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

By Angela McDaniels

Tacoma, Wash., May 12 – Bank of Montreal plans to price 0% contingent risk absolute return notes due May 30, 2017 linked to the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

A barrier event will occur if the ETF closes below the barrier level on any day during the life of the notes. The barrier level is expected to be 73.5% to 77.5% of the initial share price.

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, subject to a maximum return of 22.5% to 26.5%.

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.

The exact barrier level and maximum return will be set at pricing.

BMO Capital Markets Corp. is the agent.

The notes are expected to price May 22 and settle May 28.

The Cusip number is 06366RM93.

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