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Bank of Montreal plans contingent risk absolute return notes on S&P 500
By Susanna Moon
Chicago, Oct. 10 – Bank of Montreal plans to price 0% contingent risk absolute return notes due Oct. 31, 2016 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 closes below the barrier level, 76.5% to 80.5% of the initial level, on any day during the life of the notes.
If the index finishes above the initial level, the payout at maturity will be par plus double the return.
If the index falls but a barrier event never occurs, the payout will be par plus the absolute value of the index return, up to the maximum downside redemption amount of $1,195 of $1,235 per $1,000 principal amount of the notes.
Otherwise, investors will be fully exposed to any losses.
BMO Capital Markets Corp. is the agent.
The notes will price on Oct. 28 and settle on Oct. 31.
The Cusip number is 06366RXK6.
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