Bank of Montreal to price contingent risk absolute return notes linked to iShares MSCI EM fund

By Jennifer Chiou

New York, March 10 - Bank of Montreal plans to price 0% contingent risk absolute return notes due March 28, 2016 linked to the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

A barrier event will occur if the fund's closing share price is less than the barrier level on any day during the life of the notes. The barrier level is expected to be 74.5% to 77.5% of the initial share price and will be set at pricing.

If the fund return is positive, the payout at maturity will be par plus the fund gain. If the fund return is zero or negative and a barrier event has not occurred, the payout will be par plus the absolute value of the fund return. Otherwise, investors will be fully exposed to the fund's decline from the initial price.

The notes (Cusip: 06366RTR6) are expected to price on March 20 and settle on March 25.

BMO Capital Markets Corp. is the agent.

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