By Marisa Wong
Los Angeles, Aug. 21 – Bank of Montreal priced $500 million of additional 0% MicroSectors FANG+ index negative 3x inverse leveraged exchange-traded notes due Jan. 8, 2038 linked to the NYSE FANG+ index, total return, according to a 424B2 filing with the Securities and Exchange Commission.
Bank of Montreal previously issued $1.05 billion of the notes, including the initial $50 million at par on Jan. 22, 2018; $25 million on each of July 26, 2019, Dec. 19, 2019 and Jan. 10, 2020; $50 million on Jan. 17, 2020; $50 million on Feb. 6, 2020; $100 million on Feb. 25; $250 million on June 12; and $475 million on July 9. The reopened notes may be sold from time to time at variable prices.
The underlying index is an equal-dollar weighted index designed to represent a segment of the technology and consumer discretionary sectors consisting of highly traded growth stocks of technology and tech-enabled companies. The index currently has 10 constituents.
The return on the notes is linked to a three times leveraged participation in the daily inverse performance of the index.
The payout at maturity will be a cash payment in dollars equal to the average of the closing indicative note values on each of the five trading days from and including Dec. 29, 2037, subject to a floor of zero.
The indicative note value on the pricing date was $50. On any subsequent business day, the closing indicative note value will equal (a) the deposit amount on that day minus (b) the short index amount on that day. However, if that calculation results in a value less than or equal to zero, the closing indicative note value will be zero. If the closing indicative note value is zero on any business day or the intraday indicative value falls to or below zero at any time on any day, then the indicative note value on all future days will be zero. If the indicative note value is zero, the cash settlement amount will be zero.
On July 20, the issuer effected a 1-for-10 reverse split of the notes, making the principal amount and closing indicative value of the notes $500 beginning on July 20.
On the pricing date, the deposit amount was equal to $200. On any subsequent day until maturity, the deposit amount will equal (a) the closing indicative note value on the immediately preceding day times the daily deposit factor of 4 plus (b) the daily interest on that day minus (c) the daily investor fee on that day.
The daily interest is initially zero. On any day after the pricing date, the daily interest will equal the product of (a) the closing indicative note value on the immediately preceding day times (b) the daily deposit factor of 4 times (c) the daily interest rate, which is the U.S. Federal Funds effective rate minus 100 basis points, divided by (d) 365 times (e) the number of calendar days since the last business day.
The daily investor fee is initially zero. On any day after the pricing date, the fee will equal the product of (a) the indicative note value at the close of the immediately preceding day times (b) the 0.95% divided by (c) 365 times (d) the number of calendar days since the last business day.
On the pricing date, the short index amount was $150. On any subsequent day, the short index amount will equal (a) the closing indicative note value on the immediately preceding day times (b) the daily leverage factor of 3 times (c) the index performance factor on that day.
The index performance factor is initially 1. On any day after the pricing date, the index performance factor will equal (a) the index closing level on that day (or, if that day is not a business day, the closing level on the immediately preceding day) divided by (b) the index closing level on the immediately preceding day.
The notes are putable, subject to a minimum redemption amount of 25,000 notes and a 0.125% redemption fee amount, and also callable in whole.
The notes are listed on the NYSE Arca under the ticker symbol “FNGD.”
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | MicroSectors FANG+ index negative 3x inverse leveraged ETNs
|
| Underlying index: | NYSE FANG+ index, total return
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| Amount: | $1.55 billion (increased from $1.05 billion)
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| Face amount: | $500 ($50 at inception, increased following 1-for-10 reverse split on July 20)
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| Maturity: | Jan. 8, 2038
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| Coupon: | 0%
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| Price: | Par of $50 for initial notes
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| Payout at maturity: | Average of the closing indicative note values on each of the five trading days from and including Dec. 29, 2037, subject to a floor of zero
|
| Indicative note value: | $50 on the pricing date; $500 as of July 20 (following reverse split); on any day after the pricing date, (a) the deposit amount on that day minus (b) the short index amount on that day
|
| Deposit amount: | $200 on the pricing date, on any subsequent day (a) the closing indicative note value on the immediately preceding day times the daily deposit factor of 4 plus (b) the daily interest on that day minus (c) the daily investor fee on that day
|
| Daily interest: | Initially zero; on any day after the pricing date, (a) the closing indicative note value on the immediately preceding day times (b) 4 times (c) U.S. Federal Funds effective rate minus 100 bps, divided by (d) 365 times (e) the number of calendar days since the last business day
|
| Daily investor fee: | Initially zero; on any day after the pricing date, (a) the indicative note value at the close of the immediately preceding day times (b) the 0.95% divided by (c) 365 times (d) the number of calendar days since the last business day
|
| Short index amount: | $150 on pricing date; on any subsequent day, (a) the closing indicative note value on the immediately preceding day times (b) 3 times (c) the index performance factor on that day
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| Index performance factor: | Initially 1; on any day after the pricing date, (a) the index closing level on that day (or, if that day is not a business day, the closing level on the immediately preceding day) divided by (b) the index closing level on the immediately preceding day
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| Put option: | Beginning Jan. 26, 2018, subject to a minimum redemption amount of 25,000 notes and a 0.125% redemption fee amount
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| Call option: | In whole on or after July 25, 2018
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| Initial level: | 2,466.45
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| Inception date: | Jan. 22, 2018
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| Settlement date: | Jan. 25, 2018 for $50 million, July 26, 2019 for $25 million, Dec. 19, 2019 for $25 million, Jan. 10, 2020 for $25 million, Jan. 17, 2020 for $50 million, Feb. 6 for $50 million, Feb. 25 for $100 million, June 12 for $250 million, July 9 for $475 million, Aug. 13 for $500 million
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| Agent: | BMO Capital Markets Corp.
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| Fees: | None
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| Cusip: | 063679666 (previously 063679864)
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| Listing: | NYSE Arca: FNGD
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