CI C.A.P.I.T.A.L. Deposit Notes, Callable Class

The CI C.A.P.I.T.A.L Deposit Notes provide exposure to a basket of CI mutual funds. Investors will receive either:

  • An 8% to 10% compounded annual return (depending on which Series you purchased) if the Notes are redeemed by Bank of Montreal at mid term
  • 100% Participation to the Benchmark Portfolio of Funds at maturity if the Notes are not redeemed at mid term
    Or
  • 100%  Principal Protection at maturity

Performance

Issue Date
Call Date

Compounded
annual return
if redeemed
on Call Date

Return of Note (from Issue Date
to 10/26/05)
Return of
Underlying
Funds

Series 1

March 11, 2005

September 7,2007

8.0%

1.50%

4.14%

Series 2

April 28, 2005

April 28, 2008

10.0%

1.17%

6.77%

Series 3

July 6, 2005

July 4, 2008

10.0%

-2.95%

-1.75%

 

Why is the performance of the Notes different
from the performance of the fund portfolio?


The performance of the Note at maturity will be solely dependent on the performance of the underlying fund portfolio. Prior to maturity, however, the value of the Notes will be dependent on several factors including Fund performance, time to maturity, market volatility, and interest rates. The performance of the Notes will not generally match the performance of the underlying fund portfolio until maturity.

At the high level, these deposit notes are constructed using a zero-coupon bond, to provide principal protection at maturity, and a call option, to provide the linkage to the performance of the underlying fund portfolio.

The NAV of the Notes on any particular day is calculated simply as the sum of (1) value of the zero coupon bond, and (2) the value of the call option.

The value of the call option will be dependent on the current level of interest rates and the value of the option will be dependent on (among other things) fund performance, time to maturity or Call Date, market volatility, and interest rates.

As of the date of this commentary, the callable Notes has benefited from the positive performance of the underlying funds and the accretion of the zero coupon bond component, but has been negatively impacted by the amortization of commission, and option price decline due to time decay and a compression of short term market volatility.

Series 1

  • Performance is linked to Signature High Income Fund and CI Canadian Investment Fund
  • Call date is September 7, 2007 at $121.22 per Note
  • Term to Maturity is approximately 5 years
  • Current NAV of the Note is $101.50 (as of October 26, 2005)

Series 2

  • Performance is linked to Signature High Income Fund and CI Canadian Investment Fund
  • Call date is April 28, 2008 at $133.10 per Note
  • Term to Maturity is approximately 6 years
  • Current NAV of the Note is $101.17 (as of October 26, 2005)

Series 3

  • Performance is linked to Signature Income & Growth Fund and CI Canadian Investment Fund
  • Call date is July 4, 2008 at $133.07 per Note
  • Term to Maturity is approximately 6.5 years
  • Current NAV of the Note is $97.05 (as of October 26, 2005)