OK, real world example of what a bad deal the PPN is for investors. Taking BMO's current offering of 16% max over 4 years, they include 15 (good dividend payers) and max out each holding to the 16% market price cap. Assuming you bought this on Jan 1, 2013 and it expired Jan 1, 2017, thirteen of the fifteen had price gains exceeding the 16% max growth, and the other two (POT and TA) would give you zero, since the share price change was negative. This means 13.87% over 4 years, which is 3.30% compounded annually.

Meanwhile, what if the bank took your money and bought each holding. At the end of the four years, they keep all the excess gravy (CTC.A was up 101%!), and using longrundata.com, the total return (including the dividends that you forgo) would have been 57.80%, which works out to 12.08% compounded annually. 

On top of this, there is a "calamity" clause giving the bank full licence to cancel or reduce any interest payments, which is totally at their discretion. One-sided!