Bank of Montreal plans contingent risk absolute return notes on S&P 500

By Marisa Wong

Madison, Wis., May 11 – Bank of Montreal plans to price 0% contingent risk absolute return notes due May 30, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes above its initial level, the payout at maturity will be par plus the return.

If the index 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 index return. A barrier event will occur if the index closes below the barrier level on any during the life of the notes. The barrier level is expected to be 76.5% to 80.5% of the initial index level and will be set at pricing.

If the index return is less than or equal to zero and a barrier event has occurred, investors will be fully exposed to the index’s decline.

BMO Capital Markets Corp. is the agent.

The notes will price on May 22 and settle on May 28.

The Cusip number is 06366RM77.

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