New York, June 28 - Bank of Montreal priced $443,000 of 0% contingent risk absolute return notes due June 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 double the ETF's return, capped at 28.5%.
If the final share price is less than or equal to the initial share price but is more than the barrier level, the payout will be par plus the absolute value of the ETF's return. The barrier is 75% of the initial share price.
Investors will be fully exposed to the ETF's decline from its initial price if it the fund's final price is less than the barrier.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Contingent risk absolute return notes
|
| Underlying ETF: | iShares MSCI Russell 2000 index fund
|
| Amount: | $443,000
|
| Maturity: | June 30, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If ETF's return is positive, par plus double fund return capped at 28.5%; if final share price is less than or equal to initial share price but is above the barrier level, par plus absolute value of ETF's return; if the fund closes below the barrier level, full exposure to ETF's decline from initial price
|
| Initial share price: | $76.23
|
| Barrier: | $57.17, 75% of initial share price
|
| Pricing date: | June 26
|
| Settlement date: | June 29
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | 1.7%
|
| Cusip: | 06366RFF7
|
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