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Bank of Montreal plans contingent risk absolute return notes linked to iShares MSCI EAFE
By Susanna Moon
Chicago, Sept. 15 – Bank of Montreal plans to price 0% contingent risk absolute return notes due Sept. 30, 2016 linked to the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A barrier event will occur if the fund closes below the barrier level on any day during the life of the notes. The barrier level will be 75% to 79% of the initial index level, with the exact percentage to be set at pricing.
If the fund finishes above the initial level, the payout at maturity will be par plus the index return.
If the falls but a barrier event has not occurred, the payout will be par plus the absolute value of the index return, up to a maximum return of 21% to 25%.
Otherwise, investors will be fully exposed to any losses.
BMO Capital Markets Corp. is the agent.
The notes will price on Sept. 25 and settle on Sept. 30.
The Cusip number is 06366RWV3.
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