By Kiku Steinfeld
Chicago, Dec. 19 – Bank of Montreal priced $50 million of 0% MicroSectors Cannabis 2x leveraged exchange-traded notes due Nov. 17, 2039 linked to a two-times leveraged participation in the Indxx MicroSectors North American Cannabis index, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer plans to issue up to $50 million of the notes. It sold $10 million of the notes at par of $50 on Dec. 10 and may sell the remaining notes from time to time at varying prices.
The index is designed to track the performance of companies that provide services related to the medical or industrial use of cannabis or cannabis derivatives. No single security can comprise more than 9.9% of the index, with any excess weight being distributed proportionately.
The payout at maturity will be a cash amount equal to the average of the closing indicative note values on each of the 10 trading days from and including Nov. 1, 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 $100, which is equal to the daily leverage factor of 2 times the $50 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) 2 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 $50, which is equal to the $100 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 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) 1 times (c) the daily financing rate, which is equal to the U.S. Federal Funds effective rate plus 125 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 Dec. 18, 2019, subject to a minimum redemption amount of 25,000 notes and a 0.125% redemption fee.
The notes are also callable in whole after Dec. 10, 2019.
The notes are listed on the NYSE Arca under the ticker symbol “MJO.”
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | MicroSectors Cannabis index 2x leveraged ETNs
|
| Underlying index: | Indxx MicroSectors North American Cannabis index
|
| Amount: | $50,000,000
|
| Maturity: | Nov. 17, 2039
|
| Coupon: | 0%
|
| Price: | Par of $50
|
| Payout at maturity: | Average of closing indicative note values on 10 trading days from and including Nov. 1, 2039, subject to floor of zero
|
| Indicative note value: | $50 on initial trade date; on subsequent days, long index amount on that day minus financing level on that day
|
| Long index amount: | $100 on initial trade date; on subsequent days, product of (a) closing indicative note value on immediately preceding day times (b) 2 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 1 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) 1 times (c) U.S. Federal Funds effective rate plus 125 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 Dec. 18, 2019, subject to minimum redemption amount of 25,000 notes and 0.125% redemption fee amount
|
| Call option: | In whole after Dec. 10, 2019
|
| Initial index level: | 1,206.71
|
| Initial trade date: | Dec. 10
|
| Settlement date: | Dec. 13
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | None
|
| Cusip: | 063679674
|
| Listing: | NYSE Arca: MJO
|
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
