You should read this pricing
supplement together with the product supplement ETN 2x-3x dated August 17, 2021, the prospectus supplement dated May 27, 2021 and the
prospectus dated April 20, 2020. This pricing supplement, together with the documents listed below, contains the terms of the notes
and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative
pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational
materials of ours or the agent. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest
in the notes. The contents of any website referred to in this pricing supplement are not incorporated by reference in this pricing supplement,
the accompanying product supplement, prospectus supplement or prospectus.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant
date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 927971. As used in this pricing supplement, “we,” “us” or “our” refers to Bank of Montreal.
The notes described in this pricing supplement
are not appropriate for all investors, and involve important legal and tax consequences and investment risks, which should be discussed
with your professional advisers. You should be aware that the regulations of the Financial Industry Regulatory Authority, Inc., or FINRA,
and the laws of certain jurisdictions (including regulations and laws that require brokers to ensure that investments are suitable for
their customers) may limit the availability of the notes. This pricing supplement and the accompanying product supplement, prospectus
supplement and prospectus do not constitute an offer to sell or a solicitation of an offer to buy the notes in any circumstances in which
such offer or solicitation is unlawful.
RISK
FACTORS
Your investment in the notes will involve certain
risks. The notes are not secured debt and do not guarantee any return of principal at, or prior to, maturity, call or upon early redemption.
As described in more detail below, the trading price of the notes may vary considerably before the maturity date. Investing in the notes
is not equivalent to investing directly in the Index constituents or any securities of the constituent issuers. In addition, your investment
in the notes entails other risks not associated with an investment in conventional debt securities. In addition to the “Risk
Factors” sections of the product supplement, the prospectus supplement and the prospectus, you should consider carefully the following
discussion of risks before investing in the notes.
Risks Relating to the Terms of the Notes
The notes do not guarantee the return of your investment.
The notes may not return any of your investment. The amount payable
at maturity, call or upon early redemption, will reflect a three times daily resetting leveraged participation in the performance of the
Index minus the Daily Investor Fee, the Daily Financing Charge, and, in the case of an early redemption, the Redemption Fee Amount.
These amounts will be determined as described in this pricing supplement. Because these fees and charges will reduce the payments on the
notes, the Index Closing Levels, measured as a component of the closing Indicative Note Value during the Final Measurement Period or Call
Measurement Period, or on a Redemption Measurement Date, will need to have increased over the term of the notes by an amount, after giving
effect to the daily leverage and the compounding effect thereof, sufficient to offset the decrease in the principal amount represented
by the Daily Investor Fee, the Daily Financing Charge and the Redemption Fee Amount, if applicable, in order for you to receive an aggregate
amount at maturity, upon a call or redemption, or if you sell your notes, that is equal to at least the principal amount of your notes.
If the increase in the Index Closing Levels, as measured during the Final Measurement Period or Call Measurement Period, or on a Redemption
Measurement Date, is insufficient to offset the cumulative negative effect of the Daily Investor Fee, the Daily Financing Charge, and
the Redemption Fee Amount, if applicable, you will lose some or all of your investment at maturity, call or upon early redemption. This
loss may occur even if the Index Closing Levels during the Final Measurement Period or Call Measurement Period, on a Redemption Measurement
Date, or when you elect to sell your notes, have increased since the Initial Trade Date.
The negative effect of the Daily Investor Fee,
Daily Financing Charge, and the Redemption Fee Amount, if applicable, are in addition to the losses that may be caused by leverage and
volatility in the Index. See “—Leverage increases the sensitivity of your notes to changes in the level of the Index,”
“—The notes are not suitable for investors with longer-term investment objectives” and “—The notes are not
suitable for all investors. In particular, the notes should be purchased only by sophisticated investors who do not intend to hold the
notes as a buy and hold investment, who are willing to actively and continuously monitor their investment and who understand the consequences
of investing in and of seeking daily resetting leveraged investment results” below.
If the Intraday Indicative Value for the notes is equal to or less
than $0 during the Core Trading Session on an Exchange Business Day, or the closing Indicative Note Value is equal to or less than $0,
you will lose all of your investment in the notes.
If the closing Indicative Note Value or the Intraday
Indicative Value of the notes is equal to or less than $0 as set forth above, then the notes will be permanently worth $0 (a total loss
of value) and you will lose all of your investment in the notes and the Cash Settlement Amount will be $0. We would be likely to call
the notes in full under these circumstances, and you will not receive any payments on the notes.
Even if the Index Closing Levels during the Final Measurement Period
or Call Measurement Period, or on a Redemption Measurement Date, have increased since the Initial Trade Date, you may receive less than
the principal amount of your notes due to the Daily Investor Fee, the Daily Financing Charge and the Redemption Fee Amount, if applicable.
The amount of the Daily Investor Fee, the Daily Financing Charge and
the Redemption Fee Amount, if applicable, will reduce the payment, if any, you will receive at maturity, call or upon early redemption,
or if you sell your notes. If you elect to require us to redeem your notes prior to maturity, you will be charged a Redemption Fee Amount
equal to 0.125% of the Indicative Note Value. If the Index Closing Levels, measured as a component of the closing Indicative Note Value
during the Final Measurement Period or Call Measurement Period, or on a Redemption Measurement Date, have increased insufficiently to
offset the cumulative negative effect of these fees and charges, you will receive less than the principal amount of your investment at
maturity, call or upon early redemption of your notes.
As described in the “Summary” section
above (and up to the limits in that section), we may increase the Financing Spread. If we do so, the Daily Financing Charge will increase,
and your return on the notes will be adversely affected. Please see the section “Hypothetical Examples” below.
Leverage increases the sensitivity of your notes to changes in the
level of the Index.
Because your investment in the notes is three times
leveraged, changes in the level of the Index will have a greater impact on the payout on your notes than on a payout on securities that
are not so leveraged. In particular, any decrease in the level of the Index will result in a significantly greater decrease in your payment
at maturity, call or upon redemption, and you will suffer losses on your investment in the notes substantially greater than you would
if your notes did not contain a leverage component. Accordingly, as a result of this leverage component and without taking into account
the cumulative negative effect of the Daily Investor Fee and the Daily Financing Charge, if the level of the Index decreases over the
term of the notes, the leverage component will magnify any losses at maturity, call or upon redemption.
As discussed below under “—The Index has limited actual historical information,” due to the
relatively small number of Index constituents, changes in the performance of just one Index constituent can have a material effect on
the Index level. Giving effect to leverage, negative changes in the performance of one Index constituent will be magnified and have a
material adverse effect on the value of the notes.
The notes are subject to our credit risk.
The notes are subject to our credit risk, and our
credit ratings and credit spreads may adversely affect the market value of the notes. The notes are senior unsecured debt obligations
of the issuer, Bank of Montreal, and are not, either directly or indirectly, an obligation of any third party. Investors are dependent
on our ability to pay all amounts due on the notes at maturity, call or upon early redemption or on any other relevant payment dates,
and therefore investors are subject to our credit risk and to changes in the market’s view of our creditworthiness. If we were to
default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
Our credit ratings are an assessment of our ability
to pay our obligations, including those on the notes. Consequently, actual or anticipated changes in our credit ratings may affect the
market value of the notes. However, because the return on the notes is dependent upon certain factors in addition to our ability to pay
our obligations on the notes, an improvement in our credit ratings will not reduce the other investment risks related to the notes. Therefore,
an improvement in our credit ratings may or may not have a positive effect on the market value of the notes.
The notes are not suitable for investors
with longer-term investment objectives.
The notes are not intended
to be “buy and hold” investments. The notes are intended to be daily trading tools for sophisticated investors, and are not
intended to be held to maturity. The notes are designed to achieve their stated investment objective on each day, but their performance
over different periods of time can differ significantly from their stated daily objective because the relationship between the level of
the Index and the closing Indicative Note Value will begin to break down as the length of an investor’s holding period increases.
The notes are not long-term substitutes for long positions in the Index constituents.
Investors should carefully
consider whether the notes are appropriate for their investment portfolio. As discussed below, because the notes are meant to provide
leveraged long exposure to changes in the Index Closing Level on each Index Business Day, their performance over months or years can differ
significantly from the performance of the Index during the same period of time. Therefore, it is possible that you will suffer significant
losses in the notes even if the long-term performance of the Index is positive (before taking into account the negative effect of the
Daily Investor Fee, the Daily Financing Charge and the Redemption Fee Amount, if applicable). It is possible for the level of the Index
to increase over time while the market value of the notes declines over
time. You should proceed with extreme caution in considering an investment in the notes.
The notes seek to provide a leveraged long return based on the performance of the Index (as adjusted for costs
and fees). The notes do not attempt to, and should not be expected to, provide returns that reflect leverage on the return of the Index
for periods longer than a single day.
Daily rebalancing is likely
to cause the notes to experience a “decay” effect, which will impair the performance of the notes if the Index experiences
volatility from day to day, and such performance will be dependent on the path of daily returns during the holder’s holding period.
The “decay” effect refers to a likely tendency of the notes to lose value over time. At higher ranges of volatility, there
is a significant chance of a complete loss of the value of the notes even if the performance of the Index is flat (before taking into
account the negative effect of the Daily Investor Fee, the Daily Financing Charge and the Redemption Fee Amount, if applicable). Although
the decay effect is more likely to manifest itself the longer the notes are held, the decay effect can have a significant impact on the
performance of the notes, even over a period as short as two days. The notes should be purchased only by knowledgeable investors who
understand the potential consequences of investing in the Index or its components and of seeking daily compounding leveraged long investment
results on each day. The notes may not be appropriate for investors who intend to hold positions in an attempt to generate returns
over periods different than one day. See “Hypothetical Examples” below.
In addition, the daily rebalancing
feature will result in leverage relative to the closing Indicative Note Value that may be greater or less than the stated leverage factor
if the value of the notes has changed since the beginning of the day in which you purchase the notes.
You should regularly monitor your holdings
of the notes to ensure that they remain consistent with your investment strategies.
The notes are designed
to reflect a leveraged long exposure to the performance of the Index
on a daily basis, as described in this document. As such, the notes will be more volatile than a non-leveraged investment linked to the
Index. You should regularly monitor your holdings of the notes to ensure that they remain
consistent with your investment strategies.
The notes are not suitable for all investors.
In particular, the notes should be purchased only by sophisticated investors who do not intend to hold the notes as a buy and hold investment,
who are willing to actively and continuously monitor their investment and who understand the consequences of investing in and of seeking
daily resetting leveraged investment results.
The notes require an understanding of path dependence of investment results and are intended for sophisticated
investors to use as part of an overall diversified portfolio. The notes are risky and may not be suitable for investors who plan to hold
them for periods greater than a single day. The notes are designed
to achieve their stated investment objective on each day, but the performance of the notes over different periods of time can differ significantly
from their stated daily objectives because the relationship between the level of the Index and the Indicative Note Value will begin to
break down as the length of an investor’s holding period increases. The notes are not long-term substitutes for long positions in
the Index constituents. Accordingly, there is a significant possibility that the returns on the notes will not correlate with returns
on the Index over periods longer than one day.
Investors should carefully consider whether the notes are appropriate for their investment portfolio. The notes
entail leverage risk and should be purchased only by investors who understand leverage risk, including the risks inherent in maintaining
a constant three times leverage on a daily basis as described in this document, and the consequences of seeking daily leveraged investment
results generally. Investing in the notes is not equivalent to a direct investment in the Index constituents because the notes rebalance
their theoretical exposure to the Index on each day (subject
to the occurrence of a Market Disruption Event). This rebalancing will impair the performance of the notes if the Index experiences volatility
from day to day, and such performance is dependent on the path of daily returns during an investor’s holding period. If the notes
experience a high amount of realized volatility, there is a significant chance of a complete loss of your investment even if the performance
of the Index is flat. In addition, the notes are meant to provide leveraged exposure to changes in the Index Closing Level, which
means their performance over months or years can differ significantly from the performance of the Index over the same period of time.
It is possible that you will suffer significant losses in the notes even if the long-term performance of the Index is positive (before
taking into account the negative effect of the Daily Investor Fee, the Daily Financing Charge and the Redemption Fee Amount, if applicable).
The amount you receive
at maturity, call or redemption will be contingent upon the compounded leveraged daily performance of the Index during the term of the
notes, as described in this document. There is no guarantee that you will receive at maturity, call or redemption
your initial investment or any return on that investment. Significant adverse daily performances for the notes
may not be offset by any beneficial daily performances of the same magnitude.
Due to the effect of compounding, if the
Indicative Note Value increases, any subsequent decrease of the Index level will result in a larger dollar reduction from the Indicative
Note Value than if the Indicative Note Value remained constant.
If the Indicative Note
Value increases, the dollar amount that you can lose in any single Index Business Day from a decrease of the Index level will increase
correspondingly. This is because the Index Performance Factor will be applied to a larger Indicative Note Value and, consequently, a larger
Long Index Amount in calculating any subsequent Indicative Note Value. As such, the dollar amount that you can lose from any decrease
will be greater than if the Indicative Note Value were maintained at a constant level. This means that if the Indicative Note Value increases,
you could lose more than 3% of your initial investment for each 1% daily decrease of the Index level.
Due to the effect of compounding, if the
Indicative Note Value decreases, any subsequent increase of the Index level will result in a smaller dollar increase on the Indicative
Note Value than if the Indicative Note Value remained constant.
If the Indicative Note
Value decreases, the dollar amount that you can gain in any single Index Business Day from an increase of the Index level will decrease
correspondingly. This is because the Index Performance Factor will be applied to a smaller Indicative Note Value and, consequently, a
smaller Long Index Amount in calculating any subsequent Indicative Note Value. As such, the dollar amount that you can gain from any increase
of the Index level will be less than if the Indicative Note Value were maintained at a constant level. This means that if the Indicative
Note Value decreases, it will take larger daily increases of the Index level to restore the value of your investment back to the amount
of your initial investment than would have been the case if the Indicative Note Value were maintained at a constant level. Further, if
you invest in the notes, you could gain less than 3% of your initial investment for each 1% daily increase of the Index level.
The leverage of the notes is reset daily,
and the leverage of the notes during any given day may be greater than or less than 3.0.
The leverage of the notes
is reset daily (subject to the occurrence of a Market Disruption Event). Resetting the Indicative Note Value has the effect of resetting
the then-current leverage to approximately 3.0. During any given day, the leverage of the notes will depend on intra-day changes in the
level of the Index and any change in the level of the Index on any day may be greater or less than 3.0. If the level of the Index on any
day has increased from the Index Closing Level on the preceding day, the leverage of the notes will be less than 3.0 (e.g. 1.5, 1.0, 0.5);
conversely, if the level of the Index on any day has decreased from the Index Closing Level on the preceding day, the leverage of the
notes will be greater than 3.0 (e.g., 3.5, 4.0, 4.5). Thus, the leverage of the notes at the time that you purchase them may be greater
or less than the target leverage of 3.0, depending on the performance of the Index since the immediately preceding day. See “—The
notes are subject to intraday purchase risk” below.
The notes are subject to our Call Right, which does not allow for
participation in any future performance of the Index. The exercise of our Call Right may adversely affect the value of, or your ability
to sell, your notes. We may call the notes prior to the maturity date.
We have the right to call the notes prior to maturity.
You will only be entitled to receive a payment on the Call Settlement Date equal to the Call Settlement
Amount. The Call Settlement Amount may be less than the stated principal amount of your notes. You will not be entitled to any further
payments after the Call Settlement Date, even if the Index level increases substantially after the Call Measurement Period. In addition,
the issuance of a notice of our election to exercise our call right in whole or in part may adversely impact your ability to sell your
notes, and/or the price at which you may be able to sell your notes prior to the Call Settlement Date. We have no obligation to ensure
that investors will not lose all or a portion of their investment in the notes if we call the notes; consequently, a potential conflict
between our interests and those of the noteholders exists with respect to our Call Right.
If we exercise
our right to call the notes prior to maturity, your payment on the Call Settlement Date may be less than the Indicative Note Value at
the time we gave the notice of our election to call the notes.
As discussed above, we have the right to call the
notes on or prior to the Maturity Date. The Call Settlement Amount will be payable on the Call Settlement Date and we will provide notice
prior to the Call Settlement Date of our election to exercise our call of the notes. The Call Settlement Amount per note will be based
principally on the closing Indicative Note Value on each Index Business Day during the Call Measurement Period (determined as set forth
above). The Call Calculation Date will be a date specified in our call notice, subject to postponement if that date is not an Index Business
Day or in the event of a Market Disruption Event. It is possible that the market prices of the Index constituents, and, as a result,
the Index Closing Level and the Indicative Note Value, may vary significantly between when we provide the notice of our intent to call
the notes and the Call Calculation Date, including potentially as a result of our trading activities during this period, as described
further under “We or our affiliates may have economic interests that are adverse to those of the holders of the notes as a result
of our hedging and other trading activities.” As a result, you may receive a Call Settlement Amount that is significantly less than
the Indicative Value at the time of the notice of our election to call the notes and may be less than your initial investment in the notes.
The notes do not pay any interest, and you will not have any ownership
rights in the Index constituents.
The notes do not pay any interest, and you should
not invest in the notes if you are seeking an interest-bearing investment. You will not have any ownership rights in the Index constituents,
nor will you have any right to receive dividends or other distributions paid to holders of the Index constituents, except to the extent
that dividend payments are reflected in the level of the Index. The Cash Settlement Amount, the Call Settlement Amount or Redemption Amount,
if any, will be paid in U.S. dollars, and you will have no right to receive delivery of any shares of the Index constituents.
The Index Closing Levels used to calculate the payment at maturity,
call or upon a redemption may be less than those levels on the Maturity Date, Call Settlement Date or at other times during the term of
the notes.
The Index Closing Level on the Maturity Date, Call
Settlement Date or at other times during the term of the notes, including dates near the Final Measurement Period or the Call Measurement
Period, as applicable, could be greater than any of the Index Closing Levels during the Final Measurement Period or Call Measurement Period,
as applicable. This difference could be particularly large if there is a significant increase in the Index Closing Level after the Final
Measurement Period or the Call Measurement Period, as applicable, or if there is a significant decrease in the Index Closing Level around
the Final Measurement Period or the Call Measurement Period, as applicable, or if there is significant volatility in the Index Closing
Level during the term of the notes.
There are restrictions on the minimum number of notes you may request
that we redeem and the dates on which you may exercise your right to have us redeem your notes.
If you elect to require us to redeem your notes,
except under the circumstances set forth above, you must request that we redeem at least 25,000 notes on any Business Day, through and
including the Final Redemption Date. If you own fewer than 25,000 notes, you generally will not be able to elect to require us to redeem
your notes. Your request that we redeem your notes is only valid if we receive your Redemption Notice by email no later than 2:00 p.m.,
New York City time, on the applicable Redemption Notice Date and a completed and signed Redemption Confirmation by 5:00 p.m., New York
City time, that same day. If we do not receive such notice and confirmation, your redemption request will not be effective and we will
not redeem your notes on the corresponding Redemption Date.
The daily redemption feature is intended to induce
arbitrageurs to counteract any trading of the notes at a premium or discount to their indicative value. There can be no assurance that
arbitrageurs will employ the redemption feature in this manner.
Because of the timing requirements of the Redemption
Notice and the Redemption Confirmation, settlement of the redemption will be prolonged when compared to a sale and settlement in the secondary
market. Because your request that we redeem your notes is irrevocable, this will subject you to loss if the level of the Index decreases
after we receive your request. Furthermore, our obligation to redeem the notes prior to maturity may be postponed upon the occurrence
of a Market Disruption Event.
If you want to sell your notes but are unable to
satisfy the minimum redemption requirements, you may sell your notes into the secondary market at any time, subject to the risks described
below. A trading market for the notes may not develop. Also, the price you may receive for the notes in the secondary market may differ
from, and may be significantly less than, the Redemption Amount.
You will not know the Redemption Amount at the time you elect to
request that we redeem your notes.
You will not know the Redemption Amount you will
receive at the time you elect to request that we redeem your notes. Your notice to us to redeem your notes is irrevocable and must be
received by us no later than 2:00 p.m., New York City time, on the applicable Redemption Notice Date and a completed and signed confirmation
of such redemption must be received by us no later than 5:00 p.m., New York City time, on the same day. The Redemption Measurement Date
is the Index Business Day following the applicable Redemption Notice Date, unless we elect to move that date to the Redemption Notice
Date. You will not know the Redemption Amount until after the Redemption Measurement Date, and we will pay you the Redemption Amount,
if any, on the Redemption Date, which is the third Business Day following the applicable Redemption Measurement Date. As a result, you
will be exposed to market risk in the event the level of the Index fluctuates after we confirm the validity of your notice of election
to exercise your right to have us redeem your notes, and prior to the relevant Redemption Date.
Significant aspects of the tax treatment of the notes are uncertain
and certain aspects may make the notes less suitable for certain non-U.S. investors.
The tax treatment of the
notes is uncertain. We do not plan to request a ruling from the Internal Revenue Service or from any Canadian authorities regarding the
tax treatment of the notes, and the Internal Revenue Service or a court may not agree with the tax treatment described in this pricing
supplement.
The Internal Revenue Service has issued a notice
indicating that it and the Treasury Department are actively considering whether, among other issues, a holder should be required to accrue
interest over the term of an instrument such as the notes even though that holder will not receive any payments with respect to the notes
until maturity and whether all or part of the gain a holder may recognize upon sale or maturity of an instrument such as the notes could
be treated as ordinary income. The outcome of this process is uncertain and could apply on a retroactive basis.
Moreover, certain investors that are not “United
States persons” for U.S. income tax purposes may incur U.S. tax obligations as a result of an investment in the notes.
Please read carefully the
section entitled “Supplemental Tax Considerations” in the product supplement and in this pricing supplement. You should consult
your tax advisor about your own tax situation.
Risks Relating to Liquidity and the Secondary Market
The Intraday Indicative Value and the Indicative Note Value are
not the same as the closing price or any other trading price of the notes in the secondary market.
The Intraday Indicative Value at any point in time during the Core
Trading Session of an Exchange Business Day will equal (a) the Intraday Long Index Amount minus (b) the Financing Level; provided that
if such calculation results in a value equal to or less than $0, the Intraday Indicative Value will be $0. Because the Intraday Indicative
Value uses an intraday Index level for its calculation, a variation in the intraday level of the Index from the previous Index Business
Day’s Index Closing Level may cause a significant variation between the closing Indicative Note Value and the Intraday Indicative
Value on any date of determination. The Intraday Indicative Value also does not reflect intraday changes in the leverage; it is based
on the constant Daily Leverage Factor of 3. Consequently, the Intraday Indicative Value may vary significantly from the previous or next
Index Business Day’s closing Indicative Note Value or the price of the notes purchased intraday.
The trading price of the notes at any time is the
price at which you may be able to sell your notes in the secondary market at such time, if one exists. The trading price of the notes
at any time may vary significantly from the Intraday Indicative Value of the notes at such time due to, among other things, imbalances
of supply and demand, lack of liquidity, transaction costs, credit considerations and bid-offer spreads, and any corresponding premium
in the trading price may be reduced or eliminated at any time. Paying a premium purchase price over the Intraday Indicative Value of the
notes could lead to significant losses in the event the investor sells such notes at a time when that premium is no longer present in
the market place or the notes are called, in which case investors will receive a cash payment based on the closing Indicative Note Value
of the notes during the Call Measurement Period. See “— There is no assurance that your notes will continue to be listed on
a securities exchange, and they may not have an active trading market” below. We may, without providing you notice or obtaining
your consent, create and issue notes in addition to those offered by this pricing supplement having the same terms and conditions as the
notes. However, we are under no obligation to sell additional notes at any time, and we may suspend issuance of new notes at any time
and for any reason without providing you notice or obtaining your consent. If we limit, restrict or stop sales of additional notes, or
if we subsequently resume sales of such additional notes, the price and liquidity of the notes could be materially and adversely affected,
including an increase or decline in the premium purchase price of the notes over the Intraday Indicative Value of the notes. Before trading
in the secondary market, you should compare the Intraday Indicative Value with the then-prevailing trading price of the notes.
Publication of the Intraday Indicative Value may
be delayed, particularly if the publication of the intraday Index value is delayed. See “Intraday Value of the Index and the Notes—Intraday
Indicative Note Values.”
There is no assurance that your notes will continue to be listed
on a securities exchange, and they may not have an active trading market.
The notes are listed on the NYSE under the ticker
symbol “BULZ.” No assurance can be given as to the continued listing of the notes for their term or of the liquidity or trading
market for the notes. There can be no assurance that a secondary market for the notes will be maintained. We are not required to maintain
any listing of the notes on any securities exchange.
If the notes are delisted, they will no longer
trade on a national securities exchange. Trading in delisted notes, if any, would be on an over-the-counter basis. If the notes are removed
from their primary source of liquidity, it is possible that holders may not be able to trade their notes at all. We cannot predict with
certainty what effect, if any, a delisting would have on the trading price of the notes; however, the notes may trade at a significant
discount to their indicative value. If a holder had paid a premium over the Intraday Indicative Value of the notes and wanted to sell
the notes at a time when that premium has declined or is no longer present, the investor may suffer significant losses and may be unable
to sell the notes in the secondary market.
The liquidity of the market for the notes may vary materially over
time, and may be limited if you do not hold at least 25,000 notes.
As stated on the cover of this pricing supplement,
we sold a portion of the notes on the Initial Trade Date, and the remainder of the notes may be offered and sold from time to time, through
BMOCM, our affiliate, as agent, to investors and dealers acting as principals. Certain affiliates of BMOCM may engage in limited purchase
and resale transactions in the notes, and we or BMOCM may purchase notes from holders in amounts and at prices that may be agreed from
time to time, although none of us are required to do so. Also, the number of notes outstanding or held by persons other than our affiliates
could be reduced at any time due to early redemptions of the notes or due to our or our affiliates’ purchases of notes in the secondary
market. Accordingly, the liquidity of the market for the notes could vary materially over the term of the notes. There may not be sufficient
liquidity to enable you to sell your notes readily and you may suffer substantial losses and/or sell your notes at prices substantially
less than their Intraday Indicative Value or Indicative Note Value, including being unable to sell them at all or only for a minimal price
in the secondary market. You may elect to require us to redeem your notes, but such redemption is subject to the restrictive conditions
and procedures described in this pricing supplement, including the condition that, except to the extent set forth above, you must request
that we redeem a minimum of 25,000 notes on any Redemption Date.
We may sell additional notes at different prices, but we are under no obligation
to issue or sell additional notes at any time, and if we do sell additional notes, we may limit or restrict such sales, and we may stop
selling additional notes at any time.
In our sole discretion, we may decide to issue
and sell additional notes from time to time at a price that is higher or lower than the stated principal amount, based on the Indicative
Note Value at that time. The price of the notes in any subsequent sale may differ substantially (higher or lower) from the issue price
paid in connection with any other issuance of such notes. Additionally, any notes held by us or an affiliate in inventory may be resold
at prevailing market prices. However, we are under no obligation to issue or sell additional notes at any time, and if we do sell additional
notes, we may limit or restrict such sales, and we may stop selling additional notes at any time. If we start selling additional notes,
we may stop selling additional notes for any reason, which could materially and adversely affect the price and liquidity of such notes
in the secondary market.
Any limitation or suspension on the issuance or
sale of the notes by us or BMOCM may materially and adversely affect the price and liquidity of the notes in the secondary market. Alternatively,
the decrease in supply may cause an imbalance in the market supply and demand, which may cause the notes to trade at a premium over the
indicative value of the notes. Any premium may be reduced or eliminated at any time. Paying a premium purchase price over the Indicative
Note Value could lead to significant losses if you sell those notes at a time when that premium is no longer present in the marketplace
or if the notes are called at our option. If we call the notes prior to maturity, investors will receive a cash payment in an amount equal
to the Call Settlement Amount, which will not include any premium. Investors should consult their financial advisors before purchasing
or selling the notes, especially if they are trading at a premium.
The value of the notes in the secondary market may be influenced
by many unpredictable factors.
The market value of your notes may fluctuate between
the date you purchase them and the relevant date of determination. You may also sustain a significant loss if you sell your notes in the
secondary market. Several factors, many of which are beyond our control, will influence the market value of the notes. We expect that,
generally, the Index level on any day will affect the value of the notes more than any other single factor. The value of the notes may
be affected by a number of other factors that may either offset or magnify each other.
The notes are subject to intraday purchase risk.
The notes may be purchased in the secondary market at prices other
than the closing Indicative Note Value, which will have an effect on the effective leverage amount of the notes. Because the exposure
is fixed after the close of each trading day (subject to the occurrence of a Market Disruption Event) and does not change intraday as
the level of the Index moves in favor of the notes (i.e., the level of the Index increases), the actual exposure in the notes decreases.
The reverse is also true. The table below presents the hypothetical exposure an investor has (ignoring all costs, fees and other factors)
when purchasing a note intraday given the movement of the level of the Index since the closing level of the Index on the prior Index Business
Day. The resulting effective exposure amount will then be constant for that purchaser until the earlier of (i) a sale or (ii) the end
of the relevant day. The table below assumes the closing Indicative Note Value for the notes was $25 on the prior Index Business Day and
the closing level of the Index on the prior Index Business Day was 100.00.
A |
B |
C |
D |
E |
Index Level |
% Change
in Index Level |
Hypothetical Price for 3x Notes
C=$25*(1+3*B) |
Hypothetical Notional
Exposure for 3x Notes
D=$25*(1+B)*3 |
Effective Leverage
Amount of 3x Notes
E=D/C |
120.00 |
20% |
$40.00 |
$90.00 |
2.25 |
115.00 |
15% |
$36.25 |
$86.25 |
2.38 |
110.00 |
10% |
$32.50 |
$82.50 |
2.54 |
105.00 |
5% |
$28.75 |
$78.75 |
2.74 |
104.00 |
4% |
$28.00 |
$78.00 |
2.79 |
103.00 |
3% |
$27.25 |
$77.25 |
2.83 |
102.00 |
2% |
$26.50 |
$76.50 |
2.89 |
101.00 |
1% |
$25.75 |
$75.75 |
2.94 |
100.00 |
0% |
$25.00 |
$75.00 |
3.00 |
99.00 |
-1% |
$24.25 |
$74.25 |
3.06 |
98.00 |
-2% |
$23.50 |
$73.50 |
3.13 |
97.00 |
-3% |
$22.75 |
$72.75 |
3.20 |
96.00 |
-4% |
$22.00 |
$72.00 |
3.27 |
95.00 |
-5% |
$21.25 |
$71.25 |
3.35 |
85.00 |
-15% |
$13.75 |
$63.75 |
4.64 |
80.00 |
-20% |
$10.00 |
$60.00 |
6.00 |
The table above shows that if the level of the Index increases during
the Index Business Day, your effective exposure decreases from three times leveraged long. For example, if the level of the Index increases
by 20%, your effective exposure decreases from 3.00x to 2.25x.
The table above also shows that if the level of the Index decreases
during the Index Business Day, your effective exposure increases from three times leveraged long. For example, if the level of the Index
decreases by 20%, your effective exposure increases from 3.00x to 6.00x.
Risks Relating to Conflicts of Interest and Hedging
Please see the discussion in the product supplement
under the caption “Risk Factors—Risks Relating to Conflicts of Interest and Hedging” for important information relating
to the different roles that we and our affiliates will play in connection with the offering of the notes, and the variety of conflicts
of interest that may arise.
In addition to the conflicts of interest noted
in that section, please note that we will have the rights set forth in the “Summary” section above, including the right to
elect to increase the Financing Spread, up to the limits set forth in the “Summary” section.
Risks Relating to the Index
The Index has limited actual historical information.
The Index was launched on June 8, 2021. Because
the Index is of recent origin and limited actual historical performance data exists with respect to it, your investment in the notes may
involve a greater risk than investing in securities linked to an Index with a more established record of performance.
The historical performance of the Index should
not be taken as an indication of its future performance. While the trading prices of the Index constituents will determine the Index level,
it is impossible to predict whether the Index level will fall or rise. Trading prices of the Index constituents will be influenced by
the complex and interrelated economic, financial, regulatory, geographic, judicial, tax, political and other factors that can affect the
capital markets generally and the equity trading markets on which the Index constituents are traded, and by various circumstances that
can influence the prices of the Index constituents. Due to the relatively small number of Index constituents, the level of the Index may
be materially affected by changes in the level of a small number of Index constituents.
An investment in the notes is subject to risks relating to companies
engaged in the technology sector.
The Index’s constituents are concentrated
in the technology sector. Market or economic factors impacting technology companies and companies that rely heavily on technological advances
could have a major effect on the level of the Index. The value of stocks of technology companies and companies that rely heavily on technology
is particularly vulnerable to rapid changes in technology product cycles, rapid product obsolescence, government regulation and competition,
both in the U.S. and internationally. Stocks of technology companies and companies that rely heavily on technology tend to be more volatile
than the overall market. Technology companies are heavily dependent on patent and intellectual property rights, the loss or impairment
of which may adversely affect profitability. Additionally, companies in the technology sector may face dramatic and often unpredictable
changes in growth rates and competition for the services of qualified personnel. Any of these factors could reduce the level of the Index,
and adversely impact the payments on the notes.
The Index Sponsor may adjust the Index in a way that may affect
its level, and the Index Sponsor has no obligation to consider your interests.
Solactive AG (“Solactive”), as the
Index Sponsor, is responsible for maintaining the Index. The Index Sponsor can add, delete or substitute an Index constituent or make
other methodological changes that could change the Index level. Changes to the Index constituents may affect the Index, as a newly added
equity security may perform significantly better or worse than the Index constituent or constituents it replaces.
Additionally, the Index Sponsor may alter, discontinue
or suspend calculation or dissemination of the Index. Any of these actions could adversely affect the value of the notes. The Index Sponsor
has no obligation to consider your interests in calculating or revising the Index, and you will not have any rights against the Index
Sponsor if it takes any such action. See “The Index.”
We and our affiliates have no affiliation with the Index Sponsor, and are not
responsible for any of its public disclosure of information.
We and our affiliates are not affiliated with the
Index Sponsor (except for licensing arrangements discussed under “The Index — License Agreement”) and have no ability
to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods or policies relating
to the calculation of the Index. If the Index Sponsor discontinues or suspends the calculation of the Index, it may become difficult to
determine the market value of the notes and the payment at maturity, call or upon early redemption. The Calculation Agent may designate
a successor index in its sole discretion. If the Calculation Agent determines in its sole discretion that no successor index comparable
to the Index exists, the payment you receive at maturity, call or upon early redemption will be determined by the Calculation Agent in
its sole discretion. See the section in the product supplement, “Additional Terms of the Notes — Discontinuance or Modification
of an Index.”
The Index Sponsor is not involved in the offering
of the notes in any way and does not have any obligation of any sort with respect to your notes. We are not affiliated with the Index
Sponsor, and the Index Sponsor does not have any obligation to take your interests into consideration for any reason, including when taking
any actions that might affect the value of the notes.
We have derived the information about the Index
Sponsor and the Index from publicly available information, without independent verification. Neither we nor any of our affiliates have
undertaken any independent review of the publicly available information about the Index Sponsor or the Index contained in this pricing
supplement. You, as an investor in the notes, should make your own independent investigation into the Index Sponsor and the Index.
The Index Sponsor may, in its sole discretion, discontinue the public
disclosure of the intraday Index value and the end-of-day closing value of the Index.
The Index Sponsor is under no obligation to holders
of the notes to continue to calculate the intraday Index value and end-of-day official closing value of the Index, or to calculate similar
values for any successor index. If the Index Sponsor discontinues such public disclosure, we may not be able to provide the Intraday Indicative
Values related to the Index or the Intraday Indicative Value of the notes.
A limited number of Index constituents may affect the level of the
Index, and the Index is not necessarily representative of its focus industry.
As of the date of this pricing supplement, the
Index consists of only 15 Index components. Any reduction in the market price of any of those stocks is likely to have a substantial adverse
impact on the level of the Index and the value of the notes. Significant changes to any of these stocks or their issuers, including a
merger or similar transaction, will have a more material impact on the level of the Index as compared to a more diversified index. Due
to the relatively small number of Index constituents, those Index constituents and the Index itself may not necessarily follow the price
movements of other companies in the industries tracked by the Index. If the Index constituents decline in value, the Index will also decline
in value, even if stock prices of other companies in the technology industry generally increase in value. Giving effect to leverage, negative
changes in the performance of one Index constituent will be magnified and have a material adverse effect on the value of the notes. See
“Summary—Path Dependence and Daily Leverage Reset” in the product supplement.
Eight core stocks will always be included in the
Index, unless they fail to satisfy certain qualifications for inclusion. Accordingly, the performance of these stocks will have a significant
impact on the value of the notes prior to maturity, and any adverse changes in their prices will adversely affect the value of the notes.
In addition, because these eight components are not expected to change, the composition of the Index may not reflect changes in the technology
sector generally over the term of the notes.
We are not currently affiliated with any of the Index components.
We are not currently affiliated with any of the
components of the Index. As a result, we have no ability, nor expect to have the ability in the future, to control the actions of these
companies, including actions that could affect the level of the Index or the value of your notes, and we are not responsible for any disclosure
made by any other company. None of the money you pay us will go to any of the constituent issuers represented in the Index and none of
the constituent issuers will be involved in the offering of the notes in any way. These companies will not have any obligation to consider
your interests as a holder of the notes in taking any corporate actions that might affect the value of your notes.
HYPOTHETICAL
EXAMPLES
Hypothetical Payment at Maturity
The following examples and tables illustrate how
the notes would perform at maturity in hypothetical circumstances. They are intended to highlight how the return on the notes is affected
by the daily performance of the Index, fees, leverage, compounding and path dependency. For ease of review, the hypotheticals cover a
22-day period.
The resetting of the leverage on each day is likely
to cause each note to experience a “decay” effect, which is likely to worsen over time and will be greater the more volatile
the level of the Index. The “decay” effect refers to a likely tendency of the notes to lose value over time. Accordingly,
the notes are not suitable for intermediate- or long-term investment, as any intermediate- or long-term investment is very likely to sustain
significant losses, even if the Index appreciates over the relevant time period. Although the decay effect is more likely to impact
the return on the notes the longer the notes are held, the decay effect can have a significant impact on the note performance even over
a period as short as two days. The notes are suitable only for sophisticated investors. If you invest in the notes, you should continuously
monitor your holdings of the notes and make investment decisions at least on each trading day.
We have shown two sets of examples: 1 to 4 and
5 to 8. Examples 1 to 4 are based upon the minimum Financing Spread of 2.25%. Examples 5 to 8 show the impact if we elect to increase
this amount to the maximum extent described above, to a Financing Spread of 5.00%. All of these examples assume that the Federal Reserve
Bank Prime Loan Rate remains constant at 3.25% during the relevant period.
We have included examples in which the Index level
alternatively increases and decreases at a constant rate of 3.00% per day, with the Index level decreasing by 0.99 points by day 22 (Examples
1 and 5), with a Note Return of -9.22% (Example 1) and -9.52% (Example 5); we have also included examples in which the Index level decreases
at a constant rate of 3.00% per day, decreasing -48.83 points by day 22 (Examples 2 and 6), with a Note Return of -87.54% (Example 2)
and -87.59% (Example 6).
Examples 3 and 4, and examples 7 and 8, highlight
the effect of volatility in the Index. In Example 3 and 7, the Index level increases by a constant 1.00% per day, with an increase of
24.47 points by day 22 and a Note Return of 90.27% (Example 3) and 89.66% (Example 7). In contrast, in Examples 4 and 8, at day 22, the
Index level has increased 24.87 points; however, due to the volatility of the Index on a daily basis, the Note Return is -19.79% (in Example
4) and -20.08% in Example 8), resulting in significant differences from the Note Returns in Example 3 and 7. For ease of analysis and
presentation, all of examples 1-8 assume that the notes were purchased on the Initial Trade Date at the Indicative Note Value and disposed
of on the Maturity Date, no Market Disruption Events occurred and that the term of the notes is 22 days. In Examples 1-8, the Daily
Investor Fee and the Daily Financing Charge assume that there are no weekends or holidays. The examples assume that every calendar day
is an Exchange Business Day. The examples do not contemplate a call or early redemption during the relevant period.
Towards the end of this section, Table 1 illustrates
the effect of two factors that affect the notes’ performance: Index volatility and Index return. Index volatility is a statistical
measure of the magnitude of fluctuations in the returns of the Index and is calculated as the standard deviation of the natural logarithms
of the Index Performance Factor (calculated daily), multiplied by the square root of the number of Index Business Days per year (assumed
to be 252). Table 1 shows estimated note returns for a number of combinations of Index volatility and Index return over a one-year period.
To isolate the impact of daily leveraged exposure, the table assumes no Daily Investor Fees and a Daily Financing Rate of 0% and that
the volatility of the Index remains constant over time. If these assumptions were different, the notes’ performance would be different
than that shown. If the effect of the Daily Investor Fee and the Daily Financing Rate were included, the notes’ performance would
be different than shown.
Because the return on the notes is linked to a
three times leveraged participation in the performance of the Index, compounded daily, the notes might be incorrectly expected to achieve
a 30% return on a yearly basis if the Index return was 10%, absent the effects of compounding. However, as Table 1 shows, with an Index
volatility of 40%, and given the assumptions listed above, the notes would return -17.6%. In Table 1, shaded areas represent those scenarios
where the notes will outperform (i.e., return more than) the Index performance times 3.0 leverage; conversely, areas not shaded represent
those scenarios where the notes will underperform (i.e., return less than) the Index performance times 3.0 leverage.
These examples and table highlight the impact
of the Daily Investor Fee, leverage and compounding on the payment at maturity under different circumstances. Many other factors will
affect the value of the notes, and these figures are provided for illustration only. These hypothetical examples and tables should not
be taken as an indication or a prediction of future Index performance or investment results and are intended to illustrate a few of the
possible returns on the notes. Because the Indicative Note Value takes into account the net effect of the Daily Investor Fee, which is
a fixed percentage of the value of the notes, and the performance of the Index, the Indicative Note Value is dependent on the path taken
by the Index level to arrive at its ending level. The figures in these examples and table have been rounded for convenience.
Examples 1-4: Minimum Amount of the Daily Financing Rate
Example 1: The Index level alternatively increases then decreases
by a constant 3.00% per day.
Assumptions |
|
Fee Rate |
0.95% per annum |
Daily Leverage Factor |
3 |
Daily Financing Factor |
2 |
Daily Financing Rate |
5.50% |
Principal Amount |
$25.00 |
Initial Index Level |
100 |
Note Return |
-9.22% |
Cumulative Index Return |
-0.99% |
Day |
Index
Level |
Daily Index
Performance |
Index
Performance
Factor |
Daily
Investor
Fee |
Fee
Accrual |
Daily
Financing
Charge |
Long Index
Amount |
Financing
Level |
Indicative
Note Value |
Note Return |
A |
B |
C |
D |
E |
F |
G |
H |
I |
J |
K |
|
|
|
Current Index
Level /
Previous
Index Level |
Previous
Indicative
Note
Value *
Fee
Rate/365 |
Total of E |
Previous
Indicative
Note Value
* Daily
Financing
Factor *
Daily
Financing
Rate/365 |
Previous
Indicative Note
Value * Daily
Leverage
Factor * D |
Previous
Indicative
Note Value
*
Daily
Financing
Factor +
E + G |
H – I |
(Current
Indicative
Note Value
-
Previous
Indicative
Note
Value)/
Previous
Indicative
Note Value |
0 |
100.00 |
|
|
|
|
|
$75.00 |
$50.00 |
$25.00 |
|
1 |
103.00 |
3.0% |
1.03 |
$0.0007 |
$0.0007 |
$0.00753 |
$77.2500 |
$50.0082 |
$27.2418 |
8.97% |
2 |
99.91 |
-3.0% |
0.97 |
$0.0007 |
$0.0014 |
$0.00821 |
$79.2737 |
$54.4925 |
$24.7811 |
-9.03% |
3 |
102.91 |
3.0% |
1.03 |
$0.0006 |
$0.0020 |
$0.00747 |
$76.5737 |
$49.5704 |
$27.0033 |
8.97% |
4 |
99.82 |
-3.0% |
0.97 |
$0.0007 |
$0.0027 |
$0.00814 |
$78.5797 |
$54.0155 |
$24.5642 |
-9.03% |
5 |
102.81 |
3.0% |
1.03 |
$0.0006 |
$0.0033 |
$0.00740 |
$75.9033 |
$49.1364 |
$26.7669 |
8.97% |
6 |
99.73 |
-3.0% |
0.97 |
$0.0007 |
$0.0040 |
$0.00807 |
$77.8917 |
$53.5426 |
$24.3491 |
-9.03% |
7 |
102.72 |
3.0% |
1.03 |
$0.0006 |
$0.0047 |
$0.00734 |
$75.2388 |
$48.7062 |
$26.5326 |
8.97% |
8 |
99.64 |
-3.0% |
0.97 |
$0.0007 |
$0.0054 |
$0.00800 |
$77.2098 |
$53.0738 |
$24.1360 |
-9.03% |
9 |
102.63 |
3.0% |
1.03 |
$0.0006 |
$0.0060 |
$0.00727 |
$74.5801 |
$48.2798 |
$26.3003 |
8.97% |
10 |
99.55 |
-3.0% |
0.97 |
$0.0007 |
$0.0067 |
$0.00793 |
$76.5339 |
$52.6092 |
$23.9247 |
-9.03% |
11 |
102.54 |
3.0% |
1.03 |
$0.0006 |
$0.0073 |
$0.00721 |
$73.9272 |
$47.8571 |
$26.0700 |
8.97% |
12 |
99.46 |
-3.0% |
0.97 |
$0.0007 |
$0.0080 |
$0.00786 |
$75.8638 |
$52.1486 |
$23.7152 |
-9.03% |
13 |
102.45 |
3.0% |
1.03 |
$0.0006 |
$0.0086 |
$0.00715 |
$73.2800 |
$47.4382 |
$25.8418 |
8.97% |
14 |
99.37 |
-3.0% |
0.97 |
$0.0007 |
$0.0093 |
$0.00779 |
$75.1997 |
$51.6921 |
$23.5076 |
-9.03% |
15 |
102.35 |
3.0% |
1.03 |
$0.0006 |
$0.0099 |
$0.00708 |
$72.6384 |
$47.0229 |
$25.6156 |
8.97% |
16 |
99.28 |
-3.0% |
0.97 |
$0.0007 |
$0.0106 |
$0.00772 |
$74.5413 |
$51.2395 |
$23.3018 |
-9.03% |
17 |
102.26 |
3.0% |
1.03 |
$0.0006 |
$0.0112 |
$0.00702 |
$72.0025 |
$46.6112 |
$25.3913 |
8.97% |
18 |
99.19 |
-3.0% |
0.97 |
$0.0007 |
$0.0118 |
$0.00765 |
$73.8887 |
$50.7909 |
$23.0978 |
-9.03% |
19 |
102.17 |
3.0% |
1.03 |
$0.0006 |
$0.0124 |
$0.00696 |
$71.3722 |
$46.2031 |
$25.1690 |
8.97% |
20 |
99.10 |
-3.0% |
0.97 |
$0.0007 |
$0.0131 |
$0.00759 |
$73.2419 |
$50.3463 |
$22.8956 |
-9.03% |
21 |
102.08 |
3.0% |
1.03 |
$0.0006 |
$0.0137 |
$0.00690 |
$70.7473 |
$45.7986 |
$24.9487 |
8.97% |
22 |
99.01 |
-3.0% |
0.97 |
$0.0006 |
$0.0143 |
$0.00752 |
$72.6006 |
$49.9055 |
$22.6951 |
-9.03% |
Example 2: The Index level decreases by a constant 3.00% per day.
Assumptions |
|
Fee Rate |
0.95% per annum |
Daily Leverage Factor |
3 |
Daily Financing Factor |
2 |
Daily Financing Rate |
5.50% |
Principal Amount |
$25.00 |
Initial Index Level |
100 |
Note Return |
-87.54% |
Cumulative Index Return |
-48.83% |
Day |
Index
Level |
Daily Index
Performance |
Index
Performance
Factor |
Daily
Investor
Fee |
Fee
Accrual |
Daily
Financing
Charge |
Long Index
Amount |
Financing
Level |
Indicative
Note Value |
Note Return |
A |
B |
C |
D |
E |
F |
G |
H |
I |
J |
K |
|
|
|
Current Index
Level /
Previous
Index Level |
Previous
Indicative
Note Value
* Fee
Rate/365 |
Total of E |
Previous
Indicative
Note Value *
Daily
Financing
Factor *
Daily
Financing
Rate/365 |
Previous
Indicative Note
Value * Daily
Leverage Factor
* D |
Previous
Indicative
Note Value
*
Daily
Financing
Factor +
E + G |
H – I |
(Current
Indicative
Note Value -
Previous
Indicative
Note Value)/
Previous
Indicative
Note Value |
0 |
100.00 |
|
|
|
|
|
$75.00 |
$50.00 |
$25.00 |
|
1 |
97.00 |
-3.0% |
0.97 |
$0.0007 |
$0.0007 |
$0.00753 |
$72.7500 |
$50.0082 |
$22.7418 |
-9.03% |
2 |
94.09 |
-3.0% |
0.97 |
$0.0006 |
$0.0012 |
$0.00685 |
$66.1787 |
$45.4911 |
$20.6876 |
-9.03% |
3 |
91.27 |
-3.0% |
0.97 |
$0.0005 |
$0.0018 |
$0.00623 |
$60.2009 |
$41.3820 |
$18.8189 |
-9.03% |
4 |
88.53 |
-3.0% |
0.97 |
$0.0005 |
$0.0023 |
$0.00567 |
$54.7631 |
$37.6441 |
$17.1191 |
-9.03% |
5 |
85.87 |
-3.0% |
0.97 |
$0.0004 |
$0.0027 |
$0.00516 |
$49.8165 |
$34.2438 |
$15.5728 |
-9.03% |
6 |
83.30 |
-3.0% |
0.97 |
$0.0004 |
$0.0031 |
$0.00469 |
$45.3167 |
$31.1506 |
$14.1661 |
-9.03% |
7 |
80.80 |
-3.0% |
0.97 |
$0.0004 |
$0.0035 |
$0.00427 |
$41.2234 |
$28.3369 |
$12.8865 |
-9.03% |
8 |
78.37 |
-3.0% |
0.97 |
$0.0003 |
$0.0038 |
$0.00388 |
$37.4998 |
$25.7773 |
$11.7225 |
-9.03% |
9 |
76.02 |
-3.0% |
0.97 |
$0.0003 |
$0.0041 |
$0.00353 |
$34.1125 |
$23.4489 |
$10.6637 |
-9.03% |
10 |
73.74 |
-3.0% |
0.97 |
$0.0003 |
$0.0044 |
$0.00321 |
$31.0312 |
$21.3308 |
$9.7004 |
-9.03% |
11 |
71.53 |
-3.0% |
0.97 |
$0.0003 |
$0.0047 |
$0.00292 |
$28.2283 |
$19.4040 |
$8.8242 |
-9.03% |
12 |
69.38 |
-3.0% |
0.97 |
$0.0002 |
$0.0049 |
$0.00266 |
$25.6785 |
$17.6513 |
$8.0272 |
-9.03% |
13 |
67.30 |
-3.0% |
0.97 |
$0.0002 |
$0.0051 |
$0.00242 |
$23.3590 |
$16.0569 |
$7.3021 |
-9.03% |
14 |
65.28 |
-3.0% |
0.97 |
$0.0002 |
$0.0053 |
$0.00220 |
$21.2490 |
$14.6065 |
$6.6425 |
-9.03% |
15 |
63.33 |
-3.0% |
0.97 |
$0.0002 |
$0.0055 |
$0.00200 |
$19.3297 |
$13.2872 |
$6.0425 |
-9.03% |
16 |
61.43 |
-3.0% |
0.97 |
$0.0002 |
$0.0056 |
$0.00182 |
$17.5837 |
$12.0870 |
$5.4967 |
-9.03% |
17 |
59.58 |
-3.0% |
0.97 |
$0.0001 |
$0.0058 |
$0.00166 |
$15.9954 |
$10.9952 |
$5.0002 |
-9.03% |
18 |
57.80 |
-3.0% |
0.97 |
$0.0001 |
$0.0059 |
$0.00151 |
$14.5506 |
$10.0020 |
$4.5485 |
-9.03% |
19 |
56.06 |
-3.0% |
0.97 |
$0.0001 |
$0.0060 |
$0.00137 |
$13.2363 |
$9.0986 |
$4.1377 |
-9.03% |
20 |
54.38 |
-3.0% |
0.97 |
$0.0001 |
$0.0061 |
$0.00125 |
$12.0407 |
$8.2767 |
$3.7639 |
-9.03% |
21 |
52.75 |
-3.0% |
0.97 |
$0.0001 |
$0.0062 |
$0.00113 |
$10.9531 |
$7.5291 |
$3.4240 |
-9.03% |
22 |
51.17 |
-3.0% |
0.97 |
$0.0001 |
$0.0063 |
$0.00103 |
$9.9637 |
$6.8490 |
$3.1147 |
-9.03% |
Example 3: The Index level increases by a constant 1.00% per day.
Assumptions |
|
Fee Rate |
0.95% per annum |
Daily Leverage Factor |
3 |
Daily Financing Factor |
2 |
Daily Financing Rate |
5.50% |
Principal Amount |
$25.00 |
Initial Index Level |
100 |
Note Return |
90.27% |
Cumulative Index Return |
24.47% |
Day |
Index
Level |
Daily Index
Performance |
Index
Performance
Factor |
Daily
Investor
Fee |
Fee
Accrual |
Daily
Financing
Charge |
Long Index
Amount |
Financing
Level |
Indicative
Note Value |
Note Return |
A |
B |
C |
D |
E |
F |
G |
H |
I |
J |
K |
|
|
|
Current Index
Level /
Previous
Index Level |
Previous
Indicative
Note Value
* Fee
Rate/365 |
Total of E |
Previous
Indicative
Note Value *
Daily
Financing
Factor *
Daily
Financing
Rate/365 |
Previous
Indicative Note
Value * Daily
Leverage Factor
* D |
Previous
Indicative
Note Value
*
Daily
Financing
Factor +
E + G |
H – I |
(Current
Indicative
Note Value -
Previous
Indicative
Note Value)/
Previous
Indicative
Note Value |
0 |
100.00 |
|
|
|
|
|
$75.00 |
$50.00 |
$25.00 |
|
1 |
101.00 |
1.0% |
1.01 |
$0.0007 |
$0.0007 |
$0.00753 |
$75.7500 |
$50.0082 |
$25.7418 |
2.97% |
2 |
102.01 |
1.0% |
1.01 |
$0.0007 |
$0.0013 |
$0.00776 |
$77.9977 |
$51.4921 |
$26.5056 |
2.97% |
3 |
103.03 |
1.0% |
1.01 |
$0.0007 |
$0.0020 |
$0.00799 |
$80.3121 |
$53.0200 |
$27.2921 |
2.97% |
4 |
104.06 |
1.0% |
1.01 |
$0.0007 |
$0.0027 |
$0.00823 |
$82.6952 |
$54.5932 |
$28.1020 |
2.97% |
5 |
105.10 |
1.0% |
1.01 |
$0.0007 |
$0.0035 |
$0.00847 |
$85.1489 |
$56.2131 |
$28.9358 |
2.97% |
6 |
106.15 |
1.0% |
1.01 |
$0.0008 |
$0.0042 |
$0.00872 |
$87.6755 |
$57.8811 |
$29.7944 |
2.97% |
7 |
107.21 |
1.0% |
1.01 |
$0.0008 |
$0.0050 |
$0.00898 |
$90.2771 |
$59.5986 |
$30.6785 |
2.97% |
8 |
108.29 |
1.0% |
1.01 |
$0.0008 |
$0.0058 |
$0.00925 |
$92.9559 |
$61.3670 |
$31.5888 |
2.97% |
9 |
109.37 |
1.0% |
1.01 |
$0.0008 |
$0.0066 |
$0.00952 |
$95.7141 |
$63.1880 |
$32.5261 |
2.97% |
10 |
110.46 |
1.0% |
1.01 |
$0.0008 |
$0.0074 |
$0.00980 |
$98.5542 |
$65.0629 |
$33.4913 |
2.97% |
11 |
111.57 |
1.0% |
1.01 |
$0.0009 |
$0.0083 |
$0.01009 |
$101.4785 |
$66.9935 |
$34.4850 |
2.97% |
12 |
112.68 |
1.0% |
1.01 |
$0.0009 |
$0.0092 |
$0.01039 |
$104.4897 |
$68.9814 |
$35.5083 |
2.97% |
13 |
113.81 |
1.0% |
1.01 |
$0.0009 |
$0.0101 |
$0.01070 |
$107.5902 |
$71.0282 |
$36.5619 |
2.97% |
14 |
114.95 |
1.0% |
1.01 |
$0.0010 |
$0.0111 |
$0.01102 |
$110.7826 |
$73.1358 |
$37.6468 |
2.97% |
15 |
116.10 |
1.0% |
1.01 |
$0.0010 |
$0.0121 |
$0.01135 |
$114.0698 |
$75.3060 |
$38.7639 |
2.97% |
16 |
117.26 |
1.0% |
1.01 |
$0.0010 |
$0.0131 |
$0.01168 |
$117.4546 |
$77.5405 |
$39.9141 |
2.97% |
17 |
118.43 |
1.0% |
1.01 |
$0.0010 |
$0.0141 |
$0.01203 |
$120.9398 |
$79.8413 |
$41.0985 |
2.97% |
18 |
119.61 |
1.0% |
1.01 |
$0.0011 |
$0.0152 |
$0.01239 |
$124.5284 |
$82.2104 |
$42.3180 |
2.97% |
19 |
120.81 |
1.0% |
1.01 |
$0.0011 |
$0.0163 |
$0.01275 |
$128.2235 |
$84.6498 |
$43.5737 |
2.97% |
20 |
122.02 |
1.0% |
1.01 |
$0.0011 |
$0.0174 |
$0.01313 |
$132.0282 |
$87.1616 |
$44.8666 |
2.97% |
21 |
123.24 |
1.0% |
1.01 |
$0.0012 |
$0.0186 |
$0.01352 |
$135.9458 |
$89.7479 |
$46.1979 |
2.97% |
22 |
124.47 |
1.0% |
1.01 |
$0.0012 |
$0.0198 |
$0.01392 |
$139.9797 |
$92.4109 |
$47.5687 |
2.97% |
Example 4: The Index level increases in a volatile manner.
Assumptions |
|
Fee Rate |
0.95% per annum |
Daily Leverage Factor |
3 |
Daily Financing Factor |
2 |
Daily Financing Rate |
5.50% |
Principal Amount |
$25.00 |
Initial Index Level |
100 |
Note Return |
-19.79% |
Cumulative Index Return |
24.87% |
Day |
Index
Level |
Daily Index
Performance |
Index
Performance
Factor |
Daily
Investor
Fee |
Fee
Accrual |
Daily
Financing
Charge |
Long Index
Amount |
Financing
Level |
Indicative
Note Value |
Note Return |
A |
B |
C |
D |
E |
F |
G |
H |
I |
J |
K |
|
|
|
Current Index
Level /
Previous
Index Level |
Previous
Indicative
Note Value
* Fee
Rate/365 |
Total of E |
Previous
Indicative
Note Value *
Daily
Financing
Factor *
Daily
Financing
Rate/365 |
Previous
Indicative Note
Value * Daily
Leverage Factor
* D |
Previous
Indicative
Note Value
*
Daily
Financing
Factor +
E + G |
H – I |
(Current
Indicative
Note Value -
Previous
Indicative
Note Value)/
Previous
Indicative
Note Value |
0 |
100.00 |
|
|
|
|
|
$75.00 |
$50.00 |
$25.00 |
|
1 |
110.00 |
10.0% |
1.10 |
$0.0007 |
$0.0007 |
$0.00753 |
$82.5000 |
$50.0082 |
$32.4918 |
29.97% |
2 |
112.20 |
2.0% |
1.02 |
$0.0008 |
$0.0015 |
$0.00979 |
$99.4250 |
$64.9943 |
$34.4307 |
5.97% |
3 |
108.83 |
-3.0% |
0.97 |
$0.0009 |
$0.0024 |
$0.01038 |
$100.1933 |
$68.8726 |
$31.3207 |
-9.03% |
4 |
97.95 |
-10.0% |
0.90 |
$0.0008 |
$0.0032 |
$0.00944 |
$84.5658 |
$62.6516 |
$21.9142 |
-30.03% |
5 |
93.05 |
-5.0% |
0.95 |
$0.0006 |
$0.0038 |
$0.00660 |
$62.4555 |
$43.8356 |
$18.6199 |
-15.03% |
6 |
81.89 |
-12.0% |
0.88 |
$0.0005 |
$0.0043 |
$0.00561 |
$49.1565 |
$37.2459 |
$11.9106 |
-36.03% |
7 |
78.61 |
-4.0% |
0.96 |
$0.0003 |
$0.0046 |
$0.00359 |
$34.3026 |
$23.8252 |
$10.4775 |
-12.03% |
8 |
74.68 |
-5.0% |
0.95 |
$0.0003 |
$0.0048 |
$0.00316 |
$29.8608 |
$20.9584 |
$8.9024 |
-15.03% |
9 |
60.49 |
-19.0% |
0.81 |
$0.0002 |
$0.0051 |
$0.00268 |
$21.6329 |
$17.8077 |
$3.8251 |
-57.03% |
10 |
71.38 |
18.0% |
1.18 |
$0.0001 |
$0.0052 |
$0.00115 |
$13.5409 |
$7.6515 |
$5.8894 |
53.97% |
11 |
74.95 |
5.0% |
1.05 |
$0.0002 |
$0.0053 |
$0.00177 |
$18.5517 |
$11.7808 |
$6.7709 |
14.97% |
12 |
69.70 |
-7.0% |
0.93 |
$0.0002 |
$0.0055 |
$0.00204 |
$18.8909 |
$13.5441 |
$5.3468 |
-21.03% |
13 |
58.55 |
-16.0% |
0.84 |
$0.0001 |
$0.0056 |
$0.00161 |
$13.4740 |
$10.6954 |
$2.7786 |
-48.03% |
14 |
53.87 |
-8.0% |
0.92 |
$0.0001 |
$0.0057 |
$0.00084 |
$7.6689 |
$5.5581 |
$2.1108 |
-24.03% |
15 |
56.02 |
4.0% |
1.04 |
$0.0001 |
$0.0058 |
$0.00064 |
$6.5858 |
$4.2223 |
$2.3634 |
11.97% |
16 |
70.03 |
25.0% |
1.25 |
$0.0001 |
$0.0058 |
$0.00071 |
$8.8629 |
$4.7276 |
$4.1352 |
74.97% |
17 |
78.43 |
12.0% |
1.12 |
$0.0001 |
$0.0059 |
$0.00125 |
$13.8944 |
$8.2718 |
$5.6226 |
35.97% |
18 |
86.27 |
10.0% |
1.10 |
$0.0001 |
$0.0061 |
$0.00169 |
$18.5544 |
$11.2469 |
$7.3075 |
29.97% |
19 |
96.62 |
12.0% |
1.12 |
$0.0002 |
$0.0063 |
$0.00220 |
$24.5531 |
$14.6173 |
$9.9358 |
35.97% |
20 |
100.49 |
4.0% |
1.04 |
$0.0003 |
$0.0065 |
$0.00299 |
$30.9996 |
$19.8748 |
$11.1248 |
11.97% |
21 |
109.53 |
9.0% |
1.09 |
$0.0003 |
$0.0068 |
$0.00335 |
$36.3781 |
$22.2533 |
$14.1249 |
26.97% |
22 |
124.87 |
14.0% |
1.14 |
$0.0004 |
$0.0072 |
$0.00426 |
$48.3071 |
$28.2544 |
$20.0527 |
41.97% |
Examples 5-8: Maximum Amount of the Daily Financing Rate
Example 5: The Index level alternatively increases then decreases
by a constant 3.00% per day.
Assumptions |
|
Fee Rate |
0.95% per annum |
Daily Leverage Factor |
3 |
Daily Financing Factor |
2 |
Daily Financing Rate |
8.25% |
Principal Amount |
$25.00 |
Initial Index Level |
100 |
Note Return |
-9.52% |
Cumulative Index Return |
-0.99% |
Day |
Index
Level |
Daily Index
Performance |
Index
Performance
Factor |
Daily
Investor
Fee |
Fee
Accrual |
Daily
Financing
Charge |
Long Index
Amount |
Financing
Level |
Indicative
Note Value |
Note Return |
A |
B |
C |
D |
E |
F |
G |
H |
I |
J |
K |
|
|
|
Current Index
Level /
Previous
Index Level |
Previous
Indicative
Note Value
* Fee
Rate/365 |
Total of E |
Previous
Indicative
Note Value *
Daily
Financing
Factor *
Daily
Financing
Rate/365 |
Previous
Indicative Note
Value * Daily
Leverage Factor
* D |
Previous
Indicative
Note Value
*
Daily
Financing
Factor +
E + G |
H – I |
(Current
Indicative
Note Value -
Previous
Indicative
Note Value)/
Previous
Indicative
Note Value |
0 |
100.00 |
|
|
|
|
|
$75.00 |
$50.00 |
$25.00 |
|
1 |
103.00 |
3.0% |
1.03 |
$0.0007 |
$0.0007 |
$0.01130 |
$77.2500 |
$50.0120 |
$27.2380 |
8.95% |
2 |
99.91 |
-3.0% |
0.97 |
$0.0007 |
$0.0014 |
$0.01231 |
$79.2627 |
$54.4891 |
$24.7736 |
-9.05% |
3 |
102.91 |
3.0% |
1.03 |
$0.0006 |
$0.0020 |
$0.01120 |
$76.5504 |
$49.5590 |
$26.9914 |
8.95% |
4 |
99.82 |
-3.0% |
0.97 |
$0.0007 |
$0.0027 |
$0.01220 |
$78.5449 |
$53.9957 |
$24.5493 |
-9.05% |
5 |
102.81 |
3.0% |
1.03 |
$0.0006 |
$0.0033 |
$0.01110 |
$75.8572 |
$49.1102 |
$26.7469 |
8.95% |
6 |
99.73 |
-3.0% |
0.97 |
$0.0007 |
$0.0040 |
$0.01209 |
$77.8336 |
$53.5067 |
$24.3269 |
-9.05% |
7 |
102.72 |
3.0% |
1.03 |
$0.0006 |
$0.0047 |
$0.01100 |
$75.1702 |
$48.6655 |
$26.5047 |
8.95% |
8 |
99.64 |
-3.0% |
0.97 |
$0.0007 |
$0.0054 |
$0.01198 |
$77.1288 |
$53.0221 |
$24.1066 |
-9.05% |
9 |
102.63 |
3.0% |
1.03 |
$0.0006 |
$0.0060 |
$0.01090 |
$74.4895 |
$48.2248 |
$26.2647 |
8.95% |
10 |
99.55 |
-3.0% |
0.97 |
$0.0007 |
$0.0067 |
$0.01187 |
$76.4303 |
$52.5420 |
$23.8883 |
-9.05% |
11 |
102.54 |
3.0% |
1.03 |
$0.0006 |
$0.0073 |
$0.01080 |
$73.8149 |
$47.7881 |
$26.0269 |
8.95% |
12 |
99.46 |
-3.0% |
0.97 |
$0.0007 |
$0.0080 |
$0.01177 |
$75.7381 |
$52.0662 |
$23.6720 |
-9.05% |
13 |
102.45 |
3.0% |
1.03 |
$0.0006 |
$0.0086 |
$0.01070 |
$73.1465 |
$47.3553 |
$25.7912 |
8.95% |
14 |
99.37 |
-3.0% |
0.97 |
$0.0007 |
$0.0093 |
$0.01166 |
$75.0523 |
$51.5946 |
$23.4576 |
-9.05% |
15 |
102.35 |
3.0% |
1.03 |
$0.0006 |
$0.0099 |
$0.01060 |
$72.4841 |
$46.9265 |
$25.5576 |
8.95% |
16 |
99.28 |
-3.0% |
0.97 |
$0.0007 |
$0.0105 |
$0.01155 |
$74.3726 |
$51.1274 |
$23.2452 |
-9.05% |
17 |
102.26 |
3.0% |
1.03 |
$0.0006 |
$0.0111 |
$0.01051 |
$71.8276 |
$46.5015 |
$25.3261 |
8.95% |
18 |
99.19 |
-3.0% |
0.97 |
$0.0007 |
$0.0118 |
$0.01145 |
$73.6991 |
$50.6644 |
$23.0347 |
-9.05% |
19 |
102.17 |
3.0% |
1.03 |
$0.0006 |
$0.0124 |
$0.01041 |
$71.1772 |
$46.0804 |
$25.0968 |
8.95% |
20 |
99.10 |
-3.0% |
0.97 |
$0.0007 |
$0.0131 |
$0.01135 |
$73.0317 |
$50.2056 |
$22.8261 |
-9.05% |
21 |
102.08 |
3.0% |
1.03 |
$0.0006 |
$0.0136 |
$0.01032 |
$70.5326 |
$45.6631 |
$24.8695 |
8.95% |
22 |
99.01 |
-3.0% |
0.97 |
$0.0006 |
$0.0143 |
$0.01124 |
$72.3703 |
$49.7509 |
$22.6194 |
-9.05% |
Example 6: The Index level decreases by a constant 3.00% per day.
Assumptions |
|
Fee Rate |
0.95% per annum |
Daily Leverage Factor |
3 |
Daily Financing Factor |
2 |
Daily Financing Rate |
8.25% |
Principal Amount |
$25.00 |
Initial Index Level |
100 |
Note Return |
-87.59% |
Cumulative Index Return |
-48.83% |
Day |
Index
Level |
Daily Index
Performance |
Index
Performance
Factor |
Daily
Investor
Fee |
Fee
Accrual |
Daily
Financing
Charge |
Long Index
Amount |
Financing
Level |
Indicative
Note Value |
Note Return |
A |
B |
C |
D |
E |
F |
G |
H |
I |
J |
K |
|
|
|
Current Index
Level /
Previous
Index Level |
Previous
Indicative
Note Value
* Fee
Rate/365 |
Total of E |
Previous
Indicative
Note Value *
Daily
Financing
Factor *
Daily
Financing
Rate/365 |
Previous
Indicative Note
Value * Daily
Leverage Factor
* D |
Previous
Indicative
Note Value
*
Daily
Financing
Factor +
E + G |
H – I |
(Current
Indicative
Note Value -
Previous
Indicative
Note Value)/
Previous
Indicative
Note Value |
0 |
100.00 |
|
|
|
|
|
$75.00 |
$50.00 |
$25.00 |
|
1 |
97.00 |
-3.0% |
0.97 |
$0.0007 |
$0.0007 |
$0.01130 |
$72.7500 |
$50.0120 |
$22.7380 |
-9.05% |
2 |
94.09 |
-3.0% |
0.97 |
$0.0006 |
$0.0012 |
$0.01028 |
$66.1677 |
$45.4870 |
$20.6808 |
-9.05% |
3 |
91.27 |
-3.0% |
0.97 |
$0.0005 |
$0.0018 |
$0.00935 |
$60.1810 |
$41.3714 |
$18.8096 |
-9.05% |
4 |
88.53 |
-3.0% |
0.97 |
$0.0005 |
$0.0023 |
$0.00850 |
$54.7359 |
$37.6282 |
$17.1077 |
-9.05% |
5 |
85.87 |
-3.0% |
0.97 |
$0.0004 |
$0.0027 |
$0.00773 |
$49.7835 |
$34.2237 |
$15.5599 |
-9.05% |
6 |
83.30 |
-3.0% |
0.97 |
$0.0004 |
$0.0031 |
$0.00703 |
$45.2792 |
$31.1272 |
$14.1520 |
-9.05% |
7 |
80.80 |
-3.0% |
0.97 |
$0.0004 |
$0.0035 |
$0.00640 |
$41.1824 |
$28.3108 |
$12.8716 |
-9.05% |
8 |
78.37 |
-3.0% |
0.97 |
$0.0003 |
$0.0038 |
$0.00582 |
$37.4563 |
$25.7493 |
$11.7070 |
-9.05% |
9 |
76.02 |
-3.0% |
0.97 |
$0.0003 |
$0.0041 |
$0.00529 |
$34.0673 |
$23.4196 |
$10.6478 |
-9.05% |
10 |
73.74 |
-3.0% |
0.97 |
$0.0003 |
$0.0044 |
$0.00481 |
$30.9850 |
$21.3006 |
$9.6844 |
-9.05% |
11 |
71.53 |
-3.0% |
0.97 |
$0.0003 |
$0.0047 |
$0.00438 |
$28.1815 |
$19.3734 |
$8.8082 |
-9.05% |
12 |
69.38 |
-3.0% |
0.97 |
$0.0002 |
$0.0049 |
$0.00398 |
$25.6317 |
$17.6205 |
$8.0112 |
-9.05% |
13 |
67.30 |
-3.0% |
0.97 |
$0.0002 |
$0.0051 |
$0.00362 |
$23.3126 |
$16.0262 |
$7.2864 |
-9.05% |
14 |
65.28 |
-3.0% |
0.97 |
$0.0002 |
$0.0053 |
$0.00329 |
$21.2033 |
$14.5762 |
$6.6271 |
-9.05% |
15 |
63.33 |
-3.0% |
0.97 |
$0.0002 |
$0.0055 |
$0.00300 |
$19.2849 |
$13.2574 |
$6.0275 |
-9.05% |
16 |
61.43 |
-3.0% |
0.97 |
$0.0002 |
$0.0056 |
$0.00272 |
$17.5400 |
$12.0579 |
$5.4821 |
-9.05% |
17 |
59.58 |
-3.0% |
0.97 |
$0.0001 |
$0.0058 |
$0.00248 |
$15.9530 |
$10.9669 |
$4.9861 |
-9.05% |
18 |
57.80 |
-3.0% |
0.97 |
$0.0001 |
$0.0059 |
$0.00225 |
$14.5096 |
$9.9747 |
$4.5350 |
-9.05% |
19 |
56.06 |
-3.0% |
0.97 |
$0.0001 |
$0.0060 |
$0.00205 |
$13.1968 |
$9.0722 |
$4.1247 |
-9.05% |
20 |
54.38 |
-3.0% |
0.97 |
$0.0001 |
$0.0061 |
$0.00186 |
$12.0028 |
$8.2513 |
$3.7515 |
-9.05% |
21 |
52.75 |
-3.0% |
0.97 |
$0.0001 |
$0.0062 |
$0.00170 |
$10.9168 |
$7.5048 |
$3.4121 |
-9.05% |
22 |
51.17 |
-3.0% |
0.97 |
$0.0001 |
$0.0063 |
$0.00154 |
$9.9291 |
$6.8257 |
$3.1033 |
-9.05% |
Example 7: The Index level increases by a constant 1.00% per day.
Assumptions |
|
Fee Rate |
0.95% per annum |
Daily Leverage Factor |
3 |
Daily Financing Factor |
2 |
Daily Financing Rate |
8.25% |
Principal Amount |
$25.00 |
Initial Index Level |
100 |
Note Return |
89.66% |
Cumulative Index Return |
24.47% |
Day |
Index
Level |
Daily Index
Performance |
Index
Performance
Factor |
Daily
Investor
Fee |
Fee
Accrual |
Daily
Financing
Charge |
Long Index
Amount |
Financing
Level |
Indicative
Note Value |
Note Return |
A |
B |
C |
D |
E |
F |
G |
H |
I |
J |
K |
|
|
|
Current Index
Level /
Previous
Index Level |
Previous
Indicative
Note Value
* Fee
Rate/365 |
Total of E |
Previous
Indicative
Note Value *
Daily
Financing
Factor *
Daily
Financing
Rate/365 |
Previous
Indicative Note
Value * Daily
Leverage Factor
* D |
Previous
Indicative
Note Value
*
Daily
Financing
Factor +
E + G |
H – I |
(Current
Indicative
Note Value -
Previous
Indicative
Note Value)/
Previous
Indicative
Note Value |
0 |
100.00 |
|
|
|
|
|
$75.00 |
$50.00 |
$25.00 |
|
1 |
101.00 |
1.0% |
1.01 |
$0.0007 |
$0.0007 |
$0.01130 |
$75.7500 |
$50.0120 |
$25.7380 |
2.95% |
2 |
102.01 |
1.0% |
1.01 |
$0.0007 |
$0.0013 |
$0.01164 |
$77.9863 |
$51.4884 |
$26.4979 |
2.95% |
3 |
103.03 |
1.0% |
1.01 |
$0.0007 |
$0.0020 |
$0.01198 |
$80.2886 |
$53.0084 |
$27.2802 |
2.95% |
4 |
104.06 |
1.0% |
1.01 |
$0.0007 |
$0.0027 |
$0.01233 |
$82.6589 |
$54.5733 |
$28.0855 |
2.95% |
5 |
105.10 |
1.0% |
1.01 |
$0.0007 |
$0.0035 |
$0.01270 |
$85.0991 |
$56.1845 |
$28.9147 |
2.95% |
6 |
106.15 |
1.0% |
1.01 |
$0.0008 |
$0.0042 |
$0.01307 |
$87.6114 |
$57.8431 |
$29.7683 |
2.95% |
7 |
107.21 |
1.0% |
1.01 |
$0.0008 |
$0.0050 |
$0.01346 |
$90.1979 |
$59.5508 |
$30.6471 |
2.95% |
8 |
108.29 |
1.0% |
1.01 |
$0.0008 |
$0.0058 |
$0.01385 |
$92.8607 |
$61.3088 |
$31.5518 |
2.95% |
9 |
109.37 |
1.0% |
1.01 |
$0.0008 |
$0.0066 |
$0.01426 |
$95.6021 |
$63.1188 |
$32.4833 |
2.95% |
10 |
110.46 |
1.0% |
1.01 |
$0.0008 |
$0.0074 |
$0.01468 |
$98.4245 |
$64.9822 |
$33.4423 |
2.95% |
11 |
111.57 |
1.0% |
1.01 |
$0.0009 |
$0.0083 |
$0.01512 |
$101.3301 |
$66.9006 |
$34.4296 |
2.95% |
12 |
112.68 |
1.0% |
1.01 |
$0.0009 |
$0.0092 |
$0.01556 |
$104.3216 |
$68.8756 |
$35.4460 |
2.95% |
13 |
113.81 |
1.0% |
1.01 |
$0.0009 |
$0.0101 |
$0.01602 |
$107.4014 |
$70.9089 |
$36.4924 |
2.95% |
14 |
114.95 |
1.0% |
1.01 |
$0.0009 |
$0.0111 |
$0.01650 |
$110.5721 |
$73.0023 |
$37.5698 |
2.95% |
15 |
116.10 |
1.0% |
1.01 |
$0.0010 |
$0.0121 |
$0.01698 |
$113.8364 |
$75.1575 |
$38.6789 |
2.95% |
16 |
117.26 |
1.0% |
1.01 |
$0.0010 |
$0.0131 |
$0.01748 |
$117.1970 |
$77.3763 |
$39.8208 |
2.95% |
17 |
118.43 |
1.0% |
1.01 |
$0.0010 |
$0.0141 |
$0.01800 |
$120.6569 |
$79.6606 |
$40.9963 |
2.95% |
18 |
119.61 |
1.0% |
1.01 |
$0.0011 |
$0.0152 |
$0.01853 |
$124.2189 |
$82.0123 |
$42.2066 |
2.95% |
19 |
120.81 |
1.0% |
1.01 |
$0.0011 |
$0.0163 |
$0.01908 |
$127.8861 |
$84.4335 |
$43.4527 |
2.95% |
20 |
122.02 |
1.0% |
1.01 |
$0.0011 |
$0.0174 |
$0.01964 |
$131.6616 |
$86.9261 |
$44.7355 |
2.95% |
21 |
123.24 |
1.0% |
1.01 |
$0.0012 |
$0.0186 |
$0.02022 |
$135.5485 |
$89.4923 |
$46.0561 |
2.95% |
22 |
124.47 |
1.0% |
1.01 |
$0.0012 |
$0.0198 |
$0.02082 |
$139.5501 |
$92.1343 |
$47.4158 |
2.95% |
Example 8: The Index level increases in a volatile manner.
Assumptions |
|
Fee Rate |
0.95% per annum |
Daily Leverage Factor |
3 |
Daily Financing Factor |
2 |
Daily Financing Rate |
8.25% |
Principal Amount |
$25.00 |
Initial Index Level |
100 |
Note Return |
-20.08% |
Cumulative Index Return |
24.87% |
Day |
Index
Level |
Daily Index
Performance |
Index
Performance
Factor |
Daily
Investor
Fee |
Fee
Accrual |
Daily
Financing
Charge |
Long Index
Amount |
Financing
Level |
Indicative
Note Value |
Note Return |
A |
B |
C |
D |
E |
F |
G |
H |
I |
J |
K |
|
|
|
Current Index
Level /
Previous
Index Level |
Previous
Indicative
Note Value
* Fee
Rate/365 |
Total of E |
Previous
Indicative
Note Value *
Daily
Financing
Factor *
Daily
Financing
Rate/365 |
Previous
Indicative Note
Value * Daily
Leverage Factor
* D |
Previous
Indicative
Note Value
*
Daily
Financing
Factor +
E + G |
H – I |
(Current
Indicative
Note Value -
Previous
Indicative
Note Value)/
Previous
Indicative
Note Value |
0 |
100.00 |
|
|
|
|
|
$75.00 |
$50.00 |
$25.00 |
|
1 |
110.00 |
10.0% |
1.10 |
$0.0007 |
$0.0007 |
$0.01130 |
$82.5000 |
$50.0120 |
$32.4880 |
29.95% |
2 |
112.20 |
2.0% |
1.02 |
$0.0008 |
$0.0015 |
$0.01469 |
$99.4134 |
$64.9916 |
$34.4218 |
5.95% |
3 |
108.83 |
-3.0% |
0.97 |
$0.0009 |
$0.0024 |
$0.01556 |
$100.1674 |
$68.8601 |
$31.3074 |
-9.05% |
4 |
97.95 |
-10.0% |
0.90 |
$0.0008 |
$0.0032 |
$0.01415 |
$84.5299 |
$62.6297 |
$21.9002 |
-30.05% |
5 |
93.05 |
-5.0% |
0.95 |
$0.0006 |
$0.0038 |
$0.00990 |
$62.4156 |
$43.8109 |
$18.6047 |
-15.05% |
6 |
81.89 |
-12.0% |
0.88 |
$0.0005 |
$0.0043 |
$0.00841 |
$49.1164 |
$37.2183 |
$11.8981 |
-36.05% |
7 |
78.61 |
-4.0% |
0.96 |
$0.0003 |
$0.0046 |
$0.00538 |
$34.2666 |
$23.8019 |
$10.4647 |
-12.05% |
8 |
74.68 |
-5.0% |
0.95 |
$0.0003 |
$0.0048 |
$0.00473 |
$29.8243 |
$20.9343 |
$8.8900 |
-15.05% |
9 |
60.49 |
-19.0% |
0.81 |
$0.0002 |
$0.0051 |
$0.00402 |
$21.6026 |
$17.7842 |
$3.8184 |
-57.05% |
10 |
71.38 |
18.0% |
1.18 |
$0.0001 |
$0.0052 |
$0.00173 |
$13.5172 |
$7.6387 |
$5.8786 |
53.95% |
11 |
74.95 |
5.0% |
1.05 |
$0.0002 |
$0.0053 |
$0.00266 |
$18.5174 |
$11.7599 |
$6.7575 |
14.95% |
12 |
69.70 |
-7.0% |
0.93 |
$0.0002 |
$0.0055 |
$0.00305 |
$18.8535 |
$13.5183 |
$5.3352 |
-21.05% |
13 |
58.55 |
-16.0% |
0.84 |
$0.0001 |
$0.0056 |
$0.00241 |
$13.4447 |
$10.6730 |
$2.7718 |
-48.05% |
14 |
53.87 |
-8.0% |
0.92 |
$0.0001 |
$0.0057 |
$0.00125 |
$7.6501 |
$5.5448 |
$2.1052 |
-24.05% |
15 |
56.02 |
4.0% |
1.04 |
$0.0001 |
$0.0058 |
$0.00095 |
$6.5683 |
$4.2114 |
$2.3568 |
11.95% |
16 |
70.03 |
25.0% |
1.25 |
$0.0001 |
$0.0058 |
$0.00107 |
$8.8381 |
$4.7148 |
$4.1233 |
74.95% |
17 |
78.43 |
12.0% |
1.12 |
$0.0001 |
$0.0059 |
$0.00186 |
$13.8544 |
$8.2486 |
$5.6058 |
35.95% |
18 |
86.27 |
10.0% |
1.10 |
$0.0001 |
$0.0061 |
$0.00253 |
$18.4990 |
$11.2142 |
$7.2848 |
29.95% |
19 |
96.62 |
12.0% |
1.12 |
$0.0002 |
$0.0063 |
$0.00329 |
$24.4769 |
$14.5731 |
$9.9039 |
35.95% |
20 |
100.49 |
4.0% |
1.04 |
$0.0003 |
$0.0065 |
$0.00448 |
$30.9000 |
$19.8124 |
$11.0876 |
11.95% |
21 |
109.53 |
9.0% |
1.09 |
$0.0003 |
$0.0068 |
$0.00501 |
$36.2564 |
$22.1805 |
$14.0759 |
26.95% |
22 |
124.87 |
14.0% |
1.14 |
$0.0004 |
$0.0072 |
$0.00636 |
$48.1397 |
$28.1586 |
$19.9811 |
41.95% |
Table 1: Expected return on the notes over one year of Index performance,
without giving effect to the Daily Investor Fee and the Daily Financing Charge, and assuming a constant drift and volatility over time.
|
|
One-Year Index Volatility |
One Year
Index
Performance |
Three Times
(3x)
One Year Index
Performance |
0% |
5% |
10% |
15% |
20% |
25% |
30% |
35% |
40% |
45% |
50% |
55% |
60% |
65% |
70% |
-75% |
-225% |
-98.44% |
-98.45% |
-98.48% |
-98.54% |
-98.61% |
-98.70% |
-98.81% |
-98.92% |
-99.03% |
-99.15% |
-99.26% |
-99.37% |
-99.47% |
-99.56% |
-99.64% |
-70% |
-210% |
-97.30% |
-97.32% |
-97.38% |
-97.48% |
-97.61% |
-97.76% |
-97.94% |
-98.13% |
-98.33% |
-98.53% |
-98.72% |
-98.91% |
-99.08% |
-99.24% |
-99.38% |
-65% |
-195% |
-95.71% |
-95.74% |
-95.84% |
-95.99% |
-96.20% |
-96.45% |
-96.73% |
-97.03% |
-97.35% |
-97.66% |
-97.97% |
-98.27% |
-98.54% |
-98.79% |
-99.01% |
-60% |
-180% |
-93.60% |
-93.65% |
-93.79% |
-94.02% |
-94.32% |
-94.69% |
-95.11% |
-95.57% |
-96.04% |
-96.51% |
-96.98% |
-97.42% |
-97.83% |
-98.20% |
-98.53% |
-55% |
-165% |
-90.89% |
-90.96% |
-91.16% |
-91.48% |
-91.92% |
-92.45% |
-93.04% |
-93.69% |
-94.36% |
-95.04% |
-95.70% |
-96.32% |
-96.91% |
-97.43% |
-97.90% |
-50% |
-150% |
-87.50% |
-87.59% |
-87.87% |
-88.32% |
-88.91% |
-89.64% |
-90.46% |
-91.34% |
-92.27% |
-93.19% |
-94.10% |
-94.96% |
-95.76% |
-96.48% |
-97.13% |
-45% |
-135% |
-83.36% |
-83.49% |
-83.85% |
-84.45% |
-85.24% |
-86.21% |
-87.30% |
-88.48% |
-89.70% |
-90.94% |
-92.14% |
-93.29% |
-94.35% |
-95.32% |
-96.17% |
-40% |
-120% |
-78.40% |
-78.56% |
-79.04% |
-79.81% |
-80.84% |
-82.09% |
-83.51% |
-85.04% |
-86.63% |
-88.23% |
-89.80% |
-91.28% |
-92.66% |
-93.92% |
-95.03% |
-35% |
-105% |
-72.54% |
-72.74% |
-73.35% |
-74.33% |
-75.64% |
-77.23% |
-79.04% |
-80.98% |
-83.01% |
-85.04% |
-87.03% |
-88.92% |
-90.67% |
-92.27% |
-93.69% |
-30% |
-90% |
-65.70% |
-65.96% |
-66.71% |
-67.94% |
-69.58% |
-71.56% |
-73.82% |
-76.25% |
-78.78% |
-81.32% |
-83.80% |
-86.16% |
-88.35% |
-90.34% |
-92.11% |
-25% |
-75% |
-57.81% |
-58.13% |
-59.06% |
-60.57% |
-62.58% |
-65.03% |
-67.79% |
-70.79% |
-73.90% |
-77.02% |
-80.07% |
-82.98% |
-85.67% |
-88.12% |
-90.30% |
-20% |
-60% |
-48.80% |
-49.18% |
-50.31% |
-52.14% |
-54.59% |
-57.55% |
-60.91% |
-64.55% |
-68.32% |
-72.11% |
-75.81% |
-79.34% |
-82.61% |
-85.59% |
-88.23% |
-15% |
-45% |
-38.59% |
-39.05% |
-40.40% |
-42.60% |
-45.53% |
-49.09% |
-53.12% |
-57.47% |
-62.00% |
-66.55% |
-70.99% |
-75.22% |
-79.14% |
-82.71% |
-85.88% |
-10% |
-30% |
-27.10% |
-27.64% |
-29.25% |
-31.86% |
-35.34% |
-39.56% |
-44.35% |
-49.52% |
-54.89% |
-60.29% |
-65.56% |
-70.58% |
-75.24% |
-79.48% |
-83.24% |
-5% |
-15% |
-14.26% |
-14.90% |
-16.80% |
-19.86% |
-23.96% |
-28.92% |
-34.55% |
-40.63% |
-46.95% |
-53.30% |
-59.50% |
-65.40% |
-70.88% |
-75.86% |
-80.29% |
0% |
0% |
0.00% |
-0.75% |
-2.96% |
-6.53% |
-11.31% |
-17.10% |
-23.66% |
-30.75% |
-38.12% |
-45.53% |
-52.76% |
-59.65% |
-66.04% |
-71.85% |
-77.01% |
5% |
15% |
15.76% |
14.90% |
12.34% |
8.21% |
2.67% |
-4.03% |
-11.63% |
-19.84% |
-28.37% |
-36.94% |
-45.32% |
-53.29% |
-60.69% |
-67.41% |
-73.38% |
10% |
30% |
33.10% |
32.11% |
29.17% |
24.41% |
18.05% |
10.34% |
1.61% |
-7.83% |
-17.64% |
-27.50% |
-37.13% |
-46.29% |
-54.80% |
-62.53% |
-69.40% |
15% |
45% |
52.09% |
50.95% |
47.59% |
42.16% |
34.89% |
26.08% |
16.10% |
5.32% |
-5.89% |
-17.16% |
-28.16% |
-38.63% |
-48.35% |
-57.18% |
-65.03% |
20% |
60% |
72.80% |
71.51% |
67.69% |
61.52% |
53.26% |
43.26% |
31.91% |
19.66% |
6.93% |
-5.87% |
-18.38% |
-30.27% |
-41.32% |
-51.35% |
-60.27% |
25% |
75% |
95.31% |
93.85% |
89.54% |
82.56% |
73.23% |
61.92% |
49.10% |
35.25% |
20.86% |
6.39% |
-7.74% |
-21.19% |
-33.67% |
-45.01% |
-55.09% |
30% |
90% |
119.70% |
118.06% |
113.21% |
105.36% |
94.86% |
82.14% |
67.71% |
52.13% |
35.95% |
19.67% |
3.78% |
-11.34% |
-25.39% |
-38.15% |
-49.49% |
35% |
105% |
146.04% |
144.20% |
138.77% |
129.98% |
118.22% |
103.97% |
87.82% |
70.37% |
52.24% |
34.02% |
16.22% |
-0.72% |
-16.45% |
-30.73% |
-43.43% |
40% |
120% |
174.40% |
172.35% |
166.29% |
156.49% |
143.37% |
127.49% |
109.47% |
90.01% |
69.79% |
49.47% |
29.62% |
10.73% |
-6.81% |
-22.75% |
-36.91% |
45% |
135% |
204.86% |
202.58% |
195.85% |
184.96% |
170.39% |
152.74% |
132.73% |
111.11% |
88.64% |
66.06% |
44.01% |
23.02% |
3.53% |
-14.17% |
-29.90% |
50% |
150% |
237.50% |
234.98% |
227.53% |
215.47% |
199.34% |
179.80% |
157.64% |
133.71% |
108.84% |
83.84% |
59.42% |
36.19% |
14.61% |
-4.98% |
-22.40% |
55% |
165% |
272.39% |
269.61% |
261.38% |
248.08% |
230.28% |
208.72% |
184.27% |
157.86% |
130.43% |
102.84% |
75.90% |
50.27% |
26.46% |
4.84% |
-14.38% |
60% |
180% |
309.60% |
306.54% |
297.49% |
282.86% |
263.28% |
239.57% |
212.68% |
183.63% |
153.45% |
123.11% |
93.48% |
65.29% |
39.10% |
15.32% |
-5.82% |
65% |
195% |
349.21% |
345.86% |
335.94% |
319.89% |
298.42% |
272.41% |
242.92% |
211.06% |
177.97% |
144.69% |
112.19% |
81.27% |
52.55% |
26.47% |
3.29% |
70% |
210% |
391.30% |
387.63% |
376.78% |
359.23% |
335.74% |
307.30% |
275.05% |
240.21% |
204.01% |
167.62% |
132.07% |
98.26% |
66.84% |
38.32% |
12.96% |
75% |
225% |
435.94% |
431.93% |
420.10% |
400.96% |
375.33% |
344.31% |
309.12% |
271.12% |
231.63% |
191.93% |
153.16% |
116.27% |
82.00% |
50.88% |
23.23% |
|
|
Shaded areas represent those scenarios where the notes will outperform (i.e., return more than) the Index performance times the Daily Leverage Factor; conversely, areas not shaded represent those scenarios where the notes will underperform (i.e., return less than) the Index performance times the Daily Leverage Factor. |
|
|
|
|
Hypothetical Examples
We cannot predict the actual
Index level at any time during the term of the notes or the market value of the notes, nor can we predict the relationship between the
Index level and the market value of your notes at any time prior to the Maturity Date. The actual amount that a holder of the notes will
receive at maturity or call, or upon early redemption, as the case may be, and the rate of return on the notes will depend on the actual
Index Closing Levels during the term of the notes and during the Final Measurement Period or Call Measurement Period, or on a Redemption
Measurement Date, the Daily Investor Fee, Daily Financing Charge, Index volatility and the Redemption Fee Amount, if applicable. Moreover,
the assumptions on which the hypothetical returns are based are purely for illustrative purposes. Consequently, the amount, in cash,
to be paid in respect of your notes, if any, on the Maturity Date, Call Settlement Date or the relevant Redemption Date, as applicable,
may be very different from the information reflected in the tables above.
The hypothetical examples and tables
are not indicative of the future performance of the Index at any time, the Index Closing Levels during the Final Measurement Period or
Call Measurement Period, or on a Redemption Measurement Date, or what the value of your notes may be. Fluctuations in the hypothetical
examples may be greater or less than fluctuations experienced by the holders of the notes. The information shown above is for illustrative
purposes only and does not represent the actual future performance of the notes.
INTRADAY
VALUE OF THE INDEX AND THE NOTES
Intraday Index Values
Each Index Business Day, the Index Sponsor will
calculate and publish the intraday Index value every 15 seconds during normal trading hours on Bloomberg under the ticker symbol “SOLFANGT<Index>.”
The Index Sponsor is not affiliated with Bank of
Montreal and does not approve, endorse, review or recommend the Index or the notes. The information used in the calculation of the intraday
Index value will be derived from sources the Index Sponsor deems reliable, but the Index Sponsor and its affiliates do not guarantee the
correctness or completeness of the intraday Index value or other information furnished in connection with the notes or the calculation
of the Index. The Index Sponsor makes no warranty, express or implied, as to results to be obtained by Bank of Montreal, holders of the
notes, or any other person or entity from the use of the intraday Index value or any data included therein. The Index Sponsor makes no
express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose with respect
to the intraday Index value or any data included therein. The Index Sponsor, its employees, subcontractors, agents, suppliers and vendors
shall have no liability or responsibility, contingent or otherwise, for any injury or damages, whether caused by the negligence of the
Index Sponsor, its employees, subcontractors, agents, suppliers or vendors or otherwise, arising in connection with the intraday Index
value or the notes, and shall not be liable for any lost profits, losses, punitive, incidental or consequential damages. The Index Sponsor
shall not be responsible for or have any liability for any injuries or damages caused by errors, inaccuracies, omissions or any other
failure in, or delays or interruptions of, the intraday Index value from whatever cause. The Index Sponsor is not responsible for the
selection of or use of the Index or the notes, the accuracy and adequacy of the Index or information used by Bank of Montreal and the
resultant output thereof.
The intraday calculation of the level of the Index
will be provided for reference purposes only. Published calculations of the level of the Index from the Index Sponsor may occasionally
be subject to delay or postponement. Any such delays or postponements will affect the current level of the Index and therefore the value
of the notes in the secondary market. The intraday Index value published every 15 seconds will be based on the intraday prices of the
Index constituents.
Intraday Indicative Note Values
An Intraday Indicative Value, which is our approximation
of the value of the notes, will be calculated and published by Solactive AG or a successor on Bloomberg under the ticker symbol “BULZIV”
every 15 seconds during normal trading hours. The actual trading price of the notes may vary significantly from their Intraday Indicative
Value. In connection with the notes, we use the term “indicative value” to refer to the value at a given time equal
to (a) the Intraday Long Index Amount minus (b) the Financing Level; provided that if such calculation results in a value
equal to or less than $0, then both the Intraday Indicative Value and the closing Indicative Note Value will be $0. The Intraday Long
Index Amount will equal the product of (a) the closing Indicative Note Value on the immediately preceding Exchange Business Day times
(b) the Daily Leverage Factor times (c) the Intraday Index Performance Factor. The Intraday Index Performance Factor
equals (a) the most recently published Index level divided by (b) the Index Closing Level on the preceding Index Business
Day.
If the Intraday Indicative Value of the notes is
equal to or less than $0 at any time on any Exchange Business Day, then both the Intraday Indicative Value and the closing Indicative
Note Value of the notes on that day, and for the remainder of the term of the notes, will be $0 (a total loss of value).
The Intraday Indicative Value is meant to approximate the value of
the notes at a particular time. There are three elements of the formula: the Intraday Long Index Amount, the Financing Level and the Intraday
Index Performance Factor (using, instead of the Index Closing Level for the date of determination, the intraday Index level at the time
of determination), as described immediately above. Because the intraday Index level and the Intraday Long Index Amount are variable, the
Intraday Indicative Value translates the change in the Index level from the previous Exchange Business Day, as measured at the time of
measurement, into an approximation of the expected value of the notes. The Intraday Indicative Value uses an intraday Index level for
its calculation; therefore, a variation in the intraday level of the Index from the previous Exchange Business Day’s Index Closing
Level may cause a significant variation between the closing Indicative Note Value and the Intraday Indicative Value on any date of determination.
The Intraday Indicative Value also does not reflect intraday changes in the leverage; it is based on the constant Daily Leverage Factor
of 3. Consequently, the Intraday Indicative Value may vary significantly from the previous or next Exchange Business Day’s closing
Indicative Note Value or the price of the notes purchased intraday. See “Risk Factors — The notes are subject to intraday
purchase risk” and “—The leverage of the notes is reset on each day, and the leverage of the notes during any given
day may be greater than or less than 3.0.” The Intraday Indicative Value may be useful as an approximation of what price an investor
in the notes would receive if the notes were to be redeemed or if they matured, each at the time of measurement. The Intraday Indicative
Value may be helpful to an investor in the notes when comparing it against the notes’ trading price on the NYSE and the most recently
published level of the Index.
The Intraday Indicative Value calculation will
be provided for reference purposes only. It is not intended as a price or quotation, or as an offer to solicitation for the purpose, sale,
or termination of your notes, nor will it reflect hedging or other transactional costs, credit considerations, market liquidity or bid-offer
spreads. The levels of the Index provided by the Index Sponsor will not necessarily reflect the depth and liquidity of the Index constituents.
For this reason and others, the actual trading price of the notes may be different from their indicative value. For additional information,
please see “Risk Factors — The Intraday Indicative Value and the Indicative Note Value are not the same as the closing price
or any other trading price of the notes in the secondary market” in this pricing supplement.
The calculation of the Intraday Indicative Value
shall not constitute a recommendation or solicitation to conclude a transaction at the level stated, and should not be treated as giving
investment advice.
The publication of the Intraday Indicative Value
of the notes by Solactive AG may occasionally be subject to delay or postponement. If the intraday Index value is delayed, then the Intraday
Indicative Value of the notes will also be delayed. The actual trading price of the notes may be different from their Intraday Indicative
Value. The Intraday Indicative Value of the notes published at least every 15 seconds from 9:30 a.m. to 6:00 p.m., New York City time,
will be based on the intraday values of the Index, and may not be equal to the payment at maturity, call or redemption.
The indicative value calculations will have been
prepared as of a particular date and time and will therefore not reflect subsequent changes in market values or prices or in any other
factors relevant to their determination.
If you want to sell your notes but are unable to
satisfy the minimum redemption requirements, you may sell your notes into the secondary market at any time, subject to the risks described
under “Risk Factors — Risks Relating to Liquidity and the Secondary Market — There is no assurance that your notes will
continue to be listed on a securities exchange, and they may not have an active trading market” and “— The value of
the notes in the secondary market may be influenced by many unpredictable factors.” Also, the price you may receive for the notes
in the secondary market may differ from, and may be significantly less than, the Redemption Amount.
Neither the Index Sponsor or its affiliates are
affiliated with Bank of Montreal or BMOCM and do not approve, endorse, review or recommend Bank of Montreal, BMOCM or the notes.
The Intraday Indicative Values of the notes calculated
by Solactive are derived from sources deemed reliable, but Solactive and its affiliates and suppliers do not guarantee the correctness
or completeness of the notes, their values or other information furnished in connection with the notes. Solactive and its affiliates make
no warranty, express or implied, as to results to be obtained by BMOCM, Bank of Montreal, the holders of the notes, or any other person
or entity from the use of the notes, or any date or values included therein or in connection therewith. Solactive and its affiliates make
no express or implied warranties, and expressly disclaim all warranties of merchantability or fitness for a particular purpose with respect
to the notes, or any data or values included therein or in connection therewith.
THE
INDEX
We have derived all
information contained in this pricing supplement regarding the Index, including, without limitation, its make-up, performance, method
of calculation and changes in its constituents, from publicly available sources. Such information reflects the policies of and is subject
to change by the Index Sponsor. We have not undertaken any independent review or due diligence of such information. The Index Sponsor
has no obligation to continue to publish, and may discontinue the publication of, the Index. The description of the Index is summarized
from its governing methodology, which is available on the website maintained by the Index Sponsor, www.solactive.com. Neither the methodology
nor any other information included on any website maintained by the Index Sponsor is included or incorporated by reference into this pricing
supplement.
Introduction
The Index measures the performance
of 15 large capitalization technology companies that are based in the U.S. Unless they cease to satisfy certain requirements, the Index
will always include the common stock of eight “Core Components”: Alphabet Inc., Amazon.com, Inc., Apple Inc., Meta Platforms,
Inc., Microsoft Corporation, NVIDIA Corporation, Netflix, Inc. and Tesla, Inc.
The Index is a total return
index, in which dividends paid on the components stocks are reflected in the level of the Index.
The ticker symbol of the Index
is “SOLFANGT”. The initial Index level was set to 1,000 as of December 19, 2014. The Index was initially calculated on June
8, 2021. The Index Sponsor calculates the level of the Index to two decimal places.
Index Constituents and Selection
The Index components are selected on the first
day of March, June, September and December of each year. The Index sponsor selects the securities that are eligible for inclusion in the
Index based on the following criteria:
| · | the company must be included in the Solactive GBS United States Large & Mid Cap Index, an index sponsored by Solactive that includes
the largest 85% of the free-float market capitalization of U.S. companies; |
| · | the company has its headquarters in the U.S.; |
| · | the company’s common stock is listed on a U.S. securities exchange; |
| · | the company is engaged in one of the following FactSet Industries (Level 3 of FactSet Industries and Economic Sectors Classification): |
| o | Electronic Equipment/Instruments |
| o | Telecommunications Equipment |
| o | Computer Processing Hardware |
| o | Electronic Production Equipment |
| o | Data Processing Services |
| o | Information Technology Services |
| o | Internet Software/Services. |
Alternatively, the company will be included
in the Index if it is a Core Component.
The Index constituents are determined quarterly,
in March, June, September and December. To determine the Index components, in a first step, all potential stocks with a free float market
capitalization (as defined in the Index rules) of less than US$10 billion are excluded from the Index. The Index is then composed of 15
stocks. All of the eligible eight Core Components are selected for the Index (as long as the free float market capitalization requirement
set forth above is satisfied), and the remaining Index components are selected as follows:
1. The
remaining eligible stocks are ranked in descending order by free float market capitalization. The top 30 stocks are selected for the next
step.
2. The
30 stocks are ranked in descending order by 12-month average daily value traded (as defined in the Index rules). The top stocks are selected
for inclusion in the Index, starting with the highest-ranked security, until the final number of 15 stocks for the Index is reached.
Weighting and Rebalancing
Monthly Rebalancing
Each month, the Index is rebalanced so that the
Index is equally weighted. The rebalancing takes place after the close of the markets on the third Friday of each month. If that day is
not a trading day, the rebalancing will occur on the next trading day.
Extraordinary Rebalancing
The Index will also be rebalanced upon the occurrence of
certain events.
If an index constituent “spins-off”
another company, the other company will be not be included in the Index, and its weight will redistributed proportionally among the remaining
index constituents.
If there is any event that occurs that leads to
the removal of a security from the index (for example, as a result of an acquisition, delisting or bankruptcy), the security will be replaced
with the security with the largest 12-month average daily value traded that is not then included in the Index.
Index Calculation
The Index Sponsor calculates the Index level, including
the reinvestment of dividends, according to the Solactive Equity Index Methodology. The methodology also addresses how the Index may be
affected by corporate events affecting components stocks, including, but not limited stock dividends, stock splits, share repurchases
and merger transactions.
Index Oversight and Changes to Index Methodology
An oversight committee consisting of the Index
Sponsor’s personnel is responsible for decisions regarding any amendments to the rules of the Index. The methodology of the Index
is subject to periodic review, and may be changed from time to time by the Index Sponsor, subject to the approval of the oversight committee.
Hypothetical Back-Tested and Historical Index and Information
This section contains hypothetical back tested
performance data for the Index from December 19, 2014 to June 7, 2021. The hypothetical back-tested and historical performance data shown
below is not an indication of future performance, which is impossible to predict. The Index was first published on June 8, 2021, and therefore
has no actual historical information to report prior to that date. This section also contains actual historical performance data for the
Index since its first date of publication.
All index performance data prior to the first publication
date is hypothetical. Hypothetical index performance data is subject to significant limitations. No representation is made that the Index
is likely to achieve gains or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance
results and the actual results subsequently achieved by any particular investment. One of the limitations of hypothetical performance
information is that it did not involve financial risk, and cannot account for all factors that would affect actual performance.
The hypothetical back-tested and historical performance
data were calculated by the Index Sponsor, and we have not independently verified their accuracy. The Index Sponsor has advised us that
the hypothetical back-tested performance data were calculated in a manner consistent with the Index methodology described above, using
published historical values to determine the Index constituents and the levels of the Index.
The vertical line in the graph below represents June 8, 2021,
which is the date on which the Index was first published. The performance shown to the left of that line reflects the hypothetical back-tested
performance of the Index, and the performance shown to the right of that line reflects the actual historical performance after the date
of initial publication, through May 24, 2022.
Historical results are not indicative of future
results.
License Agreement
We have entered into a sub-license agreement with
REX Shares, LLC (“REX” or the “Structuring Agent”), which licenses the Index from Solactive AG. The license agreement
with the Structuring Agent also provides for the use of certain trade names, trademarks and service marks. We have also entered into a
services agreement with REX to provide certain services related to product design, content generation and document dissemination.
Solactive AG (“Solactive”) is the licensor
of the Index. The notes are not sponsored, endorsed, promoted or sold by Solactive in any way, and Solactive makes no express or implied
representation, guarantee or assurance with regard to: (a) the advisability in investing in the notes; (b) the quality, accuracy and/or
completeness of the Index; and/or (c) the results obtained or to be obtained by any person or entity from the use of the Index. Solactive
does not guarantee the accuracy and/or the completeness of the Index and shall not have any liability for any errors or omissions with
respect thereto. Notwithstanding Solactive’s obligations to its licensees, Solactive reserves the right to change the methods of
calculation or publication of the Index, and Solactive shall not be liable for any miscalculation of or any incorrect, delayed or interrupted
publication with respect to the Index. Solactive shall not be liable for any damages, including, without limitation, any loss of profits
or business, or any special, incidental, punitive, indirect or consequential damages suffered or incurred as a result of the use (or inability
to use) of the Index.
MicroSectorsTM and REXTM
are registered trademarks of REX. The trademarks have been licensed for use for certain purposes by Bank of Montreal. The notes are not
sponsored, endorsed, sold or promoted by REX or any of its affiliates or third party licensors (collectively, “REX Index Parties”).
REX Index Parties make no representation or warranty, express or implied, to the owners of the notes or any member of the public regarding
the advisability of investing in securities generally or in the notes particularly or the ability of the Index to track general market
performance. REX Index Parties’ only relationship to Bank of Montreal with respect to the Index is the licensing of the Index and
certain trademarks, service marks and/or trade names of REX Index Parties. REX Index Parties are not responsible for and have not participated
in the determination of the prices, and amount of the notes or the timing of the issuance or sale of the notes or in the determination
or calculation of the equation by which the notes are to be converted into cash. REX Index Parties have no obligation or liability in
connection with the administration, marketing or trading of the notes. Inclusion of a security within an index is not a recommendation
by REX Index Parties to buy, sell, or hold such security, nor is it considered to be investment advice.
REX INDEX PARTIES DO NOT GUARANTEE THE ADEQUACY,
ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED
TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. REX INDEX PARTIES SHALL NOT BE SUBJECT TO
ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. REX INDEX PARTIES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY
DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY BANK OF MONTREAL,
OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING
ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL REX INDEX PARTIES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL
DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY
OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE.
SUPPLEMENTAL
TAX CONSIDERATIONS
The following is a general description of certain
tax considerations relating to the notes. It does not purport to be a complete analysis of all tax considerations relating to the notes.
Prospective purchasers of the notes should consult their tax advisors as to the consequences under the tax laws of the country of which
they are resident for tax purposes and the tax laws of Canada and the U.S. of acquiring, holding and disposing of the notes and receiving
payments under the notes. This summary is based upon the law as in effect on the date of this pricing supplement and is subject to any
change in law that may take effect after such date.
Supplemental Canadian Tax Considerations
For a summary of Canadian
tax considerations relevant to an investment in the notes, please see the sections entitled “Canadian Taxation” in the accompanying
prospectus and the section entitled “Certain Income Tax Consequences—Certain Canadian Income Tax Considerations ” in
the accompanying prospectus supplement.
With respect to any interest
paid or credited or deemed to be paid or credited on the notes, such interest will not be subject to Canadian non-resident withholding
tax.