By Marisa Wong
Los Angeles, May 11 – Bank of Montreal priced $45 million of additional 0% MicroSectors FANG+ index 3x leveraged exchange-traded notes due Jan. 8, 2038 linked to the NYSE FANG+ index, total return in three back-to-back reopenings, bringing the maximum aggregate amount of the notes to $335 million, according to 424B2 filings with the Securities and Exchange Commission.
The issuer priced the original $50 million of notes on Jan. 22, 2018 at par. Most recently, Bank of Montreal issued $20 million of reopened notes on May 6, $15 million of reopened notes on May 10 and $10 million of reopened notes on May 11. The reopened notes will be sold from time to time at various prices.
The issuer effected a 10-for-1 split of the notes on Feb. 12, 2021. The principal amount of each note is now $5. The total number of notes outstanding as of May 11 is 67 million.
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 ETNs is linked to a three times leveraged participation in the daily performance of the index.
The payout at maturity will be a cash payment 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 long index amount on that day minus (b) the financing level on that day, subject to a floor of 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.
On the pricing date, the long index amount was equal to the daily leverage factor, which is 3, times the principal amount, which equals $150. On any subsequent day until maturity, the long index amount will equal the product of (a) the closing indicative note value on the immediately preceding day times (b) 3 times (c) the index performance factor on that day.
The index performance factor was 1 on the pricing date. On any subsequent day, the index performance factor will equal (a) the index closing level on that day (or, if that day is not a business day, the index closing level on the immediately preceding day) divided by (b) the index closing level on the immediately preceding day.
On the pricing date, the financing level was equal the long index amount minus the principal amount, which equals $100. On any subsequent day, the financing level will equal (a) the closing indicative note value on the immediately preceding day times the daily financing factor of 2 plus (b) the daily financing charge on that day plus (c) the daily investor fee on that day.
The daily financing charge is initially zero. On any day after the pricing date, the daily financing charge will equal the product of (a) the closing indicative note value on the immediately preceding day times (b) 2 times (c) the daily financing rate, which is equal to the U.S. Federal Funds effective rate plus 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.
The notes are putable, subject to a minimum redemption amount of 25,000 notes and a 0.125% redemption fee. The notes were also callable in whole.
The notes are listed on the NYSE Arca under the ticker symbol “FNGU.”
On May 10 the closing price of the notes on NYSE Arca was $9.04 per note, and the closing indicative value per note was $9.0262.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | MicroSectors FANG+ index 3x leveraged ETNs
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| Underlying index: | NYSE FANG+ index, total return
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| Amount: | $335 million (increased from $290 million)
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| Units: | 67 million
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| Principal amount: | $5 per note, after giving effect to a 10-for-1 split on Feb. 12, 2021
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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 issued Jan. 25, 2018
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| Payout at maturity: | Average of closing indicative note values on five trading days starting Dec. 29, 2037, floor of zero
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| Indicative note value: | $50 on the pricing date; on any subsequent business day, (a) the long index amount on that day minus (b) the financing level on that day
|
| Long index amount: | $150 on pricing date; on any subsequent day, the product of (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: | 1 on the pricing date; on any subsequent day, (a) the index closing level on that day (or, if that day is not a business day, the index closing level on the immediately preceding day) divided by (b) the index closing level on the immediately preceding day
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| Financing level: | $100 on the pricing date; on any subsequent day, (a) the closing indicative note value on the immediately preceding day times the daily financing factor of 2 plus (b) the daily financing charge on that day plus (c) the daily investor fee on that day
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| Daily financing charge: | Initially zero; on any day after the pricing date, (a) the closing indicative note value on the immediately preceding day times (b) 2 times (c) the U.S. Federal Funds effective rate plus 100 bps divided by (d) 365 times (e) the number of calendar days since the last business day
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| 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
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| Put option: | 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
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| Initial level: | 2,466.45
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| Pricing date: | Jan. 22, 2018 for original $50 million; in latest add-ons, May 5 for $20 million, May 9 for $15 million, May 10 for $10 million
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| Settlement date: | Jan. 25, 2018 for original $50 million; in latest add-ons, May 6 for $20 million, May 10 for $15 million, May 11 for $10 million
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| Agent: | BMO Capital Markets Corp.
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| Fees: | None
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| Cusip: | 063679872
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| Listing: | NYSE Arca: FNGU
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