Chicago, Nov. 14 – Bank of Montreal priced $3 million of 0% market-linked notes due June 20, 2029 linked to the performance of the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The initial level will be set as the average of the closing levels of the index from Nov. 6 to Dec. 21.
Similarly, the final level will be the arithmetic average of the closing levels from March 16, 2029 to June 14, 2029.
If the final index level is greater than 116% of initial level, the payout at maturity will the positive percentage change minus the 148% cap level times 2.29 in leverage plus the 102.92% maximum return. The return is capped at par plus 102.92% ($2,029.20 for each $1,000 note). As a hypothetical, if the index increases 30%, the payout will be par plus 61.7% (30% minus 48% times 2.29 plus 102.92%).
In the second scenario, the index ends between 90% and 116% of its initial level. In this case, investors will receive a return based on the final level minus the 90% lower strike level times a 114% leverage factor. So, if the index return is 110% of the initial level, subtract 90%. With that 20%, multiply 1.14 to get a par plus 22.8% return,
The next scenario is buffered, if the index return is between 74% and 90% of the initial level. Investors would take the final level and subtract out the 74% barrier, multiply the difference by the 162.5% leverage factor and then have exposure to losses beyond a 26% buffer. In this case, if the index return is 85% of its initial level, the payout would be par minus 8.13%.
In the final scenario, if the index finishes below 74% of its initial level, investors will be fully exposed to the losses of the index.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Market-linked notes
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| Underlying index: | Dow Jones industrial average
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| Amount: | $3,000,000
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| Maturity: | June 20, 2029
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Cap of par plus 102.92%; if the final index level is greater than 116% of initial level, the payout at maturity will the positive percentage change minus the 148% cap level times 2.29 in leverage plus the 102.92% maximum return; if the index ends between 90% and 116% of its initial level, investors will receive a return based on the final level minus the 90% lower strike level times a 114% leverage factor; if the index return is between 74% and 90% of the initial level investors would take the final level and subtract out the 74% barrier, multiply the difference by the 162.5% leverage factor and then have exposure to losses beyond a 26% buffer; if the index return is between 74% and 90% of the initial level, the final level and subtract out the 74% barrier, multiply the difference by the 162.5% leverage factor and then have exposure to losses beyond a 26% buffer; if the index finishes below 74% of its initial level, investors will be fully exposed to the losses of the index
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| Initial index level: | Arithmetic average of closing levels from Nov. 6 to Dec. 21
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| Final level: | Arithmetic average of closing levels from March 16, 2029 to June 14, 2029
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| Barrier level: | 74% of initial level
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| Strike date: | Nov. 6
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| Pricing date: | Nov. 8
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| Settlement date: | Nov. 13
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.125%
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| Cusip: | 06375MK20
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