Published on 6/7/2016 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1.59 million contingent risk absolute return notes on MSCI EAFE fund
By Tali Rackner
Norfolk, Va., June 7 – Bank of Montreal priced $1.59 million of 0% contingent risk absolute return notes due May 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 fund gain.
If the fund falls but not below the barrier level, 66.5% of the initial level, the payout will be par plus the absolute value of the return, up to a maximum downside redemption amount of $1,335 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
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Issue: | Contingent risk absolute return notes
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Underlying fund: | iShares MSCI EAFE ETF
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Amount: | $1,585,000
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Maturity: | May 31, 2018
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Coupon: | 0%
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Price: | Par of $1,000
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Payout at maturity: | If return is positive, par plus the fund gain; if fund falls but not by more than 33.5%, par plus absolute value of return, up to a maximum downside redemption amount of $1,335 per $1,000 principal amount; if fund falls by more than 33.5%, full exposure to any losses
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Initial level: | $58.72
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Barrier level: | $39.05, 66.5% of initial level
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Pricing date: | May 26
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Settlement date: | May 31
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Agent: | BMO Capital Markets Corp.
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Fees: | None
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Cusip: | 06367TEW6
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