BMO plans contingent risk absolute return notes on iShares MSCI EAFE

By Devika Patel

Knoxville, Tenn., June 13 – Bank of Montreal plans to price 0% contingent risk absolute return notes due June 29, 2018 linked to the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

If the fund finishes above the initial level, the payout at maturity will be par plus the fund gain.

If the fund falls, but the fund level has never fallen below the barrier level during the life of the notes, the payout will be par plus the absolute value of the return, up to a maximum return of $1,300 to $1,340 per $1,000 of notes. The barrier level is expected to fall between 66% and 70% of the initial fund level and will be set at pricing along with the exact maximum return amount.

Otherwise, investors will lose 1% for every 1% decline.

BMO Capital Markets Corp. is the agent.

The notes (Cusip: 06367TGE4) will price on June 27 and settle on June 30.

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