By Angela McDaniels
Tacoma, Wash., Dec. 19 – Bank of Montreal priced $50 million of exchange-traded notes due Dec. 10, 2036 linked to the BMO Elkhorn DWA MLP Select index, according to a 424B2 filing with the Securities and Exchange Commission.
The index includes 15 master limited partnerships based on the proprietary Dorsey Wright Relative Strength Ranking Methodology. By comparing the price relationship between each MLP, the index seeks to determine which MLPs are currently showing outperformance relative to their peers within the index universe. At each monthly rebalancing, each MLP is equally weighted within the index.
Each quarter, the notes pay a coupon amount equal to the sum of the cash distributions that a hypothetical holder of the index constituents would have been entitled to receive in the relevant period, reduced by the accrued tracking fee, which accrues on a daily basis at a rate of 0.85% of the indicative note value per year.
On the pricing date, the indicative note value equaled $50. On each subsequent business day, it equals (a) the product of (i) the indicative note value as of the close of the immediately preceding business day multiplied by (ii) the index factor for that business day minus (b) the investor fee for that business day.
The index factor equals the index closing level on that day divided by the index closing level on the immediately preceding business day.
The investor fee is product of (a) the indicative note value as of the close of the immediately preceding business day, (b) 0.85% per year and (c) the quotient of (i) the number of calendar days from and including the immediately preceding business day to such date of determination divided by (ii) 360. The fee accrues daily.
The payout at maturity will be (a) the product of (i) the indicative note value multiplied by (ii) the index factor minus (b) the investor fee plus (c) the final coupon amount minus (d) the accrued tracking fee plus (e) the stub reference distribution amount.
Beginning Dec. 27, the notes are putable subject to a minimum of 50,000 notes and a redemption fee equal to 0.125% of the indicative note value. Beginning June 22, 2017, the notes are callable in whole at any time.
BMO Capital Markets Corp. is the agent.
The issuer plans to list the notes on the Nasdaq Global Market under the ticker symbol “BMLP.”
| Issuer: | Bank of Montreal
|
| Issue: | Exchange-traded notes
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| Underlying index: | BMO Elkhorn DWA MLP Select index
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| Amount: | $50 million
|
| Maturity: | Dec. 10, 2036
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| Coupon: | Each quarter, notes pay coupon amount equal to sum of cash distributions that hypothetical holder of index constituents would have been entitled to receive in relevant period, reduced by fee that accrues on daily basis at rate of 0.85% per year
|
| Price: | Par of $50
|
| Indicative note value: | On pricing date, $50; on subsequent business days, (a) product of (i) indicative note value as of close of immediately preceding business day multiplied by (ii) index factor for that business day minus (b) investor fee for that business day
|
| Index factor: | Index closing level on that day divided by index closing level on immediately preceding business day
|
| Investor fee: | Product of (a) indicative note value as of close of immediately preceding business day, (b) 0.85% per year and (c) quotient of (i) number of calendar days from and including immediately preceding business day to such date of determination divided by (ii) 360. fee accrues daily.
|
| Payout at maturity: | (a) Product of (i) indicative note value multiplied by (ii) index factor minus (b) investor fee plus (c) final coupon amount minus (d) accrued tracking fee plus (e) stub reference distribution amount.
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| Put option: | Beginning Dec. 27, subject to a minimum of 50,000 notes and redemption fee equal to 0.125% of indicative note value
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| Call option: | In whole beginning June 22, 2017
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| Initial index level: | 883.255
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| Pricing date: | Dec. 19
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| Settlement date: | Dec. 22
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| Agent: | BMO Capital Markets Corp.
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| Expected listing: | Nasdaq: BMLP
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| Cusip: | 063679104
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