By Angela McDaniels
Tacoma, Wash., March 30 – Bank of Montreal priced $415,000 of 0% contingent risk absolute return notes due March 31, 2017 linked to the iShares MSCI Emerging Markets 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 the ETF return.
If the ETF return is less than or equal to zero and a barrier event has not occurred, the payout will be par plus the absolute value of the ETF return. A barrier event will occur if the ETF closes below the barrier level, 74% of the initial share price, on any trading day during the life of the notes.
If the ETF return is less than or equal to zero and a barrier event has occurred, investors will be fully exposed to the ETF's decline.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Contingent risk absolute return notes
|
| Underlying ETF: | iShares MSCI Emerging Markets ETF
|
| Amount: | $415,000
|
| Maturity: | March 31, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If ETF return is positive, par plus ETF return; if ETF return is less than or equal to zero and barrier event has not occurred, par plus absolute value of ETF return; if ETF return is less than or equal to zero and barrier event has occurred, full exposure to ETF's decline
|
| Barrier event: | ETF closes below barrier level on any trading day during life of notes
|
| Initial share price: | $39.35
|
| Barrier level: | $29.12, 74% of initial share price
|
| Pricing date: | March 26
|
| Settlement date: | March 31
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | None
|
| Cusip: | 06366RF34
|
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