Bank of Montreal plans contingent risk absolute return notes on iShares MSCI Emerging Markets

By Marisa Wong

Madison, Wis., July 23 - Bank of Montreal plans to price 0% contingent risk absolute return notes due Aug. 7, 2014 linked to the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission.

If the exchange-traded fund's return is positive, the payout at maturity will be par plus the gain.

A barrier event will occur if the closing price of the fund ever dips below the barrier level during the life of the notes. The barrier level will be 65% to 69% of the initial level.

If the final share price is less than or equal to the initial share price and a barrier event has not occurred, the payout will be par plus the absolute value of the ETF return. Otherwise, investors will share in losses.

The notes (Cusip: 06366RGE9) are expected to price on Aug. 2 and settle on Aug. 7.

BMO Capital Markets Corp. is the agent.

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