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BMO plans contingent risk absolute return notes tied to S&P 500 index
By Marisa Wong
Morgantown, W.Va., Sept. 25 – Bank of Montreal plans to price 0% contingent risk absolute return notes due Sept. 30, 2019 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
If the index finishes above the initial level, the payout at maturity will be par plus the index gain.
If the index falls but 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. The barrier level is expected to be between 74% and 78% of the initial index level and will be set at pricing.
Otherwise, investors will lose 1% for every 1% decline of the index from its initial level.
BMO Capital Markets Corp. is the agent.
The notes will price on Sept. 26.
The Cusip number is 06367TG61.
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