Bank of Montreal plans contingent risk absolute return notes on S&P

By Jennifer Chiou

New York, Nov. 12 - Bank of Montreal plans to price 0% contingent risk absolute return notes due Nov. 27, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

A barrier event will occur if the index's closing level is less than the barrier level on any day during the life of the notes. The barrier level is expected to be 74.5% to 78.5% of the initial level and will be set at pricing.

If the index return is positive, the payout at maturity will be par plus the index return. If the index return is not positive and a barrier event does not occur, the payout will be par plus the absolute value of the index return. If the index return is not positive and a barrier event does occur, investors will be fully exposed to the index's decline from the initial price.

The notes (Cusip: 06366RSA4) are expected to price on Nov. 22 and settle on Nov. 27.

BMO Capital Markets Corp. is the agent.

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