By Angela McDaniels
Tacoma, Wash., April 9 – Bank of Montreal priced $25 million of 0% MicroSectors U.S. Big Oil index 3x leveraged exchange-traded notes due March 25, 2039 linked to the Solactive MicroSectors U.S. Big Oil Index, Total Return, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer plans to issue up to $100 million of the notes. It sold $25 million of the notes at par of $50 on April 9 and may sell the remaining notes from time to time at varying prices.
The index is an equal-dollar weighted index designed to represent the 10 U.S. listed stocks with the largest market capitalization in the energy/oil sector.
The return on the notes is linked to a three times leveraged participation in the performance of the index.
The payout at maturity will be a cash amount equal to the average of the closing indicative note values on each of the five trading days from and including March 16, 2039, subject to a floor of zero.
The indicative note value on the initial trade 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, with 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 initial trade date, the long index amount was $150, which is equal to the daily leverage factor of 3 times the principal amount. On any subsequent day, the long index amount will equal the product of (a) the closing indicative note value on the immediately preceding business day times (b) 3 times (c) the index performance factor on that day.
The index performance factor was 1 on the initial trade date. On any subsequent day, the index performance factor will equal (a) the index closing level on that business day (or, if that day is not a business day, the index closing level on the immediately preceding business day) divided by (b) the index closing level on the immediately preceding business day.
On the initial trade date, the financing level was $100, which is equal to the $150 long index amount minus the $50 principal amount. On any subsequent business day, the financing level will equal (a) the closing indicative note value on the immediately preceding business day times the daily financing factor of 2 plus (b) the daily financing charge on that business day plus (c) the daily investor fee on that day.
The daily financing charge is initially zero. On any day after the initial trade date, the daily financing charge will equal the product of (a) the closing indicative note value on the immediately preceding business 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 initial trade date, the fee will equal the product of (a) the indicative note value at the close of the immediately preceding business day times (b) 0.95% per year divided by (c) 365 times (d) the number of calendar days since the last business day.
The notes are putable beginning April 15, 2019, subject to a minimum redemption amount of 25,000 notes and a 0.125% redemption fee.
The notes are also callable in whole on or after April 23, 2019.
The notes are listed on the NYSE Arca under the ticker symbol “NRGU.”
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | MicroSectors U.S. Big Oil index 3x leveraged ETNs
|
| Underlying index: | Solactive MicroSectors U.S. Big Oil Index, Total Return
|
| Amount: | $25 million
|
| Maturity: | March 25, 2039
|
| Coupon: | 0%
|
| Price: | Par of $50
|
| Payout at maturity: | Average of closing indicative note values on five trading days from and including March 16, 2039, subject to floor of zero
|
| Indicative note value: | $50 on initial trade date; on subsequently days, long index amount on that day minus financing level on that day
|
| Long index amount: | $150 on initial trade date; on subsequent days, product of (a) closing indicative note value on immediately preceding day times (b) 3 times (c) index performance factor on that day
|
| Index performance factor: | 1 on initial trade date; on any subsequent day, (a) index closing level on that day (or, if that day is not a business day, index closing level on immediately preceding day) divided by (b) index closing level on immediately preceding day
|
| Financing level: | $50 on initial trade date; on any subsequent day, (a) closing indicative note value on immediately preceding day times daily financing factor of 2 plus (b) daily financing charge on that day plus (c) daily investor fee on that day
|
| Daily financing charge: | Initially zero; on any day after initial trade date, (a) closing indicative note value on immediately preceding day times (b) 2 times (c) U.S. Federal Funds effective rate plus 100 bps divided by (d) 365 times (e) number of calendar days since last business day
|
| Daily investor fee: | Initially zero; on any day after initial trade date, (a) indicative note value at close of immediately preceding day times (b) 0.95% divided by (c) 365 times (d) number of calendar days since last business day
|
| Put option: | Beginning April 15, 2019, subject to minimum redemption amount of 25,000 notes and 0.125% redemption fee amount
|
| Call option: | In whole on or after April 23, 2019
|
| Initial index level: | 1,332.42
|
| Initial trade date: | April 9
|
| Settlement date: | April 12
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | None
|
| Listing: | NYSE Arca: NRGU
|
| Cusip: | 063679815
|
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