PRICING SUPPLEMENT No. ARC3487 dated May 22, 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
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Bank of Montreal
Senior Medium-Term Notes, Series
I
Equity Index Linked Securities |
|
Market Linked Securities—Auto-Callable with
Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell
2000® Index due May 25, 2028 |
| n | Linked to the Russell 2000®
Index (the "Index") |
| n | Unlike ordinary debt securities,
the securities do not pay interest, do not 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 closing level of the Index on the relevant call date |
| n | Automatic Call.
If the closing level of the Index on any call date is
greater than or equal to the starting level, the securities will be automatically called for the face amount plus the call premium applicable
to that call date. The call premium applicable to each call date will be a percentage of the face amount that increases for each call
date based on a simple (non-compounding) return of 9.00% per annum |
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Call Date |
Call Premium |
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May 28, 2025 |
9.00% |
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May 28, 2026 |
18.00% |
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May 28, 2027 |
27.00% |
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May 22, 2028* |
36.00% |
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* We refer
to May 22, 2028 as the final calculation day. |
| n | Maturity Payment Amount.
If the securities are not automatically called, you will receive a maturity payment amount that could be less than or equal to the face
amount depending on the closing level of the Index on the final calculation day as follows: |
| § | If the closing level of
the Index on the final calculation day is less than the starting level, but not by more than the buffer amount of 10%, you will receive
the face amount of your securities |
| § | If the closing level of
the Index on the final calculation day 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 | Any positive return on
the securities will be limited to the applicable call premium, even if the closing level of the Index on the applicable call date significantly
exceeds the starting level. You will not participate in any appreciation of the Index beyond the applicable fixed call premium. |
| n | All payments on the securities
are subject to credit risk, 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 $959.55 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.
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Original Offering Price
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Agent Discount(1)(2)
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Proceeds to Bank of Montreal
|
Per Security |
$1,000.00 |
$25.75 |
$974.25 |
Total |
$1,765,000.00 |
$45,448.75 |
$1,719,551.25 |
| (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 Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
Issuer: |
Bank of Montreal. |
Market Measure: |
Russell 2000® Index (the “Index”). |
Pricing Date: |
May 22, 2024. |
Issue Date: |
May 28, 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
any call date is greater than or equal to the starting level, the securities will be automatically called, and on the related call settlement
date you will be entitled to receive a cash payment per security in U.S. dollars equal to the face amount plus the call premium applicable
to the relevant call date. The last call date is the final calculation day and payment upon an automatic call on the final calculation
day, if applicable, will be made on the stated maturity date.
Any positive return on the securities
will be limited to the applicable call premium, even if the closing level of the Index on the applicable call date significantly exceeds
the starting level. You will not participate in any appreciation of the Index beyond the applicable call premium.
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 that
call settlement date. You will not receive any notice from us if the securities are automatically called.
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The call premium applicable to each call date will be a percentage of
the face amount that increases for each call date based on a simple (non-compounding) return of 9.00% per annum. |
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Call Date |
Call Premium |
Payment per Security upon
an Automatic Call |
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May 28, 2025 |
9.00% |
$1,090.00 |
|
Call
Dates and |
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May 28, 2026 |
18.00% |
$1,180.00 |
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Call Premiums: |
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May 28, 2027 |
27.00% |
$1,270.00 |
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May 22, 2028* |
36.00% |
$1,360.00 |
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*We refer to May 22, 2028 as the “final calculation day.” |
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The call dates are subject to postponement. See “—Market Disruption Events and Postponement Provisions” below. |
Call Settlement
Date: |
Three business days after the applicable call date (as that call date may be postponed as described below under “—Market Disruption Events and Postponement Provisions,” if applicable); provided that the call settlement date for the last call date is the stated maturity date. |
Stated Maturity
Date: |
May 25, 2028, 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. |
Maturity
Payment
Amount: |
If the securities are not automatically
called, 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 be calculated as follows:
• if the
ending level is less than 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 from the
starting level in excess of the buffer amount, and will lose some, and possibly up to 90%, of the face amount of your securities at maturity.
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Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
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. |
Starting Level: |
2,081.709, which was the closing level of the Index on the pricing date. |
Ending Level: |
The “ending level” will be the closing level of the Index on the final calculation day. |
Threshold Level: |
1,873.5381, which is equal to 90.00% of the starting level. |
Buffer Amount: |
10% |
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
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Market
Disruption
Events and
Postponement
Provisions: |
Each call date (including the final calculation
day) is subject to postponement due to non-trading days and the occurrence of a market disruption event. In addition, the stated maturity
date will be postponed if the final calculation day is postponed and will be adjusted for non-business days.
For more information regarding adjustments
to the call dates 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 accompanying product supplement, each call date (including 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.
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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: |
06376AKU3 |
____________________
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
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 such 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 Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
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 “Selected Risk Considerations” below.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
The securities
are not appropriate for all investors. The securities may be an appropriate investment for investors who:
| n | believe that the closing level of the Index will
be greater than or equal to the starting level on one of the call dates; |
| n | seek the potential for a fixed return if the
Index has appreciated at all as of any of the call dates in lieu of full participation in any potential appreciation of the Index; |
| n | are willing to accept the risk that, if the closing
level of the Index is less than the starting level on each call date, they will not receive any positive return on their investment in
the securities; |
| n | 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; |
| n | understand that the term of the securities may
be as short as approximately one year, and that they will not receive a higher call premium payable with respect to a later call date
if the securities are called on an earlier call date; |
| n | are willing to forgo interest payments on the
securities and dividends on the securities included in the Index; and |
| n | are willing to hold the securities until maturity
or an automatic call. |
The securities
may not be an appropriate investment for investors who:
| n | seek a liquid investment or are unable or unwilling
to hold the securities to maturity or an automatic call; |
| n | require full payment of the face amount of the
securities at stated maturity; |
| n | believe that the closing level
of the Index will be less than the starting level on each call date; |
| n | seek a security with a fixed
term; |
| n | are unwilling to accept the risk that, if the
closing level of the Index is less than the starting level on each call date, they will not receive any positive return on the securities; |
| n | 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; |
| n | 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 of this pricing supplement; |
| n | seek current income over the term of the securities; |
| n | are unwilling to accept the risk
of exposure to the Index; |
| n | seek exposure to the upside performance of the
Index beyond the applicable call premiums; |
| n | 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 |
| n | 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 "Russell 2000®
Index " below.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
Determining Timing and Amount of Payment on the Securities |
Whether the securities are automatically called on any call date for
the applicable call premium will each be determined based on the closing level of the Index on the applicable call date as follows:
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:
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
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.
We will not repay you a fixed amount on the securities
at stated maturity. If the closing level of the Index is less than the starting level on each call date, the securities will not be automatically
called, and you will receive a maturity payment amount that will be less than or equal to the face amount per security, depending on the
ending level (i.e., the closing level of the Index on the final calculation day).
If 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 90.00% 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 stated 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,
your return on the securities will be zero or negative, and therefore will be less than the return you would earn if you purchased a traditional
interest-bearing debt security of Bank of Montreal or issued by 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."
The Potential Return On The Securities Is Limited
To The Call Premium And May Be Lower Than The Return On A Direct Investment In the Index.
The potential return on the securities is limited
to the applicable call premium, regardless of the performance of the Index on the applicable call date. The Index may appreciate on the
applicable call date by significantly more than the percentage represented by the applicable call premium from the pricing date through
the applicable call date, in which case an investment in the securities will underperform a hypothetical alternative investment providing
a 1-to-1 return based on the performance of the Index. In addition, you will not receive the value of dividends or other distributions
paid with respect to the securities included in the Index. Furthermore, if the securities are called on an earlier call date, you will
receive a lower call premium than if the securities were called on a later call date, and accordingly, if the securities are called on
one of the earlier call dates, you will not receive the highest potential call premium.
Higher Call Premiums Are Associated With Greater
Risk.
The securities offer the potential to receive a
call premium that reflects a per annum rate that is higher than the fixed rate we would pay on conventional debt securities of the same
maturity. These higher potential call premiums are associated with greater levels of expected risk as of the pricing date as compared
to conventional debt securities, including the risk that the securities will not be automatically called and the risk that you may lose
some, and possibly up to 90%, of the face amount per security at maturity. The volatility of the Index is an important factor affecting
this risk. Volatility is a measurement of the size and frequency of daily fluctuations in the level of the Index, typically observed over
a specified period of time. Volatility can be measured in a variety of ways, including on a historical basis or on an expected basis as
implied by option prices in the market. Greater expected volatility of the Index as of the pricing date may result in a higher call premium,
but it also represents a greater expected likelihood as of the pricing date that the closing level of the Index will be less than the
starting level on each call date, such that the securities will not be automatically called for the applicable call premium, and that
the closing level of the Index will be less than the threshold level on the final calculation day such that you will lose some, and possibly
up to 90%, of the face amount per security at maturity. In general, the higher the call premium is relative to the fixed rate we would
pay on conventional debt securities, the greater the expected risk that the securities will not be automatically called and that you will
lose some, and possibly up to 90%, of the face amount per security at maturity.
You Will Be Subject To Reinvestment Risk.
If your securities are automatically called early,
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.
A Call Settlement Date And The Stated Maturity
Date May Be Postponed If A Call Date Is Postponed.
A call date (including the final calculation day)
will be postponed if the applicable originally scheduled call date is not a trading day or if the calculation agent determines that a
market disruption event has occurred or is continuing on that call date. If such a postponement occurs with respect to a calculation day
other than the final calculation day, then the related 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.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
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.
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.
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 4-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 4-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.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
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 the 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.
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 applicable
call premium. 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
An Investment In The Securities Is Subject To
Risks Associated With Investing In Stocks With A Small Market Capitalization.
The stocks that constitute the Index are issued
by companies with relatively small market capitalization. These companies often have greater stock price volatility, lower trading volume
and less liquidity than large capitalization companies. As a result, the Index may be more volatile than that of an equity index that
does not track solely small capitalization stocks. Stock prices of small capitalization companies are also generally more vulnerable than
those of large capitalization companies to adverse business and economic developments, and the stocks of small capitalization companies
may be thinly traded, and be less attractive to many investors if they do not pay dividends. In addition, small capitalization companies
are typically less well-established and less stable financially than large capitalization companies and may depend on a small number of
key personnel, making them more vulnerable to loss of those individuals. Small capitalization companies tend to have lower revenues, less
diverse product lines, smaller shares of their target markets, fewer financial resources and fewer competitive strengths than large capitalization
companies. These companies may also be more susceptible to adverse developments related to their products or services.
Any Payment Upon An Automatic Call Or At Stated
Maturity 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 And Any Payments On The Securities. |
| · | 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. |
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
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. |
| · | 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 Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
Hypothetical Examples and Returns |
The payout profile, return tables 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 level 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 Premiums: |
9.00% for the first call date, 18.00% for the second call date, 27.00% for the third call date and 36.00% for the fourth call date. |
Hypothetical Starting Level: |
100.00 |
Hypothetical Threshold Level: |
90.00 (90% of the hypothetical starting level) |
Buffer Amount: |
10.00% |
Hypothetical Payout Profile
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
Hypothetical Returns
If the securities are automatically called:
Hypothetical call date on which
securities are automatically called |
Hypothetical payment
per security on related call
settlement date |
Hypothetical pre-tax total rate of return(1) |
1st call date |
$1,090.00 |
9.00% |
2nd call date |
$1,180.00 |
18.00% |
3rd call date |
$1,270.00 |
27.00% |
4th call date |
$1,360.00 |
36.00% |
If the securities are not automatically called:
Hypothetical
ending level |
Hypothetical percentage change from the
hypothetical starting level to the
hypothetical ending level |
Hypothetical maturity payment
amount per security |
Hypothetical pre-tax total rate of
return(1) |
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% |
80.00 |
-20.00% |
$900.00 |
-10.00% |
70.00 |
-30.00% |
$800.00 |
-20.00% |
60.00 |
-40.00% |
$700.00 |
-30.00% |
50.00 |
-50.00% |
$600.00 |
-40.00% |
40.00 |
-60.00% |
$500.00 |
-50.00% |
20.00 |
-80.00% |
$300.00 |
-70.00% |
0.00 |
-100.00% |
$100.00 |
-90.00% |
| (1) | The hypothetical pre-tax total rate of return is the number, expressed as a percentage, that results from
comparing the payment per security upon automatic call or at stated maturity to the face amount of $1,000. |
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
Hypothetical Examples Of Payment Upon An Automatic
Call Or At Stated Maturity
Example 1. The closing level of the Index
on the first call date is greater than the starting level, and the securities are automatically called on the first call date:
|
Russell 2000® Index |
Hypothetical starting level: |
100.00 |
Hypothetical closing level on first call date: |
125.00 |
Because the hypothetical closing level
of the Index on the first call date is greater than the hypothetical starting level, the securities are automatically called on the first
call date and you will receive on the related call settlement date the face amount of your securities plus a call premium of 9.00% of
the face amount. Even though the Index appreciated by 25.00% from its starting level to its closing level on the first call date in this
example, your return is limited to the call premium of 9.00% that is applicable to that call date.
On the call settlement date, you would
receive $1,090.00 per security.
Example 2. The securities are
not automatically called prior to the last call date (the final calculation day). The closing level of the Index on the final calculation
day is greater than the starting level, and the securities are automatically called on the final calculation day:
|
Russell 2000® Index |
Hypothetical starting level: |
100.00 |
Hypothetical closing level on call dates prior to the final calculation day: |
Various (all below starting level) |
Hypothetical closing level on final calculation day (i.e., the ending level): |
120.00 |
Because the hypothetical closing level
of the Index on each call date prior to the last call date (which is the final calculation day) is less than the hypothetical starting
level, the securities are not called prior to the final calculation day. Because the closing level of the Index on the final calculation
day is greater than the starting level, the securities are automatically called on the final calculation day and you will receive on the
related call settlement date (which is the stated maturity date) the face amount of your securities plus a call premium of 36.00% of the
face amount.
On the call settlement date (which is
the stated maturity date), you would receive $1,360.00 per security.
Example 3. The securities are not automatically
called. The ending level is less than the starting level but greater than the threshold level and the maturity payment amount is equal
to the face amount:
|
Russell 2000® Index |
Hypothetical starting level: |
100.00 |
Hypothetical closing level on each call date: |
Various (all below starting level) |
Hypothetical ending level: |
95.00 |
Hypothetical threshold level: |
90.00, which is 90% of the hypothetical starting level |
Because the hypothetical closing level of the Index
on each call date (including the final calculation day) 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 receive the face amount of your securities at maturity.
On the stated maturity date, you would
receive $1,000.00 per security.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
Example 4. The securities are not automatically
called. The ending level is less than the threshold level and the maturity payment amount is less than the face amount:
|
Russell 2000® Index |
Hypothetical starting level: |
100.00 |
Hypothetical closing level on each call date: |
Various (all below starting level) |
Hypothetical ending level: |
50.00 |
Hypothetical threshold level: |
90.00, which is 90% of the hypothetical starting level |
Because the hypothetical closing level
of the Index on each call date (including the final calculation day) is less than the hypothetical starting level, the securities are
not automatically called. Because the hypothetical ending level is less than the hypothetical threshold level, 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, resulting in a loss of 40.00%.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
The Index is an equity index that is intended to
provide an indication of the pattern of common stock price movement in the small capitalization segment of the United States equity market.
In addition, information about the Index may be
obtained from other sources including, but not limited to, the Index sponsor’s website (including information regarding the 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 Index is accurate or complete.
Historical Information
We obtained the closing levels of the Index in
the graph below from Bloomberg Finance L.P., without independent verification.
The following graph sets forth daily closing levels of the Index for
the period from January 1, 2019 to May 22, 2024. The closing level on May 22, 2024 was 2,081.709. The historical performance of the Index
should not be taken as an indication of its future performance during the term of the securities.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
All disclosures contained in this document regarding
the Russell 2000® Index (the "RTY"), including, without limitation, its make up, method of calculation, and changes
in its components, have been derived from publicly available sources. The information reflects the policies of, and is subject to change
by, its sponsor. None of us, the agent or Bank of Montreal accepts any responsibility for the calculation, maintenance or publication
of the RTY Index or any successor index.
The RTY was developed by Russell Investments (“Russell”)
before FTSE International Limited and Russell combined in 2015 to create FTSE Russell, which is wholly owned by London Stock Exchange
Group. Russell began dissemination of the RTY (Bloomberg L.P. index symbol “RTY”) on January 1, 1984. FTSE Russell calculates
and publishes the RTY. The RTY was set to 135 as of the close of business on December 31, 1986. The RTY is designed to track the performance
of the small capitalization segment of the U.S. equity market. As a subset of the Russell 3000® Index, the RTY consists
of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 3000® Index measures the
performance of the largest 3,000 U.S. companies, representing approximately 96% of the investable U.S. equity market. The RTY is determined,
comprised, and calculated by FTSE Russell without regard to the securities.
Selection of Stocks Underlying the RTY
All companies eligible for inclusion in the RTY
must be classified as a U.S. company under FTSE Russell’s country-assignment methodology. If a company is incorporated, has a stated
headquarters location, and trades on a standard exchange in the same country (American Depositary Receipts and American Depositary Shares
are not eligible), then the company is assigned to its country of incorporation. If any of the three factors are not the same, FTSE Russell
defines three Home Country Indicators (“HCIs”): country of incorporation, country of headquarters, and country of the most
liquid exchange (as defined by a two-year average daily dollar trading volume) from all exchanges within a country. Using the HCIs, FTSE
Russell compares the primary location of the company’s assets with the three HCIs. If the primary location of its assets matches
any of the HCIs, then the company is assigned to the primary location of its assets. If there is insufficient information to determine
the country in which the company’s assets are primarily located, FTSE Russell will use the country from which the company’s
revenues are primarily derived for the comparison with the three HCIs in a similar manner. FTSE Russell uses the average of two years
of assets or revenues data to reduce potential turnover. If conclusive country details cannot be derived from assets or revenues data,
FTSE Russell will assign the company to the country of its headquarters, which is defined as the address of the company’s principal
executive offices, unless that country is a Benefit Driven Incorporation “BDI” country, in which case the company will be
assigned to the country of its most liquid stock exchange. BDI countries include: Anguilla, Antigua and Barbuda, Aruba, Bahamas, Barbados,
Belize, Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey,
Isle of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten, and Turks and Caicos Islands. For any companies
incorporated or headquartered in a U.S. territory, including Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI is assigned. If a
company is designated as a Chinese N share, it will not be considered eligible for inclusion.
All securities eligible for inclusion in the RTY
must trade on a major U.S. exchange. Stocks must have a closing price at or above $1.00 on their primary exchange on the “rank day”,
which is the last business day of April. However, in order to reduce unnecessary turnover, if an existing member’s closing price
is less than $1.00 on the rank day, it will be considered eligible if the average of the daily closing prices (from its primary exchange)
during the 30 days prior to the rank date is equal to or greater than $1.00. Initial public offerings are added each quarter and must
have a closing price at or above $1.00 on the last day of their eligibility period in order to qualify for index inclusion. If an existing
stock does not trade on the rank day, it must have a closing price at or above $1.00 on another eligible U.S. exchange to remain eligible
for inclusion.
An important criterion used to determine the list
of securities eligible for the RTY is total market capitalization, which is defined as the market price as of the rank day for those securities
being considered at annual reconstitution times the total number of shares outstanding. Where applicable, common stock, non-restricted
exchangeable shares and partnership units/membership interests are used to determine market capitalization. Any other form of shares such
as preferred stock, convertible preferred stock, redeemable shares, participating preferred stock, warrants, rights, installment receipts
or trust receipts, are excluded from the calculation. If multiple share classes of common stock exist, they are combined to determine
total shares outstanding. If multiple classes of common stock exist, they are combined to determine total shares outstanding. In cases
where the common stock share classes act independently of each other (e.g., tracking stocks), each class is considered for inclusion separately.
Companies with a total market capitalization of
less than $30 million are not eligible for the RTY. Similarly, companies with only 5% or less of their shares available in the marketplace
are not eligible for the RTY. Royalty trusts, U.S. limited liability companies, closed-end investment companies (companies that are required
to report acquired fund fees and expenses, as defined by the SEC, including business development companies), blank check companies, special
purpose acquisition companies, and limited partnerships are also ineligible for inclusion. Exchange traded funds and mutual funds are
also excluded. Bulletin board, pink sheets, and over-the-counter traded securities are not eligible for inclusion.
Annual reconstitution is a process by which the
RTY is completely rebuilt. Based on closing levels of the company’s common stock on its primary exchange on the rank day, all eligible
securities are ranked by their total market capitalization. Reconstitution of the RTY occurs on the fourth Friday in June. In addition,
FTSE Russell adds initial public offerings to the RTY on a quarterly basis based on total market capitalization ranking within the market-adjusted
capitalization breaks established during the most recent reconstitution.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
After membership is determined, a security’s
shares are adjusted to include only those shares available to the public. This is often referred to as “free float.” The purpose
of the adjustment is to exclude from market calculations the capitalization that is not available for purchase and is not part of the
investable opportunity set.
License Agreement
FTSE Russell and the Issuer have entered into a
non-exclusive license agreement providing for the license to the Issuer, and certain of its affiliates, in exchange for a fee, of the
right to use indices owned and published by FTSE Russell in connection with some securities, including the securities. The license agreement
provides that the following language must be stated in this pricing supplement.
FTSE Russell does not guarantee the accuracy and/or
the completeness of the RTY or any data included in the RTY and has no liability for any errors, omissions, or interruptions in the RTY.
FTSE Russell makes no warranty, express or implied, as to results to be obtained by the calculation agent, holders of the securities,
or any other person or entity from the use of the RTY or any data included in the RTY in connection with the rights licensed under the
license agreement described in this document or for any other use. FTSE Russell makes no express or implied warranties, and hereby expressly
disclaims all warranties of merchantability or fitness for a particular purpose with respect to the RTY or any data included in the RTY.
Without limiting any of the above information, in no event will FTSE Russell have any liability for any special, punitive, indirect or
consequential damages, including lost profits, even if notified of the possibility of these damages.
The securities are not sponsored, endorsed, sold
or promoted by FTSE Russell. FTSE Russell makes no representation or warranty, express or implied, to the owners 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 RTY to track general stock market performance or a segment of the same. FTSE Russell’s publication of the RTY in no way suggests
or implies an opinion by FTSE Russell as to the advisability of investment in any or all of the stocks upon which the RTY is based. FTSE
Russell's only relationship to the Issuer is the licensing of certain trademarks and trade names of FTSE Russell and of the RTY, which
is determined, composed and calculated by FTSE Russell without regard to the Issuer or the securities. FTSE Russell is not responsible
for and has not reviewed the securities nor any associated literature or publications and FTSE Russell makes no representation or warranty
express or implied as to their accuracy or completeness, or otherwise. FTSE Russell reserves the right, at any time and without notice,
to alter, amend, terminate or in any way change the RTY. FTSE Russell has no obligation or liability in connection with the administration,
marketing or trading of the securities.
“Russell 2000®” and
“Russell 3000®” are registered trademarks of FTSE Russell in the U.S. and other countries.
Market Linked Securities—Auto-Callable with Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
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 your 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 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 Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due May 25, 2028
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 Bank of Montreal’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-20
Exhibit 107.1
The pricing supplement to which this Exhibit is attached
is a final prospectus for the related offering. The maximum aggregate offering price of the offering is $1,765,000.
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