advisor fee, if any Note: Terms depicted on this page are illustrative and do not represent an actual investment in any specific issuance. See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Illustrative Payoff-At-Maturity Graph for Buffered Return Enhanced Note * Underlying asset Note -10% +20% +30% +30% Gain / (Loss) + _ Underlying Asset(at maturity) + _ Note: Terms depicted on this page are illustrative and do not represent an actual investment in any specific issuance. See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Goal: Customized Exposure * Booster Note (Illustrative) Booster Note (Illustrative) Issuer Bank of Montreal Underlying asset An equity index Maturity 3 years Upside feature Booster range of 90% - 115% offers booster return of +15%; 1 for 1 return above booster range Downside feature 1 for 1 exposure below booster range Price to advisor Priced to accommodate advisor fee, if any Note: Terms depicted on this page are illustrative and do not represent an actual investment in any specific issuance. See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Illustrative Payoff-At-Maturity Graph for Booster Note * -10% +15% +15% -10% Underlying asset Note Gain / (Loss) + _ Underlying Asset(at maturity) + _ Note: Terms depicted on this page are illustrative and do not represent an actual investment in any specific issuance. See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Goal: Customized Exposure * Absolute Return “Twin-Win” Barrier Note (Illustrative) Absolute Return “Twin-Win” Barrier Note (Illustrative) Issuer Bank of Montreal Underlying asset An equity index Maturity 6 years Upside feature 1 for 1 exposure Downside feature Inverse return for declines to barrier (-25%); 1 for 1 exposure below barrier Price to advisor Priced to accommodate advisor fee, if any Note: Terms depicted on this page are illustrative and do not represent an actual investment in any specific issuance. See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Illustrative Payoff-At-Maturity Graph for Absolute Return “Twin-Win” Barrier Note * Underlying asset Note -25% +25% Gain / (Loss) + _ Underlying Asset(at maturity) + _ Note: Terms depicted on this page are illustrative and do not represent an actual investment in any specific issuance. See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
A Convenient Way to Gain Exposure to an Investment ThesisBasket Tracking Notes (BTNs) are investment securities that offer direct exposure to an asset basketInvestors are exposed to full upside and downside asset basket price movementsNo capital preservation, no upside caps, and no leverageThe asset basket is customizable, and may include a combination of stocks and/or equity indicies (either long or short exposure)Typically, BTNs are tailored to have a maturity of just over 1 yearAt maturity, the redemption value of the BTN will equal face value plus or minus the performance of the asset basket, plus any distributions on the underlying assets, and minus any fees incorporated into the BTN. Every BTN has a CUSIP and settles DTC * Note: See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Basket Tracking Notes
Our Commitment to Client ServiceCustomizationStructured notes and basket tracking notes can be tailored to meet client specific market viewsLead order requirementsFor structured notes – $250,000For basket tracking notes – $1 millionSpecific pricing available for immediate execution trades (vs. price range)Secondary marketWhile not obligated to do so, BMO has provided a liquid secondary market for each structured product that we have sold, and currently plans to continue to do so.Upon request, BMO can produce certain customized reports and analyses showing performance metrics for structured notes your clients have previously purchased * Note: See the Appendix page at the end of this presentation for a summary of some of the risk considerations for investing in structured products. Structured Notes
Some Risk ConsiderationsInvestors should carefully review the risk factors set forth in the related pricing supplement and product supplement before making an investment in structured notes (“Notes”). Some of the risks include, but are not limited to the following:Depending upon the terms of the Notes and the performance of the underlying asset, an investor may lose some or all of their investment in Notes.The Notes described herein are unsecured debt obligations of Bank of Montreal (“BMO”) and therefore an investment in such Notes is subject to the credit risk of BMO.The activities of BMO and its affiliates may conflict with an investor’s interests and may adversely affect the value of the Notes. The inclusion of agent’s commissions and hedging profits, if any, in the initial price to public of Notes, as well as hedging costs, is likely to adversely affect the price at which an investor can sell their Notes. The cover page of the pricing supplement of each Note will set forth an estimate of the initial value of the Note, which reflects these amounts. The estimated initial value of the Notes will be less than the purchase price of the Notes. The initial estimated value will not represent any future value of the Notes, and may also differ from the estimated value determined by any other party.An investor in the Notes will not have any shareholder rights and will have no right to receive any shares of any underlying asset.Notes will not be listed on any securities exchange. There may not be sufficient liquidity in any potential secondary market to allow an investor to trade or sell the Notes easily. If an investor is able to sell a particular Note prior to maturity, they may receive a price that is significantly less than their original investment. BMO and its affiliates may engage in hedging and trading activities related to the Notes that could adversely affect the payment at maturity of the Notes.Many economic and market factors will influence the value of the Notes. An investor must rely on their own evaluation of the merits of an investment in the Notes and any underlying asset referenced in a Note.Significant aspects of the tax treatment of Notes may be uncertain. Each investor must consult their own tax advisors in relation to how to treat Notes for tax purposes. Returns generated by Notes may be less than the returns of the underlying asset under certain market scenarios. For example, Notes may be issued with a maximum return, in which case an investment in the underlying asset could outperform an investment in the Notes. In addition, for most Notes other than BTNs, the investors will not receive the benefit of any dividends paid on the applicable underlying securities. * Appendix