By Angela McDaniels
Tacoma, Wash., April 1 – Bank of Montreal priced $1.04 million of 0% contingent risk absolute return notes due March 29, 2018 linked to the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
If the ETF return is positive, the payout at maturity will be par plus the ETF return.
If the ETF return is less than or equal to zero but a barrier event has not occurred, the payout will be par plus the absolute value of the ETF return, subject to a maximum return of 33%. A barrier event occurs if the ETF closes below the barrier price, 67% of the initial share price, on any day during the life of the notes.
If the ETF return is less than or equal to zero and a barrier event has occurred, investors will be fully exposed to the ETF's decline.
BMO Capital Markets Corp. is the agent.
Issuer: | Bank of Montreal
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Issue: | Contingent risk absolute return notes
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Underlying ETF: | iShares MSCI EAFE
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Amount: | $1,037,000
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Maturity: | March 29, 2018
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If ETF return is positive, par plus ETF return; if ETF return is less than or equal to zero but barrier event has not occurred, par plus absolute value of ETF return, up to 33% maximum return; if ETF return is less than or equal to zero and barrier event has occurred, full exposure to ETF's decline
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Barrier event: | ETF closes below barrier price on any day during life of notes
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Initial share price: | $56.69
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Barrier level: | $37.98, 67% of initial share price
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Pricing date: | March 28
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Settlement date: | March 31
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Agent: | BMO Capital Markets Corp.
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Fees: | None
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Cusip: | 06367TBZ2
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