A final base shelf prospectus containing important information relating to the securities described in this document has been filed with the securities regulatory authorities in each of the provinces and territories of Canada. A copy of the final base shelf prospectus, any amendment to the final base shelf prospectus and any applicable shelf prospectus supplement that has been filed, is required to be delivered with this document. This document does not provide full disclosure of all material facts relating to the securities offered. Investors should read the final base shelf prospectus, any amendment and any applicable shelf prospectus supplement for disclosure of those facts, especially risk factors relating to the securities offered, before making an investment decision. Annual AutoCall Feature Bank of Montreal European Banks AutoCallable Principal At Risk Notes, Series 87 (CAD), Due April 30, 2018 The Notes offer the potential for a variable return while providing contingent protection against a slight to moderate decline in the EURO STOXX Banks Index (EUR price return) over the next three years. The Principal Amount is NOT protected under these Notes. Issuer: Bank of Montreal KEY TERMS Medium Term: 3-year term to maturity (subject to the Notes being automatically called by the Bank). Linked to EURO STOXX Banks Index (EUR price return) Potential Variable Return 20% Contingent Protection at Maturity FundSERV JHN8847 Reference Index: The EURO STOXX Banks Index (EUR price return version) (the Reference Index ) measures the performance of the banks supersector in the Eurozone. The Reference Index is derived from the EURO STOXX Index, which itself is a broad yet liquid subset of the STOXX Europe 600 Index. The Reference Index, which classifies the banks supersector according to industry classification benchmark nomenclature, covers financial institutions that provide a broad range of financial services, including retail banking, loans and money transmissions. The EURO STOXX Banks Index is a capitalization-weighted index that currently includes 30 stocks from 9 Eurozone countries: Austria, Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain.* AutoCall Feature: The Notes will be automatically called by the Bank if the Closing Level of the Reference Index is equal to or above the AutoCall Level (i.e., 100% of the Initial Level) on any Valuation Date. If the AutoCall feature is triggered, Holders will receive payment of their Principal Amount, plus a Variable Return that increases each successive year during the term of the Notes. If the Closing Level of the Reference Index is never equal to or above the AutoCall Level on any Valuation Date, the Notes will not be automatically called by the Bank and there will be no Variable Return paid on the Notes. Potential Variable Return: If the Reference Index closes at or above AutoCall Level on any Valuation Date, the Notes will be automatically called by the Bank and investors will receive payment of a Fixed Return, plus 5.00% additional participation in the performance of the Reference Index above the Fixed Return specified for that Valuation Date. Fixed Return in Year 1: 11.25%; Year 2: 22.50%; Year 3: 33.75% (or an annualized return of 11.22%, 10.63% and 10.16% respectively.) Contingent Protection: If the Index Return is negative, the Principal Amount will be protected so long as the Final Level is equal to or above the Barrier Level (i.e., 80% of the Initial Level) on the Final Valuation Date. If the Final Level is below the Barrier Level on the Final Valuation Date, the Maturity Payment will be equal to $100.00 reduced by the actual Index Return (which will be a negative amount equal to the decline in the Reference Index over the term of the Notes), subject to the Minimum Payment Amount of $1.00 per Note. Daily secondary market provided by BMO Capital Markets (subject to an early trading charge of 2.25% declining to zero over 180 days after the Issue Date and other limitations as described in the Prospectus). * The dividend yield of the EURO STOXX Banks Index on April 13, 2015 was 2.87%, representing an aggregate dividend yield of approximately 8.89% compounded annually over the term of the Notes (assuming the dividend yield remains constant). An investment in the Notes does not represent a direct or indirect investment in any of the constituent securities that comprise the Reference Index. Holders have no right or entitlement to the dividends or distributions paid on such securities. For more information, please contact your Investment Advisor Available Until: April 24, 2015 Issue Date: April 29, 2015 Maturity Date: April 30, 2018 Currency: Canadian Dollars Minimum Investment: $2,000 1 April 17, 2015
Issuer Issuer Rating Issue Price Valuation & Payment Dates Maturity Payment ADDITIONAL DETAILS Bank of Montreal (the Bank ). Moody s: Aa3 S&P: A+ DBRS: AA (long term deposits > 1 year). $100 per Note (the Principal Amount ). Period Valuation Date Call / Maturity Date Year 1 April 26, 2016 April 29, 2016 Year 2 April 26, 2017 May 1, 2017 Year 3 April 25, 2018 April 30, 2018 A Holder will receive payment on either a Call Date or the Maturity Date (the Maturity Payment ) based on the Closing Level of the Reference Index on the applicable Valuation Date. The Maturity Payment will be determined as follows: (i) If the Closing Level is equal to or above the AutoCall Level on any Valuation Date, the Notes will be automatically called by the Bank and a Holder will receive a Maturity Payment equal to the full Principal Amount plus a Variable Return that will be payable on the applicable Call Date or Maturity Date, calculated using the following formula: Principal Amount + Variable Return (ii) (iii) If the Notes are not automatically called by the Bank and the Final Level is equal to or above the Barrier Level on the Final Valuation Date, there will be no Variable Return payable on the Notes and a Holder will receive a Maturity Payment equal to the full Principal Amount of the Notes on the Maturity Date. If the Notes are not automatically called by the Bank and the Final Level is below the Barrier Level on the Final Valuation Date, a Barrier Event has occurred and there will be no Variable Return payable on the Notes and a Holder will receive a Maturity Payment that is less than the Principal Amount on the Maturity Date. In this case, the Principal Amount will be reduced by the actual Index Return (which will be negative reflecting the decline in the Reference Index over the term of the Notes), subject to a minimum principal repayment of $1.00 per Note (the Minimum Payment Amount ), calculated using the following formula: Principal Amount + (Principal Amount x Index Return) AutoCall Level Barrier Level Variable Return Secondary Market Early Trading Charge The Notes are not redeemable at the option of a Holder. See Description of the Notes Maturity Payment in the Prospectus. 100% of the Initial Level, triggering the Notes to be automatically called by the Bank if the Closing Level of the Reference Index is unchanged or has increased relative to the Initial Level on any Valuation Date. 80% of the Initial Level, resulting in principal protection against a decline in the Reference Index of up to 20% from the Initial Level on the Final Valuation Date. Subject to the occurrence of an Extraordinary Event, if the Closing Level of the Reference Index is equal to or above the AutoCall Level on any Valuation Date, a Holder will be entitled to receive a variable return (the Variable Return ) calculated using the following formula: Valuation Date Fixed Return Annualized Return Excess Return (Index Return > Fixed Return) Call Valuation Date (Year 1) 11.25% 11.22% (Index Return - 11.25%) x 5% Call Valuation Date (Year 2) 22.50% 10.63% (Index Return - 22.50%) x 5% Final Valuation Date (Year 3) 33.75% 10.16% (Index Return - 33.75%) x 5% If the Closing Level is not equal to or above the AutoCall Level on any Valuation Date, there will be no Variable Return payable on the Notes. See Description of the Notes Variable Return and Additional Risk Factors Specific to the Notes in the Prospectus. The Notes will not be listed on any exchange or marketplace. BMO Capital Markets will use reasonable efforts under normal market conditions to provide for a daily secondary market for the purchase of the Notes through the order entry system operated by 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. If a Note is sold within the first 180 days after the Issue Date, the Bid Price will be reduced by an Early Trading Charge equal to a percentage of the Subscription Price determined as set out below: If Notes sold within: Early Trading Charge 0 60 days 2.25% 61 120 days 1.50% 121 180 days 0.75% The Bid Price quoted in the secondary market will exclude the application of any applicable Early Trading Charge. See Secondary Market Early Trading Charge in the Prospectus for a description of the Early Trading Charge. 2
Example 1: Final Level Below Barrier Level HOW DO THE NOTES WORK? The following hypothetical examples demonstrate how the Maturity Payment will be calculated and determined under four different scenarios. In each scenario below, it has been assumed that an investor purchased $10,000.00 worth of Notes (or 100 Notes) on the Issue Date. The hypothetical Closing Levels of the Reference Index used in these examples are for illustrative purposes only and should not be construed in any way as estimates or forecasts of the future price performance of the Reference Index or the Notes. All hypothetical examples assume that no events described under Special Circumstances have occurred during the term. Closing Level on 1st Call Valuation Date = 131.20 Closing Level on 2nd Call Valuation Date = 134.40 Closing Level on Final Valuation Date = 104.00 In this hypothetical scenario, the Final Level is below the Barrier Level on the Final Valuation Date, so there will be no Variable Return payable on the Notes and a Holder will receive less than their principal investment in the Notes. Variable Return = $0.00 Closing Level on Final Valuation Date = 104.00 (or an Index Return of -35.00%) Maturity Payment = Principal Amount + (Principal Amount x Index Return) = $100.00 + ($100.00 x -35.00%) = $65.00 per Note (or an annualized loss of 13.35%). Assuming a principal investment of $10,000.00 on the Issue Date, a Holder will receive a Maturity Payment of $6,500.00 on the Maturity Date. Example 2: Final Level Above Barrier Level Closing Level on 1st Call Valuation Date = 116.80 Closing Level on 2nd Call Valuation Date = 86.40 Closing Level on Final Valuation Date = 144.00 In this hypothetical scenario, the Final Level is below the AutoCall Level on the Final Valuation Date, so no Variable Return will be payable on the Notes. Since the Final Level is above the Barrier Level on the Final Valuation Date, a Holder will receive a Maturity Payment equal to the Principal Amount on the Maturity Date. Variable Return = $0.00 Closing Level on Final Valuation Date = 144.00 (or an Index Return of -10.00%) Maturity Payment = Principal Amount = $100.00 per Note (or an annualized return of 0.00%). Assuming a principal investment of $10,000.00 on the Issue Date, a Holder will receive a Maturity Payment of $10,000.00 on the Maturity Date. 3
Example 3: Final Level Above AutoCall Level Closing Level on 1st Call Valuation Date = 118.40 Closing Level on 2nd Call Valuation Date = 107.20 Closing Level on Final Valuation Date = 218.80 In this hypothetical scenario, the Final Level is above the AutoCall Level on the Final Valuation Date, thus triggering the Notes to be automatically called by the Bank on that day. A Holder will receive a Maturity Payment equal to the Principal Amount, plus the applicable Variable Return. Variable Return = Principal Amount x (Fixed Return + Excess Return) Fixed Return on Final Valuation Date =33.75% An Index Return of 36.75% is higher than the Fixed Return on the Final Valuation Date: Excess Return = (Index Return Fixed Return) x 5.00% = (36.75% - 33.75%) x 5.00% = 0.15% Variable Return = $100 x (33.75% + 0.15%) = $33.90 Maturity Payment = Principal Amount + Variable Return = $100.00 + $33.90 = $133.90 per Note (or an annualized return of 10.20%). Assuming a principal investment of $10,000.00 on the Issue Date, a Holder will receive a Maturity Payment of $13,390.00 on the Maturity Date. Example 4: Closing Level Above AutoCall Level Closing Level on 1st Call Valuation Date = 112.00 Closing Level on 2nd Call Valuation Date = 166.40 In this hypothetical scenario, the Reference Index is above the AutoCall Level on the 2nd Call Valuation Date, thus triggering the Notes to be automatically called by the Bank on that day. A Holder will receive a Maturity Payment equal to the Principal Amount, plus the applicable Variable Return on the 2nd Call Date. Variable Return = Principal Amount x (Fixed Return + Excess Return) Fixed Return on 2nd Call Valuation Date = 22.50% The Excess Return will be zero as the Index Return of 4.00% is less than the Fixed Return of 22.50% for this Call Valuation Date, so the Variable Return = $22.50 Maturity Payment = Principal Amount + Variable Return = $100.00 + $22.50 = $122.50 per Note (or an annualized return of 10.63%). Assuming a principal investment of $10,000.00 on the Issue Date, a Holder will receive a Maturity Payment of $12,250.00 on the 2nd Call Date. The above examples show how the Index Return and Maturity Payment would be calculated based on certain hypothetical values and assumptions set out above. These examples are for illustrative purposes only and should not be construed as an estimate or forecast of the performance of the Reference Index or the return that a Holder might realize on the Notes. 4
DISCLAIMER This document should be read in conjunction with the Bank s short form base shelf prospectus dated June 5, 2014 (the Base Shelf Prospectus ) and Pricing Supplement No. 215 dated April 17, 2015 (the Pricing Supplement ). Amounts paid to Holders will depend on the price performance of the Reference Index. The Notes are not designed to be alternatives to fixed income or money market investments. Bank of Montreal does not guarantee that Holders will receive any return or repayment of their principal investment in the Notes, subject to a minimum principal repayment of $1.00 per Note. The Notes provide contingent protection only, meaning that a Holder could lose some or substantially all of his or her principal investment in the Notes if the Final Level is below the Barrier Level on the Final Valuation Date. See Certain Risk Factors in the Base Shelf Prospectus and Additional Risk Factors Specific to the Notes in the Pricing Supplement. Prospective investors should carefully consider all of the information set forth in the Pricing Supplement and the Base Shelf Prospectus (collectively, the Prospectus ) and, in particular, should evaluate the specific risk factors set forth under Suitability for Investment and Risks Relating to the Offering in the Pricing Supplement. 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 purposes of National Instrument 33-105 - Underwriting Conflicts. See Plan of Distribution in the Pricing Supplement. The Notes have not been and will not be rated by any credit rating organization. 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. The Notes will not be deposits that are insured under the Canada Deposit Insurance Corporation Act or any other deposit insurance regime designed to ensure the payment of all or a portion of a deposit upon the insolvency of the deposit taking financial institution. See Description of the Notes Rank; No Deposit Insurance in the Pricing Supplement. The above summary is for information purposes only and does not constitute an offer to sell or a solicitation to purchase Notes. The offering and sale of Notes may be prohibited or restricted by laws in certain jurisdictions. Notes may only be purchased where they may be lawfully offered for sale and only through individuals qualified to sell them. Unless the context otherwise requires, terms not defined herein will have the meaning ascribed thereto in the Pricing Supplement. A copy of the Pricing Supplement and the Base Shelf Prospectus can be obtained at www.sedar.com. BMO (M-bar roundel symbol), BMO and BMO Capital Markets are registered trademarks of the Bank used under license. EURO STOXX Banks Index is the intellectual property (including registered trademarks) of STOXX and/or its licensors, which is used under license. The Notes based on the EURO STOXX Banks Index are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither of the licensors shall have any liability with respect thereto. 5