Bank of Montreal plans contingent risk absolute return notes linked to iShares Russell 2000 ETF

By Angela McDaniels

Tacoma, Wash., May 2 - Bank of Montreal plans to price 0% contingent risk absolute return notes due May 30, 2014 linked to the iShares Russell 2000 index fund, according to a 424B2 filing with the Securities and Exchange Commission.

If the exchange-traded fund's return is positive, the payout at maturity will be par plus 200% of the ETF return, subject to a maximum return of 21.5% to 24.5% that will be set at pricing.

If the final share price is less than or equal to the initial share price but is not less than the barrier, the payout will be par plus the absolute value of the ETF return. The barrier will be 75% of the initial share price.

If the final share price is less than the barrier, investors will be fully exposed to the ETF decline from its initial price.

The notes (Cusip: 06366RBY0) are expected to price May 25 and settle May 31.

BMO Capital Markets Corp. is the agent.

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