The information in this preliminary pricing supplement is
not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these securities
in any jurisdiction where the offer or sale is not permitted.
Registration Statement No.
333-264388
Filed Pursuant to Rule 424(b)(2)
Subject
to Completion, dated August 15, 2024
Pricing Supplement to the
Prospectus Supplement and Prospectus, each dated May 26, 2022
US$____
Senior Medium-Term
Notes, Series I
SOFR Floating Rate
Notes, due August 23, 2027
Issuer: |
Bank of Montreal |
Title of Notes: |
SOFR Floating Rate Notes, due August 23, 2027 (the "Notes") |
Trade Date: |
August 20, 2024 |
Settlement Date (Original Issue Date): |
August 23, 2024 |
Stated Maturity: |
August 23, 2027 |
Principal Amount (in Specified
Currency): |
US$ ● ; Minimum Denomination: US$1,000 and integral multiples of US$1,000 in excess of $1,000. |
Original Public Offering Price (Issue
Price): |
100% |
Interest Rate per Annum: |
The Notes will bear interest at a per annum rate equal to SOFR (as defined
below), compounded as described in this document (the "Reference Rate”), plus the Spread, subject to the Interest Rate Floor.
Interest on the Notes will accrue on the basis of a 360-day year of
twelve 30-day months. |
|
The Reference Rate will be determined by the Calculation Agent as described below in the section “Secured Overnight Financing Rate.” |
Spread: |
0.90% |
Interest Rate Floor: |
0.75% per annum |
Interest Payment Periods: |
Quarterly |
Interest Payment Dates: |
Interest is payable quarterly in arrears on February 23, May 23, August 23 and November 23 of each year, commencing November 23, 2024. See “Specific Terms of the Notes — Interest” below. |
Payment at Maturity: |
Subject to our credit risk, you will receive at maturity the principal amount and the final interest payment. |
Calculation Agent: |
BMO Capital Markets Corp. |
Clearance and Settlement: |
DTC global (including through its indirect participants Euroclear and Clearstream, as described under “Description of Debt Securities We May Offer —Legal Ownership and Book-Entry Issuance” in the accompanying prospectus). |
CUSIP No.: |
06376AHM5 |
Optional Redemption Provision: |
Not applicable. |
Bail-inable Notes: |
The Notes will be bail-inable notes (as defined in the accompanying prospectus supplement and subject to conversion in whole or in part — by means of a transaction or series of transactions and in one or more steps — into common shares of Bank of Montreal or any of its affiliates under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act (the “CDIC Act”) and to variation or extinguishment in consequence, and subject to the application of the laws of the Province of Ontario and the federal laws of Canada applicable therein in respect of the operation of the CDIC Act with respect to the Notes. |
We urge you to read this pricing supplement together
with the prospectus supplement and prospectus. You may access these documents on the SEC website at www.sec.gov as follows (or if that
address has changed, by reviewing our filings for the relevant date on the SEC website):
Investing in the
Notes involves risks, including those described in “Risk Factors” beginning on page P-4 of this document, page S-2 of
the accompanying prospectus supplement and page 8 of the accompanying prospectus. In particular, please note that all payments on
the Notes are subject to our credit risk.
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 pricing 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.
We expect to deliver the
Notes through the facilities of The Depository Trust Company on or about August 23, 2024.
We may use this pricing
supplement in the initial sale of Notes. In addition, BMO Capital Markets Corp. (“BMOCM”) or another of our affiliates may
use this pricing supplement in market-making transactions in any Notes after their initial sale. Unless our agent or we inform you
otherwise in the confirmation of sale, this pricing supplement is being used in a market-making transaction.
The public
offering price will include accrued interest from August 23, 2024, if settlement occurs after that date. The agents set forth below will
purchase the Notes from us on the settlement date at prices that are expected to range from 99.50% to 100.00% of the principal amount.
Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts and/or eligible institutional investors may forgo
some or all of their selling concessions, fees or commissions. The price to public for investors purchasing the Notes in these accounts
and/or for an eligible institutional investor may be as low as $995.00 (99.50%) per $1,000 in principal amount of the Notes. See "Supplemental
Plan of Distribution" in this pricing supplement.
BMO Capital Markets Mizuho Securities USA LLC
SPECIFIC TERMS OF THE NOTES
The Notes are part of a series
of our senior debt securities called Senior Medium-Term Notes, Series I, and therefore, this pricing supplement (the “pricing supplement”),
should be read together with the accompanying prospectus supplement and the accompanying prospectus, each dated May 26, 2022. Terms used
but not defined in this pricing supplement have the meanings given them in the accompanying prospectus or accompanying prospectus supplement,
unless the context requires otherwise.
In this section, references to
“holders” mean those who own the Notes registered in their own names, on the books that we or the trustee maintain for this
purpose, and not those who own beneficial interests in the Notes registered in street name or in the Notes issued in book-entry form through
The Depository Trust Company or another depositary. Owners of beneficial interests in the Notes should read the section entitled
“Description of the Notes We May Offer — Legal Ownership” in the accompanying prospectus supplement and “Description
of Debt Securities We May Offer — Legal Ownership and Book-Entry Issuance” in the accompanying prospectus.
The Notes are part of a series
of senior debt securities entitled “Senior Medium-Term Notes, Series I” (the “medium-term notes”) that we may
issue from time to time under the senior indenture, dated January 25, 2010, as amended and supplemented to date, between Bank of Montreal
and The Bank of New York Mellon, as trustee. This pricing supplement summarizes specific financial and other terms that apply to the Notes.
Terms that apply generally to our medium-term notes are described in “Description of the Notes We May Offer” in the accompanying
prospectus supplement. The terms described herein supplement those described in the accompanying prospectus and the accompanying prospectus
supplement, and, if the terms described here are inconsistent with those described in those documents, the terms described herein are
controlling.
The Notes are bail-inable notes
(as defined in the accompanying prospectus supplement) and subject to conversion in whole or in part – by means of a transaction
or series of transactions and in one or more steps – into common shares of Bank of Montreal or any of its affiliates under subsection
39.2(2.3) of the Canada Deposit Insurance Corporation Act (the “CDIC Act”) and to variation or extinguishment in consequence,
and subject to the application of the laws of the Province of Ontario and the federal laws of Canada applicable therein in respect of
the operation of the CDIC Act with respect to the Notes.
Please note that the information
about the price to the public and the net proceeds to Bank of Montreal on the front cover of this pricing supplement relates only to the
initial sale of the Notes. If you have purchased the Notes in a market-making transaction after the initial sale, information about the
price and date of sale to you will be provided in a separate confirmation of sale.
We describe particular terms
of the Notes in more detail below.
Interest
The Notes will bear interest at a floating rate
per annum which equals the Reference Rate plus the Spread, subject to the Interest Rate Floor set forth above.
Interest will be payable quarterly
in arrears on the Interest Payment Dates set forth above. Interest on the Notes will accrue on the basis of a 360-day year of twelve 30-day
months. Interest will be payable to holders of record on the 3rd business day before each Interest Payment Date. Interest will
accrue from and including each Interest Payment Date to but excluding the next Interest Payment Date. In the event that an Interest Payment
Date or the Stated Maturity falls on a day other than a business day, in New York, New York, principal and/or interest will be paid on
the next succeeding business day in New York and no interest on such payment shall accrue for the period from and after such Interest
Payment Date or Stated Maturity, as the case may be, to such next succeeding business day.
Optional Redemption Feature
Not applicable.
Agreement with Respect to
the Exercise of Canadian Bail-in Powers
By its acquisition of an interest
in any Note, each holder or beneficial owner of that Note is deemed to (i) agree to be bound, in respect of that Note, by the CDIC Act,
including the conversion of that Note, in whole or in part – by means of a transaction or series of transactions and in one or more
steps – into common shares of Bank of Montreal or any of its affiliates under subsection 39.2(2.3) of the CDIC Act and the variation
or extinguishment of that Note in consequence, and by the application of the laws of the Province of Ontario and the federal laws of Canada
applicable therein in respect of the operation of the CDIC Act with respect to that Note; (ii) attorn and submit to the jurisdiction of
the courts in the Province of Ontario with respect to the CDIC Act and those laws; (iii) have represented and warranted that Bank of Montreal
has not directly or indirectly provided financing to the holder or beneficial owner of the bail-inable notes for the express purpose of
investing in the bail-inable notes; and (iv) acknowledge and agree that the terms referred to in paragraphs (i) and (ii), above, are binding
on that holder or beneficial owner despite any provisions in the indenture or that Note, any other law that governs that Note and any
other agreement, arrangement or understanding between that holder or beneficial owner and Bank of Montreal with respect to that Note.
Holders and beneficial owners
of any Note will have no further rights in respect of that Note to the extent that Note is converted in a bail-in conversion, other than
those provided under the bail-in regime, and by its acquisition of an interest in any Note, each holder or beneficial owner of that Note
is deemed to irrevocably consent to the converted portion of the principal amount of that Note and any accrued and unpaid interest thereon
being deemed paid in full by Bank of Montreal by the issuance of common shares of Bank of Montreal (or, if applicable, any of its affiliates)
upon the occurrence of a bail-in conversion, which bail-in conversion will occur without any further action on the part of that holder
or beneficial owner or the trustee; provided that, for the avoidance of doubt, this consent will not limit or otherwise affect any rights
that holders or beneficial owners may have under the bail-in regime.
See “Description of the
Notes We May Offer — Special Provisions Related to Bail-inable Notes” in the accompanying prospectus supplement for a description
of provisions applicable to the Notes as a result of Canadian bail-in powers.
RISK FACTORS
Prior to making an investment
in the Notes, investors should carefully consider the information set forth in the prospectus supplement and the prospectus under the
caption "Risk Factors," together with the information in this section.
Risks Relating to the Terms
and Structure of the Notes
Payments on the Notes Are
Subject to Our Credit Risk.
Our credit ratings and credit
spreads may adversely affect the market value of the Notes. Investors are dependent on our ability to pay all amounts due on the Notes
on each Interest Payment Date and at maturity, 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.
The Price You Pay on the Notes
Will Reflect Fees and Hedging Costs.
While the payment at maturity
described in this pricing supplement is based on the full principal amount of your Notes, the original offering price of the Notes includes
the commission received by the agents and other dealers and the cost of hedging our obligations under the Notes. As a result, the price,
if any, at which the agents may be willing to purchase Notes from you in secondary market transactions will likely be lower than the price
you paid for your Notes, and any sale prior to the maturity date could result in a substantial loss to you.
Additional Risks Relating
to SOFR
The Secured Overnight Financing
Rate Is a Relatively New Reference Rate and its Composition and Characteristics Are Not the Same as LIBOR.
On June 22, 2017, the Alternative
Reference Rates Committee (“ARRC”) convened by the Board of Governors of the Federal Reserve System and the Federal Reserve
Bank of New York identified the Secured Overnight Financing Rate (“SOFR”) as the rate that, in the consensus view of the ARRC,
represented best practice for use in certain new U.S. dollar derivatives and other financial contracts. SOFR is a broad measure of the
cost of borrowing cash overnight collateralized by U.S. treasury securities, and has been published by the Federal Reserve Bank of New
York since April 2018. The Federal Reserve Bank of New York has also begun publishing historical indicative Secured Overnight Financing
Rates from 2014. Investors should not rely on any historical changes or trends in SOFR as an indicator of future changes in SOFR.
The composition and characteristics
of SOFR are not the same as those of LIBOR, and SOFR is fundamentally different from LIBOR for two key reasons. First, SOFR is a secured
rate, while LIBOR is an unsecured rate. Second, SOFR is an overnight rate, while LIBOR is a forward-looking rate that represents interbank
funding over different maturities (e.g., three months). As a result, there can be no assurance that SOFR (including SOFR, compounded as
described in this document) will perform in the same way as LIBOR would have at any time, including, without limitation, as a result of
changes in interest and yield rates in the market, market volatility or global or regional economic, financial, political, regulatory,
judicial or other events.
SOFR May Be More Volatile
Than Other Benchmark or Market Rates.
Since the initial publication
of SOFR, daily changes in SOFR have, on occasion, been more volatile than daily changes in other benchmark or market rates, such as USD
LIBOR. Although changes in SOFR, compounded as described in this document, generally are not expected to be as volatile as changes in
daily levels of SOFR, the return on and value of the Notes may fluctuate more than floating rate securities that are linked to less volatile
rates. In addition, the volatility of SOFR has reflected the underlying volatility of the overnight U.S. Treasury repo market. The Federal
Reserve Bank of New York has at times conducted operations in the overnight U.S. Treasury repo market in order to help maintain the federal
funds rate within a target range. There can be no assurance that the Federal Reserve Bank of New York will continue to conduct such operations
in the future, and the duration and extent of any such operations is inherently uncertain. The effect of any such operations, or of the
cessation of such operations to the extent they are commenced, is uncertain and could be materially adverse to investors in the Notes.
Any Failure of SOFR to
Gain Market Acceptance Could Adversely Affect the Notes.
According to the ARRC, SOFR was
developed for use in certain U.S. dollar derivatives and other financial contracts as an alternative to USD LIBOR in part because it is
considered a good representation of general funding conditions in the overnight U.S. Treasury repurchase agreement market. However, as
a rate based on transactions secured by U.S. Treasury securities, it does not measure bank-specific credit risk and, as a result, is less
likely to correlate with the unsecured short-term funding costs of banks. This may mean that market participants would not consider SOFR
a suitable replacement or successor for all of the purposes for which USD LIBOR historically has been used (including, without limitation,
as a representation of the unsecured short-term funding costs of banks), which may, in turn, lessen market acceptance of SOFR. Any failure
of SOFR to gain market acceptance could adversely affect the return on and value of the Notes and the price at which investors can sell
the Notes in any secondary market.
In addition, if SOFR does not
prove to be widely used as a benchmark in securities that are similar or comparable to the Notes, the trading price of the Notes may be
lower than those of securities that are linked to rates that are more widely used. Similarly, market terms for floating-rate debt securities
linked to SOFR, such as the spread over the base rate reflected in interest rate provisions or the manner of compounding the base rate,
may evolve over time, and trading prices of the Notes may be lower than those of later-issued SOFR-based debt securities as a result.
Investors in the Notes may not be able to sell the Notes at all or may not be able to sell the Notes at prices that will provide them
with a yield comparable to similar investments that have a developed secondary market, and may consequently suffer from increased pricing
volatility and market risk.
The Interest Rate on the Notes
Is Based on a Compounded SOFR Rate, which is Relatively New in the Marketplace.
The interest rate on the Notes
will be based on the Reference Rate, which is calculated using the SOFR published by the Federal Reserve Bank of New York, compounded
according to the specific formula described under “The Secured Overnight Financing Rate,” and not the SOFR rate published
on or in respect of a particular date during such interest period or an arithmetic average of SOFR rates during such period. For this
and other reasons, the interest rate on the Notes during any applicable interest period will not necessarily be the same as the interest
rate on other SOFR-linked investments that use an alternative basis to determine the applicable interest rate. Further, if the SOFR rate
in respect of a particular date during an interest period is negative, its contribution to the Reference Rate will be less than one, resulting
in a reduction to the formula used to calculate the interest payable on the Notes on the Interest Payment Date for such interest period.
Limited market precedent exists
for securities that use SOFR as the interest rate and the method for calculating an interest rate based upon SOFR in those precedents
varies. Accordingly, the use of SOFR and/or the specific formula for the Reference Rate used in the Notes may not be widely adopted by
other market participants, if at all. If the market adopts a different calculation method, that would likely adversely affect the market
value of the Notes.
The Reference Rate with Respect
to a Particular Interest Period Will Only Be Capable of Being Determined Near the End of the Relevant Interest Period.
The Reference Rate applicable
to a particular interest period and, therefore, the amount of interest payable with respect to such interest period will be determined
on the Interest Determination Date (as defined herein) for such interest period. Because each such date is near the end of such interest
period, you will not know the amount of interest payable with respect to a particular interest period until shortly prior to the related
Interest Payment Date, and it may be difficult for you to reliably estimate the amount of interest that will be payable on each such Interest
Payment Date. In addition, some investors may be unwilling or unable to trade the Notes without changes to their information technology
systems, both of which could adversely impact the liquidity and trading price of the Notes.
SOFR May Be Modified or Discontinued
and the Notes May Bear Interest by Reference to a Rate Other than SOFR, which Could Adversely Affect the Value of the Notes.
SOFR is published by the Federal
Reserve Bank of New York based on data received by it from sources other than us, and we have no control over its methods of calculation,
publication schedule, rate revision practices or availability of SOFR at any time. There can be no guarantee, particularly given its relatively
recent introduction, that SOFR will not be discontinued or fundamentally altered in a manner that is materially adverse to the interests
of investors in the Notes. If the manner in which SOFR is calculated, including the manner in which SOFR is calculated, is changed, that
change may result in a reduction in the amount of interest payable on the Notes and the trading prices of the Notes. In addition, the
Federal Reserve Bank of New York may withdraw, modify or amend the published SOFR data in its sole discretion and without notice. The
interest rate for any interest period will not be adjusted for any modifications or amendments to SOFR data that the Federal Reserve Bank
of New York may publish after the interest rate for that interest period has been determined.
If the Calculation Agent determines
that a Benchmark Transition Event and its related Benchmark Replacement Date have occurred in respect of SOFR, then the interest rate
on the Notes will no longer be determined by reference to SOFR, but instead will be determined by reference to a different rate, plus
a spread adjustment, which we refer to as a “Benchmark Replacement,” as further described under the caption “The Secured
Overnight Financing Rate.”
If a particular Benchmark Replacement
or Benchmark Replacement Adjustment cannot be determined, then the next-available Benchmark Replacement or Benchmark Replacement Adjustment
will apply. These replacement rates and adjustments may be selected, recommended or formulated by (i) the Relevant Governmental Body (such
as the ARRC), (ii) the International Swaps and Derivatives Association (“ISDA”) or (iii) in certain circumstances, the Calculation
Agent. In addition, the terms of the Notes expressly authorize the Calculation Agent to make Benchmark Replacement Conforming Changes
with respect to, among other things, changes to the definition of “interest period,” the methodology, timing and frequency
of determining rates and making payments of interest and other administrative matters. The determination of a Benchmark Replacement, the
calculation of the interest rate on the Notes by reference to a Benchmark Replacement (including the application of a Benchmark Replacement
Adjustment), any implementation of Benchmark Replacement Conforming Changes and any other determinations, decisions or elections that
may be made under the terms of the Notes in connection with a Benchmark Transition Event, could adversely affect the value of the Notes,
the return on the Notes and the price at which you can sell such Notes.
In addition, (i) the composition
and characteristics of the Benchmark Replacement will not be the same as those of the Reference Rate, the Benchmark Replacement may not
be the economic equivalent of the Reference Rate, there can be no assurance that the Benchmark Replacement will perform in the same way
as the Reference Rate would have at any time and there is no guarantee that the Benchmark Replacement will be a comparable substitute
for the Reference Rate (each of which means that a Benchmark Transition Event could adversely affect the value of the Notes, the return
on the Notes and the price at which you may sell the Notes), (ii) any failure of the Benchmark Replacement to gain market acceptance could
adversely affect the Notes, (iii) the Benchmark Replacement may have a very limited history and the future performance of the Benchmark
Replacement may not be predicted based on historical performance, (iv) the secondary trading market for Notes linked to the Benchmark
Replacement may be limited and (v) the administrator of the Benchmark Replacement may make changes that could change the value of the
Benchmark Replacement or discontinue the Benchmark Replacement and has no obligation to consider your interests in doing so.
The Calculation Agent Will
Make Determinations with Respect to the Notes.
The Calculation Agent will make
certain determinations with respect to the Notes, as further described under the caption “The Secured Overnight Financing Rate.”
In addition, if a Benchmark Transition Event and its related Benchmark Replacement Date have occurred, the Calculation Agent will make
certain determinations with respect to the Notes in the Calculation Agent’s sole discretion as further described under the caption
“The Secured Overnight Financing Rate.”
Any determination, decision or
election pursuant to the benchmark replacement provisions not made by the Calculation Agent will be made by us. Any of these determinations
may adversely affect the value of the Notes, the return on the Notes and the price at which you can sell such Notes. Moreover, certain
determinations may require the exercise of discretion and the making of subjective judgments, such as with respect to SOFR, the calculation
of interest on the Notes, or the occurrence or non-occurrence of a Benchmark Transition Event and any Benchmark Replacement Conforming
Changes. These potentially subjective determinations may adversely affect the value of the Notes, the return on the Notes and the price
at which you can sell such Notes. For further information regarding these types of determinations, see “The Secured Overnight Financing
Rate.”
THE SECURED OVERNIGHT FINANCING RATE
The Reference Rate is SOFR, compounded as described
in this section. Interest on the Notes will be determined based on the daily compounding of interest, with the daily SOFR used for the
calculation of interest.
The interest payable on the Notes will be calculated
by the Calculation Agent on each relevant Interest Determination Date, as follows. The resulting percentage will be rounded if necessary
to the fifth decimal place, with 0.000005 being rounded upwards:
![](https://www.sec.gov/Archives/edgar/data/927971/000121465924014881/image_001.jpg)
Where:
“d” is the number of calendar days in the relevant
interest period;
“do” is the number of U.S.
Government Securities Business Days in the relevant Observation Period;
“i” is a series of whole numbers from one to
do, each representing the relevant U.S. Government Securities Business Day in chronological order from, and including, the
first U.S. Government Securities Business Day in the relevant Observation Period;
“ni”, for any U.S. Government Securities
Business Day “i”, means the number of calendar days from and including such U.S. Government Securities Business Day “i”
up to but excluding the following U.S. Government Securities Business Day;
“SOFR reference rate,” in respect of any U.S.
Government Securities Business Day is a reference rate equal to the daily secured overnight financing (“SOFR”) rate for that
day, as provided by the Federal Reserve Bank of New York, as the administrator of such rate (or any successor administrator of such rate)
on the website of the Federal Reserve Bank of New York currently at http://www.newyorkfed.org, or any successor website of the Federal
Reserve Bank of New York (in each case, on or about 5:00 p.m., New York City time, on the U.S. Government Securities Business Day immediately
following that day); provided, however, if that rate is not available at or around the indicated time on such date (and a Benchmark Transition
Event and its related Benchmark Replacement Date have not occurred), the SOFR reference rate for the applicable U.S. Government Securities
Business Day will be the SOFR rate in respect of the last U.S. Government Securities Business Day for which such rate was published on
the Federal Reserve Bank of New York’s website;
“SOFRi” means, in respect of any U.S.
Government Securities Business Day “i”, the SOFR reference rate for that day; and
“U.S. Government Securities Business Day” or
“USBD” means any day, except for a Saturday, Sunday or a day on which the Securities Industry and Financial Markets Association
recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities.
The “Interest Determination Date” for
each Interest Payment Date will be the second New York business day prior to the applicable Interest Payment Date.
Effect of Benchmark Transition Event
(a) Benchmark Replacement. If the Calculation
Agent determines that a Benchmark Transition Event and its related Benchmark Replacement Date have occurred prior to the Reference Time
in respect of any determination of the Benchmark on any date applicable to the payments on the Notes, the Benchmark Replacement will replace
the then-current Benchmark for all purposes relating to the Notes in respect of such determination on such date and all determinations
on all subsequent dates.
(b) Benchmark Replacement Conforming Changes.
In connection with the implementation of a Benchmark Replacement, the Calculation Agent will have the right to make Benchmark Replacement
Conforming Changes from time to time.
(c) Decisions and Determinations. Any determination,
decision or election that may be made by the Calculation Agent or us pursuant to the benchmark replacement provisions described herein,
including any determination with respect to tenor, rate or adjustment or of the occurrence or non-occurrence of an event, circumstance
or date and any decision to take or refrain from taking any action or any selection:
| • | will be conclusive and binding absent manifest error, may be made in the Calculation Agent’s sole discretion, notwithstanding
anything to the contrary in this pricing supplement and the accompanying prospectus supplement and prospectus relating to the Notes; |
| • | if made by us, will be made in our sole discretion; |
| • | if made by the
Calculation Agent, will be made after consultation with us, and the Calculation Agent will not make any such determination, decision or
election to which we object; and |
| • | shall become
effective without consent from any other party. |
Any determination, decision or election pursuant
to the benchmark replacement provisions not made by the Calculation Agent will be made by us on the basis as described above. The Calculation
Agent shall have no liability for not making any such determination, decision or election. In addition, we may designate an entity (which
may be our affiliate) to make any determination, decision or election that we have the right to make in connection with the benchmark
replacement provisions set forth in this pricing supplement.
Certain Defined Terms
As used herein:
“Benchmark” means, initially,
the SOFR reference rate, as such term is defined above; provided that if a Benchmark Transition Event and its related Benchmark Replacement
Date have occurred with respect to SOFR or the then-current Benchmark, then “Benchmark” means the applicable Benchmark Replacement.
“Benchmark Replacement” means
the first alternative set forth in the order below that can be determined by the Calculation Agent as of the Benchmark Replacement Date:
| (1) | the sum of: (a) an alternate rate of interest that has been selected or recommended by the Relevant Governmental Body as the
replacement for the then-current Benchmark for the applicable Corresponding Tenor and (b) the Benchmark Replacement Adjustment; |
| (2) | the sum of: (a) the ISDA Fallback Rate and (b) the Benchmark Replacement Adjustment; and |
| (3) | provided that if (i) the Benchmark Replacement cannot be determined in accordance with clause (1) or (2) above as of the
Benchmark Replacement Date or (ii) the Calculation Agent shall have determined that the ISDA Fallback Rate determined in accordance
with clause (2) above is not an industry-accepted rate of interest as a replacement for the then-current Benchmark for U.S. dollar-denominated
floating rate notes at such time, then the Benchmark Replacement shall be the sum of: (a) the alternate rate of interest that has
been selected by the Calculation Agent as the replacement for the then-current Benchmark for the applicable Corresponding Tenor giving
due consideration to any industry-accepted rate of interest as a replacement for the then-current Benchmark for U.S. dollar denominated
floating rate notes at such time and (b) the Benchmark Replacement Adjustment. |
“Benchmark Replacement Adjustment” means
the first alternative set forth in the order below that can be determined by the Calculation Agent as of the Benchmark Replacement Date:
| (1) | the spread adjustment (which may be a positive or negative value or zero), or method for calculating or determining such spread adjustment
that has been selected or recommended by the Relevant Governmental Body for the applicable Unadjusted Benchmark Replacement; |
| (2) | if the applicable Unadjusted Benchmark Replacement is equivalent to the ISDA Fallback Rate, then the ISDA Fallback Adjustment; and |
| (3) | the spread adjustment (which may be a positive or negative value or zero) that has been selected by the Calculation Agent giving due
consideration to any industry-accepted spread adjustment, or method for calculating or determining such spread adjustment, for the replacement
of the then-current Benchmark with the applicable Unadjusted Benchmark Replacement for U.S. dollar denominated floating rate notes at
such time. |
“Benchmark Replacement Conforming Changes” means,
with respect to any Benchmark Replacement, any technical, administrative or operational changes (including changes to the definitions
or interpretations of interest period and Observation Period, the methodology, timing and frequency of determining rates and making payments
of interest, the rounding of amounts or tenors, and other administrative matters) that the Calculation Agent decides may be appropriate
to reflect the adoption of such Benchmark Replacement in a manner substantially consistent with market practice (or, if the Calculation
Agent decides that adoption of any portion of such market practice is not administratively feasible or if the Calculation Agent determines
that no market practice for use of the Benchmark Replacement exists or that no market practice for such use is applicable to the Notes
offered hereby, in such other manner as the Calculation Agent determines is reasonably practicable).
“Benchmark Replacement Date” means
the earliest to occur of the following events with respect to the then-current Benchmark:
| (1) | in the case of clause (1) or (2) of the definition of “Benchmark Transition Event,” the later of (a) the date
of the public statement or publication of information referenced therein and (b) the date on which the administrator of the Benchmark
permanently or indefinitely ceases to provide the Benchmark; or |
| (2) | in the case of clause (3) of the definition of “Benchmark Transition Event,” the date of the public statement or
publication of information referenced therein. |
For the avoidance of doubt, if the event giving
rise to the Benchmark Replacement Date occurs on the same day as, but earlier than, the Reference Time in respect of any determination,
the Benchmark Replacement Date will be deemed to have occurred prior to the Reference Time for such determination.
For the avoidance of doubt, for purposes of the
definitions of Benchmark Replacement Date and Benchmark Transition Event, references to Benchmark also include any reference rate underlying
such Benchmark.
“Benchmark Transition Event” means
the occurrence of one or more of the following events with respect to the then-current Benchmark:
| (1) | a public statement or publication of information by or on behalf of the administrator of the Benchmark announcing that such administrator
has ceased or will cease to provide the Benchmark, permanently or indefinitely, provided that, at the time of such statement or publication,
there is no successor administrator that will continue to provide the Benchmark; |
| (2) | a public statement or publication of information by the regulatory supervisor for the administrator of the Benchmark, the central
bank for the currency of the Benchmark, an insolvency official with jurisdiction over the administrator for the Benchmark, a resolution
authority with jurisdiction over the administrator for the Benchmark or a court or an entity with similar insolvency or resolution authority
over the administrator for the Benchmark, which states that the administrator of the Benchmark has ceased or will cease to provide the
Benchmark permanently or indefinitely, provided that, at the time of such statement or publication, there is no successor administrator
that will continue to provide the Benchmark; or |
| (3) | a public statement or publication of information by the regulatory supervisor for the administrator of the Benchmark announcing that
the Benchmark is no longer representative. |
“Interest Payment Determination Date”
means the date two U.S. Government Securities Business Days before each Interest Payment Date.
“Observation Period” means,
in respect of each interest period, the period from, and including, the date two U.S. Government Securities Business Days preceding the
first date in such interest period to, but excluding, the date two U.S. Government Securities Business Days preceding the Interest Payment
Date for such interest period.
“U.S. Government Securities Business
Day” means any day except for a Saturday, a Sunday or a day on which the Securities Industry and Financial Markets Association
recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities.
“Corresponding Tenor” with
respect to a Benchmark Replacement means a tenor (including overnight) having approximately the same length (disregarding business day
adjustment) as the applicable tenor for the then-current Benchmark.
“Federal Reserve Bank of New York’s
Website” means the website of the Federal Reserve Bank of New York, currently at http://www.newyorkfed.org,
or any successor source.
“ISDA Definitions” means
the 2006 ISDA Definitions published by the International Swaps and Derivatives Association, Inc. or any successor thereto, as amended
or supplemented from time to time, or any successor definitional booklet for interest rate derivatives published from time to time.
“ISDA Fallback Adjustment” means
the spread adjustment (which may be a positive or negative value or zero) that would apply for derivatives transactions referencing the
ISDA Definitions to be determined upon the occurrence of an index cessation event with respect to the Benchmark for the applicable tenor.
“ISDA Fallback Rate” means
the rate that would apply for derivatives transactions referencing the ISDA Definitions to be effective upon the occurrence of an index
cessation date with respect to the Benchmark for the applicable tenor excluding the applicable ISDA Fallback Adjustment.
“Reference Time” with
respect to any determination of the Benchmark means (1) if the Benchmark is SOFR, the time determined as set forth above with respect
to SOFR, and (2) if the Benchmark is not SOFR, the time determined by the Calculation Agent in accordance with the Benchmark Replacement
Conforming Changes.
“Relevant Governmental Body” means
the Federal Reserve Board and/or the Federal Reserve Bank of New York, or a committee officially endorsed or convened by the Federal Reserve
Board and/or the Federal Reserve Bank of New York or any successor thereto.
“Unadjusted Benchmark Replacement” means
the Benchmark Replacement excluding the Benchmark Replacement Adjustment.
The interest rate and amount of interest to be
paid on the Notes for each interest period will be determined by the Calculation Agent. BMO Capital Markets Corp. is currently serving
as our Calculation Agent; however, we may change the Calculation Agent at any time without notice, and BMO Capital Markets Corp. may resign
as Calculation Agent at any time upon sixty (60) days’ written notice to us. All determinations made by the Calculation Agent
shall, in the absence of manifest error, be conclusive for all purposes and binding on Bank of Montreal and the holders of the Notes.
So long as SOFR is required to be determined with respect to the Notes, there will at all times be a Calculation Agent. In the event that
any then acting Calculation Agent shall be unable or unwilling to act, or that such Calculation Agent shall fail duly to establish SOFR
for any interest period, or we propose to remove such Calculation Agent, we shall appoint another Calculation Agent.
SUPPLEMENTAL TAX CONSIDERATIONS
The following is a general
description of material tax considerations relating to the Notes. It does not purport to be a complete analysis of all tax considerations
relating to the Notes. Prospective purchasers of the Notes should consult their tax advisers as to the consequences under the tax laws
of the country of which they are resident for tax purposes and the tax laws of Canada and the U.S. of acquiring, holding and disposing
of the Notes and receiving payments under the Notes. This summary is based upon the law as in effect on the date of this pricing supplement
and is subject to any change in law that may take effect after such date.
Supplemental Canadian Tax Considerations
In the opinion of Torys LLP, our Canadian federal
income tax counsel, the following summary describes the principal Canadian federal income tax considerations generally applicable to a
purchaser who acquires from us as the beneficial owner Notes offered by this document, and who, at all relevant times, for purposes of
the Income Tax Act (Canada) and the Income Tax Regulations (collectively, the “Tax Act”), (1) is not, and is not deemed to
be, resident in Canada, (2) deals at arm’s length with us, with any issuer of common shares acquired on a bail-in conversion and
with any transferee resident (or deemed to be resident) in Canada to whom the purchaser disposes of Notes, (3) is not affiliated with
us or with any issuer of common shares acquired on a bail-in conversion, (4) does not receive any payment of interest on a Note in respect
of a debt or other obligation to pay an amount to a person with whom we do not deal at arm’s length, (5) acquires and holds Notes
and any common shares acquired on a bail-in conversion as capital property, (6) does not use or hold Notes or any common shares acquired
on a bail-in conversion in a business carried on in Canada and (7) is not a “specified shareholder” of ours as defined in
the Tax Act for this purpose or a non-resident person not dealing at arm’s length with such “specified shareholder”
(a “Non-Resident Holder”). Special rules, which are not discussed in this summary, may apply to a Non-Resident Holder that
is an insurer that carries on an insurance business in Canada and elsewhere.
This summary does not address the possible
application of the “hybrid mismatch arrangement” rules in section 18.4 of the Tax Act to a Non-Resident Holder (i) that disposes
of a Note to a person or entity with which it does not deal at arm’s length or to an entity that is a “specified entity”
with respect to the Non-Resident Holder or in respect of which the Non-Resident Holder is a “specified entity”, (ii) that
disposes of a Note under, or in connection with, a “structured arrangement”, or (iii) in respect of which we are a “specified
entity” (as such terms are defined in subsection 18.4(1) of the Tax Act). Such Non-Resident Holders should consult their own tax
advisors.
This summary is based on the current
provisions of the Tax Act and on counsel’s understanding of the current administrative policies and assessing practices of the Canada
Revenue Agency published in writing prior to the date hereof. This summary takes into account all specific proposals to amend the Tax
Act publicly announced by or on behalf of the Minister of Finance (Canada) prior to the date of this document (the “Proposed Amendments”),
and assumes that all Proposed Amendments will be enacted in the form proposed. However, no assurances can be given that the Proposed Amendments
will be enacted as proposed, or at all. This summary does not otherwise take into account or anticipate any changes in law or administrative
policy or assessing practice whether by legislative, administrative or judicial action nor does it take into account tax legislation or
considerations of any province, territory or foreign jurisdiction, which may differ from those discussed herein.
This summary is of a general nature
only and is not, and is not intended to be, legal or tax advice to any particular holder. This summary is not exhaustive of all Canadian
federal income tax considerations. Accordingly, prospective purchasers of the Notes should consult their own tax advisors having regard
to their own particular circumstances.
Currency Conversion
Generally, for purposes of the Tax Act,
all amounts relating to the acquisition, holding or disposition of a Note and any common shares acquired on a bail-in conversion must
generally be expressed in Canadian dollars using the appropriate exchange rate determined in accordance with the detailed rules in the
Tax Act in that regard. As a result, the amounts, if any, subject to withholding tax and any capital gains or capital losses realized
by a Non-Resident Holder may be affected by fluctuations in the value of the U.S. dollar relative to the Canadian dollar.
Notes
Interest paid or credited or deemed to be paid
or credited by us on a Note (including amounts on account or in lieu of payment of, or in satisfaction of interest) to a Non-Resident
Holder generally will not be subject to Canadian non-resident withholding tax, unless any portion of such interest (other than on a “prescribed
obligation,” as defined in the Tax Act for this purpose) is contingent or dependent on the use of or production from property in
Canada or is computed by reference to revenue, profit, cash flow, commodity price or any other similar criterion or by reference to dividends
paid or payable to shareholders of any class or series of shares of the capital stock of a corporation (“participating debt interest”).
The administrative policy of the Canada Revenue Agency is that interest paid on a debt obligation is not subject to Canadian non-resident
withholding tax unless, in general, it is reasonable to consider that there is a material connection between the index or formula to which
any amount payable under the debt obligation is calculated and the profits of the issuer. With respect to any interest on a Note, or any
portion of the principal amount of a Note in excess of the issue price, such interest or principal, as the case may be, paid or credited
to a Non-Resident Holder should not be subject to Canadian non-resident withholding tax, except as discussed below.
In the event that a Note held by a Non-Resident
Holder is converted to common shares on a bail-in conversion, the amount, if any, by which the fair market value of the common shares
received on the conversion exceeds the sum of: (i) the price for which the Note was issued, and (ii) any amount that is paid in respect
of accrued and unpaid interest on the Note at the time of the conversion, may be deemed to be interest paid to the Non-Resident Holder.
There is a risk that the excess, if any, and the amount of interest described in item (ii) of the preceding sentence could be characterized
as “participating debt interest” and be subject to Canadian non-resident withholding tax unless certain exceptions apply.
Non-Resident Holders should consult their own tax advisors in this regard.
If an amount of interest paid by us
on a Note were to be non-deductible by us in computing our income as a result of the application of subsection 18.4(4) of the Tax Act,
such amount of interest would be deemed to have been paid by us as a dividend, and not to have been paid by us as interest, and be subject
to Canadian non-resident withholding tax. Subsection 18.4(4) would apply only if a payment of interest by us on a Note constituted the
deduction component of a “hybrid mismatch arrangement” under which the payment arises within the meaning of paragraph 18.4(3)(b)
of the Tax Act.
No payment of interest by us on a Note
should be considered to arise under a “hybrid mismatch arrangement” as no such payment should be considered to arise under
or in connection with a “structured arrangement”, both as defined in subsection 18.4(1) of the Tax Act, on the basis that
(i) based on pricing data and analysis provided to Torys LLP by us in relation to these Notes, it should not be reasonable to consider
that any economic benefit arising from any “deduction/non-inclusion mismatch” as defined in subsection 18.4(6) of the Tax
Act is reflected in the pricing of the Notes, and (ii) it should also not be reasonable to consider that the Notes were designed to, directly
or indirectly, give rise to any “deduction/non-inclusion mismatch”.
Generally, there are no other taxes on
income (including taxable capital gains) payable by a Non-Resident Holder on interest, discount, or premium in respect of a Note or on
the proceeds received by a Non-Resident Holder on the disposition of a Note (including redemption, cancellation, purchase or repurchase).
Common Shares Acquired on a Bail-in Conversion
Dividends paid or credited, or deemed under the
Act to be paid or credited, to a Non-Resident Holder on common shares of the issuer or any affiliate of the issuer that is a corporation
that is resident or deemed to be resident in Canada for purposes of the Tax Act acquired by the Non-Resident Holder on a bail-in conversion
will generally be subject to Canadian non-resident withholding tax at the rate of 25% on the gross amount of such dividends unless the
rate is reduced under the provisions of an applicable income tax treaty or convention between Canada and the country of residence of the
Non-Resident Holder.
A Non-Resident Holder will not be subject to tax
under the Tax Act in respect of any capital gain realized on a disposition or deemed disposition of a common share of the issuer or any
affiliate of the issuer acquired by the Non-Resident Holder on a bail-in conversion unless such common share is, or is deemed to be, “taxable
Canadian property” of the Non-Resident Holder for the purposes of the Tax Act and the Non-Resident Holder is not entitled to an
exemption under an applicable income tax convention between Canada and the country in which the Non-Resident Holder is resident.
Generally, common shares of the issuer or any affiliate
of the issuer acquired by a Non-Resident Holder on a bail-in conversion will not constitute taxable Canadian property of a Non-Resident
Holder at a particular time provided that such common shares are listed at that time on a designated stock exchange (which includes the
Toronto Stock Exchange), unless at any particular time during the 60-month period that ends at that time (1) the Non-Resident Holder,
persons with whom the Non-Resident Holder does not deal with at arm’s length, and partnerships in which the Non-Resident Holder
or persons with whom the Non-Resident Holder does not deal at arm’s length holds a membership interest directly or indirectly through
one or more partnerships, or the Non-Resident Holder together with all such persons and partnerships, owned 25% or more of the issued
shares of any class or series of the applicable issuer’s capital stock and (2) more than 50% of the fair market value of such common
shares was derived directly or indirectly from one or any combination of: (i) real or immovable properties situated in Canada, (ii) “Canadian
resource properties” (as defined in the Tax Act), (iii) “timber resource properties” (as defined in the Tax Act), and
(iv) options in respect of, or interests in, or for civil law rights in, property in any of the foregoing whether or not the property
exists. Notwithstanding the foregoing, in certain circumstances set out in the Tax Act, such common shares could be deemed to be taxable
Canadian property. Non-Resident Holders for whom common shares acquired on a bail-in conversion may constitute taxable Canadian property
should consult their own tax advisors.
Supplemental U.S. Tax Considerations
In the opinion of our special U.S. tax counsel,
Ashurst LLP, it would generally be reasonable to treat the Notes, and we expect to take the position that the Notes will be treated, as
variable rate debt instruments providing for stated interest at a single qualified floating rate. Under this treatment, stated interest
on the Notes will be taxable to a U.S. holder as ordinary interest income at the time it accrues or is received in accordance with the
U.S. holder’s method of tax accounting. Please see the discussion in the accompanying prospectus in the section entitled “United
States Federal Income Taxation” and specifically under the section entitled “United States Federal Income Taxation—Tax
Consequences to Holders of Our Debt Securities—Original Issue Discount—Variable Rate Debt Securities.”
You should consult your tax advisor concerning
the U.S. federal income tax and other tax consequences of your investment in the Notes in your particular circumstances, including the
application of state, local or other tax laws and the possible effects of changes in federal or other tax laws.
Backup Withholding and Information Reporting
Please see the discussion under “United States
Federal Income Taxation—Other Considerations—Backup Withholding and Information Reporting” in the accompanying prospectus
for a description of the applicability of the backup withholding and information reporting rules to payments made on your Notes.
Foreign Account Tax Compliance Act
The Foreign Account Tax Compliance Act imposes
a 30% U.S. withholding tax on certain U.S. source payments, including interest (and original issue discount), dividends, other fixed or
determinable annual or periodical gain, profits, and income (“Withholdable Payments”), if paid to a foreign financial institution
(including amounts paid to a foreign financial institution on behalf of a holder), unless such institution enters into an agreement with
the Treasury Department to collect and provide to the Treasury Department substantial information regarding U.S. account holders, including
certain account holders that are foreign entities with U.S. owners, with such institution. A Note may constitute an account for these
purposes. The legislation also generally imposes a withholding tax of 30% on Withholdable Payments made to a non-financial foreign entity
unless such entity provides the withholding agent with a certification that it does not have any substantial U.S. owners or a certification
identifying the direct and indirect substantial U.S. owners of the entity.
The U.S. Treasury Department has proposed regulations
that eliminate the requirement of the Foreign Account Tax Compliance Act withholding on payments of gross proceeds upon the sale or disposition
of financial instruments. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed regulations pending their
finalization, and the discussion above assumes the proposed regulations will be finalized in their proposed form with retroactive effect.
If we (or an applicable withholding
agent) determine withholding is appropriate with respect to the Notes, we (or such agent) will withhold tax at the applicable statutory
rate, and we will not pay any additional amounts in respect of such withholding. Account holders subject to information reporting requirements
pursuant to the Foreign Account Tax Compliance Act may include holders of the Notes. Foreign financial institutions and non-financial
foreign entities located in jurisdictions that have an intergovernmental agreement with the United States governing the Foreign Account
Tax Compliance Act may be subject to different rules. Holders are urged to consult with their own tax advisors regarding the possible
implications of this legislation on their investment in the Notes.
EMPLOYEE RETIREMENT INCOME
SECURITY ACT
A fiduciary of a pension, profit-sharing
or other employee benefit plan subject to the U.S. Employee Retirement Income Security Act of 1974, as amended (“ERISA”) (each,
a “Plan”), should consider the fiduciary standards of ERISA in the context of the Plan’s particular circumstances before
authorizing an investment in the Notes. Among other factors, the fiduciary should consider whether the investment would satisfy the prudence
and diversification requirements of ERISA and would be consistent with the documents and instruments governing the Plan, and whether the
investment would involve a prohibited transaction under ERISA or the U.S. Internal Revenue Code (the “Code”). Please see the
section of the prospectus, "Employee Retirement Income Security Act."
SUPPLEMENTAL PLAN OF DISTRIBUTION
The agents will purchase the
Notes from us on the settlement date at the prices as specified on the cover page of this pricing supplement. The agents have informed
us that, as part of its distribution of the Notes, it will reoffer the Notes to other dealers who will sell them at the prices set forth
on the cover page. Each such dealer, or further dealer engaged by a dealer to whom the agent reoffer the Notes, will purchase the Notes
at an agreed discount to the initial offering price.
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 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 original 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, one of the agents 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 any 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 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 this pricing supplement
in the initial sale of the Notes. In addition, BMOCM or another of our affiliates may use this 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, this pricing supplement is
being used by BMOCM in a market-making transaction.
Each of the agents and any other
broker-dealer offering the Notes have not offered, sold or otherwise made available and will not offer, sell or otherwise make available
any of the Notes to, any retail investor in the European Economic Area (“EEA”). For these purposes, the expression “offer”
includes the communication in any form and by any means of sufficient information on the terms of the offer and the Notes to be offered
so as to enable an investor to decide to purchase or subscribe the Notes, and a “retail investor” means a person who is one
(or more) of: (a) a retail client, as defined in point (11) of Article 4(1) of Directive (EU) 2014/65 (as amended, “MiFID II”);
or (b) a customer, within the meaning of Directive (EU) 2016/97, as amended, where that customer would not qualify as a professional client
as defined in point (10) of Article 4(1) of MiFID II; or (c) not a qualified investor as defined in Regulation (EU) No 2017/1129 (the
“Prospectus Regulation”). Consequently, no key information document required by Regulation (EU) No 1286/2014 (as amended,
the “PRIIPs Regulation”) for offering or selling the Notes or otherwise making them available to retail investors in the EEA
has been prepared, and therefore, offering or selling the Notes or otherwise making them available to any retail investor in the EEA may
be unlawful under the PRIIPs Regulation.
Each of the agents and any other
broker-dealer offering the Notes have not offered, sold or otherwise made available and will not offer, sell or otherwise make available
any of the Notes to, any retail investor in the United Kingdom. For these purposes, a retail investor means a person who is one (or more)
of: (a) a retail client, as defined in point (8) of Article 2 of Regulation (EU) No 2017/565 as it forms part of domestic law by virtue
of the European Union (Withdrawal) Act 2018; or (b) a customer within the meaning of the provisions of the Financial Services and Markets
Act 2000 (the "FSMA") and any rules or regulations made under the FSMA to implement Directive (EU) 2016/97, where that customer
would not qualify as a professional client, as defined in point (8) of Article 2(1) of Regulation (EU) No 600/2014 as it forms part of
domestic law by virtue of the European Union (Withdrawal) Act 2018; or (c) not a qualified investor as defined in the Prospectus Regulation
as it forms part of domestic law by virtue of the European Union (Withdrawal) Act 2018. Consequently, no key information document required
by Regulation (EU) No 1286/2014 as it forms part of domestic law by virtue of the European Union (Withdrawal) Act 2018 (the "UK PRIIPs
Regulation") for offering or selling the Notes or otherwise making them available to retail investors in the UK has been prepared
and therefore offering or selling the Notes or otherwise making them available to any retail investor in the UK may be unlawful under
the UK PRIIPs Regulation.
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