By Marisa Wong
Los Angeles, July 25 – Bank of Montreal priced $125 million of additional 0% MicroSectors FANG & Innovation 3x leveraged exchange-traded notes due June 28, 2041 linked to the Solactive FANG Innovation index, bringing the maximum aggregate amount of the notes to $1,375,000,000, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer priced the original $4 million of notes on Aug. 17, 2021 at par of $25. The latest $125 million of notes were issued on July 14 and will be sold from time to time at various prices.
The principal amount of each note is $25. The total number of notes outstanding as of July 14 is 55 million.
The underlying index is a total return index that tracks the stock prices of 15 large capitalization U.S. technology stocks, including eight specific core components.
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 10 consecutive trading days from and including June 12, 2041, subject to a floor of zero.
The indicative note value on the pricing date was $25. 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 $75. 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 $50. 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 Federal Reserve Bank prime loan rate plus 225 basis points, divided by (d) 365 times (e) the number of calendar days since the last business day. The financing spread may be adjusted from time to time, but by no more than 275 bps, or up to a maximum of 500 bps.
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 or in part.
The notes are listed on the NYSE Arca under the ticker symbol “BULZ.”
On May 10 the closing price of the notes on NYSE Arca was $6.01 per note, and the closing indicative value per note was $6.0202.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | MicroSectors FANG & Innovation 3x leveraged ETNs
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| Underlying index: | Solactive FANG Innovation index
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| Amount: | $1,375,000,000 (increased from $1.25 billion)
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| Units: | 55 million
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| Maturity: | June 28, 2041
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| Coupon: | 0%
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| Principal amount: | $25
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| Price: | Par of $25 for initial notes
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| Payout at maturity: | Average of closing indicative note values on 10 consecutive trading days from and including June 12, 2041, floor of zero
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| Indicative note value: | $25 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: | $75 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: | $50 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 Federal Reserve Bank prime loan rate plus 225 bps (spread may be increased but by no more than 275 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 or in part
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| Initial level: | 5,839.96
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| Pricing date: | Aug. 17, 2021 for original $4 million; July 13 for latest $125 million
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| Settlement date: | Aug. 20, 2021 for original $4 million; July 14 for latest $125 million
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| Agent: | BMO Capital Markets Corp.
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| Fees: | None
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| Cusip: | 063679617
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| Listing: | NYSE Arca: BULZ
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