By Toni Weeks
San Luis Obispo, Calif., May 27 – Bank of Montreal priced $987,000 of 0% contingent risk absolute return notes due May 30, 2017 linked to the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
If the ETF’s return is positive, the payout at maturity will be par plus the ETF's return.
If the ETF's 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's return. A barrier event will occur if the ETF’s shares close below the barrier level, 76% of the initial share price, on any day during the life of the notes.
If the ETF's 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 EAFE
|
| Amount: | $987,000
|
| Maturity: | May 30, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If ETF’s return is positive, par plus ETF's return; if ETF's return is less than or equal to zero but barrier event has not occurred, par plus absolute value of ETF's return; if ETF's return is less than or equal to zero and barrier event has occurred, full exposure to ETF's decline
|
| Initial share price: | $67.98
|
| Barrier level: | $51.66, 76% of initial share price
|
| Pricing date: | May 22
|
| Settlement date: | May 28
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | None
|
| Cusip: | 06366RM85
|
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