Published on 9/20/2023 in the Prospect News Structured Products Daily.
New Issue: BMO sells $565,000 barrier enhanced return notes on index, ETF basket
By Kiku Steinfeld
Chicago, Sept. 20 – Bank of Montreal priced $565,000 of 0% barrier enhanced return notes due March 10, 2028 linked to an unequally weighted basket consisting of the iShares MSCI EAFE ETF with a 20% weight, the iShares MSCI Emerging Markets ETF with a 10% weight, the SPDR S&P 500 ETF Trust with a 35% weight and the Russell 2000 index with a 35% weight, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus 126.7% of any gain of the basket.
Investors will receive par if the basket falls by up to 35% and will be fully exposed to the decline of the basket if it falls beyond the 65% barrier level.
BMO Capital Markets Corp. is the underwriter.
Issuer: | Bank of Montreal
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Issue: | Barrier enhanced return notes
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Basket components: | iShares MSCI EAFE ETF (20% weight), iShares MSCI Emerging Markets ETF (10% weight), SPDR S&P 500 ETF Trust (35% weight) and Russell 2000 index (35% weight)
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Amount: | $565,000
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Maturity: | March 10, 2028
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 126.7% of any gain of basket; par if basket falls by up to 35%; otherwise, full exposure to decline of basket from its initial level
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Initial index level: | 1,878.724 for Russell, $398.27 for SPDR, $69.52 for EAFE, $38.74 for EM
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Barrier level: | 65% of initial level
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Pricing date: | March 7, 2023
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Settlement date: | March 10, 2023
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Underwriter: | BMO Capital Markets Corp.
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Fees: | 0.625%
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Cusip: | 06374VQH2
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