Chicago, Feb. 1 – Bank of Montreal filed an amendment regarding the current $75 million outstanding MAX S&P 4X leveraged ETNs due 2043 in a 424B2 filing with the Securities and Exchange Commission.
The $25-par notes are linked to the daily performance of the S&P 500 Total Return index.
On Jan. 12, the closing price of the notes was $28.88 and the indicative note value was $28.93 per note.
The return on the notes is based on a daily resetting four-times leveraged participation in the performance of the index, less the daily investor fee, the daily financing charge and in the case of an early redemption the redemption fee.
The daily investor fee is based on a rate of 0.95% per year.
The daily financing charge is deducted from the closing indicative value on a daily basis. The charge varies between Prime plus 200 bps and 400 bps.
At maturity, investors will receive the arithmetic mean of the closing indicative note values on each index business day in the five consecutive business days from Nov. 16, 2043
The closing indicative note value will be the long index amount on that exchange business day minus the financing level on that exchange business day.
On Dec. 4, 2023, the initial trade date, the long index amount was equal to $100. After that date, the long index amount is equal to the product of the closing indicative note value on the preceding exchange business day times the daily leverage factor of four times the index performance factor on that exchange business day.
The financing level on Dec. 4, 2023 was $75, the long index amount minus the principal amount of $25. Going forward, the financing level is the closing indicative note value on the prior business day times three, plus the daily financing charge on that day plus the daily investor fee on that day.
The index performance factor was initially one. Going forward it is the closing index level on that day divided by the closing index level on the immediately preceding business day.
The daily financing charge was initially $0. It is now the product of the closing indicative note value on the immediately preceding exchange business day times three times the daily financing rate divided by 365 times the financing period.
The notes are callable at any time with 14 days’ notice.
Noteholders may redeem the notes at any time if at least 25,000 notes are redeemed.
The redemption amount is the closing indicative note values in the five-day redemption measurement period minus the redemption fee.
If the investor elects to redeem their notes, the redemption fee is 0.125%.
BMO Capital Markets Corp. is the agent.
The notes are listed on the NYSE Arca under the ticker symbol “XXXX.”
The initial settlement date as Dec. 7.
| Issuer: | Bank of Montreal
|
| Issue: | MAX S&P 4X leveraged ETN
|
| Underlying index: | S&P 500 Total Return index
|
| Amount: | $75 million, or 3 million notes
|
| Maturity: | Nov. 30, 2043
|
| Coupon: | 0%
|
| Price: | Par of $25
|
| Payout at maturity: | Arithmetic mean of the closing indicative note values on each index business day in five consecutive business day from Nov. 16, 2043
|
| Indicative note value: | $28.93 on Jan. 12
|
| Long index amount: | Initially $100; now the product of the closing indicative note value on the preceding exchange business day times the daily leverage factor of four times the index performance factor on that exchange business day
|
| Index performance factor: | Initially one; now the closing index level on that day divided by the closing index level on the immediately preceding business day
|
| Financing level: | Initially $75; now the closing indicative note value on the prior business day times three, plus the daily financing charge on that day plus the daily investor fee on that day
|
| Daily financing charge: | Initially $0; now the product of the closing indicative note value on the immediately preceding exchange business day times three times the daily financing rate divided by 365 times the financing period
|
| Daily investor fee: | 0.95% annual rate
|
| Put option: | Yes, at closing indicative note values in the five-day redemption measurement period minus the redemption fee
|
| Call option: | Yes
|
| Initial level: | 9,884.17,
|
| Initial trade date: | Dec. 4, 2023
|
| Settlement date: | Dec. 7, 2023
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | 0%
|
| Cusip: | 063679567
|
| Listing: | NYSE Arca: XXXX
|
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