PRICING SUPPLEMENT No. ELN 2728 dated July 30, 2024
(To Product Supplement No. WF1 dated July 20, 2022,
Prospectus Supplement dated May 26, 2022
and Prospectus dated May 26, 2022) |
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-264388
![](https://www.sec.gov/Archives/edgar/data/927971/000121465924013575/bmologosm.jpg) |
|
Bank of Montreal
Senior
Medium-Term Notes, Series I
Equity Index Linked Securities |
|
Market Linked Securities—Auto-Callable with
Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P
500® Index due August 4, 2027
|
| n | Linked to the S&P 500®
Index (the "Index") |
| n | Unlike ordinary debt securities,
the securities do not pay interest or repay a fixed amount of principal at maturity and are subject to potential automatic call upon the
terms described below. Whether the securities are automatically called for a fixed call premium or, if not automatically called, the maturity
payment amount, will depend, in each case, on the performance of the Index |
| n | Automatic Call. If
the closing level of the Index on the call date occurring approximately one year after issuance is greater than or equal to the starting
level, the securities will be automatically called for the face amount plus a call premium of 7.70% of the face amount |
| n | Maturity Payment Amount.
If the securities are not automatically called, you will receive a maturity payment amount that could be greater than, equal to or less
than the face amount depending on the ending level of the Index as follows: |
n
If the ending level is greater than the starting level, you will receive the
face amount plus a positive return equal to 125% of the percentage increase in the level of the Index from the starting level
n If
the ending level is equal to or less than the starting level but not by more than the buffer amount of 10%, you will receive the
face amount
n
If the ending level is less than the starting level by more than the buffer amount,
you will receive less than the face amount and have 1-to-1 downside exposure to the decrease in the level of the Index in excess of the
buffer amount
| n | Investors may lose up to
90% of the face amount |
| n | If the securities are automatically
called, the positive return on the securities will be limited to the call premium, and you will not participate in any appreciation of
the Index beyond the call premium, which may be significant. If the securities are automatically called, you will no longer have the opportunity
to participate in any appreciation of the Index at the upside participation rate |
| n | All payments on the securities
are subject to the credit risk of Bank of Montreal, and you will have no ability to pursue any securities included in the Index for payment;
if Bank of Montreal defaults on its obligations, you could lose some or all of your investment |
| n | No periodic interest payments
or dividends |
| n | No exchange listing; designed
to be held to maturity or automatic call |
On the date of this pricing supplement, the
estimated initial value of the securities was $960.96 per security. As discussed in more detail in this 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 this pricing supplement.
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"
beginning on page PRS-8 herein and "Risk Factors" beginning on page PS-5 of the accompanying product supplement.
The securities are the unsecured obligations
of Bank of Montreal, and, accordingly, all payments on the securities are subject to the credit risk of Bank of Montreal. If Bank of Montreal
defaults on its obligations, you could lose some or all of your investment. The securities are not insured by the Federal Deposit Insurance
Corporation, the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency.
Neither the Securities and Exchange Commission
nor any state securities commission or other regulatory body has approved or disapproved of these securities or passed upon the accuracy
or adequacy of this pricing supplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Original Offering Price
|
Agent Discount(1)(2)
|
Proceeds to Bank of Montreal
|
Per Security |
$1,000.00 |
$25.75 |
$974.25 |
Total |
$3,705,000 |
$95,403.75 |
$3,609,596.25 |
| (1) | Wells Fargo Securities, LLC is the agent for the distribution of the securities and is acting as principal.
See “Terms of the Securities—Agent” and “Estimated Value of the Securities” in this pricing supplement for
further information. |
| (2) | In respect of certain securities sold in this offering, our affiliate, BMO Capital Markets Corp., may
pay a fee of up to $2.00 per security to selected securities dealers in consideration for marketing and other services in connection with
the distribution of the securities to other securities dealers. |
Wells Fargo Securities
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Issuer: |
Bank of Montreal. |
Market Measure: |
S&P 500® Index (the "Index"). |
Pricing Date: |
July 30, 2024. |
Issue Date: |
August 2, 2024. |
Original Offering
Price: |
$1,000 per security. |
Face Amount: |
$1,000 per security. References in this pricing supplement to a "security" are to a security with a face amount of $1,000. |
Automatic Call: |
If the closing level of the Index on
the call date is greater than or equal to the starting level, the securities will be automatically called, and on the call settlement
date, you will receive the face amount per security plus the call premium.
If the securities are automatically
called, the positive return on the securities will be limited to the call premium, and you will not participate in any appreciation of
the Index beyond the call premium, which may be significant. If the securities are automatically called, you will no longer have the opportunity
to participate in any appreciation of the Index at the upside participation rate.
If the securities are automatically
called, they will cease to be outstanding on the related call settlement date and you will have no further rights under the securities
after such call settlement date. You will not receive any notice from us if the securities are automatically called. |
Call Date: |
August 4, 2025, subject to postponement. |
Call Premium: |
7.70% of the face amount, or $77.00 per $1,000 face amount of the securities |
Call Settlement
Date: |
Three business days after the call date (as the call date may be postponed pursuant to “—Market Disruption Events and Postponement Provisions” below, if applicable). |
Maturity Payment
Amount: |
If the securities are not automatically
called on the call date, then on the stated maturity date, you will be entitled to receive a cash payment per security in U.S. dollars
equal to the maturity payment amount. The "maturity payment amount" per security will equal:
• if
the ending level is greater than the starting level: $1,000 plus:
$1,000 × index return ×
upside participation rate
• if
the ending level is less than or equal to the starting level, but greater than or equal to the threshold level: $1,000; or
• if
the ending level is less than the threshold level:
$1,000 + [$1,000 × (index
return + buffer amount)]
|
If the securities are not automatically called, and the ending level is less than the threshold level, you will have 1-to-1 downside exposure to the decrease in the level of the Index in excess of the buffer amount and will lose some, and possibly up to 90%, of the face amount of your securities at maturity. |
Stated Maturity
Date: |
August 4, 2027, subject to postponement. The securities are not subject to repayment at the option of any holder of the securities prior to the stated maturity date. |
Starting Level: |
5,436.44, the closing level of the Index on the pricing date. |
Closing Level: |
Closing level has the meaning set forth under "General Terms of the Securities—Certain Terms for Securities Linked to an Index—Certain Definitions" in the accompanying product supplement. |
Ending Level: |
The "ending level" will be the closing level of the Index on the final calculation day. |
Threshold Level: |
4,892.796, which is equal to 90% of the starting level. |
Buffer Amount: |
10%. |
Upside
Participation Rate: |
125%. |
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Index Return: |
The "index return" is
the percentage change from the starting level to the ending level, measured as follows:
ending level – starting
level
starting level |
Final Calculation
Day: |
July 30, 2027, subject to postponement. |
Market Disruption
Events and
Postponement
Provisions: |
The call date and the final calculation
day are subject to postponement due to non-trading days and the occurrence of a market disruption event. In addition, the call payment
date and the stated maturity date will be postponed if the call date or the final calculation day, as applicable, is postponed, and will
be adjusted for non-business days.
For more information regarding adjustments
to the call date, the final calculation day, the call settlement date, and the stated maturity date, see "General Terms of the Securities—Consequences
of a Market Disruption Event; Postponement of a Calculation Day—Securities Linked to a Single Market Measure" and "—Payment
Dates" in the accompanying product supplement. For purposes of the product supplement, each of the call date and the final calculation
day is a "calculation day," and the call settlement date and the stated maturity date is a "payment date." In addition,
for information regarding the circumstances that may result in a market disruption event, see "General Terms of the Securities—Certain
Terms for Securities Linked to an Index—Market Disruption Events" in the accompanying product supplement. |
Calculation Agent: |
BMO Capital Markets Corp. ("BMOCM"). |
Material Tax
Consequences: |
For a discussion of the material U.S. federal income and certain estate tax consequences and the Canadian federal income tax consequences of the ownership and disposition of the securities, see “United States Federal Tax Considerations" below, and the sections of the product supplement entitled "United States Federal Tax Considerations" and "Canadian Federal Income Tax Consequences." |
Agent: |
Wells Fargo Securities, LLC (“WFS”)
is the agent for the distribution of the securities. The agent will receive an agent discount of $25.75 per security. The agent may resell
the securities to other securities dealers at the original offering price of the securities less a concession not in excess of $20.00
per security. Such securities dealers may include Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage
business of WFS’s affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC). In addition to
the concession allowed to WFA, WFS will pay $0.75 per security of the agent discount that it receives to WFA as a distribution expense
fee for each security sold by WFA.
In addition, in respect of certain
securities sold in this offering, BMOCM may pay a fee of up to $2.00 per security to selected securities dealers in consideration for
marketing and other services in connection with the distribution of the securities to other securities dealers.
WFS, BMOCM and/or one or more of
their respective affiliates expects to realize hedging profits projected by their proprietary pricing models to the extent they assume
the risks inherent in hedging our obligations under the securities. If WFS or any other dealer participating in the distribution of the
securities or any of their affiliates conduct hedging activities for us in connection with the securities, that dealer or its affiliates
will expect to realize a profit projected by its proprietary pricing models from those hedging activities. Any such projected profit
will be in addition to any discount, concession or fee received in connection with the sale of the securities to you. |
Denominations: |
$1,000 and any integral multiple of $1,000. |
CUSIP: |
06376AXU9 |
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Additional Information About the Issuer and the Securities |
You should read this pricing supplement together
with product supplement No. WF1 dated July 20, 2022, the prospectus supplement dated May 26, 2022 and the prospectus dated May 26, 2022
for additional information about the securities. Information included in this pricing supplement supersedes information in the product
supplement, prospectus supplement and prospectus to the extent it is different from that information. Certain defined terms used but not
defined herein have the meanings set forth in the product supplement, prospectus supplement or prospectus.
Our Central Index Key, or CIK, on the SEC website
is 927971. When we refer to “we,” “us” or “our” in this pricing supplement, we
refer only to Bank of Montreal.
You may access the product supplement, prospectus
supplement and prospectus on the SEC website www.sec.gov as follows (or if that address has changed, by reviewing our filing for the relevant
date on the SEC website):
| • | Product Supplement No. WF1 dated July 20, 2022: |
https://www.sec.gov/Archives/edgar/data/927971/000121465922009020/r715220424b5.htm
| • | Prospectus Supplement and prospectus dated May 26, 2022: |
https://www.sec.gov/Archives/edgar/data/927971/000119312522160519/d269549d424b5.htm
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Estimated Value of the Securities |
Our estimated initial value of the securities on
the pricing date that is set forth on the cover page of this pricing supplement, equals the sum of the values of the following hypothetical
components:
| · | a fixed-income debt component with the same tenor as the securities, valued using our internal funding
rate for structured notes; and |
| · | one or more derivative transactions relating to the economic terms of the securities. |
The internal funding rate used in the determination
of the initial estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The value
of these derivative transactions is derived from our internal pricing models. These models are based on factors such as the traded market
prices of comparable derivative instruments and on other inputs, which include volatility, dividend rates, interest rates and other factors.
As a result, the estimated initial value of the securities on the pricing date was determined based on market conditions at that time.
For more information about the estimated initial
value of the securities, see “Risk Factors” below.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
The securities are not appropriate for all investors.
The securities may be an appropriate investment for investors who:
| § | seek a fixed return equal to the call premium
if the securities are automatically called on the call date; |
| § | understand that the securities may be automatically
called prior to the stated maturity and that the term of the securities may be as short as approximately one year; |
| § | seek 125% leveraged exposure to the upside performance
of the Index if the securities are not automatically called and the ending level is greater than the starting level; |
| § | desire to limit downside exposure to the Index
through the buffer amount; |
| § | are willing to accept the risk that, if the securities
are not automatically called and the ending level is less than the starting level by more than the buffer amount, they will lose some,
and possibly up to 90%, of the face amount per security at maturity; |
| § | are willing to forgo interest payments on the
securities and dividends on the securities included in the Index; and |
| § | are willing to hold the securities until maturity
or automatic call. |
The securities may not be an appropriate investment
for investors who:
| § | seek a liquid investment or are unable or unwilling
to hold the securities to maturity or automatic call; |
| § | seek a security with a fixed term; |
| § | are unwilling to accept the risk that the securities
will not be automatically called and the ending level of the Index may decrease from the starting level by more than the buffer amount; |
| § | seek full return of the face amount of the securities
at stated maturity; |
| § | are unwilling to purchase securities with an
estimated value as of the pricing date that is lower than the original offering price, as set forth on the cover page; |
| § | seek current income over the term of the securities; |
| § | are unwilling to accept the risk of exposure
to the Index; |
| § | seek exposure to the Index but are unwilling
to accept the risk/return trade-offs inherent in the maturity payment amount for the securities; |
| § | are unwilling to accept the credit risk of Bank
of Montreal to obtain exposure to the Index generally, or to the exposure to the Index that the securities provide specifically; or |
| § | prefer the lower risk of fixed income investments
with comparable maturities issued by companies with comparable credit ratings. |
The considerations identified above are not
exhaustive. Whether or not the securities are an appropriate investment for you will depend on your individual circumstances, and you
should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered
the appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully the
"Selected Risk Considerations" herein and the "Risk Factors" in the accompanying product supplement for risks related
to an investment in the securities. For more information about the Index, please see the section titled "The S&P 500®
Index" below.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Determining Timing and Amount of Payment on the Securities |
Whether the securities are automatically called on the call date for
the call premium will each be determined based on the closing level of the Index on the call date as follows:
![](https://www.sec.gov/Archives/edgar/data/927971/000121465924013575/prs7a_chart.jpg)
If the securities have not been automatically called, then on the stated
maturity date, you will receive a cash payment per security (the maturity payment amount) calculated as follows:
![](https://www.sec.gov/Archives/edgar/data/927971/000121465924013575/prs7b_chart.jpg)
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Selected Risk Considerations |
The securities have complex features and investing
in the securities will involve risks not associated with an investment in conventional debt securities. Some of the risks that apply to
an investment in the securities are summarized below, but we urge you to read the more detailed explanation of the risks relating to the
securities generally in the "Risk Factors" section of the accompanying product supplement. You should reach an investment decision
only after you have carefully considered with your advisors the appropriateness of an investment in the securities in light of your particular
circumstances.
Risks Relating To The Terms And Structure
Of The Securities
If The Securities Are Not Automatically Called
And The Ending Level Is Less Than The Threshold Level, You Will Lose Some, And Possibly Up To 90%, Of The Face Amount Of Your Securities
At Maturity.
If the securities are not automatically called,
we will not repay you a fixed amount on the securities on the stated maturity date. The maturity payment amount will depend on the direction
of and percentage change in the ending level of the Index relative to the starting level and the other terms of the securities. Because
the level of the Index will be subject to market fluctuations, the maturity payment amount may be more or less, and possibly significantly
less, than the face amount of your securities.
If the securities are not automatically called
and the ending level is less than the threshold level, the maturity payment amount will be less than the face amount and you will have
1-to-1 downside exposure to the decrease in the level of the Index in excess of the buffer amount, resulting in a loss of 1% of the face
amount for every 1% decline in the Index in excess of the buffer amount. The threshold level is 90% of the starting level. As a result,
if the ending level is less than the threshold level, you will lose some, and possibly up to 90%, of the face amount per security at maturity.
This is the case even if the level of the Index is greater than or equal to the starting level or the threshold level at certain times
during the term of the securities.
If the securities are not automatically called,
even if the ending level is greater than the starting level, the maturity payment amount may only be slightly greater than the face amount,
and your yield on the securities may be less than the yield you would earn if you bought a traditional interest-bearing debt security
of Bank of Montreal or another issuer with a similar credit rating with the same stated maturity date.
No Periodic Interest Will Be Paid On The Securities.
No periodic payments of interest will be made on
the securities. However, if the agreed-upon tax treatment is successfully challenged by the Internal Revenue Service (the "IRS"),
you may be required to recognize taxable income over the term of the securities. You should review the section of this pricing supplement
entitled "United States Federal Tax Considerations."
If The Securities Are Automatically Called,
Your Return Will Be Limited to the Call Premium.
If the securities are automatically called, the
positive return on the securities will be limited to the call premium, and you will not participate in any appreciation of the Index beyond
the call premium, which may be significant. Accordingly, if the securities are automatically called, the return on the securities may
be less than the return in a direct investment in the securities represented by the Index. If the securities are automatically called,
you will no longer have the opportunity to participate in any appreciation of the Index at the upside participation rate.
You Will Be Subject To Reinvestment Risk.
If your securities are automatically called, the
term of the securities may be reduced to as short as approximately one year. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the securities at a comparable return for a similar level of risk in the event the securities are automatically
called prior to maturity.
The Securities Are Subject To Credit Risk.
The securities are our obligations and are not,
either directly or indirectly, an obligation of any third party. Any amounts payable under the securities are subject to our creditworthiness
and you will have no ability to pursue any securities included in the Index for payment. As a result, our actual and perceived creditworthiness
may affect the value of the securities and, in the event we were to default on our obligations under the securities, you may not receive
any amounts owed to you under the terms of the securities.
Significant Aspects Of The Tax Treatment Of
The Securities Are Uncertain.
The tax treatment of the securities is uncertain.
We do not plan to request a ruling from the IRS or from the Canada Revenue Agency regarding the tax treatment of the securities, and the
IRS, the Canada Revenue Agency or a court may not agree with the tax treatment described in this pricing supplement and/or the accompanying
product supplement.
The IRS has issued a notice indicating that it
and the U.S. 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 securities even though that holder will not receive any payments with respect to the securities
until maturity or earlier sale or exchange and whether all or part of the gain a holder may recognize upon sale, exchange or maturity
of an instrument such as the securities should be treated as ordinary income. The outcome of this process is uncertain and could apply
on a retroactive basis.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Please read carefully the section entitled “United
States Federal Tax Considerations” in this pricing supplement, the section entitled “United States Federal Income Taxation”
in the accompanying prospectus and the section entitled “United States Federal Tax Considerations” in the accompanying product
supplement. You should consult your tax advisor about your own tax situation.
For a discussion of the Canadian federal income
tax consequences of investing in the securities, please read the section entitled “Certain Income Tax Consequences — Certain
Canadian Income Tax Considerations” in the accompanying prospectus supplement. You should consult your tax advisor about your own
tax situation.
The Call Settlement Date Or The Stated Maturity
Date May Be Postponed If The Call Date Or The Final Calculation Day Is Postponed.
The call date or the final calculation day will
be postponed if the originally scheduled call date or final calculation day is not a trading day or if the calculation agent determines
that a market disruption event has occurred or is continuing on that day. If such a postponement occurs with respect to the call date,
then the call settlement date will be postponed. If such a postponement occurs with respect to the final calculation day, the stated maturity
date will be the later of (i) the initial stated maturity date and (ii) three business days after the final calculation day as 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, Is Less Than The Original Offering Price.
Our initial estimated value of the securities is
only an estimate, and is based on a number of factors. The original offering price of the securities exceeds our initial estimated value,
because costs associated with offering, structuring and hedging the securities are included in the original offering price, but are not
included in the estimated value. These costs include the agent discount and selling concessions, the profits that we and our affiliates
and/or the agent and its affiliates expect to realize for assuming the risks in hedging our obligations under the securities, and the
estimated cost of hedging these obligations.
The Terms Of The Securities Were Not Determined
By Reference To The Credit Spreads For Our Conventional Fixed-Rate Debt.
To determine the terms of the securities, we used
an internal funding rate that represents a discount from the credit spreads for our conventional fixed-rate debt. As a result, the terms
of the securities are less favorable to you than if we had used a higher funding rate.
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.
Our initial estimated value of the securities as
of the date of this pricing supplement was derived using our internal pricing models. This value is based on market conditions and other
relevant factors, which include volatility of the Index, dividend rates and interest rates. Different pricing models and assumptions,
including those used by the agent, its affiliates or other market participants, could provide values for the securities that are greater
than or less than our initial estimated value. In addition, market conditions and other relevant factors after the pricing date are expected
to change, possibly rapidly, and our assumptions may prove to be incorrect. After the pricing date, the value of the securities could
change dramatically due to changes in market conditions, our creditworthiness, and the other factors set forth in this pricing supplement.
These changes are likely to impact the price, if any, at which WFS or its affiliates or any other party (including us or our affiliates)
would be willing to purchase the securities from you in any secondary market transactions. Our initial estimated value does not represent
a minimum price at which WFS or any other party (including us or our affiliates) would be willing to buy your securities in any secondary
market at any time.
WFS has advised us that if it, WFA or any of their
affiliates makes a secondary market in the securities at any time, the secondary market price offered by it, WFA or any of their affiliates
will be affected by changes in market conditions and other factors described in the next risk factor. WFS has advised us that if it, WFA
or any of their affiliates makes a secondary market in the securities at any time up to the issue date or during the 3-month period following
the issue date, the secondary market price offered by it, WFA or any of its affiliates will be increased by an amount reflecting a portion
of the costs associated with selling, structuring and hedging the securities that are included in their original offering price. Because
this portion of the costs is not fully deducted upon issuance, WFS has advised us that any secondary market price it, WFA or any of their
affiliates offers during this period will be higher than it otherwise would be after this period, as any secondary market price offered
after this period will reflect the full deduction of the costs as described above. WFS has advised us that the amount of this increase
in the secondary market price will decline steadily to zero over this 3-month period. WFS has advised us that, if you hold the securities
through an account with WFS, WFA or any of their affiliates, WFS expects that this increase will also be reflected in the value indicated
for the securities on your brokerage account statement. If you hold your securities through an account at a broker-dealer other than WFS,
WFA or any of their affiliates, the value of the securities on your brokerage account statement may be different than if you held your
securities at WFS, WFA or any of their affiliates.
The Value Of The Securities Prior To Stated
Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
The value of the securities prior to stated maturity
will be affected by the then-current level of the Index, interest rates at that time and a number of other factors, some of which are
interrelated in complex ways. The effect of any one factor may be offset or magnified by the effect of another factor. The following factors,
which we refer to as the “derivative component factors,” and which are described in more detail in the accompanying
product supplement, are expected to affect the value of the securities: performance of the Index; interest rates; volatility of the Index;
time remaining to maturity; and dividend yields on securities included in the Index. When we refer to the “value” of
your security, we mean the value you could receive for your security if you are able to sell it in the open market before the stated maturity
date.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
In addition to the derivative component factors,
the value of the securities will be affected by actual or anticipated changes in our creditworthiness. The value of the securities will
also be limited by the automatic call feature because if the securities are automatically called, your return will be limited to the call
premium, and you will not receive the potentially higher payment that may have been paid if you had held the securities until the stated
maturity date. You should understand that the impact of one of the factors specified above, such as a change in interest rates, may offset
some or all of any change in the value of the securities attributable to another factor, such as a change in the level of the Index. Because
numerous factors are expected to affect the value of the securities, changes in the level of the Index may not result in a comparable
change in the value of the securities.
The Securities Will Not Be Listed On Any Securities
Exchange And We Do Not Expect A Trading Market For The Securities To Develop.
The securities will not be listed or displayed
on any securities exchange or any automated quotation system. Although the agent and/or its affiliates may purchase the securities from
holders, they are not obligated to do so and are not required to make a market for the securities. There can be no assurance that a secondary
market will develop. Because we do not expect that any market makers will participate in a secondary market for the securities, the price
at which you may be able to sell your securities is likely to depend on the price, if any, at which the agent is willing to buy your securities.
If a secondary market does exist, it may be limited.
Accordingly, there may be a limited number of buyers if you decide to sell your securities prior to stated maturity. This may affect the
price you receive upon such sale. Consequently, you should be willing to hold the securities to stated maturity.
Risks Relating To The Index
Whether The Securities Will Be Automatically
Called And The Maturity Payment Amount Will Depend Upon The Performance Of The Index And Therefore The Securities Are Subject To The Following
Risks, Each As Discussed In More Detail In The Accompanying Product Supplement.
| · | Investing In The Securities Is Not The Same
As Investing In The Index. Investing in the securities is not equivalent to investing in the Index. As an investor in the securities,
your return will not reflect the return you would realize if you actually owned and held the securities included in the Index for a period
similar to the term of the securities because you will not receive any dividend payments, distributions or any other payments paid on
those securities. As a holder of the securities, you will not have any voting rights or any other rights that holders of the securities
included in the Index would have. |
| · | Historical Levels Of The Index Should Not
Be Taken As An Indication Of The Future Performance Of The Index During The Term Of The Securities. |
| · | Changes That Affect The Index May Adversely
Affect The Value Of The Securities, Whether They Will Be Automatically Called And The Maturity Payment Amount. |
| · | We Cannot Control Actions By Any Of The Unaffiliated
Companies Whose Securities Are Included In The Index. |
| · | We And Our Affiliates Have No Affiliation
With The Index Sponsor And Have Not Independently Verified Its Public Disclosure Of Information. |
Risks Relating To Conflicts Of Interest
Our Economic Interests And Those Of Any Dealer
Participating In The Offering Are Potentially Adverse To Your Interests.
You should be aware of the following ways in which
our economic interests and those of any dealer participating in the distribution of the securities, which we refer to as a "participating
dealer," are potentially adverse to your interests as an investor in the securities. In engaging in certain of the activities
described below and as discussed in more detail in the accompanying product supplement, our affiliates or any participating dealer or
its affiliates may take actions that may adversely affect the value of and your return on the securities, and in so doing they will have
no obligation to consider your interests as an investor in the securities. Our affiliates or any participating dealer or its affiliates
may realize a profit from these activities even if investors do not receive a favorable investment return on the securities.
| · | The calculation agent is our affiliate
and may be required to make discretionary judgments that affect the return you receive on the securities. BMOCM, which is our
affiliate, will be the calculation agent for the securities. As calculation agent, BMOCM will determine any values of the Index and make
any other determinations necessary to calculate any payments on the securities. In making these determinations, BMOCM may be required
to make discretionary judgments that may adversely affect any payments on the securities. See the sections entitled "General Terms
of the Securities— Certain Terms for Securities Linked to an Index—Market Disruption Events,"—Adjustments to an
Index" and "—Discontinuance of an Index" in the accompanying product supplement. In making these discretionary judgments,
the fact that BMOCM is our affiliate may cause it to have economic interests that are adverse to your interests as an investor in the
securities, and our determinations as calculation agent may adversely affect your return on the securities. |
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
| · | The estimated value of the securities was
calculated by us and is therefore not an independent third-party valuation. |
| · | Research reports by our affiliates or any
participating dealer or its affiliates may be inconsistent with an investment in the securities and may adversely affect the level of
the Index. |
| · | Business activities of our affiliates or
any participating dealer or its affiliates with the companies whose securities are included in the Index may adversely affect the level
of the Index. |
| · | Hedging activities by our affiliates or
any participating dealer or its affiliates may adversely affect the level of the Index. |
| · | Trading activities by our affiliates or
any participating dealer or its affiliates may adversely affect the level of the Index. |
| · | A participating dealer or its affiliates
may realize hedging profits projected by its proprietary pricing models in addition to any selling concession and/or fee, creating a further
incentive for the participating dealer to sell the securities to you. |
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Hypothetical Examples and Returns |
The payout profile, return table and examples below
illustrate hypothetical payments upon an automatic call or at stated maturity for a $1,000 face amount security on a hypothetical offering
of securities under various scenarios, with the assumptions set forth in the table below. The terms used for purposes of these hypothetical
examples do not represent the actual starting level or threshold level. The hypothetical starting level of 100.00 has been chosen for
illustrative purposes only and does not represent the actual starting level. The actual starting level and threshold are set forth under
"Terms of the Securities" above. For historical data regarding the actual closing levels of the Index, see the historical information
set forth herein. The payout profile, return table and examples below assume that an investor purchases the securities for $1,000 per
security. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
Call Premium: |
7.70% of the face amount |
Upside Participation Rate: |
125% |
Hypothetical Starting Level: |
100.00 |
Hypothetical Threshold Level: |
90.00 (90.00% of the hypothetical starting level) |
Buffer Amount: |
10% |
Hypothetical Payout Profile
![](https://www.sec.gov/Archives/edgar/data/927971/000121465924013575/prs12_chart.jpg)
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Hypothetical Returns
If the securities are automatically called:
If the securities are automatically called prior
to stated maturity, you will receive the face amount of your securities plus the call premium, resulting in a pre-tax total rate of return
of 7.70%.
If the securities are not automatically called:
Hypothetical
ending level |
Hypothetical
index return(1) |
Hypothetical
maturity payment
amount per security |
Hypothetical
pre-tax total
rate of return(2) |
200.00 |
100.00% |
$2,250.00 |
125.00% |
175.00 |
75.00% |
$1,937.50 |
93.75% |
150.00 |
50.00% |
$1,625.00 |
62.50% |
140.00 |
40.00% |
$1,500.00 |
50.00% |
130.00 |
30.00% |
$1,375.00 |
37.50% |
120.00 |
20.00% |
$1,250.00 |
25.00% |
110.00 |
10.00% |
$1,125.00 |
12.50% |
105.00 |
5.00% |
$1,062.50 |
6.25% |
100.00 |
0.00% |
$1,000.00 |
0.00% |
95.00 |
-5.00% |
$1,000.00 |
0.00% |
90.00 |
-10.00% |
$1,000.00 |
0.00% |
89.00 |
-11.00% |
$990.00 |
-1.00% |
75.00 |
-25.00% |
$850.00 |
-15.00% |
50.00 |
-50.00% |
$600.00 |
-40.00% |
25.00 |
-75.00% |
$350.00 |
-65.00% |
0.00 |
-100.00% |
$100.00 |
-90.00% |
| (1) | The index return is equal to the percentage change from the starting level to the ending level (i.e.,
the ending level minus starting level, divided by starting level). |
| (2) | The hypothetical pre-tax total rate of return is the number, expressed as a percentage, that results from
comparing the maturity payment amount per security to the face amount of $1,000. |
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Hypothetical Examples Of Payment Upon An Automatic
Call Or At Stated Maturity
Example 1. The closing level of the Index
on the call date is greater than the starting level, and the securities are automatically called on the call date:
|
The Index |
Hypothetical starting level: |
100.00 |
Hypothetical closing level on call date: |
125.00 |
Because the hypothetical closing level
of the Index on the call date is greater than the hypothetical starting level, the securities are automatically called on the call date
and you will receive on the call settlement date the face amount of your securities plus a call premium of 7.70% of the face amount. Even
though the Index appreciated by 25.00% from its starting level to its closing level on the call date in this example, your return is limited
to the call premium of 7.70%.
On the call settlement date, you would
receive $1,077.00 per security.
Example 2. The securities are not automatically
called. The maturity payment amount is greater than the face amount:
|
The Index |
Hypothetical starting level: |
100.00 |
Hypothetical closing level on the call date: |
75.00 |
Hypothetical ending level: |
110.00 |
Hypothetical threshold level: |
90.00 |
Hypothetical index return
(ending level – starting level)/starting level: |
10.00% |
Because the hypothetical closing level
of the Index on the call date is less than the hypothetical starting level, the securities are not automatically called. Because the hypothetical
ending level is greater than the hypothetical starting level, the maturity payment amount per security would be equal to the face amount
of $1,000 plus a positive return equal to:
$1,000 × index return × upside
participation rate
$1,000 × 10.00% × 125.00%
= $125.00
On the stated maturity date you would receive
$1,125.00 per security.
Example 3. The securities are not automatically
called. Maturity payment amount is equal to the face amount:
|
The Index |
Hypothetical starting level: |
100.00 |
Hypothetical closing level on the call date: |
75.00 |
Hypothetical ending level: |
95.00 |
Hypothetical threshold level: |
90.00 |
Hypothetical index return
(ending level – starting level)/starting level: |
-5.00% |
Because the hypothetical closing level
of the Index on the call date is less than the hypothetical starting level, the securities are not automatically called. Because the hypothetical
ending level is less than the hypothetical starting level, but not by more than the buffer amount, you would not lose any of the face
amount of your securities.
On the stated maturity date you would receive $1,000.00
per security.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Example 4. The securities are not automatically
called. Maturity payment amount is less than the face amount:
|
The Index |
Hypothetical starting level: |
100.00 |
Hypothetical closing level on the call date: |
75.00 |
Hypothetical ending level: |
50.00 |
Hypothetical threshold level: |
90.00 |
Hypothetical index return
(ending level – starting level)/starting level: |
-50.00% |
Because the hypothetical closing level
of the Index on the call date is less than the hypothetical starting level, the securities are not automatically called. Because the hypothetical
ending level is less than the hypothetical starting level by more than the buffer amount, you would lose a portion of the face amount
of your securities and receive the maturity payment amount equal to:
$1,000 + [$1,000
× (index return + buffer amount)]
$1,000 + [$1,000
× (-50.00% + 10%)]
= $600.00
On the stated maturity date you would receive $600.00
per security.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
The S&P 500® Index is an equity
index that is intended to provide an indication of the pattern of common stock price movement in the large capitalization segment of the
United States equity market.
In addition, information about the S&P 500®
Index may be obtained from other sources including, but not limited to, the S&P 500® Index sponsor’s website
(including information regarding the S&P 500® Index’s sector weightings). We are not incorporating by reference
into this pricing supplement the website or any material it includes. Neither we nor the agent makes any representation that such publicly
available information regarding the S&P 500® Index is accurate or complete.
Historical Information
We obtained the closing levels of the S&P 500®
Index in the graph below from Bloomberg Finance L.P., without independent verification.
The following graph sets forth daily closing levels
of the S&P 500® Index for the period from January 1, 2019 to July 30, 2024. The closing level on July 30, 2024 was
5,436.44. The historical performance of the S&P 500® Index should not be taken as an indication of the future performance
of the S&P 500® Index during the term of the securities.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
The S&P 500® Index ("SPX")
The SPX measures the performance of the large-cap
segment of the U.S. market. The calculation of the level of the SPX is based on the relative value of the aggregate market value of the
common stocks of 500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar
companies during the base period of the years 1941 through 1943.
S&P calculates the SPX by reference to the
prices of the constituent stocks of the SPX without taking account of the value of dividends paid on those stocks. As a result, the return
on the securities will not reflect the return you would realize if you actually owned the SPX constituent stocks and received the dividends
paid on those stocks.
Additional information regarding the SPX may be
obtained from the SPX website: https://www.spglobal.com/spdji/en/indices/equity/sp-500/. We are not incorporating by reference the website
or any material it includes in this document.
Eligibility Criteria
Stocks must meet the following eligibility factors
to be considered eligible for the SPX:
Domicile. The issuer of the security must
be a U.S.-domiciled company. The incorporation and/or registration, operational headquarters location and primary stock exchange listing
are the principal factors determining country of domicile. Other factors considered include the geographic breakdown of revenue and assets,
ownership information, location of officers, directors and employees, investor perception and other factors deemed to be relevant by the
Index Committee. All final domicile determinations are subject to review by the Index Committee.
Security Filing Type. The company issuing
the security satisfies the Securities Exchange Act's periodic reporting obligations by filing certain required forms for domestic issuers,
such as but not limited to: Form 10-K annual reports, Form 10-Q quarterly reports and Form 8-K current reports.
Exchange Listing. The security must have
a primary listing on one of the following U.S. exchanges: NYSE; Nasdaq Capital Market; NYSE Arca; Cboe BZX; NYSE American; Cboe BYX; Nasdaq
Global Select Market; Cboe EDGA; Nasdaq Global Market; and Cboe EDGX. Over-the-counter (OTC) markets including Pink Open Market, do not
satisfy this criterion.
Organizational Structure and Share Type.
The issuer of the security must be a corporation (including equity and mortgage REITs) and the security must be common stock (i.e., shares).
The following organizational structures and share types do not satisfy this criterion: business development companies; preferred stock;
limited partnerships; convertible preferred stock; master limited partnerships; unit trusts; limited liability companies; equity warrants;
closed-end funds; convertible bonds; exchange-traded funds; investment trusts; exchange-traded notes; rights; royalty trusts; American
depositary receipts; and special purpose acquisition companies.
Tracking Stocks. Tracking stocks are not
eligible for inclusion.
Multiple Share Classes. Effective with the
September 2015 rebalance, consolidated share class lines will no longer be included in the SPX. Each share class line will be subject
to public float and liquidity criteria individually, but the company’s total market capitalization will be used to evaluate each
share class line. This may result in one listed share class line of a company being included in the SPX while a second listed share class
line of the same company is excluded.
Market Capitalization. In order for a security
to be eligible, the issuer of the security must have a total market capitalization of $18 billion or more.
Investable Weight Factor (IWF). A security
must have an IWF of at least 0.10 as of the rebalancing effective date. The IWF is calculated by dividing the available float shares by
the total shares outstanding. Available float shares are defined as the total shares outstanding less shares held by control holders (i.e.,
shareholder who purchase shares for control and not investment). Control holders generally include, but are not limited to: officers and
directors; private equity, venture capital and special equity firms; asset managers and insurance companies with direct board of director
representation; shares held by another publicly traded company; holders of restricted shares; company-sponsored employee share plans/trusts,
defined contribution plans/savings and investment plans; foundations or family trusts associated with the company; government entities
at all levels except government retirement/pension funds; sovereign wealth funds; and any individual person listed as a 5% or greater
stakeholder in a company as reported in regulatory filings (a 5% threshold is used as detailed information on holders and their relationship
to the company is generally not available for holders below that threshold). In addition, treasury stock, stock options, equity participation
units, warrants, preferred stock, convertible stock and rights are not part of the float. In most cases, an IWF is reported to the nearest
one percentage point. This calculation is subject to a 5% minimum threshold for control blocks. For example, if a company’s officers
and directors hold 3% of the company’s shares and no other control group holds 5% of the company’s shares, the index sponsor
would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However, if a company’s officers and directors
hold 3% of the company’s shares and another control group holds 20% of the company’s shares, the index sponsor would assign
an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are considered to be held for control.
Liquidity. The security must trade a minimum
of 250,000 shares in each of the six months leading up to the evaluation date and have a float-adjusted liquidity ratio (defined as the
annual dollar value traded divided by the float-adjusted market capitalization) greater than or equal to 0.75 at the time of addition
to the SPX. Current constituents have no minimum requirement.
Financial Viability. The sum of the most
recent four consecutive quarters’ Generally Accepted Accounting Principles (GAAP) earnings (net income excluding discontinued operations)
should be positive, as should the most recent quarter. For equity real estate investment trusts (REITs), financial viability is based
on GAAP earnings and/or Funds From Operations (FFO), if reported. For IPOs, the company must be traded on an eligible exchange for at
least twelve months (for former SPACs, the index sponsor considers the de-SPAC transaction to be an event equivalent to an IPO, and twelve
months of trading post the de-SPAC event are required before a former SPAC can be considered for inclusion in the SPX. Spin-offs or in-specie
distributions from existing constituents do not need to be traded on an eligible exchange for twelve months prior to their inclusion in
the SPX).
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Index Construction
Index constituents are selected from the S&P
Total Market Index, which measures the performance of the broad U.S. market and includes all eligible U.S. common equities. Constituent
selection is at the discretion of the Index Committee and is based on the eligibility criteria. The SPX has a fixed constituent count
of 500. Sector balance, as measured by a comparison of each Global Industry Classification Standard (GICS®) sector’s
weight in the SPX with its weight in the S&P Total Market Index, in the relevant market capitalization range, is also considered in
the selection of companies for the SPX.
The SPX is weighted by float-adjusted market capitalization.
Under float adjustment, the share counts used in calculating the SPX reflect only those shares that are available to investors, not all
of a company’s outstanding shares. Float adjustment excludes shares that are closely held by control holders.
Index Calculation
The SPX is calculated using a base-weighted aggregate
methodology. The level of the SPX reflects the total market value of all 500 component stocks relative to the base period of the years
1941 through 1943. An indexed number is used to represent the results of this calculation in order to make the level easier to use and
track over time. The actual total market value of the component stocks during the base period of the years 1941 through 1943 has been
set to an indexed level of 10. This is often indicated by the notation 1941-43 = 10. In practice, the daily calculation of the SPX is
computed by dividing the total market value of the component stocks by the “index divisor.” By itself, the index divisor is
an arbitrary number. However, in the context of the calculation of the SPX, it serves as a link to the original base period level of the
SPX. The index divisor keeps the SPX comparable over time and is the manipulation point for all adjustments to the SPX, which is explained
further in the section "Index Maintenance" below.
Index Maintenance
Changes to index composition are made on an as-needed
basis. There is no scheduled reconstitution. Rather, changes in response to corporate actions and market developments can be made at any
time. Index additions and deletions are announced with at least three business days advance notice. Less than three business days’
notice may be given at the discretion of the Index Committee.
Index maintenance includes monitoring and completing
the adjustments for company additions and deletions, share changes, stock splits, stock dividends and stock price adjustments due to company
restructuring or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares outstanding
and the stock prices of the companies in the SPX and do not require index divisor adjustments.
To prevent the level of the SPX from changing due
to corporate actions, corporate actions which affect the total market value of the SPX require an index divisor adjustment. By adjusting
the index divisor for the change in market value, the level of the SPX remains constant and does not reflect the corporate actions of
individual companies in the SPX. Index divisor adjustments are made after the close of trading and after the calculation of the SPX closing
level.
Share counts are updated to the latest publicly
available filings on a quarterly basis. IWF changes will only be made at the quarterly review if the change represents at least 5% of
total current shares outstanding and is related to a single corporate action that did not qualify for the accelerated implementation rule,
regardless of whether there is an associated share change. Certain mandatory actions, such as M&A driven share/IWF changes, stock
splits and mandatory distributions, are implemented when they occur and not subject to a minimum threshold for implementation. Material
share/IWF changes resulting from certain non-mandatory corporate actions follow the accelerated implementation rule.
Accelerated Implementation Rule
Public offerings. Public offerings of new
company-issued shares and/or existing shares offered by selling shareholders, including block sales and spot secondaries, will be eligible
for accelerated implementation treatment if the size of the event meets the materiality threshold criteria: (a) at least $150 million
and (b) at least 5% of the pre-event total shares. In addition to the materiality threshold, public offerings must be underwritten, have
a publicly available prospectus, offering document, or prospectus summary filed with the relevant authorities and have a publicly available
confirmation from an official source that the offering has been completed. For public offerings that involve a concurrent combination
of new company shares and existing shares offered by selling shareholders, both events are implemented if either of the public offerings
represent at least 5% of total shares and US $150 million. Any concurrent share repurchase by the affected company will also be included
in the implementation.
Dutch Auctions, Self-tender Offer Buybacks and
Split-off Exchange Offers. These non-mandatory corporate action types will be eligible for accelerated implementation treatment regardless
of size once the final results are publicly announced and verified by S&P Dow Jones Indices LLC (the "index sponsor").
For non-mandatory corporate actions subject to
the accelerated implementation rule with a size of at least $1 billion, the index sponsor will apply the share change, and any resulting
IWF change, using the latest share and ownership information publicly available at the time of the announcement, even if the offering
size is below the 5% threshold.
All non-mandatory events not covered by the accelerated
implementation rule (including but not limited to private placements, acquisition of private companies and conversion of non-index share
lines) will be implemented quarterly coinciding with the third Friday of the third month in each calendar quarter.
Accelerated implementation for events less than
$1 billion will include an adjustment to the company’s IWF only to the extent that such an IWF change helps the new float share
total mimic the shares available in the offering. To minimize unnecessary turnover, these IWF changes do not need to meet any minimum
threshold requirement for implementation. Any IWF change resulting in an IWF of 0.96 or greater is rounded up to 1.00 at the next annual
IWF review.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Index Governance
In addition to its daily governance of the SPX,
at least once within any 12-month period, the Index Committee reviews its methodology to ensure the SPX continues to achieve its stated
objectives and that the data and methodology remain effective. In certain instances, S&P Dow Jones Indices may publish a consultation
inviting comments from external parties.
License Agreement
S&P®, S&P 500®, US 500 and The
500 are trademarks of Standard & Poor's Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones
Trademark Holdings LLC ("Dow Jones"). These trademarks have been licensed for use by S&P and sublicensed for certain purposes
by the Issuer. The S&P 500® Index (the "Index") is a product of S&P and/or its affiliates and has been
licensed for use by the Issuer. The securities are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones,
Standard and & Poor’s Financial Services LLC or any of their respective affiliates (collectively, “S&P Dow Jones Indices”).
S&P Dow Jones Indices make no representation or warranty, express or implied, to the holders of the securities or any member of the
public regarding the advisability of investing in securities generally or in the securities particularly or the ability of the Index to
track general market performance. S&P Dow Jones Indices’ only relationship to the Issuer with respect to the Index is the licensing
of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The
Index is determined, composed and calculated by S&P Dow Jones Indices without regard to the Issuer or the securities. S&P Dow
Jones Indices have no obligation to take our needs or the needs of the Issuer or holders of the securities into consideration in determining,
composing or calculating the Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of
the prices, and amount of the securities or the timing of the issuance or sale of the securities or in the determination or calculation
of the equation by which the securities are to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection
with the administration, marketing or trading of the securities. There is no assurance that investment products based on the Index will
accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not
investment advisors. Inclusion of a security or futures contract within an index is not a recommendation by S&P Dow Jones Indices
to buy, sell, or hold such security or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing,
CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the securities currently being
issued by the Issuer, but which may be similar to and competitive with the securities. In addition, CME Group Inc. and its affiliates
may trade financial products which are linked to the performance of the Index. It is possible that this trading activity will affect the
value of the securities.
S&P DOW JONES INDICES 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. S&P DOW JONES INDICES SHALL
NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR
IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS
TO BE OBTAINED BY THE ISSUER, HOLDERS OF THE SECURITIES, 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 S&P DOW JONES INDICES 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.
THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND THE ISSUER, OTHER THAN
THE LICENSORS OF S&P DOW JONES INDICES.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
United States Federal Tax Considerations |
The following discussion supplements, and to the
extent applicable supersedes, the discussion in the accompanying product supplement under the caption “United States Federal Tax
Considerations.”
In the opinion of our special U.S. tax counsel,
Ashurst LLP, it would generally be reasonable to treat a security with terms described herein as a pre-paid cash-settled derivative contract
in respect of the Index for U.S. federal income tax purposes, and the terms of the securities require a holder (in the absence of a change
in law or an administrative or judicial ruling to the contrary) to treat the securities for all tax purposes in accordance with such characterization.
However, the U.S. federal income tax consequences of your investment in the securities are uncertain and the Internal Revenue Service
(the “IRS”) could assert that the securities should be taxed in a manner that is different from that described in the preceding
sentence. If this treatment is respected, a U.S. holder should generally recognize capital gain or loss upon the sale, exchange, redemption
or payment on maturity in an amount equal to the difference between the amount it received at such time and the amount that it paid for
its securities. Such gain or loss should generally be long-term capital gain or loss if the U.S. holder has held the securities for more
than one year. Non-U.S. holders should consult the section entitled "United States Federal Tax Considerations - Tax Consequences
to Non-U.S. Holders" in the underlying product supplement.
Under Section 871(m) of the Code, a “dividend
equivalent” payment is treated as a dividend from sources within the United States. Such payments generally would be subject to
a 30% U.S. withholding tax if paid to a non-U.S. holder. Under U.S. Treasury Department regulations, payments (including deemed payments)
with respect to equity-linked instruments (“ELIs”) that are “specified ELIs” may be treated as dividend equivalents
if such specified ELIs reference, directly or indirectly, an interest in an “underlying security,” which is generally any
interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment with respect to such interest could give
rise to a U.S. source dividend. However, the IRS has issued guidance that states that the U.S. Treasury Department and the IRS intend
to amend the effective dates of the U.S. Treasury Department regulations to provide that withholding on dividend equivalent payments will
not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2027. Based on our determination
that the securities are not delta-one instruments, non-U.S. holders should not be subject to withholding on dividend equivalent payments,
if any, under the securities. However, it is possible that the securities could be treated as deemed reissued for U.S. federal income
tax purposes upon the occurrence of certain events affecting the Index or the securities (for example, upon the Index rebalancing), and
following such occurrence the securities could be treated as subject to withholding on dividend equivalent payments. Non-U.S. holders
that enter, or have entered, into other transactions in respect of the Index or the securities should consult their tax advisors as to
the application of the dividend equivalent withholding tax in the context of the securities and their other transactions. If any payments
are treated as dividend equivalents subject to withholding, we (or the applicable withholding agent) would be entitled to withhold taxes
without being required to pay any additional amounts with respect to amounts so withheld.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Supplemental Plan of Distribution |
Delivery of the securities will be made against payment therefor on
the issue date. Under Rule 15c6-1 of the Exchange Act, trades in the secondary market generally are required to settle in one business
day, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade such securities at any
time prior to the first business day preceding the issue date will be required, by virtue of the fact that the securities will not settle
in T+1, to specify an alternative settlement cycle at the time of any such trade to prevent a failed settlement; such purchasers should
also consult their own advisors in this regard.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due August 4, 2027 |
Validity of the Securities |
In the opinion of Osler, Hoskin & Harcourt
LLP, the issue and sale of the securities has been duly authorized by all necessary corporate action of the Issuer in conformity with
the senior indenture, and when this pricing supplement has been attached to, and duly notated on, the master note that represents the
securities the securities will have been validly executed, authenticated, issued and delivered, to the extent that validity of the securities
is a matter governed by the laws of the Province of Ontario and the federal laws of Canada applicable therein and will be valid obligations
of the Issuer, subject to the following limitations (i) the enforceability of the senior indenture may be limited by the Canada Deposit
Insurance Corporation Act (Canada), the Winding-up and Restructuring Act (Canada) and bankruptcy, insolvency, reorganization, receivership,
moratorium, arrangement or winding-up laws or other similar laws affecting the enforcement of creditors’ rights generally; (ii)
the enforceability of the senior indenture may be limited by equitable principles, including the principle that equitable remedies such
as specific performance and injunction may only be granted in the discretion of a court of competent jurisdiction; (iii) pursuant to the
Currency Act (Canada) a judgment by a Canadian court must be awarded in Canadian currency and that such judgment may be based on a rate
of exchange in existence on a day other than the day of payment; and (iv) the enforceability of the senior indenture will be subject to
the limitations contained in the Limitations Act, 2002 (Ontario), and such counsel expresses no opinion as to whether a court may find
any provision of the senior indenture to be unenforceable as an attempt to vary or exclude a limitation period under that Act. This opinion
is given as of the date hereof and is limited to the laws of the Provinces of Ontario and the federal laws of Canada applicable therein.
In addition, this opinion is subject to certain assumptions about (i) the Trustees’ authorization, execution and delivery of the
senior indenture, (ii) the genuineness of signatures and (iii) certain other matters, all as stated in the letter of such counsel dated
May 26, 2022, which has been filed as Exhibit 5.3 to the Issuer's Form 6-K filed with the SEC and dated May 26, 2022.
In the opinion of Ashurst LLP, when the pricing
supplement has been attached to, and duly notated on, the master note that represents the securities, the securities will be executed,
authenticated, issued and delivered, and the securities have been issued and sold as contemplated by the prospectus supplement and the
prospectus, the securities will be valid, binding and enforceable obligations of the Issuer, entitled to the benefits of the senior indenture,
subject to applicable bankruptcy, insolvency, fraudulent transfer, reorganization, moratorium and similar laws of general applicability
relating to or affecting creditors’ rights and subject to general principles of equity, public policy considerations and the discretion
of the court before which any suit or proceeding may be brought. This opinion is given as of the date hereof and is limited to the laws
of the State of New York. This opinion is subject to customary assumptions about the Trustee’s authorization, execution and delivery
of the senior indenture and the genuineness of signatures and to such counsel’s reliance on the Issuer and other sources as to certain
factual matters, all as stated in the legal opinion dated May 26, 2022, which has been filed as Exhibit 5.4 to the Issuer’s Form
6-K dated May 26, 2022.
PRS-22
424B2
EX-FILING FEES
0000927971
333-264388
0000927971
2024-07-10
2024-07-10
iso4217:USD
xbrli:pure
xbrli:shares
Exhibit
107.1
Calculation of Filing Fee Tables
F-3
BANK OF MONTREAL /CAN/
Narrative Disclosure
The maximum aggregate amount of the securities to which the prospectus relates is $3,705,000.
The
prospectus is a final prospectus for the related offering.
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