By Angela McDaniels
Tacoma, Wash., July 30 - Bank of Montreal priced $1.26 million of 0% contingent risk absolute return notes due July 31, 2014 linked to the iShares Russell 2000 index 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 200% of the ETF return, subject to a maximum return of 12.5%.
If the ETF's 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 is 75% of the initial share price.
If the ETF's final share price is less than the barrier, 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
|
| Issue: | Contingent risk absolute return notes
|
| Underlying ETF: | iShares Russell 2000 index fund
|
| Amount: | $1,257,000
|
| Maturity: | July 31, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If ETF return is positive, par plus 200% of ETF return, subject to maximum return of 12.5%; if ETF's final share price is less than or equal to initial share price but is not less than barrier, par plus absolute value of ETF return; if ETF's final share price is less than barrier, full exposure to ETF's decline from initial price
|
| Initial share price: | $77.48
|
| Barrier: | $58.11, 75% of initial share price
|
| Pricing date: | July 26
|
| Settlement date: | July 31
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | 1.7%
|
| Cusip: | 06366RGA7
|
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