Structured Outcome ETF Tool
| Date | Remaining Outcome Period (Days) | ETF Ticker | ETF NAV | ETF Price Change | Underlying Price | Underlying Price Change | Remaining Cap | Remaining Buffer | Downside Before Buffer | Reference Asset to Buffer End |
|---|---|---|---|---|---|---|---|---|---|---|
| 2024-09-05 | 25 | ZOCT | 32.89 | 9.32% | 76.21 | 26.99% | 0.17% | 24.54% | -8.52% | -33.06% |
| 2024-09-05 | 134 | ZJAN | 31.73 | 5.66% | 76.21 | 12.61% | 3.16% | 19.16% | -5.36% | -24.52% |
| 2024-09-05 | 207 | ZAPR | 31.28 | 3.57% | 76.21 | 4.43% | 6.21% | 15.16% | -3.45% | -18.61% |
| 2024-09-05 | 298 | ZJUL | 30.14 | 0.81% | 76.21 | 0.71% | 8.07% | 14.79% | -0.80% | -15.60% |
Hypothetical Scenario Analysis
Understanding the trade-offs between upside participation and protection against losses is key to making an informed investment decision. This matrix provides insight into the potential behaviour of Structured Outcome ETFs under varying market conditions.
| ETF / Underlying Price Change | -30.0% | -25.0% | -20.0% | -15.0% | -10.0% | -5.0% | -2.5% | 0.0% | 2.5% | 5.0% | 10.0% | 15.0% | 20.0% | 25.0% | 30.0% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ZOCT | -9.50% | -9.50% | -8.07% | -2.32% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
| ZJAN | -11.52% | -6.21% | -5.70% | -5.70% | -4.43% | 0.88% | 2.78% | 2.78% | 2.78% | 2.78% | 2.78% | 2.78% | 2.78% | 2.78% | 2.78% |
| ZAPR | -15.07% | -10.03% | -5.00% | -3.60% | -3.60% | -3.60% | -1.85% | 0.67% | 3.19% | 5.70% | 6.04% | 6.04% | 6.04% | 6.04% | 6.04% |
| ZJUL | -15.38% | -10.39% | -5.41% | -1.02% | -1.02% | -1.02% | -1.02% | -0.32% | 2.18% | 4.67% | 7.84% | 7.84% | 7.84% | 7.84% | 7.84% |
Outcome Period Start Date
- ZOCT - October 2, 2023
- ZJAN - January 25, 2024
- ZAPR - April 1, 2024
Terms and Definitions
Reference ETF: The underlying ETF which the Fund provides exposure to.
Target Outcome Period: The period between when the options were purchased and sold and when they will expire.
Starting Buffer: The amount of downside protection the Fund seeks to provide if held for the full Target Outcome Period.
Starting Cap: Maximum possible return that the Fund can provide at the end of the Target Outcome Period. Note: the cap may be achieved through a combination of price and distributions.
Starting ETF NAV: The Net Asset Value (NAV) of the Fund at the start of the Target Outcome Period
Starting Reference ETF NAV: The NAV of the Reference ETF at the start of the Target Outcome Period.
Buffer Zone: The range of the NAV of the reference ETF that the buffer seeks to protect against. The values represent the reference ETF values that trigger the start and end of the Buffer range.
Remaining Outcome Period: The number of days remaining until the end of the Outcome Period.
Remaining Cap: Based on the Fund’s value, the best potential return if held to the end of the Outcome Period. Note: the cap may be achieved through a combination of price and distributions.
Remaining Buffer: The current amount of the Fund’s stated buffer that is remaining.
Downside Before Buffer: Based on the Fund’s value, the amount of the Fund loss that can be incurred prior to the buffer taking effect
Reference Asset to Buffer End: The loss of the Reference asset from its current value to the end of the Buffer outcome period.
Disclosures
An investor that purchases Units of a Structured Outcome ETF other than on the first day of a Target Outcome Period and/or sells Units of a Structured Outcome ETF prior to the end of a Target Outcome Period may experience results that are very different from the target outcomes sought by the Structured Outcome ETF for that Target Outcome Period. Both the cap and, where applicable, the buffer are fixed levels that are calculated in relation to the market price of the applicable Reference ETF and a Structured Outcome ETF’s NAV (as Structured herein) at the start of each Target Outcome Period. As the market price of the applicable Reference ETF and the Structured Outcome ETF’s NAV will change over the Target Outcome Period, an investor acquiring Units of a Structured Outcome ETF after the start of a Target Outcome Period will likely have a different return potential than an investor who purchased Units of a Structured Outcome ETF at the start of the Target Outcome Period. This is because while the cap and, as applicable, the buffer for the Target Outcome Period are fixed levels that remain constant throughout the Target Outcome Period, an investor purchasing Units of a Structured Outcome ETF at market value during the Target Outcome Period likely purchase Units of a Structured Outcome ETF at a market price that is different from the Structured Outcome ETF’s NAV at the start of the Target Outcome Period (i.e., the NAV that the cap and, as applicable, the buffer reference). In addition, the market price of the applicable Reference ETF is likely to be different from the price of that Reference ETF at the start of the Target Outcome Period. To achieve the intended target outcomes sought by a Structured Outcome ETF for a Target Outcome Period, an investor must hold Units of the Structured Outcome ETF for that entire Target Outcome Period.
Commissions, management fees and expenses all may be associated with investments in exchange traded funds. Please read the ETF Facts or prospectus of the BMO ETFs before investing. Exchange traded funds are not guaranteed, their values change frequently, and past performance may not be repeated.
For a summary of the risks of an investment in the BMO ETFs, please see the specific risks set out in the BMO ETF’s prospectus. BMO ETFs trade like stocks, fluctuate in market value and may trade at a discount to their net asset value, which may increase the risk of loss. Distributions are not guaranteed and are subject to change and/or elimination.
BMO ETFs are managed by BMO Asset Management Inc., which is an investment fund manager and a portfolio manager, and a separate legal entity from Bank of Montreal.
“BMO (M-bar roundel symbol)” is a registered trademark of Bank of Montreal, used under licence