By Toni Weeks
San Diego, Aug. 6 - Bank of Montreal priced $1.21 million of 0% contingent risk absolute return notes due Aug. 7, 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 60% barrier level on any day during the life of the notes.
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.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | Contingent risk absolute return notes
|
| Underlying ETF: | iShares MSCI EAFE index fund
|
| Amount: | $1.21 million
|
| Maturity: | Aug. 7, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If ETF's return is positive, par plus ETF return; if ETF return is less than or equal to zero and a barrier event has not occurred, par plus absolute value of ETF return; if fund return is less than or equal to zero and barrier event has occurred, full exposure to decline in ETF from initial price
|
| Initial share price: | $49.31
|
| Barrier level: | 60% of initial share price
|
| Pricing date: | Aug. 2
|
| Settlement date: | Aug. 7
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | None
|
| Cusip: | 06366RGF6
|
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