Registration Statement No.333-264388
Filed Pursuant to Rule 433
Subject to Completion,
dated September 27, 2024
Pricing Supplement to the Prospectus dated May 26, 2022,
the Prospectus Supplement dated May 26, 2022 and the Product Supplement dated July 22, 2022
US$ [ ]
Senior Medium-Term Notes, Series I
Buffer Notes due October 30, 2026
Linked to the Russell 2000® Index
| · | The notes are designed for investors who seek periodic interest payments at the interest rate (the "Interest
Rate") of 1.218% per quarter (approximately 4.87% per annum). Investors should be willing to forego any potential to participate
in the appreciation of the Russell 2000® Index (the “Reference Asset”) , and be willing to lose a significant portion
of their principal at maturity. |
| · | The notes will pay a Coupon on each Coupon Payment Date at the Interest Rate. |
| · | The notes do not guarantee any return of principal at maturity. Instead, the payment at maturity will
be based on the Final Level of the Reference Asset and whether the Final Level of that Reference Asset has declined from its Initial Level
to below its Buffer Level on the Valuation Date (a “Trigger Event”), as described below. |
| · | If a Trigger Event has occurred you will receive a cash amount at maturity that is less than the principal
amount, together with the final Coupon. Specifically, the value of the cash amount that you receive will decrease 1% for each 1% decrease
in the level of the Reference Asset from its Initial Level to its Final Level in excess of 15.00%. Even with Interest payments, the return
on the notes may be negative. |
| · | Investing in the notes is not equivalent to a hypothetical direct investment in the Reference Asset. |
| · | 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. |
| · | 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: |
October 28, 2024 |
|
Valuation Date: |
October 27, 2026 |
Settlement Date: |
October 31, 2024 |
|
Maturity Date: |
October 30, 2026 |
1Expected. See “Key Terms of the Notes” below
for additional details.
Specific Terms of the Notes:
Series
Number |
Reference
Asset |
Ticker
Symbol |
Initial
Level |
Interest Rate |
Buffer
Level |
CUSIP |
Principal
Amount |
Price to
Public1 |
Agent’s
Commission1 |
Proceeds to
Bank of
Montreal1 |
4011 |
The Russell 2000® Index |
RTY |
[ ] |
1.218% per quarter (approximately 4.87% per annum) |
[ ], 85.00% of its Initial Level |
06376BVE5 |
[ ] |
100% |
Up to 2.50%
[ ] |
At least 97.50%
[ ] |
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 $975.00 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-6 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 $964.30 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 $915.00 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 Russell 2000® Index (ticker symbol "RTY"). See "The Reference Asset" below for additional information. |
|
|
Coupons: |
A Coupon will be paid on the corresponding Coupon Payment Date at the Interest Rate. |
|
|
Interest Rate: |
1.218% per quarter (approximately 4.87% per annum). Accordingly, each Coupon will equal $12.18 |
|
|
Coupon Payment Dates:1 |
Interest will be paid on the last business day of each January, April, July, and October, beginning on January 31, 2025 and ending on the Maturity Date. |
|
|
Payment at Maturity: |
You will receive $1,000 for each $1,000 in principal amount of the note,
unless a Trigger Event has occurred.
If a Trigger Event has occurred, you will receive at maturity, for each
$1,000 in principal amount of your notes, a cash amount equal to:
$1,000 + [$1,000 x (Percentage Change + Buffer Percentage)]
This amount will be less than the principal amount
of your notes, and may be zero. Specifically, you 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 excess of 15.00%.
You will also receive the final Coupon. Even with Coupons, the return
on the notes may be negative. |
|
|
Trigger Event: |
A Trigger Event will be deemed to occur if the Final Level of the Reference Asset is less than its Buffer Level on the Valuation Date. |
|
|
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. |
|
|
Buffer Level:2 |
85.00% of the Initial Level. |
|
|
Buffer Percentage: |
15.00% Accordingly, you will receive the principal amount of your notes at maturity only if the level of the Reference Asset does not decrease by more than 15.00% over the term of the notes. If the Final Level of the Reference Asset is less than its Buffer Level, you will receive less than the principal amount of your notes at maturity and you could lose up to 85.00% of the principal amount of your notes. |
|
|
Final Level:2 |
The closing level of the Reference Asset on the Valuation Date. |
|
|
Pricing Date:1 |
October 28, 2024 |
|
|
Settlement Date:1 |
October 31, 2024 |
|
|
Valuation Date:1 |
October 27, 2026 |
|
|
Maturity Date:1 |
October 30, 2026 |
|
|
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
Coupon Payment Dates, 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 - Adjustments to a Reference Asset that is an Index" in the product
supplement for additional information.
Additional Terms of the Notes
You should read this document together with the
product supplement dated July 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 July 22, 2022:
https://www.sec.gov/Archives/edgar/data/927971/000121465922009102/r712220424b2.htm
Prospectus supplement dated May 26, 2022 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. The payment
at maturity will be based on the Final Level and whether a Trigger Event has occurred. If the Final Level is less than the Buffer Level,
a Trigger Event will occur and 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 significantly
less. Accordingly, even with Coupons, the return on the notes may be negative. |
| · | Your return on the notes is limited to the Coupons regardless of any increase in the level of the Reference Asset — You
will not receive a payment at maturity with a value greater than your principal amount plus the final Coupon. Accordingly, your maximum
return on the applicable notes is limited to the potential return represented by the Coupons. |
| · | 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.
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. |
| · | A higher Interest Rate or lower Buffer Level may reflect greater expected volatility of the Reference Asset, and greater expected
volatility generally indicates an increased risk of loss at maturity. — The economic terms for the notes, including the Interest
Rate and Buffer Level, are based, in part, on the expected volatility of the Reference Asset at the time the terms of the notes are set.
“Volatility” refers to the frequency and magnitude of changes in the level of the Reference Asset. The greater the expected
volatility of the Reference Asset as of the Pricing Date, the greater the expectation is as of that date that a Trigger Event could occur
and, as a consequence, an increased risk of loss. All things being equal, this greater expected volatility will generally be reflected
in a higher Interest Rate than the yield payable on our conventional debt securities with a similar maturity or on otherwise comparable
securities, and/or a lower Buffer Level than those terms on otherwise comparable securities. Therefore, a relatively higher Interest Rate
may indicate an increased risk of loss. Further, a relatively lower Buffer Level may not necessarily indicate that the notes have a greater
likelihood of a return of principal at maturity. You should be willing to accept the downside market risk of the Reference Asset and the
potential to lose a significant portion or all of your initial investment. |
Risks Related to the Reference Asset
| · | Owning the notes is not the same as a hypothetical direct investment in 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 made a hypothetical direct
investment in the Reference Asset or the underlying securities of the Reference Asset or a security directly linked to the performance
of the Reference Asset or the underlying securities 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. |
| · | You will not have any shareholder rights and will have no right to receive any shares of any company included in the Reference
Asset at maturity. — Investing in your notes will not make you a holder of any securities included in 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 such underlying securities. |
| · | We have no affiliation with the index sponsor and will not be responsible for the index sponsor's actions. — The sponsor
of the Reference Asset 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, including any actions of the type that would require the calculation agent to adjust the
payment to you at maturity. The index sponsor have no obligation of any sort with respect to the notes. Thus, the 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. |
| · | Changes that affect the Reference Asset could adversely affect the notes. — The policies of the sponsor of the Reference
Asset with respect to the Reference Asset concerning the calculation of the Reference Asset, additions, deletions or substitutions of
the components of the Reference Asset and the manner in which changes affecting those components, such as stock dividends, reorganizations
or mergers, may be reflected in the Reference Asset and, therefore, could affect the level of the Reference Asset, the amount payable
on the notes at maturity 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 an index sponsor changes these policies, for example, by changing the manner in which it calculates the Reference
Asset, or if an index sponsor discontinues or suspends the calculation or publication of the Reference Asset. If an index sponsor discontinues
publication of the Reference Asset, the calculation agent may select a successor index (and make any corresponding adjustments to the
applicable Initial Level and Buffer Level) which will be used as a substitute for the Reference Asset for all purposes with respect to
the notes. |
| · | 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 level of the Reference Asset
or the securities included in 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 Relating to the Russell 2000® Index
| · | An investment in the notes is subject to risks associated in investing in stocks with a small market capitalization. - The
Russell 2000® Index consists of stocks issued by companies with relatively small market capitalizations. These companies often have
greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies. As a result, the level of
the Russell 2000® Index may be more volatile than that of a market measure 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. |
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 securities included in 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 securities included in the Reference Assets, futures or options relating to the Reference
Assets or securities included in the Reference Assets or other derivative instruments with returns linked or related to changes in the
performance on the Reference Assets or securities included in the Reference Assets. We or our affiliates may also trade in the securities
included in the Reference Assets or instruments related to the Reference Assets 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 Payout for a $1,000 Investment in the
Notes
The following tables and examples illustrate the
hypothetical payments on a note, assuming different scenarios. The hypothetical payments are based on a $1,000 investment, a hypothetical
Initial Level of 100.00, a hypothetical Buffer Level of 85.00 (85.00% of the hypothetical Initial Level), a hypothetical interest rate
of 1.218% per quarter (approximately 4.87% per annum), and a range of hypothetical closing levels of the Reference Asset.
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. The numbers appearing in the following examples have been rounded for ease of analysis.
The table below illustrates the hypothetical total
Coupons per note over the term of the notes based on the hypothetical terms set forth above. The hypothetical total Coupons paid per note
over the term of the notes will be equal to the maximum amount shown in the table below.
Number of Coupons |
Total Coupon Payments |
1 |
$12.18 |
2 |
$24.36 |
3 |
$36.54 |
4 |
$48.72 |
5 |
$60.90 |
6 |
$73.08 |
7 |
$85.26 |
8 |
$97.44 |
The following table illustrates the hypothetical
payments on a note at maturity.
Hypothetical Final Level |
Hypothetical Final Level Expressed
as a Percentage of the Initial Level |
Payment at Maturity (Excluding
Coupons) |
200.00 |
200.00% |
$1,000.00 |
180.00 |
180.00% |
$1,000.00 |
160.00 |
160.00% |
$1,000.00 |
140.00 |
140.00% |
$1,000.00 |
120.00 |
120.00% |
$1,000.00 |
100.00 |
100.00% |
$1,000.00 |
95.00 |
95.00% |
$1,000.00 |
90.00 |
90.00% |
$1,000.00 |
85.00 |
85.00% |
$1,000.00 |
84.99 |
84.99% |
$999.90 |
80.00 |
80.00% |
$950.00 |
60.00 |
60.00% |
$750.00 |
40.00 |
40.00% |
$550.00 |
20.00 |
20.00% |
$350.00 |
0.00 |
0.00% |
$150.00 |
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 an investment unit consisting of a
Debt Portion and a Put Option (as such terms are defined in the accompanying product supplement) 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 an investment unit consisting of
a Debt Portion and a Put Option in respect of the Reference Asset for U.S. federal income tax purposes. The following table sets forth
the amount of stated interest on the notes and the portion that will be treated as an interest payment on the Debt Portion and as payment
for the Put Option for U.S. federal income tax purposes.
Interest Rate per Annum |
Treated as an Interest Payment on
the Debt Portion |
Treated as Payment for the Put
Option |
4.872% |
[*]% |
[*]% |
Please see the discussion in the accompanying product
supplement under “Supplemental Tax Considerations—Supplemental U.S. Federal Income Tax Considerations — Notes Treated
as an Investment Unit Consisting of a Debt Portion and a Put Option, as a Pre-Paid Contingent Income-Bearing Derivative Contract, or as
a Pre-Paid Derivative Contract—Notes Treated as an Investment Unit Consisting of a Debt Portion and a Put Option,” which applies
to the notes, except the following disclosure which supplements, and to the extent inconsistent supersedes, the discussion in the product
supplement.
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
All disclosures contained in this pricing supplement
regarding the Reference Asset, including, without limitation, their make-up, method of calculation, and changes in their components and
their historical closing levels, have been derived from publicly available information prepared by the applicable sponsor. The information
reflects the policies of, and is subject to change by, the sponsor. The sponsor owns the copyrights and all rights to the Reference Asset.
The sponsor is under no obligation to continue to publish, and may discontinue publication of, the Reference Asset. Neither we nor BMOCM
accepts any responsibility for the calculation, maintenance or publication of the Reference Asset or any successor. We encourage you to
review recent levels of the Reference Asset prior to making an investment decision with respect to the notes.
The Russell 2000® Index (“RTY”)
The Russell 2000® Index was developed by Russell
Investments (“Russell”) before FTSE International Limited (“FTSE”) and Russell combined in 2015 to create FTSE
Russell, which is wholly owned by London Stock Exchange Group. Russell began dissemination of the Russell 2000® Index (Bloomberg L.P.
index symbol “RTY”) on January 1, 1984. The Russell 2000® Index was set to 135 as of the close of business on December
31, 1986. FTSE Russell calculates and publishes the Russell 2000® Index. The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. The Russell 2000® Index is a subset of the Russell 3000® Index
representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities
based on a combination of their market cap and current index membership. The Russell 3000® Index measures the performance of the largest
3,000 U.S. companies. The Russell 2000® Index is determined, comprised, and calculated by FTSE Russell without regard to the notes.
Selection of Stocks Comprising the Russell
2000® Index
All companies eligible for inclusion in the Russell
2000® Index 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 (“ADDTV”) from all exchanges within
a country. Using the HCIs, FTSE Russell cross-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 its primary asset location. If there is insufficient
information to determine located company’s primary location of assets, FTSE Russell will use the primary location of the company’s
revenue for the same cross-comparison and assigns the company to the appropriate country in a similar fashion. FTSE Russell uses an average
of two years of assets or revenues data for analysis 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 in which its headquarters are located unless the country
is a Benefit Driven Incorporation (BDI) country. If the country in which its headquarters are located is a BDI, the company is 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 countries such as Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI
is assigned. “N-Shares” of companies controlled by entities in mainland China are not eligible for inclusion in the Russell
2000® Index.
All securities eligible for inclusion in the Russell
2000® Index must trade on an eligible U.S. exchange. Stocks must have a closing price at or above $1.00 (on its primary exchange)
on rank day in May of each year (timetable is announced each spring) to be eligible for inclusion during annual reconstitution. However,
in order to reduce unnecessary turnover, if an existing member’s closing price is less than $1.00 on rank day of May, 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. FTSE Russell adds initial public offerings (IPOs) each quarter to ensure that new additions to the institutional
investing opportunity set are reflected in representative indexes. A stock added during the quarterly IPO process is considered a new
index addition, and therefore must have a closing price on its primary exchange at or above $1.00 on the last day of the eligibility period
in order to qualify for index inclusion. If an existing index member does not trade on the rank day, it must price at $1.00 or above on
another eligible U.S. exchange to remain eligible.
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, are not eligible for inclusion), blank check companies, special-purpose acquisition companies (SPACs),
Exchange Traded Funds (ETFs), mutual funds and limited partnerships are ineligible for inclusion. Preferred and convertible preferred
stock, redeemable shares, participating preferred stock, warrants, rights, depositary receipts, installment receipts and trust receipts
are not eligible for inclusion in the Russell 2000® Index.
Annual reconstitution is a process by which the
Russell 2000® Index is completely rebuilt. On the rank day in May of each year, all eligible securities are ranked by their total
market capitalization. The largest 4,000 become the Russell 3000E Index, and the other FTSE Russell indexes are determined from that set
of securities. If there are not 4, 000 eligible securities in the U.S. market, the entire eligible set is include. Reconstitution of the
Russell 2000® Index occurs on the last Friday in June or, when the last Friday in June is the 29th or 30th, reconstitution occurs
on the prior Friday. In addition, FTSE Russell adds initial public offerings to the Russell 2000® Index on a quarterly basis based
on total market capitalization ranking within the market-adjusted capitalization breaks established during the most recent reconstitution.
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
“Russell 2000®” and “Russell
3000®” are trademarks of FTSE Russell and have been licensed for use by us.
The notes 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 notes or any member of the
public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the Russell 2000®
Index to track general stock market performance or a segment of the same. FTSE Russell's publication of the Russell 2000® Index in
no way suggests or implies an opinion by FTSE Russell as to the advisability of investment in any or all of the securities upon which
the Russell 2000® Index 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 Russell 2000® Index which is determined, composed and calculated by FTSE Russell without regard to
the Issuer or the notes. FTSE Russell is not responsible for and has not reviewed the notes 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 Russell 2000® Index. FTSE
Russell has no obligation or liability in connection with the administration, marketing or trading of the notes.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY AND/OR
THE COMPLETENESS OF THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS,
OMISSIONS, OR INTERRUPTIONS THEREIN. FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, INVESTORS,
OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED THEREIN. FTSE RUSSELL
MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE
OR USE WITH RESPECT TO THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED HEREIN WITHOUT LIMITING ANY OF THE FOREGOING. IN NO EVENT SHALL
FTSE RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED
OF THE POSSIBILITY OF SUCH DAMAGES.
13
Microsectors Energy 3x L... (AMEX:WTIU)
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