By Jennifer Chiou
New York, May 29 - Bank of Montreal priced $445,000 of 0% contingent risk absolute return notes due May 29, 2020 linked to the SPDR Euro Stoxx 50 exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A barrier event will occur if the exchange-traded fund's closing share price is less than the 60% barrier level on any day during the life of the notes.
If the ETF return is positive, the payout at maturity will be par plus 142.5% of 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, up to a maximum return of 40%.
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 from its initial price.
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: | SPDR Euro Stoxx 50 exchange-traded fund
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Amount: | $445,000
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Maturity: | May 29, 2020
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If ETF's return is positive, par plus 142.5% of ETF return; if ETF return is zero or negative and a barrier event has not occurred, par plus absolute value of ETF return, capped at 40%; if fund return is zero or negative and barrier event has occurred, full exposure to decline in ETF from initial price
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Initial share price: | $43.54
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Barrier level: | $26.12, 60% of initial share price
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Pricing date: | May 23
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Settlement date: | May 30
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Agent: | BMO Capital Markets Corp.
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Fees: | 3.55%
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Cusip: | 06366RUC7
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