By Toni Weeks
San Luis Obispo, Calif., Nov. 26 - Bank of Montreal priced $1.26 million of 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 77% barrier level on any day during the life of the notes.
If the index return is positive, the payout at maturity will be par plus the index return.
If the index return is less than or equal to zero and a barrier event has not occurred, the payout will be par plus the absolute value of the index return.
If the index return is less than or equal to zero and a barrier event has occurred, investors will be fully exposed to the index's decline from its initial level.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Contingent risk absolute return notes
|
| Underlying index: | S&P 500
|
| Amount: | $1,258,000
|
| Maturity: | Nov. 27, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index return is positive, par plus index return; if index return is less than or equal to zero and a barrier event has not occurred, par plus absolute value of index return; if index return is less than or equal to zero and barrier event has occurred, full exposure to decline in index from initial level
|
| Initial level: | 1,804.76
|
| Barrier level: | 1,389.67, 77% of initial level
|
| Pricing date: | Nov. 22
|
| Settlement date: | Nov. 27
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | None
|
| Cusip: | 06366RSA4
|
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