Bank of Montreal plans contingent risk absolute return notes linked to SPDR S&P Midcap 400

By Jennifer Chiou

New York, June 6 - Bank of Montreal plans to price 0% contingent risk absolute return notes due June 18, 2015 linked to the SPDR S&P Midcap 400 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.

A barrier event occurs if the fund ever closes below the barrier level on any trading day during the life of the notes. The barrier level will be between 73% and 77%, with the exact percentage to be set at pricing.

If the fund finishes above the initial level, the payout at maturity will be par plus any gain.

If the fund stays flat or falls but a barrier event never occurs, the payout will be par plus the absolute value of the return.

Otherwise, investors will be fully exposed to any losses.

The notes (Cusip: 06366RPM1) are expected to price on June 13 and settle on June 18.

BMO Capital Markets Corp. is the agent.

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