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Published on 3/13/2015 in the Prospect News Structured Products Daily.

Bank of Montreal plans absolute return notes linked to iShares MSCI EM

By Angela McDaniels

Tacoma, Wash., March 13 – Bank of Montreal plans to price 0% contingent risk absolute return notes due March 31, 2017 linked to the iShares MSCI Emerging Markets 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 and a barrier event has not occurred, the payout will be par plus the absolute value of the ETF return. A barrier event will occur if the ETF closes below the barrier level on any during the life of the notes. The barrier level is expected to be 71.5% to 75.5% of the initial share price and will be set at pricing.

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.

The notes are expected to price March 26 and settle March 31.

The Cusip number is 06366RF34.


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