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Medivolve Inc. — Fund Information / Factsheet 2023
Nov 17, 2023
45925_rns_2023-11-16_041d5fb2-82fd-43f9-a7f6-d5ff4cfc48fd.pdf
Fund Information / Factsheet
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BMO Callable Contingent Income Barrier Notes, Series 391 (CAD) (F-Class) Due December 13, 2030,
Linked to a Basket of Canadian Energy Securities (AR Version)
7 - Year Term Monthly Call Subject to the notes Feature being automatically * starting after the called by Bank of 5th observation date Montreal
12.30% per annum 40% Contingent Contingent Protection at Coupon Paid Maturity Monthly
Investment Highlights
The notes offered by the pricing supplement are unsecured debt securities issued by Bank of Montreal. The objective of the notes is to offer investors an income stream via potential periodic coupon payments with contingent downside protection against the loss of their principal investment from any negative performance above the barrier level of a basket of the following reference assets over the term of the notes. The performance of each reference asset is subject to a dividend adjustment. The principal amount is NOT fully protected under the notes.
- Contingent coupon: 1.025% monthly (equivalent to 12.30% per annum) provided that the basket level is at or above the coupon payment level.
Reference Basket
| Reference Basket | Reference Basket |
|---|---|
| Reference asset | Ticker symbol |
| Common shares of Canadian Natural Resources Limited |
CNQ |
| Common shares of Cenovus Energy Inc. |
CVE |
| Common shares of Suncor Energy Inc. |
SU |
The average dividend yield of the reference basket on November 14, 2023 was 3.80%, representing an aggregate dividend yield of approximately 29.83% compounded annually over the term of the notes (assuming the dividend yield remains constant).
-
Coupon payment level: 60.00% of the initial basket level.
-
Autocall: Automatic early redemption at par plus any final coupon payment if the basket level is at or above the autocall level on any autocall observation date. The notes cannot be automatically called prior to the sixth observation date.
An investment in the notes does not represent a direct or indirect investment in any of the reference assets. You have no right or entitlement to the dividends or distributions paid on the reference assets.
-
Autocall level: 110.00% of the initial basket level.
-
Minimum payment: CAD $1.00
-
Barrier protection: 40.00%
-
Downside participation: 100.00%, below the barrier level.
Additional Details
| Additional Details | Additional Details | Additional Details | Additional Details | Additional Details | Additional Details |
|---|---|---|---|---|---|
| Fundserv Code | Minimum | ||||
| Available Until | Issue Date | Maturity Date | Selling Concession | ||
| Investment | |||||
| JHN17474 | December 8, 2023 | December 13, 2023 | December 13, 2030 | CAD $2,000.00 | Nil |
A final base shelf prospectus containing important information relating to the securities described in this document has been filed with the securities regulatory authorities in each of the provinces and territories of Canada. A copy of the final base shelf prospectus, any amendment to the final base shelf prospectus and any applicable base shelf prospectus supplement that has been filed, is required to be delivered with this document. This document does not provide full disclosure of all material facts relating to the securities offered. Investors should read the final base shelf prospectus, any amendment and any applicable base shelf prospectus supplement for disclosure of those facts, especially risk factors relating to the securities offered, before making an investment decision.
For more information, please contact your Investment Advisor.
www.bmonotes.com
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| Additional Offering Details | Additional Offering Details |
|---|---|
| Issuer | Bank of Montreal |
| Issuer rating | Moody’s: Aa2; S&P: A+; DBRS: AA (long‐term deposits > 1 year). |
| Currency of notes | Canadian dollar (CAD). |
| Stated principal amount |
CAD $100.00 per note. |
| Minimum investment | CAD $2,000.00 (20 notes). |
| Issue date | On or around December 13, 2023. |
| Final valuation date | December 6, 2030, subject to postponement if such date is not an exchange day or a market disruption event occurs. |
| Maturity date | December 13, 2030, subject to the notes being automatically called by us. |
| Term | Approximately seven (7) years. |
| Observation and Payment Dates |
See "Observation and Payment Dates" below. |
| Coupon rate | 1.025% monthly (equivalent to 12.30% per annum). |
| Coupon payment level | 60.00% of the initial basket level. |
| Contingent coupon payments |
If the notes have not been redeemed, on each coupon payment date there are two scenarios: If the basket level on the immediately preceding coupon observation date is at or above the coupon payment level, you will receive a coupon payment equal to the stated principal amount multiplied by the coupon rate. Otherwise, you will not receive a payment on such coupon payment date. |
| Autocall level | 110.00% of the initial basket level. |
| Automatic early redemption |
The notes will be automatically redeemed on any autocall payment date if, on the corresponding autocall observation date, the basket level is at or above the autocall level. On any such redemption, you will receive a cash payment equal to the stated principal amount, in addition to any final contingent coupon payment. No further payments will be made after such autocall payment date. The notes cannot be automatically called prior to the sixth observation date. |
| Initial level | The closing level of a reference asset on the issue date. |
| Initial basket level | 100.00 |
| Basket level | In respect of any given date, the basket level shall be determined in accordance with the following formula: = 100 + (100 × 𝑏𝑎𝑠𝑘𝑒𝑡𝑟𝑒𝑡𝑢𝑟𝑛) |
| Final basket level | The basket level on the final valuation date. |
| Basket return | The sum of each weighted adjusted return on a given date, expressed as a percentage. The weighted adjusted return as of a date is calculated by dividing (1) (A) its respective adjusted level on that date minus (B) its respective initial level by (2) its respective initial level, and multiplying |
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| the result by the reference asset's respective weighting. In respect of any given date, the basket return shall be determined in accordance with the following formula: = ∑ 𝑊𝑒𝑖𝑔ℎ𝑡× 𝑎𝑑𝑗𝑢𝑠𝑡𝑒𝑑𝑟𝑒𝑡𝑢𝑟𝑛 𝐹𝑜𝑟𝑒𝑎𝑐ℎ𝑟𝑒𝑓𝑒𝑟𝑒𝑛𝑐𝑒𝑎𝑠𝑠𝑒𝑡 |
|
|---|---|
| Final basket return | The basket return on the final valuation date. |
| Weighted adjusted return |
In respect of a reference asset, an amount expressed as a percentage equal to the product of the adjusted return for the reference asset and the basket weight applied to such reference asset on the final valuation date. |
| Adjusted return | For a reference asset, the percentage change in value between the adjusted level and initial level for that reference asset, determined using the following formula: = 𝑎𝑑𝑗𝑢𝑠𝑡𝑒𝑑𝑙𝑒𝑣𝑒𝑙−𝑖𝑛𝑖𝑡𝑖𝑎𝑙𝑙𝑒𝑣𝑒𝑙 𝑖𝑛𝑖𝑡𝑖𝑎𝑙𝑙𝑒𝑣𝑒𝑙 |
| Adjusted level | For a reference asset in respect of any given date, the sum of the closing level and the dividend adjustment for such reference asset on that date. For greater certainty, the adjusted level can never be less than zero. |
| Dividend adjustment | For a reference asset measured from, but excluding, the issue date to and including the applicable observation date, a dollar amount reflecting the difference (positive or negative) between (i) the sum of all realized dividends accumulated on such reference asset, and (ii) the sum of all contractual dividends accrued for such reference asset. |
| Contractual dividend | An amount fixed on the issue date that is equal to the most recent ordinary cash dividend declared by the issuer of the reference asset that has commenced trading on an ex-dividend basis on its exchange, accrued at the same frequency as the ordinary cash dividend declared on such reference asset on or immediately preceding the issue date, as determined by the calculation agent acting in good faith. |
| Realized dividend | For a reference asset, an ordinary or special cash dividend (except an extraordinary dividend where an adjustment is contemplated under "Certain Additional Terms for Notes Linked to a Reference Company or a Reference ETF" in the income product supplement) declared on each of the reference assets and observed and recorded by the calculation agent on the date that such reference asset commences trading on an ex-dividend basis on its exchange. |
| Barrier level | 60.00% of the initial basket level. |
| Downside participation |
100.00%, below the barrier level. |
| Barrier event | Monitoring at maturity only. |
| Payment at maturity | If the notes have not been redeemed, you will receive at maturity for each note you then hold, in addition to any final contingent coupon payment: If the final basket level is at or above the barrier level, a maturity payment equal to CAD $100.00. If the final basket level is below the barrier level, a maturity payment directly linked to the performance of the reference basket and changes, if any, in dividends declared on the reference asset over the term of the notes. The maturity payment will be equal to the following formula, subject to a minimum payment of CAD $1.00: = 𝐶𝐴𝐷$100.00 + (𝐶𝐴𝐷$100.00 × 𝑓𝑖𝑛𝑎𝑙𝑏𝑎𝑠𝑘𝑒𝑡𝑟𝑒𝑡𝑢𝑟𝑛) |
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| If the notes have not been redeemed early, and the final basket level is below the barrier level, the payment you receive at maturity may be significantly below the stated principal amount of your notes and may be as little as CAD $1.00. |
|
|---|---|
| Minimum payment | CAD $1.00 |
| Additional tax information |
For information about the Canadian federal income tax considerations associated with an investment in the notes, see “Tax Considerations – Certain Canadian Federal Income Tax Considerations” in the income product supplement. For information about the eligibility of the notes for investment for certain registered plans, see “Eligibility for Investment” in the income product supplement. |
| Fundserv code | JHN17474 |
| Calculation agent | BMO Capital Markets |
| Dealer | BMO Nesbitt Burns Inc., an affiliate of ours, and Desjardins Securities Inc., acting as an independent dealer. |
| Secondary market/early trading charge |
The notes will not be listed on any securities exchange. BMO Capital Markets will use reasonable efforts under normal market conditions to provide for a daily secondary market for the sale of the notes through the order entry system operated by Fundserv Inc. but reserves the right to elect not to do so in the future, in its sole and absolute discretion, without prior notice to you. Sale requests need to be initiated by 1:00 p.m. (Toronto time, or such other time as may hereafter be established by us or Fundserv) on a business day. Any request received after such time will be deemed to be a request sent and received in respect of the next following business day. Sale of a Fundserv Note will be effected at a price equal to the bid price for the note, determined by us in our sole and absolute discretion. No early trading charge will apply if the notes are sold prior to maturity. See “Supplemental Plan of Distribution”, in the pricing supplement. |
| Adjustment event | In addition to the events listed in the definition of “Adjustment Event” in the income product supplement, a change in the frequency of cash dividends declared on any of the reference securities shall be an adjustment event in respect of the relevant reference securities. The definition of “Adjustment Event” in the income product supplement shall in all other respects be unamended. |
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Adjusted Return Profile
The performance of the reference basket, and the return, if any, on the notes, will be impacted by both (i) the price performance of each of the reference assets within the reference basket and (ii) changes, if any, in dividends declared for each reference asset over the term of the notes.
The following hypothetical example is provided for illustrative purposes only to help demonstrate how variations in realized dividends versus contractual dividends will impact the dividend adjustment and the adjusted return for a reference asset, and the basket return and performance of the notes. For illustrative purposes only, the hypothetical reference basket is comprised of two hypothetical reference shares only and will track the changes in share price and dividends over a period of three years. The hypothetical value of each such reference share on the issue date is as follows:
| Company name | Ticker symbol | Initial level | Cash dividend | Dividend frequency | Basket weight |
|---|---|---|---|---|---|
| Company 1 | ABC | CAD $58.60 | CAD $0.90 | Annual | 50.00% |
| Company 2 | XYZ | CAD $91.55 | CAD $1.08 | Annual | 50.00% |
Step 1: Calculating the dividend adjustment for the reference assets
The contractual dividend for each reference asset in this hypothetical example is fixed on the issue date and equal to the most recent ordinary cash dividend declared for such reference asset that has commenced trading on an ex-dividend basis on its exchange. In this example, the fixed amount is CAD $0.90 for Company 1 and CAD $1.08 for Company 2.
The realized dividends and the contractual dividends are observed and recorded on each date that such reference asset commences trading on an ex-dividend basis on its exchange over the term of the notes.
The table below tracks the difference between (i) the sum of all realized dividends that have accumulated on each reference asset (column 'B', below), and (ii) the sum of all contractual dividends accrued for each reference asset (column 'C', below) during the term of the notes. The difference between these two dollar amounts represents the dividend adjustment (column ‘D’, below) that will be applied to the closing level of the respective reference asset in determining the adjusted level (column ‘E’, below) and adjusted return for each reference asset in this hypothetical example.
| Annual period | Closing level | Declared cash dividend |
Realized dividend |
Contractual dividend |
Dividend adjustment B - C |
Adjusted level A + D |
|---|---|---|---|---|---|---|
| A | - | B | C | D | E | |
| Company 1 | ||||||
| Issue Date | CAD $58.60 | CAD $0.90 | - | - | - | - |
| Year 1 | CAD $67.31 | CAD $0.50 | CAD $0.50 | CAD $0.90 | (CAD $0.40) | CAD $66.91 |
| Year 2 | CAD $47.33 | CAD $0.75 | CAD $1.25 | CAD $1.80 | (CAD $0.55) | CAD $46.78 |
| Year 3 (Maturity) |
CAD $102.60 | CAD $1.06 | CAD $2.31 | CAD $2.70 | (CAD $0.39) | CAD $102.21 |
| Company 2 | ||||||
| Issue Date | CAD $91.55 | CAD $1.08 | - | - | - | - |
| Year 1 | CAD $98.22 | CAD $1.20 | CAD $1.20 | CAD $1.08 | (CAD $0.12) | CAD $98.34 |
| Year 2 | CAD $106.72 | CAD $1.18 | CAD $2.38 | CAD $2.16 | (CAD $0.22) | CAD $106.94 |
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Year 3 CAD $76.75 (Maturity)
CAD $1.04
CAD $3.42
CAD $3.24
(CAD $0.18) CAD $76.93
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Step 2: Calculating the adjusted returns for the reference assets
The closing level and dividend adjustment for each reference asset on an applicable observation date are used to calculate the adjusted level and adjusted return for each reference asset comprising the reference basket. In this hypothetical example, the adjusted level and adjusted return for each reference asset is determined using the closing level and dividend adjustment on the final valuation date (i.e., Year 3).
| Company 1 | Company 1 |
|---|---|
| Adjusted level | = closing level + dividend adjustment = CAD $102.60 – CAD $0.39 = CAD $102.21 |
| Adjusted returnS1 | = (adjusted level – initial level) / initial level = (CAD $102.21 – CAD $58.60) / CAD $58.60 = 74.42% |
| Company 2 | Company 2 |
|---|---|
| Adjusted level | = closing level + dividend adjustment = CAD $76.75 + CAD $0.18 = CAD $76.93 |
| Adjusted returnS2 | = (adjusted level - initial level) / initial level = (CAD $76.93 - CAD $91.55) / CAD $91.55 = -15.97% |
Step 3: Calculating the basket return for the reference basket
The applicable share weighting will be applied to the adjusted return for each reference share to determine the basket return for the notes. The basket return will be used to determine whether a coupon payment will be payable and/or the amount of the maturity payment for the notes. The basket return on the final valuation date in this hypothetical example is determined as follows:
Basket return = (adjusted returnS1× weightS1) + (adjusted returnS2 × weightS2)
Basket return = (74.42% × 50.00%) + (-15.97% × 50.00%)
Basket return = 29.23%
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Observation and Payment Dates
| Observation date | Coupon observation date* | Autocall observation date* | Couponpayment date/ Autocallpayment date** |
|---|---|---|---|
| 1 | January8,2024 | n/a | January15,2024(Not callable) |
| 2 | February6,2024 | n/a | February13,2024(Not callable) |
| 3 | March 6,2024 | n/a | March 13,2024(Not callable) |
| 4 | April 8,2024 | n/a | April 15,2024(Not callable) |
| 5 | May6,2024 | n/a | May13,2024(Not callable) |
| 6 | June 6,2024 | June 6,2024 | June 13,2024 |
| 7 | July8,2024 | July8,2024 | July15,2024 |
| 8 | August 6,2024 | August 6,2024 | August 13,2024 |
| 9 | September 6,2024 | September 6,2024 | September 13,2024 |
| 10 | October 7,2024 | October 7,2024 | October 15,2024 |
| 11 | November 5,2024 | November 5,2024 | November 13,2024 |
| 12 | December 6,2024 | December 6,2024 | December 13,2024 |
| 13 | January6,2025 | January6,2025 | January13,2025 |
| 14 | February6,2025 | February6,2025 | February13,2025 |
| 15 | March 6,2025 | March 6,2025 | March 13,2025 |
| 16 | April 7,2025 | April 7,2025 | April 14,2025 |
| 17 | May6,2025 | May6,2025 | May13,2025 |
| 18 | June 6,2025 | June 6,2025 | June 13,2025 |
| 19 | July7,2025 | July7,2025 | July14,2025 |
| 20 | August 6,2025 | August 6,2025 | August 13,2025 |
| 21 | September 8,2025 | September 8,2025 | September 15,2025 |
| 22 | October 6,2025 | October 6,2025 | October 14,2025 |
| 23 | November 5,2025 | November 5,2025 | November 13,2025 |
| 24 | December 8,2025 | December 8,2025 | December 15,2025 |
| 25 | January6,2026 | January6,2026 | January13,2026 |
| 26 | February6,2026 | February6,2026 | February13,2026 |
| 27 | March 6,2026 | March 6,2026 | March 13,2026 |
| 28 | April 6,2026 | April 6,2026 | April 13,2026 |
| 29 | May6,2026 | May6,2026 | May13,2026 |
| 30 | June 8,2026 | June 8,2026 | June 15,2026 |
| 31 | July6,2026 | July6,2026 | July13,2026 |
| 32 | August 6,2026 | August 6,2026 | August 13,2026 |
| 33 | September 4,2026 | September 4,2026 | September 14,2026 |
| 34 | October 5,2026 | October 5,2026 | October 13,2026 |
| 35 | November 5,2026 | November 5,2026 | November 13,2026 |
| 36 | December 7,2026 | December 7,2026 | December 14,2026 |
| 37 | January6,2027 | January6,2027 | January13,2027 |
| 38 | February8,2027 | February8,2027 | February16,2027 |
| 39 | March 8,2027 | March 8,2027 | March 15,2027 |
| 40 | April 6,2027 | April 6,2027 | April 13,2027 |
| 41 | May6,2027 | May6,2027 | May13,2027 |
| 42 | June 7,2027 | June 7,2027 | June 14,2027 |
| 43 | July6,2027 | July6,2027 | July13,2027 |
| 44 | August 6,2027 | August 6,2027 | August 13,2027 |
| 45 | September 3,2027 | September 3,2027 | September 13,2027 |
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| 46 | October 5,2027 | October 5,2027 | October 13,2027 |
|---|---|---|---|
| 47 | November 5,2027 | November 5,2027 | November 15,2027 |
| 48 | December 6,2027 | December 6,2027 | December 13,2027 |
| 49 | January6,2028 | January6,2028 | January13,2028 |
| 50 | February7,2028 | February7,2028 | February14,2028 |
| 51 | March 6,2028 | March 6,2028 | March 13,2028 |
| 52 | April 6,2028 | April 6,2028 | April 13,2028 |
| 53 | May8,2028 | May8,2028 | May15,2028 |
| 54 | June 6,2028 | June 6,2028 | June 13,2028 |
| 55 | July6,2028 | July6,2028 | July13,2028 |
| 56 | August 4,2028 | August 4,2028 | August 14,2028 |
| 57 | September 6,2028 | September 6,2028 | September 13,2028 |
| 58 | October 5,2028 | October 5,2028 | October 13,2028 |
| 59 | November 6,2028 | November 6,2028 | November 14,2028 |
| 60 | December 6,2028 | December 6,2028 | December 13,2028 |
| 61 | January8,2029 | January8,2029 | January15,2029 |
| 62 | February6,2029 | February6,2029 | February13,2029 |
| 63 | March 6,2029 | March 6,2029 | March 13,2029 |
| 64 | April 6,2029 | April 6,2029 | April 13,2029 |
| 65 | May7,2029 | May7,2029 | May14,2029 |
| 66 | June 6,2029 | June 6,2029 | June 13,2029 |
| 67 | July6,2029 | July6,2029 | July13,2029 |
| 68 | August 3,2029 | August 3,2029 | August 13,2029 |
| 69 | September 6,2029 | September 6,2029 | September 13,2029 |
| 70 | October 5,2029 | October 5,2029 | October 15,2029 |
| 71 | November 5,2029 | November 5,2029 | November 13,2029 |
| 72 | December 6,2029 | December 6,2029 | December 13,2029 |
| 73 | January7,2030 | January7,2030 | January14,2030 |
| 74 | February6,2030 | February6,2030 | February13,2030 |
| 75 | March 6,2030 | March 6,2030 | March 13,2030 |
| 76 | April 8,2030 | April 8,2030 | April 15,2030 |
| 77 | May6,2030 | May6,2030 | May13,2030 |
| 78 | June 6,2030 | June 6,2030 | June 13,2030 |
| 79 | July8,2030 | July8,2030 | July15,2030 |
| 80 | August 6,2030 | August 6,2030 | August 13,2030 |
| 81 | September 6,2030 | September 6,2030 | September 13,2030 |
| 82 | October 7,2030 | October 7,2030 | October 15,2030 |
| 83 | November 5,2030 | November 5,2030 | November 13,2030 |
| 84 | December 6,2030 | December 6,2030 | December 13,2030 |
- If a scheduled coupon observation date or autocall observation date is not an exchange day for any reason, then such date will be the immediately preceding exchange day. Further, such dates are each also subject to postponement if a market disruption event occurs.
** Each coupon payment date and autocall payment date is subject to postponement if such date is not a business day or a market disruption event occurs.
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How do the Notes work?
The following hypothetical examples demonstrate how the payment you may receive will be calculated and determined under four different scenarios. The hypothetical basket levels used in these examples are for illustrative purposes only and should not be construed in any way as estimates or forecasts of the future performance of the reference assets, the future changes, if any, in dividends declared for any of the reference assets, or the return that you might realize on the notes. All hypothetical examples assume that no events described under “Certain Additional Terms for Notes Linked to a Reference Company or a Reference ETF” in the income product supplement have occurred during the term. For ease of analysis, figures below have been rounded.
| Barrier level/Coupon payment level | Autocall level |
| 60% of the initial basket level | 110% of the initial basket level |
| Example 1: Payment at Maturity (Negative Scenario) | |||
|---|---|---|---|
| Investor cash flow summary per note | |||
| 1) Principal amount paid | CAD $100.00 | ||
| 2) Total coupons received | CAD $2.05 | ||
| 3) Maturity payment received | CAD $43.00 | ||
| 4) Total amount received = (2) + (3) | CAD $45.05 | ||
| 5) Return on the notes (annualized) | -10.76% | ||
In this hypothetical example, the basket level is below the autocall level on all autocall observation dates, so the notes are not redeemed early. Furthermore, it is above the coupon payment level on the first and second coupon observation dates and below the coupon payment level on all the others, so you would receive two of the coupon payments.
Lastly, the final basket level is at 43.00% of the initial basket level, which is below the barrier level, so the final basket return is -57.00%. Accordingly, you would receive a maturity payment of CAD $43.00 per note with coupons totalling CAD $2.05 per note over the term of the notes (which is equivalent to a compounded annual loss of 10.76% on the notes).
In this example, the maturity payment is calculated as follows:
- 𝑀𝑎𝑡𝑢𝑟𝑖𝑡𝑦𝑝𝑎𝑦𝑚𝑒𝑛𝑡= 𝐶𝐴𝐷$100.00 + (𝐶𝐴𝐷$100.00 × 𝑓𝑖𝑛𝑎𝑙𝑏𝑎𝑠𝑘𝑒𝑡𝑟𝑒𝑡𝑢𝑟𝑛) = 𝐶𝐴𝐷$100.00 + (𝐶𝐴𝐷$100.00 × -57.00%) = 𝐶𝐴𝐷$43.00
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| Investor cash flow summary per note | |
| 1) Principal amount paid | CAD $100.00 |
| 2) Total coupons received | CAD $32.80 |
| 3) Maturity payment received | CAD $100.00 |
| 4) Total amount received = (2) + (3) | CAD $132.80 |
| 5) Return on the notes (annualized) | 4.13% |
Example 2: Payment at Maturity (Neutral Scenario)
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In this hypothetical example, the basket level is below the autocall level on all autocall observation dates, so the notes are not redeemed early. Furthermore, it is above the coupon payment level on thirty-two of the coupon observation dates and below the coupon payment level on all the others, so you would receive thirty-two of the coupon payments.
Lastly, the final basket level is at 68.00% of the initial basket level, which is above the barrier level, so the final basket return is -32.00%. Accordingly, you would receive a maturity payment equal to the principal amount with coupons totalling CAD $32.80 per note over the term of the notes (which is equivalent to a compounded annual return of 4.13% on the notes).
Example 3: Payment at Maturity (Positive Scenario)
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| Investor cash flow summary per note | |
| 1) Principal amount paid | CAD $100.00 |
| 2) Total coupons received | CAD $86.10 |
| 3) Maturity payment received | CAD $100.00 |
| 4) Total amount received = (2) + (3) | CAD $186.10 |
| 5) Return on the notes (annualized) | 9.27% |
In this hypothetical example, the basket level is below the autocall level on all autocall observation dates, so the notes are not redeemed early. Furthermore, it is above the coupon payment level on all of the coupon observation dates, so you would receive all of the coupon payments.
Lastly, the final basket level is at 84.00% of the initial basket level, which is above the barrier level, so the final basket return is -16.00%. Accordingly, you would receive a maturity payment equal to the principal amount with coupons totalling CAD $86.10 per note over the term of the notes (which is equivalent to a compounded annual return of 9.27% on the notes).
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| Example 4: Automatic Early Redemption | |||
|---|---|---|---|
| Investor cash flow summary per note | |||
| 1) Principal amount paid | CAD $100.00 | ||
| 2) Total coupons received | CAD $9.225 | ||
| 3) Maturity payment received (early redemption) |
CAD $100.00 | ||
| 4) Total amount received = (2) + (3) | CAD $109.225 |
||
| 5) Return on the notes (annualized) | 12.43% |
In this hypothetical example, the basket level is below the autocall level on all autocall observation dates until the ninth observation date. This results in the notes being redeemed early on the autocall payment date corresponding with the ninth observation date. Furthermore, it is above the coupon payment level on nine of the coupon observation dates, so you would receive nine of the coupon payments before the notes are redeemed.
Lastly, the basket level is at 116.00% of the initial basket level, which is above the autocall level, so the basket return is 16.00% and the notes are redeemed early for a value of CAD $100.00. Accordingly, you would receive a maturity payment equal to the principal amount with coupons totalling CAD $9.225 per note over the term of the notes (which is equivalent to a compounded annual return of 12.43% on the notes).
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Disclaimer
This document should be read in conjunction with Bank of Montreal’s short form base shelf prospectus dated May 25, 2023 (the “base shelf prospectus”), the income notes prospectus supplement dated May 25, 2023 (the “income product supplement”) and pricing supplement No. 426 dated November 16, 2023 (the “pricing supplement”), each as amended or supplemented.
Amounts paid to you will depend on the performance of the reference assets. The notes are not designed to be alternatives to fixed income or money market investments. Bank of Montreal does not guarantee that you will receive any return or repayment of your principal investment in the notes at maturity, subject to the minimum payment amount of CAD $1.00 per note. The notes provide contingent protection only, meaning that you could lose some or substantially all of your principal investment in the notes if the final basket level is below 60.00% on the final valuation date. See “Certain Risk Factors” in the base shelf prospectus, “Risk Factors” in the income product supplement and “Risk Factors” in the pricing supplement.
Prospective purchasers should carefully consider all of the information set forth in the pricing supplement, the income product supplement and the base shelf prospectus and, in particular, should evaluate the specific risk factors set forth under “Risk Factors” in the income product supplement and “Risk Factors” in the pricing supplement.
BMO Nesbitt Burns Inc. is a wholly-owned subsidiary of Bank of Montreal. As a result, Bank of Montreal is a “related issuer” of BMO Nesbitt Burns Inc. for the purposes of National Instrument 33-105 — Underwriting Conflicts . See “Plan of Distribution” in the income product supplement and “Supplemental Plan of Distribution” in the pricing supplement.
The notes have not been and will not be rated. A rating is not a recommendation to buy, sell or hold investments, and may be subject to revision or withdrawal at any time by the relevant rating agency.
The notes will not be deposits that are insured under the Canada Deposit Insurance Corporation Act or any other deposit insurance regime designed to ensure the payment of all or a portion of a deposit upon the insolvency of the deposit taking financial institution. See “Description of the notes — Ranking” in the income product supplement.
The above summary is for information purposes only and does not constitute an offer to sell or a solicitation to purchase notes. The offering and sale of notes may be prohibited or restricted by laws in certain jurisdictions. Notes may only be purchased where they may be lawfully offered for sale and only through individuals qualified to sell them. Unless the context otherwise requires, terms not defined herein will have the meaning ascribed thereto in the pricing supplement. A copy of the pricing supplement, the income product supplement and the base shelf prospectus can be obtained at www.sedarplus.ca.
“BMO (M-bar roundel symbol)”, “BMO” and “BMO Capital Markets” are registered trademarks of Bank of Montreal used under license.
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