By Susanna Moon
Chicago, Nov. 2 – Bank of Montreal priced $1.98 million of 0% contingent risk absolute return notes due Oct. 31, 2018 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A barrier event occurs if the index ever closes below its 74% barrier level on any day during the life of the notes.
If the index finishes above its initial level, the payout at maturity will be par plus the gain.
If the index falls but never closes below its 74% barrier level, the payout will be par plus the absolute value of the return.
Otherwise, investors will be fully exposed to any losses.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Contingent risk absolute return notes
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| Underlying index: | S&P 500
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| Amount: | $1,976,000
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| Maturity: | Oct. 31, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If index gains, par plus return; if index never closes below its 74% barrier, par plus absolute return; if index falls by more than 26%, full exposure to any losses
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| Initial level: | 2,139.43
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| Barrier level: | 1,583.18, 74% of initial level
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| Pricing date: | Oct. 26
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| Settlement date: | Oct. 31
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| Agent: | BMO Capital Markets Corp.
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| Fees: | None
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| Cusip: | 06367TME7
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