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Bank of Montreal plans contingent risk absolute return notes on S&P
By Marisa Wong
Madison, Wis., April 12 - Bank of Montreal plans to price 0% contingent risk absolute return notes due April 29, 2015 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 closes below 72.5% to 76.5% of its initial level on any trading day during the life of the notes. The exact barrier level will be set at pricing.
If the index return is positive, the payout at maturity will be par plus the index gain.
If the index return is zero or negative 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 zero or negative but a barrier event has occurred, investors will be fully exposed to any losses.
The notes are expected to price April 24 and settle April 29.
BMO Capital Markets Corp. is the agent.
The Cusip number is 06366RNP6.
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