New Issue: Bank of Montreal prices $1.57 million contingent risk absolute return notes on EAFE ETF

By Tali Rackner

Norfolk, Va., Jan. 28 – Bank of Montreal priced $1.57 million of 0% contingent risk absolute return notes due Jan. 31, 2018 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 gain.

If the fund falls but never closes below the barrier level, 69% of the initial level, on any day during the life of the notes, the payout will be par plus the absolute value of the return, up to a maximum downside redemption amount of $1,310 per $1,000 principal amount.

Otherwise, investors will be fully exposed to any losses.

BMO Capital Markets Corp. is the agent.

Issuer:	Bank of Montreal
Issue:	Contingent risk absolute return notes
Underlying ETF:	iShares MSCI EAFE ETF
Amount:	$1,572,000
Maturity:	Jan. 31, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	If fund return is positive, par plus return; if fund return is zero or negative but barrier event has not occurred, par plus absolute value of return, up to a maximum downside redemption amount of $1,310 per $1,000 principal amount; if fund return is zero or negative and barrier event has occurred, full exposure to any losses
Barrier event:	Occurs if the fund closes below the barrier level during the life of the notes
Initial level:	$54.71
Barrier level:	$37.75, 69% of initial level
Pricing date:	Jan. 26
Settlement date:	Jan. 29
Agent:	BMO Capital Markets Corp.
Fees:	None
Cusip:	06366R7D1

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