New Issue: BMO sells $850,000 contingent risk absolute return notes on S&P 500

By Kiku Steinfeld

Chicago, Oct. 2– Bank of Montreal priced $850,000 of 0% contingent risk absolute return notes due Aug. 13, 2026 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

A barrier event occurs if the index closes below the barrier level, 70% of the initial level, on any day during the life of the notes.

At maturity, if the index return is positive, the payout will be par plus 115% of the gain, capped at 63.45%.

If the index return is zero or negative and a barrier event has not occurred, the payout will be par plus the absolute value of the index return, up to 30%.

If the index return is zero or negative and a barrier event has occurred, investors will be fully exposed to any losses.

BMO Capital Markets Corp. is the agent.

Issuer:	Bank of Montreal
Issue:	Contingent risk absolute return notes
Underlying index:	S&P 500
Amount:	$850,000
Maturity:	Aug. 13, 2026
Coupon:	0%`
Price:	Par
Payout at maturity:	Par plus 115% of any gain, capped at 63.45%; if index falls but not below barrier level, par plus absolute value of return, up to 30%; if index falls below barrier level, full exposure to losses
Initial level:	3,916.64
Barrier level:	2,741.65, 70% of initial level
Pricing date:	March 17, 2023
Settlement date:	March 22, 2023
Agent:	BMO Capital Markets Corp.
Fees:	0.75%
Cusip:	06374VQQ2

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