By Marisa Wong
Los Angeles, April 19 – Bank of Montreal priced $125 million of additional 0% MicroSectors U.S. Big Oil index -3x inverse 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.
This brings the total issuance to $500 million. The latest reopened notes were issued on March 9.
The issuer sold $25 million of the notes at par of $50 on April 9, 2019 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 daily inverse 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 deposit amount on that day minus (b) the short index amount on that business 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 deposit amount was $200, which is equal to par of $50 plus the short index amount on the initial trade date. On any subsequent business day, the deposit amount will equal (a) the closing indicative note value on the immediately preceding business day times the daily deposit factor of 4 plus (b) the daily interest on that business day minus (c) the daily investor fee on that business day.
On the initial trade date, the short index amount was $150, which is equal to the daily leverage factor of 3 times the principal amount. On any subsequent business day, the short 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 business 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 day, the daily interest was zero. On any subsequent business day, the daily interest will equal the product of (a) the closing indicative note value on the immediately preceding business day times the daily deposit factor of 4 times the daily interest rate – the U.S. Federal Funds effective rate minus 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, subject to a minimum redemption amount of 25,000 notes and a 0.125% redemption fee.
The notes are also callable in whole.
The notes are listed on the NYSE Arca under the ticker symbol “NRGD.”
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
|
| Issue: | MicroSectors U.S. Big Oil index -3x inverse leveraged ETNs
|
| Underlying index: | Solactive MicroSectors U.S. Big Oil Index, Total Return
|
| Amount: | $500 million (increased from $375 million)
|
| Maturity: | March 25, 2039
|
| Coupon: | 0%
|
| Price: | Par of $50 for initial $25 million
|
| 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 subsequent business days, deposit amount on that day minus short index amount, subject to floor of zero
|
| Deposit amount: | $200 on initial trade date; on subsequent business days, (a) closing indicative note value on immediately preceding business day times 4 plus (b) daily interest on that business day minus (c) daily investor fee on that business day
|
| Short index amount: | $150 on initial trade date; on subsequent days, product of (a) closing indicative note value on immediately preceding business 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
|
| Daily interest: | Zero on initial trade date; on any subsequent business day, product of (a) closing indicative note value on immediately preceding business day times 4 times daily interest rate – U.S. Federal Funds effective rate minus 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: | Subject to minimum redemption amount of 25,000 notes and 0.125% redemption fee amount
|
| Call option: | In whole
|
| Initial index level: | 1,332.42
|
| Initial trade date: | April 9, 2019 for $25 million, Nov. 9 for $50 million, Nov. 24 for $150 million, Feb. 10 for $150 million, March 8 for $125 million
|
| Settlement date: | April 12, 2019 for $25 million, Nov. 10 for $50 million, Nov. 25 for $150 million, Feb. 11 for $150 million, March 9 for $125 million
|
| Agent: | BMO Capital Markets Corp.
|
| Fees: | None
|
| Cusip: | 063679724
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| Listing: | NYSE Arca: NRGD
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