Bank of Montreal to price contingent risk absolute return notes linked to iShares MSCI EAFE

By Marisa Wong

Madison, Wis., Oct. 10 – Bank of Montreal plans to price 0% contingent risk absolute return notes due Oct. 31, 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 74% to 78% of the initial 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 fund gain.

If the fund falls but a barrier event has not occurred, the payout will be par plus the absolute value of the return, up to a maximum return of 22% to 26%.

Otherwise, investors will be fully exposed to any losses.

BMO Capital Markets Corp. is the agent.

The notes will price on Oct. 28 and settle on Oct. 31.

The Cusip number is 06366RXJ9.

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