Bank of Montreal plans contingent risk absolute return notes tied to iShares MSCI Emerging Markets

By Toni Weeks

San Luis Obispo, Calif., Dec. 11 – Bank of Montreal plans to price 0% contingent risk absolute return notes due Dec. 29, 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 closes below the barrier level on any day during the life of the notes. The barrier level will be 74.5% to 78.5% of the initial level, 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 the fund gain.

If the fund falls but a barrier event has not occurred, the payout will be par plus the absolute value of the return, up to a maximum return of 21.5% to 25.5%.

Otherwise, investors will be fully exposed to any losses.

BMO Capital Markets Corp. is the agent.

The notes will price Dec. 23 and settle Dec. 29.

The Cusip number is 06366RYR0.

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