Bank of Montreal plans contingent risk notes on iShares MSCI EAFE fund

By Tali Rackner

Norfolk, Va., Nov. 19 – Bank of Montreal plans to price 0% contingent risk absolute return notes due Nov. 30, 2017, linked to the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

If the fund finishes above the initial level, the payout at maturity will be par plus the fund gain.

If the fund falls but finishes at or above the barrier level, 69.5% to 73.5% of the initial level, the payout will be par plus the absolute value of the return, up to a maximum return of $1,265 to $1,305 per $1,000 principal amount. The exact cap will be set at pricing.

Otherwise, investors will be fully exposed to any losses.

BMO Capital Markets Corp. is the agent.

The notes will price on Nov. 24 and settle on Nov. 30.

The Cusip number is 06366R4T9.

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