Filed Pursuant to Rule 433
Registration Statement No. 333-264388

Bank of Montreal

Market Linked Securities 

  

Market Linked Securities—Leveraged Upside Participation and 1-to-1 Downside Exposure Principal at Risk Securities Linked to the iShares® 20+ Year Treasury Bond ETF due August 23, 2027

Term Sheet to Preliminary Pricing Supplement No. ELN2266 dated February 15, 2024

Summary of Terms 

   Hypothetical Payout Profile***
Issuer : Bank of Montreal  

 

 

***assumes a maximum return equal to the lowest possible upside participation rate that may be determined on the pricing date. 

 

If the ending price is less than the starting price, you will have 1-to-1 downside exposure to the decrease in the price of the Fund from the starting price and will lose some, and possibly all, of the face amount of your securities at maturity. 


On the date of the accompanying preliminary pricing supplement, the estimated initial value of the securities is $928.70 per security. The estimated initial value of the securities on the pricing date may differ from this value but will not be less than $900.00 per security. However, as discussed in more detail in the accompanying preliminary pricing supplement, the actual value of the securities at any time will reflect many factors and cannot be predicted with accuracy. See “Estimated Value of the Securities” in the accompanying preliminary pricing supplement.

 

Preliminary Pricing Supplement:

https://www.sec.gov/Archives/edgar/data/927971/000121465924002959/o214243fwp.htm

 

Market Measure: iShares® 20+ Year Treasury Bond ETF (the "Fund")  
Pricing Date*: February 15, 2024  
Issue Date*: February 21, 2024  
Face Amount and
Original Offering
Price:		 $1,000 per security  
Maturity
Payment Amount
(per security):

·    if the ending price is greater than the starting price:

 

$1,000 + $1,000 × fund return × upside participation rate; or

 

·    if the ending price is less than or equal to the starting price:

 

$1,000 + ($1,000 × fund return)

  
Stated Maturity
Date*:		 August 23, 2027  
Starting Price: The fund closing price (as defined in the product supplement) of the Fund on the pricing date  
Ending Price: The fund closing price of the Fund on the calculation day  
Upside
Participation
Rate:		 At least 145.50% (to be determined on the pricing date)  
Fund Return: (ending price – starting price) / starting price  
Calculation Day*: August 18, 2027  
Calculation
Agent:		 BMO Capital Markets Corp. (“BMOCM”), an affiliate of the issuer  
Denominations: $1,000 and any integral multiple of $1,000  
Agent
Discount**:		 Up to 2.825%; dealers, including those using the trade name Wells Fargo Advisors (“WFA”), may receive a selling concession of up to 2.25% and WFA may receive a distribution expense fee of 0.075%  
CUSIP: 06375MWR2  
Material Tax
Consequences:		 See the preliminary pricing supplement.  

*subject to change

** In addition, selected dealers may receive a fee of up to 0.35% for marketing and other services

 

  

 

 

 

The securities have complex features and investing in the securities involves risks not associated with an investment in conventional debt securities. See “Selected Risk Considerations” in this term sheet and the accompanying preliminary pricing supplement and “Risk Factors” in the accompanying product supplement.

This introductory term sheet does not provide all of the information that an investor should consider prior to making an investment decision.

Investors should carefully review the accompanying preliminary pricing supplement, product supplement, prospectus supplement and prospectus before making a decision to invest in the securities.

NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE FDIC OR ANY OTHER GOVERNMENTAL AGENCY

 

  
 

 

Selected Risk Considerations

 

The risks set forth below are discussed in detail in the “Selected Risk Considerations” section in the accompanying preliminary pricing supplement and the “Risk Factors” section in the accompanying product supplement. Please review those risk disclosures carefully. 

 

Risks Relating To The Terms And Structure Of The Securities

 

·      If The Ending Price Is Less Than The Starting Price, You Will Lose Some, And Possibly Up To 100%, Of The Face Amount Of Your Securities At Maturity.

 

·      The Securities Provide Exposure Solely To The Fund's Price Performance, Which Excludes All Of The Fund's Distributions Of Interest Payments And, Therefore, An Investment In The Securities Involves Different Considerations Than A Direct Investment In The Fund.

 

·      No Periodic Interest Will Be Paid On The Securities.

 

·      The Securities Are Subject To Credit Risk.

 

·      Significant Aspects Of The Tax Treatment Of The Securities Are Uncertain.

 

·      The Stated Maturity Date May Be Postponed If The Calculation Day Is Postponed.

 

Risks Relating To The Estimated Value Of The Securities And Any Secondary Market

 

·      The Estimated Value Of The Securities On The Pricing Date, Based On Our Proprietary Pricing Models, Will Be Less Than The Original Offering Price.

 

·      The Terms Of The Securities Are Not Determined By Reference To The Credit Spreads For Our Conventional Fixed-Rate Debt.

 

·      The Estimated Value Of The Securities Is Not An Indication Of The Price, If Any, At Which WFS Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary Market.

  

·      The Value Of The Securities Prior To Stated Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.

 

·      The Securities Will Not Be Listed On Any Securities Exchange And We Do Not Expect A Trading Market For The Securities To Develop.

 

Risks Relating to the Fund

 

·      An Investment In The Securities Is Subject To Concentration Risks.

 

·      The Value Of The Fund May Be Influenced By Unpredictable Changes In The Markets And Economy Of The U.S.

 

·      The Fund Is Subject To Significant Risks, including Interest Rate Related and Credit-Related Risks.

 

·      The Maturity Payment Amount Will Depend Upon The Performance Of The Fund And Therefore The Securities Are Subject To A Variety of Risks, As Discussed In More Detail In The Accompanying Product Supplement.

 

Risks Relating to Conflicts of Interest

 

·      Our Economic Interests And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To Your Interests.

 

 

 

 

 

 

 

 

The Issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this document relates. Before you invest, you should read the prospectus in that registration statement and the other documents that the Issuer has filed with the SEC for more complete information about us and this offering. You may obtain these documents free of charge by visiting the SEC’s website at http://www.sec.gov. Alternatively, the Issuer will arrange to send to you the prospectus (as supplemented by the prospectus supplement) if you request it by calling the Issuer’s agent toll-free at 1-877-369-5412.

 

Wells Fargo Advisors is a trade name used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers and non-bank affiliates of Wells Fargo & Company.

 

 

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