Bank of Montreal plans buffered bullish enhanced return notes linked to indexes, ETF basket

By Devika Patel

Knoxville, Tenn., May 4 – Bank of Montreal plans to price 0% buffered bullish enhanced return notes due Nov. 30, 2018 linked to a basket containing two indexes and one exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The underlying components are the S&P 500 index with a 40% weight, the Euro Stoxx 50 index with a 30% weight, the Russell 2000 index with a 20% weight and the iShares MSCI Emerging Markets ETF with a 10% weight.

The payout at maturity will be par plus 150% of any basket gain, subject to a maximum return of $1,146.25 per $1,000 of notes.

Investors will receive par if the basket falls by up to 10% and will lose 1% for each 1% decline beyond 10%.

Citigroup Global Markets Inc. is the underwriter.

The notes (Cusip: 06367TEP1) are expected to price on May 26 and settle on May 31.

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