Registration Statement No.333-264388
Filed Pursuant to Rule 433
Subject to Completion,
dated July 18, 2024
Pricing Supplement to the Prospectus dated May 26, 2022,
the Prospectus Supplement dated May 26, 2022 and the Product Supplement dated September 22, 2022
US$ [ ]
Senior Medium-Term Notes, Series I
Digital Return Barrier Notes due August 29, 2025
Linked to the shares of SPDR® S&P® Biotech ETF
| · | The notes are designed for investors who are seeking a potential 8.40% digital return (the "Digital
Return”) based on the performance of the shares of SPDR® S&P® Biotech ETF (the “Reference Asset”). The Digital
Return will be paid if the Final Level (as defined below) of the Reference Asset is greater than or equal to 70.00% of its level on the
Pricing Date (the “Initial Level”). |
| · | If the Reference Asset decreases by more than 30.00% from its Initial Level, investors will lose 1% of
the principal amount for each 1% decrease in the level of the Reference Asset from its Initial Level to its Final Level. In such a case,
you will receive a cash amount at maturity that is less than the principal amount, and may lose up to 100% of your principal amount at
maturity. |
| · | Investing in the notes is not equivalent to a direct investment in the Reference Asset. |
| · | The notes do not bear interest. The notes will not be listed on any securities exchange. |
| · | All payments on the notes are subject to the credit risk of Bank of Montreal. |
| · | The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000. |
| · | The CUSIP number of the notes is 06376B4X3. |
| · | Our subsidiary, BMO Capital Markets Corp. (“BMOCM”), is the agent for this offering. See
“Supplemental Plan of Distribution (Conflicts of Interest)” below. |
| · | The notes will not be subject to conversion into our common shares or the common shares of any of our
affiliates under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act (the “CDIC Act”). |
Terms of the Notes:1
| Pricing Date: |
July 24, 2024 |
|
Valuation Date: |
August 26, 2025 |
| Settlement Date: |
July 29, 2024 |
|
Maturity Date: |
August 29, 2025 |
1Expected. See “Key Terms of the Notes” below
for additional details.
| |
Price to Public1 |
Agent’s Commission1 |
Proceeds to Bank of Montreal1 |
|
Per Note
Total |
100% |
Up to 1.375%
[ ] |
At least 98.625%
[ ] |
1 The total “Agent’s Commission” and “Proceeds
to Bank of Montreal” to be specified above will reflect the aggregate amounts at the time Bank of Montreal establishes its hedge
positions on or prior to the Pricing Date, which may be variable and fluctuate depending on market conditions at such times. Certain dealers
who purchased the notes for sale to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions.
The public offering price for investors purchasing the notes in these accounts may be between $986.25 and $1,000 per $1,000 in principal
amount. We or one of our affiliates may also pay a referral fee to certain dealers in connection with the distribution of the notes.
Investing in the notes involves risks, including
those described in the “Selected Risk Considerations” section beginning on page P-5 hereof, the “Additional Risk Factors
Relating to the Notes” section beginning on page PS-5 of the product supplement, and the “Risk Factors” section beginning
on page S-1 of the prospectus supplement and on page 8 of the prospectus.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of these notes or passed upon the accuracy of this document, the product
supplement, the prospectus supplement or the prospectus. Any representation to the contrary is a criminal offense. The notes will be our
unsecured obligations and will not be savings accounts or deposits that are insured by the United States Federal Deposit Insurance Corporation,
the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency or instrumentality or other entity.
On the date hereof, based on the terms set forth
above, the estimated initial value of the notes is $972.10 per $1,000 in principal amount. The estimated initial value of the notes on
the Pricing Date may differ from this value but will not be less than $925.00 per $1,000 in principal amount. However, as discussed in
more detail below, the actual value of the notes at any time will reflect many factors and cannot be predicted with accuracy.
BMO CAPITAL MARKETS
Key Terms of the Notes:
| Reference Asset: |
The shares of SPDR® S&P® Biotech ETF (ticker symbol "XBI"). See "The Reference Asset" below for additional information. |
| |
|
| Underlying Index: |
S&P® Biotechnology Select Industry® Index |
| |
|
| Payment at Maturity: |
If the Final Level of the Reference Asset is greater than or equal to
its Digital Barrier Level, then the amount that investors will receive at maturity for each $1,000 in principal amount of the notes will
equal:
$1,000 + ($1,000 x Digital Return)
If the Final Level of the Reference Asset is less than its Barrier Level,
then the amount that investors will receive at maturity for each $1,000 in principal amount of the notes will equal:
$1,000 + ($1,000 x Percentage Change of the Reference
Asset)
In this case, investors will lose 1% of their principal for each
1% that the Final Level of the Reference Asset declines from its Initial Level. You may lose all of the principal amount of your notes. |
| |
|
| Digital Return: |
8.40% |
| |
|
| Percentage Change: |
The quotient, expressed as a percentage, of the following formula:
(Final Level - Initial Level)
Initial Level |
| |
|
| Initial Level:2 |
The closing level of the Reference Asset on the Pricing Date. |
| |
|
| Digital Barrier Level: |
70.00% of the Initial Level. |
| |
|
| Barrier Level:2 |
70.00% of the Initial Level. |
| |
|
| Final Level: |
The closing level of the Reference Asset on the Valuation Date. |
| |
|
| Pricing Date:1 |
July 24, 2024 |
| |
|
| Settlement Date:1 |
July 29, 2024 |
| |
|
| Valuation Date:1 |
August 26, 2025 |
| |
|
| Maturity Date:1 |
August 29, 2025 |
| |
|
| Physical Delivery Amount: |
We will only pay cash on the Maturity Date, and you will have no right to receive any shares of the Reference Asset. |
| |
|
| Calculation Agent: |
BMOCM |
| |
|
| Selling Agent: |
BMOCM |
1 Expected and subject to the occurrence of a market disruption
event, as described in the accompanying product supplement. If we make any change to the expected Pricing Date and Settlement Date, the
Valuation Date and Maturity Date will be changed so that the stated term of the notes remains approximately the same.
2 As determined by the calculation agent and subject to adjustment
in certain circumstances. See "General Terms of the Notes — Anti-dilution Adjustments to a Reference Asset that is an Equity
Security (Including Any ETF)" and "— Adjustments to an ETF" in the product supplement for additional information.
Payoff Example
The following table shows the hypothetical payout
profile of an investment in the notes based on various hypothetical Final Levels (and the corresponding Percentage Change) of the Reference
Asset, reflecting the 8.40% Digital Return and Barrier Level of 70.00% of the Initial Level. Please see “Examples of the Hypothetical
Payment at Maturity for a $1,000 Investment in the Notes” below for more detailed examples.
|
Hypothetical Percentage Change
of the Reference Asset
|
Participation in Percentage
Change |
Hypothetical Return of the
Notes |
|
30%
10%
-30%
|
8.40% Digital Return
|
8.40%
8.40%
8.40% |
|
-40%
-50%
|
1x Loss Beyond Barrier Level
|
-40%
-50% |
Additional Terms of the Notes
You should read this document together with the
product supplement dated September 22, 2022, the prospectus supplement dated May
26, 2022 and the prospectus dated May 26, 2022.
This document, 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. You
should carefully consider, among other things, the matters set forth in Additional Risk Factors Relating to the Notes in the product supplement,
as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
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):
Product supplement dated September 22, 2022:
https://www.sec.gov/Archives/edgar/data/927971/000121465922011396/j922220424b2.htm
Prospectus supplement and prospectus dated May 26, 2022:
https://www.sec.gov/Archives/edgar/data/0000927971/000119312522160519/d269549d424b5.htm
Our Central Index Key, or CIK, on the SEC website
is 927971. As used in this document, "we", "us" or "our" refers to Bank of Montreal.
We have 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 we have 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, we will arrange to send
to you the prospectus (as supplemented by the prospectus supplement and product supplement) if you request it by calling our agent toll-free
at 1-877-369-5412.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Reference Asset. These risks are explained in more detail
in the “Additional Risk Factors Relating to the Notes” section of the product supplement.
Risks Related to the Structure or Features of the Notes
| · | Your investment in the notes may result in a loss. — The notes do not guarantee any return of principal. If the Final
Level is less than its Barrier Level, you will lose 1% of the principal amount for each 1% that the Final Level is less than the Initial
Level. In such a case, you will receive at maturity a cash payment that is less than the principal amount of the notes and may be zero.
Accordingly, you could lose your entire investment in the notes. |
| · | Your return on the notes is limited to the Digital Return, regardless of any appreciation in the level of the Reference Asset.
— The return on your notes will not be greater than the Digital Return. This will be the case even if the Percentage Change of the
Reference Asset, which reflects the increase or decrease in the level of the Reference Asset over the term of the notes, is significantly
greater than the Digital Return. You will only receive the Digital Return if the Final Level is greater than or equal to the Digital Barrier
Level. |
| · | Your return on the notes may be lower than the return on a conventional debt security of comparable maturity. — The
return that you will receive on your notes, which could be negative, may be less than the return you could earn on other investments.
The notes do not provide for interest payments and the payment you receive at maturity, if any, may be less than the principal amount
of the notes. Even if your return on the notes is positive, your return may be less than the return you would earn if you bought a conventional
senior interest bearing debt security of ours with the same maturity or if you invested directly in the Reference Asset. Your investment
may not reflect the full opportunity cost to you when you take into account factors that affect the time value of money. |
Risks Related to the Reference Asset
| · | Owning the notes is not the same as owning shares of the Reference Asset or a security directly linked to the Reference Asset.
— The return on your notes will not reflect the return you would realize if you actually owned shares of the Reference Asset or
a security directly linked to the performance of the Reference Asset and held that investment for a similar period. Your notes may trade
quite differently from the Reference Asset. Changes in the level of the Reference Asset may not result in comparable changes in the market
value of your notes. Even if the level of the Reference Asset increases during the term of the notes, the market value of the notes prior
to maturity may not increase to the same extent. It is also possible for the market value of the notes to decrease while the level of
the Reference Asset increases. In addition, any dividends or other distributions paid on the Reference Asset will not be reflected in
the amount payable on the notes. |
| · | You will not have any shareholder rights and will have no right to receive any shares of the Reference Asset (or any company included
in the Reference Asset) at maturity. — Investing in your notes will not make you a holder of any shares of the Reference Asset
or any securities held by the Reference Asset. Neither you nor any other holder or owner of the notes will have any voting rights, any
right to receive dividends or other distributions, or any other rights with respect to the Reference Asset or such underlying securities. |
| · | No delivery of shares of the Reference Asset. — The notes will be payable only in cash. You should not invest in the
notes if you seek to have the shares of the Reference Asset delivered to you at maturity. |
| · | Changes that affect the applicable Underlying Index will affect the market value of the notes and the amount you will receive at
maturity. — The policies of the applicable index sponsor concerning the calculation of the applicable Underlying Index, additions,
deletions or substitutions of the components of the applicable Underlying Index and the manner in which changes affecting those components,
such as stock dividends, reorganizations or mergers, may be reflected in the applicable Reference Asset and, therefore, could affect the
share price of the Reference Asset, the amounts payable on the notes, and the market value of the notes prior to maturity. The amount
payable on the notes and their market value could also be affected if the applicable index sponsor changes these policies, for example,
by changing the manner in which it calculates the applicable Underlying Index, or if the applicable index sponsor discontinues or suspends
the calculation or publication of the applicable Underlying Index. |
| · | We have no affiliation with the index sponsor of the applicable Underlying Index and will not be responsible for its actions.
— The sponsor of the applicable Underlying Index is not our affiliate and will not be involved in the offering of the notes in any
way. Consequently, we have no control over the actions of the index sponsor of the applicable Underlying Index, including any actions
of the type that would require the calculation agent to adjust the payment to you at maturity. The index sponsor has no obligation of
any sort with respect to the notes. Thus, the applicable index sponsor has no obligation to take your interests into consideration for
any reason, including in taking any actions that might affect the value of the notes. None of our proceeds from the issuance of the notes
will be delivered to the index sponsor of the applicable Underlying Index. |
| · | Adjustments to the Reference Asset could adversely affect the notes. — The sponsor and advisor of the Reference Asset
is responsible for calculating and maintaining the Reference Asset. The sponsor and advisor of the Reference Asset can add, delete or
substitute the stocks comprising the Reference Asset or make other methodological changes that could change the share price of the Reference
Asset at any time. If one or more of these events occurs, the calculation of the amount payable at maturity may be adjusted to reflect
such event or events. Consequently, any of these actions could adversely affect the amount payable at maturity and/or the market value
of the notes. |
| · | We and our affiliates do not have any affiliation with the applicable investment advisor or the Reference Asset Issuer and are
not responsible for their public disclosure of information. — The investment advisor of the Reference Asset advises the issuer
of the Reference Asset (the “Reference Asset Issuer”) on various matters, including matters relating to the policies, maintenance
and calculation of the Reference Asset. We and our affiliates are not affiliated with the applicable investment advisor or the Reference
Asset Issuer in any way and have no ability to control or predict its actions, including any errors in or discontinuance of disclosure
regarding the methods or policies relating to the Reference Asset. Neither the applicable investment advisor nor the Reference Asset Issuer
is involved in the offerings of the notes in any way and has no obligation to consider your interests as an owner of the notes in taking
any actions relating to the Reference Asset that might affect the value of the notes. Neither we nor any of our affiliates has independently
verified the adequacy or accuracy of the information about the applicable investment advisor or the Reference Asset contained in any public
disclosure of information. You, as an investor in the notes, should make your own investigation into the Reference Asset Issuer. |
| · | The correlation between the performance of the Reference Asset and the performance of the applicable Underlying Index may be imperfect.
— The performance of the Reference Asset is linked principally to the performance of the applicable Underlying Index. However, because
of the potential discrepancies identified in more detail in the product supplement, the return on the Reference Asset may correlate imperfectly
with the return on the applicable Underlying Index. |
| · | The Reference Asset is subject to management risks. — The Reference Asset is subject to management risk, which is the
risk that the applicable investment advisor’s investment strategy, the implementation of which is subject to a number of constraints,
may not produce the intended results. For example, the applicable investment advisor may invest a portion of the Reference Asset Issuer’s
assets in securities not included in the relevant industry or sector but which the applicable investment advisor believes will help the
Reference Asset track the relevant industry or sector. |
| · | You must rely on your own evaluation of the merits of an investment linked to the Reference Asset. — In the ordinary
course of their businesses, our affiliates from time to time may express views on expected movements in the prices of the Reference Asset
or the prices of the securities held by the Reference Asset. One or more of our affiliates have published, and in the future may publish,
research reports that express views on the Reference Asset or these securities. However, these views are subject to change from time to
time. Moreover, other professionals who deal in the markets relating to the Reference Asset at any time may have significantly different
views from those of our affiliates. You are encouraged to derive information concerning the Reference Asset from multiple sources, and
you should not rely on the views expressed by our affiliates.
Neither the offering of the notes nor any views which our affiliates from time to time may express in the ordinary course of their businesses
constitutes a recommendation as to the merits of an investment in the notes. |
Risks Related to the SPDR® S&P® Biotech ETF
| · | An investment in the notes is subject to risks associated with investing in the biotechnology sector. — The stocks
held by the SPDR® S&P® Biotech ETF are generally concentrated in the biotechnology industry.
Companies within the biotech industry invest heavily in research and development which may not necessarily lead to commercially successful
products. This industry is also subject to increased governmental regulation which may delay or inhibit the release of new products. Many
biotech companies are dependent upon their ability to use and enforce intellectual property rights and patents. Any impairment of such
rights may have adverse financial consequences. Biotech stocks, especially those of smaller, less-seasoned companies, tend to be more
volatile than the overall market. Biotech companies can be significantly affected by technological change and obsolescence, product liability
lawsuits and consequential high insurance costs. |
| · | An investment in the notes is subject to risks associated with investing in small-capitalization and mid-capitalization companies.
— The SPDR® S&P® Biotech ETF may invest in companies that may be considered small-capitalization or mid-capitalization
companies. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization
companies and therefore the SPDR® S&P® Biotech ETF’s share price may be more volatile than an investment in stocks issued
by large-capitalization companies. Stock prices of small-capitalization or mid-capitalization companies are also more vulnerable than
those of large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization or mid-capitalization
companies may be thinly traded, making it difficult for the SPDR® S&P® Biotech ETF to buy and sell them. In addition, small-capitalization
or mid-capitalization companies are typically less stable financially than large-capitalization companies and may depend on a small number
of key personnel, making them more vulnerable to loss of personnel. Small-capitalization or mid-capitalization companies are often subject
to less analyst coverage and may be in early, and less predictable, periods of their corporate existences. Such companies tend to have
smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive
strengths than large-capitalization companies and are more susceptible to adverse developments related to their products. |
General Risk Factors
| · | Your investment is subject to the credit risk of Bank of Montreal. — Our credit ratings and credit spreads may adversely
affect the market value of the notes. Investors are dependent on our ability to pay any amounts due on the notes, and therefore investors
are subject to our credit risk and to changes in the market’s view of our creditworthiness. Any decline in our credit ratings or
increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of the notes. |
| · | Potential conflicts. — We and our affiliates play a variety of roles in connection with the issuance of the notes, including
acting as calculation agent. In performing these duties, the economic interests of the calculation agent and other affiliates of ours
are potentially adverse to your interests as an investor in the notes. We or one or more of our affiliates may also engage in trading
of shares of the Reference Asset or the securities held by the Reference Asset on a regular basis as part of our general broker-dealer
and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for our customers. Any
of these activities could adversely affect the level of the Reference Asset and, therefore, the market value of, and the payments on,
the notes. We or one or more of our affiliates may also issue or underwrite other securities or financial or derivative instruments with
returns linked or related to changes in the performance of the Reference Asset. By introducing competing products into the marketplace
in this manner, we or one or more of our affiliates could adversely affect the market value of the notes. |
| · | Our initial estimated value of the notes will be lower than the price to public. — Our initial estimated value of the
notes is only an estimate, and is based on a number of factors. The price to public of the notes will exceed our initial estimated value,
because costs associated with offering, structuring and hedging the notes are included in the price to public, but are not included in
the estimated value. These costs include any underwriting discount and selling concessions, the profits that we and our affiliates expect
to realize for assuming the risks in hedging our obligations under the notes and the estimated cost of hedging these obligations. The
initial estimated value of the notes may be as low as the amount indicated on the cover page hereof. |
| · | Our initial estimated value does not represent any future value of the notes, and may also differ from the estimated value of any
other party. — Our initial estimated value of the notes as of the date hereof is, and our estimated value as determined on the
Pricing Date will be, derived using our internal pricing models. This value is based on market conditions and other relevant factors,
which include volatility of the Reference Asset, dividend rates and interest rates. Different pricing models and assumptions could provide
values for the notes 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 notes could change dramatically due to changes in market conditions, our creditworthiness, and the other factors
set forth herein and in the product supplement. These changes are likely to impact the price, if any, at which we or BMOCM would be willing
to purchase the notes from you in any secondary market transactions. Our initial estimated value does not represent a minimum price at
which we or our affiliates would be willing to buy your notes in any secondary market at any time. |
| · | The terms of the notes are not determined by reference to the credit spreads for our conventional fixed-rate debt. —
To determine the terms of the notes, we will use 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 notes are less favorable to you than if we had used a higher funding rate. |
| · | Certain costs are likely to adversely affect the value of the notes. — Absent any changes in market conditions, any secondary
market prices of the notes will likely be lower than the price to public. This is because any secondary market prices will likely take
into account our then-current market credit spreads, and because any secondary market prices are likely to exclude all or a portion of
any underwriting discount and selling concessions, and the hedging profits and estimated hedging costs that are included in the price
to public of the notes and that may be reflected on your account statements. In addition, any such price is also likely to reflect a discount
to account for costs associated with establishing or unwinding any related hedge transaction, such as dealer discounts, mark-ups and other
transaction costs. As a result, the price, if any, at which BMOCM or any other party may be willing to purchase the notes from you in
secondary market transactions, if at all, will likely be lower than the price to public. Any sale that you make prior to the Maturity
Date could result in a substantial loss to you. |
| · | Lack of liquidity. — The notes will not be listed on any securities exchange. BMOCM may offer to purchase the notes in
the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which
you may be able to trade the notes is likely to depend on the price, if any, at which BMOCM is willing to buy the notes. |
| · | Hedging and trading activities. — We or any of our affiliates have carried out or may carry out hedging activities related
to the notes, including purchasing or selling shares of the Reference Asset or securities held by the Reference Asset, futures or options
relating to the Reference Asset or securities held by the Reference Asset or other derivative instruments with returns linked or related
to changes in the performance on the Reference Asset or securities held by the Reference Asset. We or our affiliates may also trade in
the Reference Asset, such securities, or instruments related to the Reference Asset or such securities from time to time. Any of these
hedging or trading activities on or prior to the Pricing Date and during the term of the notes could adversely affect the payments on
the notes. |
| · | Many economic and market factors will influence the value of the notes. — In addition to the level of the Reference Asset
and interest rates on any trading day, the value of the notes will be affected by a number of economic and market factors that may either
offset or magnify each other, and which are described in more detail in the product supplement. |
| · | Significant aspects of the tax treatment of the notes are uncertain. — 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 herein.
The Internal Revenue Service has released a notice that may affect the taxation of holders of “prepaid forward contracts”
and similar instruments. According to the notice, the Internal Revenue Service and the U.S. Treasury are actively considering whether
the holder of such instruments should be required to accrue ordinary income on a current basis. While it is not clear whether the notes
would be viewed as similar to such instruments, it is possible that any future guidance could materially and adversely affect the tax
consequences of an investment in the notes, possibly with retroactive effect.
Please read carefully the section entitled "U.S. Federal Tax Information" herein, the section entitled "Supplemental Tax
Considerations—Supplemental U.S. Federal Income Tax Considerations" in the accompanying product supplement, the section entitled
"United States Federal Income Taxation" in the accompanying prospectus and the section entitled "Certain Income Tax Consequences"
in the accompanying prospectus supplement. You should consult your tax advisor about your own tax situation. |
Examples of the Hypothetical Payment at Maturity for a $1,000 Investment
in the Notes
The following table illustrates the hypothetical
payments on a note at maturity. The hypothetical payments are based on a $1,000 investment in the note, a hypothetical Initial Level of
$100.00, a hypothetical Digital Barrier Level of $70.00 (70.00% of the hypothetical Initial Level), a hypothetical Barrier Level of $70.00
(70.00% of the hypothetical Initial Level), a range of hypothetical Final Levels and the effect on the payment at maturity.
The hypothetical examples shown below are intended
to help you understand the terms of the notes. The actual cash amount that you will receive at maturity will depend upon the Final Level
of the Reference Asset. You may lose some or all of the principal amount at maturity.
| Hypothetical Final Level |
Hypothetical Final Level
Expressed as a Percentage of the
Initial Level |
Hypothetical Payment at
Maturity |
Hypothetical Return on the
Notes |
| $200.00 |
200.00% |
$1,084.00 |
8.40% |
| $180.00 |
180.00% |
$1,084.00 |
8.40% |
| $160.00 |
160.00% |
$1,084.00 |
8.40% |
| $140.00 |
140.00% |
$1,084.00 |
8.40% |
| $120.00 |
120.00% |
$1,084.00 |
8.40% |
| $100.00 |
100.00% |
$1,084.00 |
8.40% |
| $90.00 |
90.00% |
$1,084.00 |
8.40% |
| $80.00 |
80.00% |
$1,084.00 |
8.40% |
| $70.00 |
70.00% |
$1,084.00 |
8.40% |
| $69.99 |
69.99% |
$699.90 |
-30.01% |
| $60.00 |
60.00% |
$600.00 |
-40.00% |
| $40.00 |
40.00% |
$400.00 |
-60.00% |
| $20.00 |
20.00% |
$200.00 |
-80.00% |
| $0.00 |
0.00% |
$0.00 |
-100.00% |
The following examples illustrate how the returns
set forth in the table above are calculated.
Example 1: The level of the Reference Asset decreases from the hypothetical
Initial Level of $100.00 to a hypothetical Final Level of $60.00, representing a Percentage Change of –40.00%. Because the Percentage
Change of the Reference Asset is negative and its hypothetical Final Level is less than its Barrier Level, the investor receives a payment
at maturity of $600.00 per $1,000 in principal amount of the notes, calculated as follows:
$1,000 + ($1,000 x –40.00%) = $600.00
Example 2: The level of the Reference Asset decreases from the hypothetical
Initial Level of $100.00 to a hypothetical Final Level of $90.00, representing a Percentage Change of -10.00%. Although the Percentage
Change of the Reference Asset is negative, because its hypothetical Final Level is greater than its Digital Barrier Level, the investor
receives a payment at maturity of $1,084.00 per $1,000 in principal amount of the notes, calculated as follows:
$1,000 + ($1,000 x 8.40%) = $1,084.00
Example 3: The level of the Reference Asset increases from the hypothetical
Initial Level of $100.00 to a hypothetical Final Level of $140.00, representing a Percentage Change of 40.00%. Because the hypothetical
Final Level of the Reference Asset is greater than its Digital Barrier Level, the investor receives a payment at maturity of $1,084.00
per $1,000 in principal amount of the notes, calculated as follows:
$1,000 + ($1,000 x 8.40%) = $1,084.00
If the Final Level is greater than or equal
to the Digital Barrier Level, you will receive a return equal to the Digital Return. Your potential return is limited to the Digital Return
regardless of any potential positive performance of the Reference Asset.
U.S. Federal Tax Information
By purchasing the notes, each holder agrees (in
the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat each note as a pre-paid
derivative contract for U.S. federal income tax purposes. In the opinion of our counsel, Mayer Brown LLP, it would generally be reasonable
to treat the notes as pre-paid derivative contracts in respect of the Reference Asset for U.S. federal income tax purposes. However, the
U.S. federal income tax consequences of your investment in the notes are uncertain and the Internal Revenue Service could assert that
the notes should be taxed in a manner that is different from that described in the preceding sentence. Please see the discussion in the
product supplement dated September 22, 2022 under “Supplemental Tax Considerations—Supplemental U.S. Federal Income Tax Considerations—Notes
Treated as Pre-Paid Derivative Contracts,” which applies to the notes.
Under current Internal Revenue Service guidance,
withholding on "dividend equivalent" payments (as discussed in the product supplement), if any, will not apply to notes that
are issued as of the date of this pricing supplement unless such notes are "delta-one" instruments. Based on our determination
that the notes are not delta-one instruments, non-United States holders (as defined in the product supplement) should not generally be
subject to withholding on dividend equivalent payments, if any, under the notes.
Supplemental Plan of Distribution (Conflicts of Interest)
BMOCM will purchase the notes from us at a purchase
price reflecting the commission set forth on the cover hereof. BMOCM has informed us that, as part of its distribution of the notes, it
will reoffer the notes to other dealers who will sell them. Each such dealer, or each additional dealer engaged by a dealer to whom BMOCM
reoffers the notes, will receive a commission from BMOCM, which will not exceed the commission set forth on the cover page. We or one
of our affiliates may also pay a referral fee to certain dealers in connection with the distribution of the notes.
Certain dealers who purchase the notes for sale
to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions. The public offering price
for investors purchasing the notes in these accounts may be less than 100% of the principal amount, as set forth on the cover page of
this document. Investors that hold their notes in these accounts may be charged fees by the investment advisor or manager of that account
based on the amount of assets held in those accounts, including the notes.
We will deliver the notes on a date that is greater
than one business day following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended (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 the notes more than one business day prior to the issue date will
be required to specify alternative settlement arrangements to prevent a failed settlement.
We own, directly or indirectly, all of the outstanding
equity securities of BMOCM, the agent for this offering. In accordance with FINRA Rule 5121, BMOCM may not make sales in this offering
to any of its discretionary accounts without the prior written approval of the customer.
We reserve the right to withdraw, cancel or modify
the offering of the notes and to reject orders in whole or in part. You may cancel any order for the notes prior to its acceptance.
You should not construe the offering of the notes
as a recommendation of the merits of acquiring an investment linked to the Reference Asset or as to the suitability of an investment in
the notes.
BMOCM may, but is not obligated to, make a market
in the notes. BMOCM will determine any secondary market prices that it is prepared to offer in its sole discretion.
We may use the final pricing supplement relating to the notes in the
initial sale of the notes. In addition, BMOCM or another of our affiliates may use the final pricing supplement in market-making transactions
in any notes after their initial sale. Unless BMOCM or we inform you otherwise in the confirmation of sale, the final pricing supplement
is being used by BMOCM in a market-making transaction.
For a period of approximately three months following
issuance of the notes, the price, if any, at which we or our affiliates would be willing to buy the notes from investors, and the value
that BMOCM may also publish for the notes through one or more financial information vendors and which could be indicated for the notes
on any brokerage account statements, will reflect a temporary upward adjustment from our estimated value of the notes that would otherwise
be determined and applicable at that time. This temporary upward adjustment represents a portion of (a) the hedging profit that we or
our affiliates expect to realize over the term of the notes and (b) any underwriting discount and the selling concessions paid in connection
with this offering. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
period.
The notes and the related offer to purchase notes
and sale of notes under the terms and conditions provided herein do not constitute a public offering in any non-U.S. jurisdiction, and
are being made available only to individually identified investors pursuant to a private offering as permitted in the relevant jurisdiction.
The notes are not, and will not be, registered with any securities exchange or registry located outside of the United States and have
not been registered with any non-U.S. securities or banking regulatory authority. The contents of this document have not been reviewed
or approved by any non-U.S. securities or banking regulatory authority. Any person who wishes to acquire the notes from outside the United
States should seek the advice or legal counsel as to the relevant requirements to acquire these notes.
British Virgin Islands. The notes have not
been, and will not be, registered under the laws and regulations of the British Virgin Islands, nor has any regulatory authority in the
British Virgin Islands passed comment upon or approved the accuracy or adequacy of this document. This pricing supplement and the related
documents shall not constitute an offer, invitation or solicitation to any member of the public in the British Virgin Islands for the
purposes of the Securities and Investment Business Act, 2010, of the British Virgin Islands.
Cayman Islands. Pursuant to the Companies
Law (as amended) of the Cayman Islands, no invitation may be made to the public in the Cayman Islands to subscribe for the notes by or
on behalf of the issuer unless at the time of such invitation the issuer is listed on the Cayman Islands Stock Exchange. The issuer is
not presently listed on the Cayman Islands Stock Exchange and, accordingly, no invitation to the public in the Cayman Islands is to be
made by the issuer (or by any dealer on its behalf). No such invitation is made to the public in the Cayman Islands hereby.
Dominican Republic. Nothing in this pricing
supplement constitutes an offer of securities for sale in the Dominican Republic. The notes have not been, and will not be, registered
with the Superintendence of Securities Market of the Dominican Republic (Superintendencia del Mercado de Valores), under Dominican Securities
Market Law No. 249-17 (“Securities Law 249-17”), and the notes may not be offered or sold within the Dominican Republic or
to, or for the account or benefit of, Dominican persons (as defined under Securities Law 249-17 and its regulations). Failure to comply
with these directives may result in a violation of Securities Law 249-17 and its regulations.
Israel. This pricing supplement is intended
solely for investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended. A prospectus has not been prepared
or filed, and will not be prepared or filed, in Israel relating to the notes offered hereunder. The notes cannot be resold in Israel other
than to investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended.
No action will be taken in Israel that would permit
an offering of the notes or the distribution of any offering document or any other material to the public in Israel. In particular, no
offering document or other material has been reviewed or approved by the Israel Securities Authority. Any material provided to an offeree
in Israel may not be reproduced or used for any other purpose, nor be furnished to any other person other than those to whom copies have
been provided directly by us or the selling agents.
Nothing in this pricing supplement or any other
offering material relating to the notes, should be considered as the rendering of a recommendation or advice, including investment advice
or investment marketing under the Law For Regulation of Investment Advice, Investment Marketing and Investment Portfolio Management, 1995,
to purchase any note. The purchase of any note will be based on an investor’s own understanding, for the investor’s own benefit
and for the investor’s own account and not with the aim or intention of distributing or offering to other parties. In purchasing
the notes, each investor declares that it has the knowledge, expertise and experience in financial and business matters so as to be capable
of evaluating the risks and merits of an investment in the notes, without relying on any of the materials provided.
Mexico. The notes have not been registered
with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or
sold publicly in Mexico. This pricing supplement and the related documents may not be publicly distributed in Mexico. The notes may only
be offered in a private offering pursuant to Article 8 of the Securities Market Law.
Switzerland. This pricing supplement is not
intended to constitute an offer or solicitation to purchase or invest in any notes. Neither this pricing supplement nor any other offering
or marketing material relating to the notes constitutes a prospectus compliant with the requirements of articles 35 et seq. of the Swiss
Financial Services Act ("FinSA")) for a public offering of the notes in Switzerland and no such prospectus has been or will
be prepared for or in connection with the offering of the notes in Switzerland.
Neither this pricing supplement nor any other offering
or marketing material relating to the notes has been or will be filed with or approved by a Swiss review body (Prüfstelle). No application
has been or is intended to be made to admit the notes to trading on any trading venue (SIX Swiss Exchange or on any other exchange or
any multilateral trading facility) in Switzerland. Neither this pricing supplement nor any other offering or marketing material relating
to the notes may be publicly distributed or otherwise made publicly available in Switzerland.
The notes may not be publicly offered, directly
or indirectly, in Switzerland within the meaning of FinSA except (i) in any circumstances falling within the exemptions to prepare a prospectus
listed in article 36 para. 1 FinSA or (ii) where such offer does not qualify as a public offer in Switzerland, provided always that no
offer of notes shall require the Issuer or any offeror to publish a prospectus pursuant to article 35 FinSA in respect to such offer and
that such offer shall comply with the additional restrictions set out below (if applicable). The Issuer has not authorised and does not
authorise any offer of notes which would require the Issuer or any offeror to publish a prospectus pursuant to article 35 FinSA in respect
of such offer. For purposes of this provision "public offer" shall have the meaning as such term is understood pursuant to article
3 lit. g and h FinSA and the Swiss Financial Services Ordinance ("FinSO").
The notes do not constitute participations in a
collective investment scheme within the meaning of the Swiss Collective Investment Schemes Act. They are not subject to the approval of,
or supervision by, the Swiss Financial Market Supervisory Authority ("FINMA"), and investors in the notes will not benefit from
protection under CISA or supervision by FINMA.
Prohibition of Offer to Private Clients in Switzerland
- No Key Information Document pursuant to article 58 FinSA (Basisinformationsblatt für Finanzinstrumente) or equivalent document
under foreign law pursuant to article 59 para. 2 FinSA has been or will be prepared in relation to the notes. Therefore, the following
additional restriction applies: Notes qualifying as "debt securities with a derivative character" pursuant to article 86 para.
2 FinSO may not be offered within the meaning of article 58 para. 1 FinSA, and neither this pricing supplement nor any other offering
or marketing material relating to such notes may be made available, to any retail client (Privatkunde) within the meaning of FinSA in
Switzerland.
The notes may also be sold in the following jurisdictions,
provided, in each case, any sales are made in accordance with all applicable laws in such jurisdiction:
Additional Information Relating to the Estimated Initial Value of
the Notes
Our estimated initial value of the notes on the
date hereof , and that will be set forth on the cover page of the final pricing supplement relating to the notes, equals the sum of the
values of the following hypothetical components:
| · | a fixed-income debt component with the same tenor as the notes, valued using our internal funding rate for structured notes; and |
| · | one or more derivative transactions relating to the economic terms of the notes. |
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 notes on the Pricing Date will be determined based on the market conditions on the Pricing
Date.
The Reference Asset
We have derived the following information from publicly
available documents. We have not independently verified the accuracy or completeness of the following information. We are not affiliated
with the Reference Asset Issuer and the Reference Asset Issuer will have no obligations with respect to the notes. This document relates
only to the notes and does not relate to the shares of the Reference Asset or any securities included in the Underlying Index. Neither
we nor any of our affiliates participates in the preparation of the publicly available documents described below. Neither we nor any of
our affiliates has made any due diligence inquiry with respect to the Reference Asset in connection with the offering of the notes. There
can be no assurance that all events occurring prior to the date hereof, including events that would affect the accuracy or completeness
of the publicly available documents described below and that would affect the trading price of the shares of the Reference Asset, have
been or will be publicly disclosed. Subsequent disclosure of any events or the disclosure of or failure to disclose material future events
concerning the Reference Asset could affect the price of the shares of the Reference Asset on the Valuation Date, and therefore could
affect the payments on the notes.
The selection of the Reference Asset is not a recommendation
to buy or sell the shares of the Reference Asset. Neither we nor any of our affiliates make any representation to you as to the performance
of the shares of the Reference Asset. Information provided to or filed with the SEC under the Exchange Act and the Investment Company
Act of 1940 relating to the Reference Asset may be obtained through the SEC’s website at http://www.sec.gov.
The SPDR® S&P® Biotech
ETF (“XBI”)
The XBI is an investment portfolio maintained and
managed by SSgA Funds Management, Inc. (“SSFM”). SSFM is the investment advisor to separate investment portfolios, including
the XBI. The XBI seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses,
of the S&P® Biotechnology Select Industry® Index (the “SPSIBI”). The SPSIBI represents the biotechnology sub-industry
portion of the Standard & Poor’s Total Market Index (“S&P TMI”), an index that is designed to measure the performance
of the U.S. equity market. The XBI trades on NYSE Arca under the ticker symbol “XBI.”
In seeking to track the performance of the SPSIBI,
the XBI employs a sampling strategy, which means that the Fund is not required to purchase all of the securities represented in the SPSIBI.
Instead, the SPSIBI may purchase a subset of the securities in the SPSIBI in an effort to hold a portfolio of securities with generally
the same risk and return characteristics of the SPSIBI. The XBI will normally invest at least 80% of its total assets in the common stocks
that comprise the SPSIBI.
The S&P®
Biotechnology Select Industry® Index
The SPSIBI represents the
biotechnology segment of the S&P TMI. The biotechnology segment of the S&P TMI comprises the Biotechnology sub-industry. The SPSIBI
is one of 21 of the S&P Select Industry Indices (the “Select Industry Indices”), each designed to measure the performance
of a narrow sub-industry or group of sub-industries determined based on the Global Industry Classification Standard (“GICS”).
Membership in the Select Industry Indices is based on the GICS classification, as well as liquidity and market cap requirements. Companies
in the Select Industry Indices are classified according to GICS which determines classifications primarily based on revenues; however,
earnings and market perception are also considered. The SPSIBI consists of the S&P TMI constituents belonging to the Biotechnology
sub-industry that satisfy the following criteria:
| · | have a float-adjusted market capitalization greater than or equal to $500 million with a float-adjusted liquidity ratio (defined by
dollar value traded over the previous 12 months divided by the float-adjusted market capitalization as of the index rebalancing reference
date) greater than or equal to 90% or have a float-adjusted market capitalization greater than or equal to $400 million with a float-adjusted
liquidity ratio (as defined above) greater than or equal to 150%; and |
| · | are U.S. based companies. |
To evaluate liquidity,
the dollar value traded for initial public offerings or spin-offs that do not have 12 months of trading history is annualized. If there
are fewer than 35 stocks, stocks from the Life Sciences Tools & Services sub-industry that meet the market capitalization and liquidity
thresholds are included in order of their float-adjusted market capitalization from largest to smallest. If there continues to be fewer
than 22 stocks, the market capitalization threshold may be relaxed to ensure that there are at least 22 stocks in the SPSIBI as of the
rebalancing effective date. Existing index constituents are removed at the quarterly rebalancing effective date if either their float-adjusted
market capitalization falls below $300 million or their float-adjusted liquidity ratio falls below 50%. The market capitalization threshold
and the liquidity threshold are each reviewed from time to time based on market conditions.
The SPSIBI rebalances and
reconstitutes quarterly on the third Friday of the quarter ending month. The reference date for additions and deletions is after the close
of the last trading date of the previous month. The S&P TMI tracks all eligible U.S. common equities listed on the NYSE, NYSE Arca,
NYSE American, NASDAQ Global Select Market, NASDAQ Select Market, NASDAQ Capital Market, Cboe BZX, Cboe BYX, Cboe EDGA, or Cboe EDGX exchanges.
The SPSIBI is modified
equal weighted.
13
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