Bank of Montreal plans absolute return notes linked to SPDR Dow ETF

By Angela McDaniels

Tacoma, Wash., Feb. 3 – Bank of Montreal plans to price 0% contingent risk absolute return notes due Feb. 26, 2021 linked to the SPDR Dow Jones Industrial Average 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 but not less than negative 30%, the payout will be par plus the absolute value of the ETF return.

If the ETF return is less than negative 30%, investors will be fully exposed to the ETF's decline.

BMO Capital Markets Corp. is the agent.

The notes are expected to price Feb. 25 and settle Feb. 27.

The Cusip number is 06366RZR9.

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