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Bank of Montreal (BMO) is offering senior unsecured Contingent Risk Absolute Return Buffer Notes (Series K) linked to the S&P 500 Index, maturing 7 August 2028. The product is a Rule 433 Free-Writing Prospectus that supplements the March 25 2025 base documents.
Key economic terms
- Denomination: minimum $1,000; CUSIP 06376EP89.
- Upside: 1-to-1 exposure to any index appreciation, capped at a 30% Maximum Redemption Amount ($1,300).
- Absolute-return feature: if the S&P 500 Final Level is ≥ 80% and < 100% of the Initial Level, investors receive a positive return equal to the percentage decline, up to a $1,200 Maximum Downside Redemption Amount (20% gain).
- Downside: if the index falls > 20%, principal is reduced 1-for-1 beyond the 20% buffer, exposing investors to as much as an 80% loss of principal.
- Upside Leverage Factor: 100%; no interest payments.
- Estimated initial value: $976.10 per $1,000 note (potentially as low as $925 on pricing date), reflecting offering costs and hedge charges.
- Pricing Date: 31 July 2025; Settlement: 5 Aug 2025; Valuation: 2 Aug 2028; Maturity: 7 Aug 2028.
- Price to public: 100%; agent (BMOCM) commission: 1%, subject to concessions and fee-based discounts.
- Issuer credit risk: payments rely solely on BMO’s unsecured obligations; notes are not FDIC/CDIC-insured and will not be listed on any exchange.
Risk highlights
- Principal is at risk; investors could lose up to 80% if the index falls substantially.
- Returns are capped at 30%, limiting participation in strong equity rallies.
- Liquidity likely limited; BMOCM is not obligated to make a market.
- Initial estimated value is materially below issue price, creating negative yield-to-worst at inception.
- Product complexity, tax uncertainty (pre-paid derivative treatment), and potential conflicts of interest are disclosed.
This structured note appeals to investors seeking conditional equity exposure with a 20% downside buffer and limited upside, willing to assume BMO credit risk, illiquidity, and a complex payoff profile.
Bank of Montreal (BMO) is offering senior, unsecured Market-Linked Notes due August 5, 2027 that provide investors with 1-for-1 upside exposure to the Russell 2000® Index (RTY) subject to a hard Maximum Redemption Amount of $1,140 per $1,000 note (14% total return). The structure is straightforward: if, on the valuation date (Aug 2, 2027), the Index is at or below its initial level (set on the July 31, 2025 pricing date), holders simply receive par. If the Index appreciates, the payment equals principal plus 100% of the percentage gain, but never more than the $140 cap.
The notes pay no periodic coupons, are not listed on any exchange, and can be purchased only in $1,000 increments. BMO Capital Markets Corp. (BMOCM) acts as both selling agent and calculation agent, earning a 1.00% underwriting commission; BMO will net 99% of face value. BMO’s estimated initial value is $978.40—reflecting hedging costs, commissions, and its internal funding rate—meaning investors incur an implied 2.16% upfront economic cost.
Credit exposure rests entirely with BMO; the notes are senior unsecured obligations and are not CDIC/FDIC insured. Liquidity is expected to be limited because the notes are not exchange-traded and any secondary market will be made solely at BMOCM’s discretion. The issuer warns that secondary prices will likely be below the issue price and may include a temporary three-month premium that amortises to zero.
Risk highlights: (1) returns are capped, so investors forgo any Index gains above 14%; (2) no protection against inflation or opportunity cost versus conventional bonds of similar tenor; (3) tax treatment is expected to follow contingent-payment debt-instrument rules—U.S. holders owe ordinary income annually on an imputed yield even though cash is received only at maturity; (4) potential conflicts of interest arise from BMO’s dual role as issuer, hedger and market-maker; and (5) the embedded initial value discount and selling concessions create negative carry if sold prior to maturity.
Key dates: Pricing – Jul 31 ’25; Settlement – Aug 5 ’25; Valuation – Aug 2 ’27; Maturity – Aug 5 ’27.
The notes may appeal to investors seeking modest, capped equity exposure with full principal repayment and who are comfortable with BMO credit risk, illiquidity, and complex tax reporting.
Bank of Montreal (Series K) Digital Return Barrier Notes – key take-aways
The free-writing prospectus covers up to US$[ ] of two-year, senior unsecured notes that settle 05-Aug-2025 and mature 05-Aug-2027. The notes are linked to the worst performer of the S&P 500 Index (SPX) and the Russell 2000 Index (RTY) and pay no coupons.
- Digital payoff: If, on the 02-Aug-2027 valuation date, the least-performing index is ≥70 % of its 31-Jul-2025 initial level, holders receive principal plus a fixed 16 % return.
- Barrier risk: If the least-performing index closes <70 % of its initial level, redemption equals principal + (principal × percentage change), exposing investors to 1:1 downside all the way to a full loss.
- Credit & liquidity: The notes are unsecured obligations of Bank of Montreal, are not CDIC/FDIC-insured and will not be listed. Secondary liquidity depends solely on BMO Capital Markets (BMOCM).
- Pricing economics: Price to public is 100 % with up to 1 % selling concession. The estimated initial value is $975.50 per $1,000 (minimum $925.00), implying an initial value discount of roughly 2.5–7.5 % versus issue price.
- Denominations & identifiers: $1,000 minimum; CUSIP 06376ENZ1.
Risk highlights
- Capped upside at 16 % irrespective of index gains.
- Full principal loss possible if the worst index falls ≥100 %.
- Exposure to small-cap volatility via RTY and to large-cap market moves via SPX.
- Complex tax treatment – issuer assumes prepaid-derivative characterization but IRS could differ.
- Potential conflicts and hedging activity by BMO and affiliates may influence index levels and secondary pricing.
Overall, the structure suits investors willing to trade 30 % downside protection for a capped 16 % two-year return, while accepting issuer credit risk and limited liquidity.
Bank of Montreal (Series K) Digital Return Barrier Notes – key take-aways
The free-writing prospectus covers up to US$[ ] of two-year, senior unsecured notes that settle 05-Aug-2025 and mature 05-Aug-2027. The notes are linked to the worst performer of the S&P 500 Index (SPX) and the Russell 2000 Index (RTY) and pay no coupons.
- Digital payoff: If, on the 02-Aug-2027 valuation date, the least-performing index is ≥70 % of its 31-Jul-2025 initial level, holders receive principal plus a fixed 16 % return.
- Barrier risk: If the least-performing index closes <70 % of its initial level, redemption equals principal + (principal × percentage change), exposing investors to 1:1 downside all the way to a full loss.
- Credit & liquidity: The notes are unsecured obligations of Bank of Montreal, are not CDIC/FDIC-insured and will not be listed. Secondary liquidity depends solely on BMO Capital Markets (BMOCM).
- Pricing economics: Price to public is 100 % with up to 1 % selling concession. The estimated initial value is $975.50 per $1,000 (minimum $925.00), implying an initial value discount of roughly 2.5–7.5 % versus issue price.
- Denominations & identifiers: $1,000 minimum; CUSIP 06376ENZ1.
Risk highlights
- Capped upside at 16 % irrespective of index gains.
- Full principal loss possible if the worst index falls ≥100 %.
- Exposure to small-cap volatility via RTY and to large-cap market moves via SPX.
- Complex tax treatment – issuer assumes prepaid-derivative characterization but IRS could differ.
- Potential conflicts and hedging activity by BMO and affiliates may influence index levels and secondary pricing.
Overall, the structure suits investors willing to trade 30 % downside protection for a capped 16 % two-year return, while accepting issuer credit risk and limited liquidity.
Toronto-Dominion Bank (TD) is offering 921,640 Accelerated Return Notes (Series H) linked to the SPDR S&P Biotech ETF (ticker XBI). Each note has a $10 face amount, for a total public offering size of $9.216 million. The notes price on 26 Jun 2025, settle 3 Jul 2025 and mature 28 Aug 2026, giving an effective term of roughly 14 months.
Payoff structure
- Upside: Investors receive 300% of any positive price change in XBI, subject to a maximum redemption of $12.722 per unit (27.22% capped return).
- Downside: 1-to-1 participation in any decline; principal can be completely lost if XBI falls to zero.
- No interim coupons; all cash flows occur at maturity.
Key economic terms
- Starting Value: $83.68 (XBI closing price on pricing date)
- Participation Rate: 300%
- Price Multiplier: 1
- Fees: $0.175 underwriting discount + $0.05 hedging-related charge per unit (total 2.25% of face)
- Initial estimated value: $9.818 (1.82% below issue price) based on TD’s internal models and funding rate.
Credit & liquidity considerations
- The notes are senior unsecured obligations of TD and rank equally with its other senior debt. Payments depend on TD’s creditworthiness.
- No exchange listing; BofA Securities and TD are not required to make a secondary market, so liquidity may be limited and prices may trade below intrinsic value.
Risk highlights
- Full principal at risk with sector-specific exposure; XBI concentrates in biotechnology equities.
- Return is capped, so large rallies in biotech will not be fully captured.
- The offering price exceeds the bank’s model value, reflecting distribution costs and hedging profits.
- Investors forgo dividends/distributions paid by XBI and assume tax-structure uncertainty outlined in the term sheet.
Investor profile: Suitable only for investors who expect moderate upside in biotech over 14 months, can tolerate complete principal loss, do not need current income, and are comfortable with TD credit exposure and limited liquidity.
Toronto-Dominion Bank (TD) is offering 921,640 Accelerated Return Notes (Series H) linked to the SPDR S&P Biotech ETF (ticker XBI). Each note has a $10 face amount, for a total public offering size of $9.216 million. The notes price on 26 Jun 2025, settle 3 Jul 2025 and mature 28 Aug 2026, giving an effective term of roughly 14 months.
Payoff structure
- Upside: Investors receive 300% of any positive price change in XBI, subject to a maximum redemption of $12.722 per unit (27.22% capped return).
- Downside: 1-to-1 participation in any decline; principal can be completely lost if XBI falls to zero.
- No interim coupons; all cash flows occur at maturity.
Key economic terms
- Starting Value: $83.68 (XBI closing price on pricing date)
- Participation Rate: 300%
- Price Multiplier: 1
- Fees: $0.175 underwriting discount + $0.05 hedging-related charge per unit (total 2.25% of face)
- Initial estimated value: $9.818 (1.82% below issue price) based on TD’s internal models and funding rate.
Credit & liquidity considerations
- The notes are senior unsecured obligations of TD and rank equally with its other senior debt. Payments depend on TD’s creditworthiness.
- No exchange listing; BofA Securities and TD are not required to make a secondary market, so liquidity may be limited and prices may trade below intrinsic value.
Risk highlights
- Full principal at risk with sector-specific exposure; XBI concentrates in biotechnology equities.
- Return is capped, so large rallies in biotech will not be fully captured.
- The offering price exceeds the bank’s model value, reflecting distribution costs and hedging profits.
- Investors forgo dividends/distributions paid by XBI and assume tax-structure uncertainty outlined in the term sheet.
Investor profile: Suitable only for investors who expect moderate upside in biotech over 14 months, can tolerate complete principal loss, do not need current income, and are comfortable with TD credit exposure and limited liquidity.
Barclays Bank PLC is offering $8.322 million of Autocallable Fixed Coupon Notes due July 1, 2027 linked to the worst performer of Broadcom Inc. (AVGO) common stock and Taiwan Semiconductor Manufacturing Co. Ltd. (TSM) ADRs. The securities are issued under the Global Medium-Term Notes, Series A program and are sold pursuant to a Rule 424(b)(2) prospectus supplement dated June 26, 2025.
Key commercial terms
- Coupon: fixed $33.80 per $1,000 note (13.52% p.a.) payable quarterly on eight scheduled dates from Oct 1 2025 through maturity.
- Automatic call: beginning Sept 26 2025, if the closing price of each reference asset is at or above its Initial Value on a Call Valuation Date, holders receive the $1,000 principal plus the current coupon and the notes are redeemed; no further payments accrue.
- Barrier protection: at maturity, if not previously called and the Final Value of the Least Performing asset is ≥ 60% of its Initial Value, principal is repaid; otherwise investors receive (a) cash reflecting the full negative return or (b) at the issuer’s option, a delivery of shares (and cash for fractions) of the worst performer, exposing holders to up to 100 % loss of principal.
- Initial values & barriers: AVGO $270.17 (barrier $162.10); TSM $224.01 (barrier $134.41).
- Issue price: $1,000; estimated value: $981 (1.9% below issue price).
- Fees: 1.75% selling commission ($145,635 in aggregate) yielding net proceeds of $8.176 million.
- Credit exposure: senior unsecured obligations of Barclays Bank PLC subject to U.K. bail-in powers; not FDIC-insured or guaranteed by third parties.
- Liquidity: no exchange listing; any secondary trading will be on a best-efforts basis by Barclays Capital Inc. and may be discontinued at any time.
Risk highlights
- Full downside exposure below the 60% barrier; investors may lose the entire principal.
- No participation in any upside of AVGO or TSM; return capped at the fixed coupons.
- Issuer’s physical settlement option may result in delivery of depreciated shares instead of cash.
- Estimated value is below purchase price, reflecting distribution fees, hedging costs and Barclays’ internal funding spread.
- Subject to early redemption after ~3 months, creating reinvestment uncertainty.
- Exposure to Barclays credit risk and potential write-down or conversion under U.K. bail-in regime.
The notes target investors seeking enhanced income and willing to assume equity, issuer-credit and structural risks in exchange for a 13.52% annual coupon and conditional principal protection at a 40% drawdown threshold.
Bank of Montreal (Series K) Contingent Risk Absolute Return Buffer Notes are two-year, unsecured structured notes linked to the S&P 500® Index and aimed at investors who want modest equity-linked upside with limited first-loss protection.
Key economic terms
- Pricing Date: 28 Jul 2025; Maturity: 02 Aug 2027 (≈ 2.02 years).
- Upside participation: 150 % leveraged exposure on any positive Index performance, but payments are capped at the Maximum Redemption Amount of $1,140 (14 % total / ≈6.8 % CAGR).
- Downside “buffer”: if the S&P 500® falls <=15 % (Final ≥ 85 % of Initial) investors receive a 50 % leveraged positive return on the absolute decline, up to a Maximum Downside Redemption Amount of $1,075.
- Loss exposure: if the Index declines >15 %, principal is reduced 1-for-1 beyond the buffer, exposing holders to losses of up to 85 %.
- Issue price: 100 %; Agent commission: 2.75 %; net proceeds: 97.25 %.
- Estimated initial value: $959.90 (4 % discount to issue price; may be as low as $910).
- No coupons, no listing, secondary market solely at the agent’s discretion (BMOCM).
- Credit risk: direct senior obligation of Bank of Montreal; payments depend on BMO’s ability to pay.
Investor profile: suitable for investors with a moderately bullish to range-bound view on the S&P 500® over two years who can tolerate credit risk, illiquidity, complex payoff mechanics and a hard 14 % upside cap.
Material considerations
- Pros: 1.5× upside to 14 %; 15 % first-loss buffer; limited positive return even if Index is modestly down.
- Cons: capped upside; potential 85 % principal loss; weak secondary liquidity; 4 % initial value discount; taxable treatment uncertain; 2.75 % embedded distribution costs create performance drag.
Bottom line: These notes offer structured equity exposure with partial downside protection but sharply limited upside and significant credit/liquidity risks. They may appeal to tactical investors expecting flat-to-slightly-positive S&P 500® performance, but they are not substitutes for direct index exposure or conventional bonds.
Barclays Bank PLC is offering $1.149 million of Capped Barrier Digital Plus Notes due 31-Dec-2026 linked to the common stock of PayPal Holdings, Inc. (PYPL). The notes are unsecured, unsubordinated debt and pay no coupons. At maturity investors will receive:
- If PYPL closes at or above the 70% barrier ($51.22): $1,000 plus the higher of (a) a fixed 10% digital return or (b) PYPL’s price return capped at a Maximum Return of 33.15%. The maximum redemption value is therefore $1,331.50 per $1,000.
- If PYPL closes below the barrier: delivery of 13.66680 PYPL shares (or cash equivalent), exposing holders to the full downside of the stock and potential 100% principal loss.
Key economic terms:
- Initial PYPL value: $73.17 (26-Jun-2025)
- Barrier: $51.22 (70% of initial)
- Digital percentage: 10%
- Maximum Return: 33.15%
- Issue price: 100%; estimated value: 98.7% ($987)
- Agent commission: 1.50%; net proceeds to issuer: 98.50%
Risk highlights include potential complete loss of principal if PYPL falls >30%, no interim income, limited upside, valuation and liquidity risks, U.K. bail-in power, and Barclays credit risk. The notes will not be listed, and secondary market making is discretionary.
Barclays Bank PLC is offering $1.149 million of Capped Barrier Digital Plus Notes due 31-Dec-2026 linked to the common stock of PayPal Holdings, Inc. (PYPL). The notes are unsecured, unsubordinated debt and pay no coupons. At maturity investors will receive:
- If PYPL closes at or above the 70% barrier ($51.22): $1,000 plus the higher of (a) a fixed 10% digital return or (b) PYPL’s price return capped at a Maximum Return of 33.15%. The maximum redemption value is therefore $1,331.50 per $1,000.
- If PYPL closes below the barrier: delivery of 13.66680 PYPL shares (or cash equivalent), exposing holders to the full downside of the stock and potential 100% principal loss.
Key economic terms:
- Initial PYPL value: $73.17 (26-Jun-2025)
- Barrier: $51.22 (70% of initial)
- Digital percentage: 10%
- Maximum Return: 33.15%
- Issue price: 100%; estimated value: 98.7% ($987)
- Agent commission: 1.50%; net proceeds to issuer: 98.50%
Risk highlights include potential complete loss of principal if PYPL falls >30%, no interim income, limited upside, valuation and liquidity risks, U.K. bail-in power, and Barclays credit risk. The notes will not be listed, and secondary market making is discretionary.
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