Bank of Montreal plans contingent risk absolute return notes linked to SPDR Euro Stoxx fund

By Marisa Wong

Madison, Wis., Oct. 2 – Bank of Montreal plans to price 0% contingent risk absolute return notes due Oct. 30, 2020 linked to the SPDR Euro Stoxx 50 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 117.5% of the fund return.

If the fund falls but finishes at or above the 60% barrier level, the payout will be par plus the absolute value of the fund return, up to a maximum return of 40%.

Otherwise, investors will be fully exposed to any losses.

BMO Capital Markets Corp. is the agent.

The notes will price on Oct. 28 and settle on Oct. 31.

The Cusip number is 06366RXB6.

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