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Published on 5/4/2012 in the Prospect News Structured Products Daily.

Bank of Montreal plans range accrual notes linked to iShares Russell

By Angela McDaniels

Tacoma, Wash., May 4 - Bank of Montreal plans to price range accrual notes with contingent downside protection due May 30, 2014 linked to the iShares Russell 2000 index fund, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 3% multiplied by the proportion of days on which the exchange-traded fund's closing share price is 85% to 115% of the initial share price, inclusive. Interest will be payable quarterly, and the maximum amount of interest that can be paid in any year is 12%.

If the ETF's final share price is greater than or equal to the trigger price, the payout at maturity will be par. The trigger price will be 85% of the initial share price. Investors will be fully exposed to the share price decline if the final share price is less than the trigger price.

The notes (Cusip: 06366Q7B7) are expected to price May 25 and settle May 31.

BMO Capital Markets Corp. is the agent.


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