Published on 5/23/2023 in the Prospect News Structured Products Daily.
New Issue: BMO prices $2.5 million contingent risk absolute return buffer notes on S&P 500
By William Gullotti
Buffalo, N.Y., May 23 – Bank of Montreal priced $2.5 million of 0% contingent risk absolute return buffer notes due June 3, 2024 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index finishes above the initial level, the payout at maturity will be par plus 200% of the index gain, subject to a maximum return of par plus 12%.
If the index declines by no more than 10%, the payout will be par plus the absolute value of the index return.
Otherwise, investors will lose 1% for each 1% decline beyond 10%.
BMO Capital Markets Corp. is the agent.
Issuer: | Bank of Montreal
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Issue: | Contingent risk absolute return buffer notes
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Underlying index: | S&P 500 index
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Amount: | $2,503,000
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Maturity: | June 3, 2024
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 200% of any index gain, capped at par plus 12%; if index declines but finishes at or above the 90% buffer, par plus absolute value of the return; otherwise, 1% loss per 1% decline beyond 10%
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Initial level: | 4,169.48
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Buffer level: | 3,752.53, 90% of initial level
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Pricing date: | April 28
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Settlement date: | May 3
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Agent: | BMO Capital Markets Corp.
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Fees: | 0.43%
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Cusip: | 06374VSJ6
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