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OPP says the incident occurred in the area of Legion Park in Fort Frances.
Police say the woman was walking with two young children when they were confronted by a man on a bicycle who was verbally abusive and uttered threats.
He then pulled a knife and held it against the woman's neck.
She managed to escape unharmed.
The 36-year -old was arrested a short time later.
He will appear in court next month on charges of assault with a weapon and uttering threats.