Bank of Montreal plans to price 0% contingent risk absolute return notes linked to iShares MSCI EAFE

By Toni Weeks

San Diego, Aug. 31 - Bank of Montreal plans to price 0% contingent risk absolute return notes due March 17, 2014 linked to the iShares MSCI EAFE index fund, according to a 424B2 filing with the Securities and Exchange Commission.

A barrier event will occur if the exchange-traded fund's closing share price is less than the barrier level on any day during the life of the notes. The barrier level is expected to be 70% to 74% of the initial level and will be set at pricing.

If the ETF return is positive, the payout at maturity will be par plus the ETF return.

If the ETF 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 ETF return.

If the ETF return is less than or equal to zero and a barrier event has occurred, investors will be fully exposed to the ETF's decline from its initial price.

The notes (Cusip: 06366RHH1) are expected to price Sept. 12 and settle Sept. 17.

BMO Capital Markets Corp. is the agent.

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