|
Additional Information about the Issuer and the Securities |
You should read this pricing supplement together
with product supplement No. WF1 dated July 20, 2022, the prospectus supplement dated May 26, 2022 and the prospectus dated May 26, 2022
for additional information about the securities. Information included in this pricing supplement supersedes information in the product
supplement, prospectus supplement and prospectus to the extent it is different from that information. Certain defined terms used but not
defined herein have the meanings set forth in the product supplement, prospectus supplement or prospectus.
Our Central Index Key, or CIK, on the SEC website
is 927971. When we refer to “we,” “us” or “our” in this pricing supplement, we
refer only to Bank of Montreal.
You may access the product supplement, prospectus
supplement and prospectus on the SEC website www.sec.gov as follows (or if such address has changed, by reviewing our filing for the relevant
date on the SEC website):
| • | Product Supplement No. WF1 dated July 20, 2022: |
https://www.sec.gov/Archives/edgar/data/927971/000121465922009020/r715220424b5.htm
| • | Prospectus Supplement and prospectus dated May 26, 2022: |
https://www.sec.gov/Archives/edgar/data/927971/000119312522160519/d269549d424b5.htm
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
|
Estimated Value of the Securities |
Our estimated initial value of the securities on
the pricing date that is set forth on the cover page of this pricing supplement equals the sum of the values of the following hypothetical
components:
| · | a fixed-income debt component with the same tenor as the securities, valued using our internal funding
rate for structured notes; and |
| · | one or more derivative transactions relating to the economic terms of the securities. |
The internal funding rate used in the determination
of the initial estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The value
of these derivative transactions is derived from our internal pricing models. These models are based on factors such as the traded market
prices of comparable derivative instruments and on other inputs, which include volatility, dividend rates, interest rates and other factors.
As a result, the estimated initial value of the securities on the pricing date was determined based on market conditions at that time.
For more information about the estimated initial
value of the securities, see “Risk Factors” below.
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
The securities are not appropriate for all investors. The
securities may be an appropriate investment for investors who:
| § | seek 200% leveraged exposure to the upside performance
of the Index if the ending level is greater than the starting level, subject to the maximum return at maturity of 35.50% of the face amount; |
| § | desire to limit downside exposure to the Index
through the buffer amount; |
| § | are willing to accept the risk that, if the ending
level is less than the starting level by more than the buffer amount, they will lose some, and possibly up to 85%, of the face amount
per security at maturity; |
| § | are willing to forgo interest payments on the
securities and dividends on the securities included in the Index; and |
| § | are willing to hold the securities until maturity. |
The securities may not be an appropriate investment
for investors who:
| § | seek a liquid investment or are unable or unwilling
to hold the securities to maturity; |
| § | are unwilling to accept the risk that the ending
level may decrease from the starting level by more than the buffer amount; |
| § | seek uncapped exposure to the upside performance
of the Index; |
| § | seek full return of the face amount of the securities
at stated maturity; |
| § | are unwilling to purchase securities with an
estimated value as of the pricing date that is lower than the original offering price, as set forth on the cover page; |
| § | seek current income over the term of the securities; |
| § | are unwilling to accept the risk of exposure
to the Index; |
| § | seek exposure to the Index but are unwilling
to accept the risk/return trade-offs inherent in the maturity payment amount for the securities; |
| § | are unwilling to accept the credit risk of Bank
of Montreal to obtain exposure to the Index generally, or to the exposure to the Index that the securities provide specifically; or |
| § | prefer the lower risk of fixed income investments
with comparable maturities issued by companies with comparable credit ratings. |
The considerations identified above are not
exhaustive. Whether or not the securities are an appropriate investment for you will depend on your individual circumstances, and you
should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered
the appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully the
"Selected Risk Considerations" herein and the "Risk Factors" in the accompanying product supplement for risks related
to an investment in the securities. For more information about the Index, please see the section titled "The EURO STOXX 50®
Index" below.
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
|
Determining Payment at Stated Maturity |
On the stated maturity date, you will receive a
cash payment per security (the maturity payment amount) calculated as follows:
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
|
Selected Risk Considerations |
The securities have complex features and investing
in the securities will involve risks not associated with an investment in conventional debt securities. Some of the risks that apply to
an investment in the securities are summarized below, but we urge you to read the more detailed explanation of the risks relating to the
securities generally in the "Risk Factors" section of the accompanying product supplement. You should reach an investment decision
only after you have carefully considered with your advisors the appropriateness of an investment in the securities in light of your particular
circumstances.
Risks Relating To The Terms And Structure
Of The Securities
If The Ending Level Is Less Than The Threshold
Level, You Will Lose Some, And Possibly Up To 85%, Of The Face Amount Of Your Securities At Maturity.
We will not repay you a fixed amount on the securities
on the stated maturity date. The maturity payment amount will depend on the direction of and percentage change in the ending level relative
to the starting level and the other terms of the securities. Because the level of the Index will be subject to market fluctuations, the
maturity payment amount may be more or less, and possibly significantly less, than the face amount of your securities.
If the ending level is less than the threshold
level, the maturity payment amount will be less than the face amount and you will have 1-to-1 downside exposure to the decrease in the
level of the Index in excess of the buffer amount, resulting in a loss of 1% of the face amount for every 1% decline in the Index in excess
of the buffer amount. The threshold level is 85% of the starting level. As a result, if the ending level is less than the threshold level,
you will lose some, and possibly up to 85%, of the face amount per security at maturity. This is the case even if the level of the Index
is greater than or equal to the starting level or the threshold level at certain times during the term of the securities.
Even if the ending level is greater than the starting
level, the maturity payment amount may only be slightly greater than the face amount, and your yield on the securities may be less than
the yield you would earn if you bought a traditional interest-bearing debt security of Bank of Montreal or another issuer with a similar
credit rating with the same stated maturity date.
No Periodic Interest Will Be Paid On The Securities.
No periodic payments of interest will be made on
the securities. However, if the agreed-upon tax treatment is successfully challenged by the Internal Revenue Service (the "IRS"),
you may be required to recognize taxable income over the term of the securities. You should review the section of this pricing supplement
entitled "United States Federal Tax Considerations."
Your Return Will Be Limited To The Maximum Return
And May Be Lower Than The Return On A Direct Investment In The Index.
The opportunity to participate in the possible
increases in the level of the Index through an investment in the securities will be limited because any positive return on the securities
will not exceed the maximum return. Therefore, your return on the securities may be lower than the return on a direct investment in the
Index. Furthermore, the effect of the upside participation rate will be progressively reduced for all ending levels exceeding the ending
level at which the maximum return is reached.
The Securities Are Subject To Credit Risk.
The securities are our obligations and are not,
either directly or indirectly, an obligation of any third party. Any amounts payable under the securities are subject to creditworthiness
and you will have no ability to pursue any securities included in the Index for payment. As a result, our actual and perceived creditworthiness
may affect the value of the securities and, in the event we were to default on our obligations under the securities, you may not receive
any amounts owed to you under the terms of the securities.
Significant Aspects Of The Tax Treatment Of
The Securities Are Uncertain.
The tax treatment of the securities is uncertain.
We do not plan to request a ruling from the IRS or from the Canada Revenue Agency regarding the tax treatment of the securities, and the
IRS, the Canada Revenue Agency or a court may not agree with the tax treatment described in this pricing supplement and/or the accompanying
product supplement.
The IRS has issued a notice indicating that it
and the U.S. Treasury Department are actively considering whether, among other issues, a holder should be required to accrue interest
over the term of an instrument such as the securities even though that holder will not receive any payments with respect to the securities
until maturity or earlier sale or exchange and whether all or part of the gain a holder may recognize upon sale, exchange or maturity
of an instrument such as the securities should be treated as ordinary income. The outcome of this process is uncertain and could apply
on a retroactive basis.
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
Please read carefully the section entitled “U.S.
Federal Tax Consequences” in this pricing supplement, the section entitled “Tax Consequences –United States Taxation”
in the accompanying prospectus and the section entitled “United States Federal Tax Considerations” in the accompanying product
supplement. You should consult your tax advisor about your own tax situation.
For a discussion of the Canadian federal income
tax consequences of investing in the securities, please read the section entitled “Certain Income Tax Consequences — Canadian
Taxation” in the accompanying prospectus supplement. You should consult your tax advisor about your own tax situation.
The Stated Maturity Date May Be Postponed If
The Calculation Day Is Postponed.
The calculation day will be postponed if the originally
scheduled calculation day is not a trading day or if the calculation agent determines that a market disruption event has occurred or is
continuing on the calculation day. If such a postponement occurs, the stated maturity date will be the later of (i) the initial stated
maturity date and (ii) three business days after the calculation day as postponed.
Risks
Relating To The Estimated Value Of The Securities And Any Secondary Market
The Estimated Value Of The Securities On The
Pricing Date, Based On Our Proprietary Pricing Models, Is Less Than The Original Offering Price.
Our initial estimated value of the securities is
only an estimate, and is based on a number of factors. The original offering price of the securities exceeds our initial estimated value,
because costs associated with offering, structuring and hedging the securities are included in the original offering price, but are not
included in the estimated value. These costs include the agent discount and selling concessions, the profits that we and our affiliates
and/or the agent and its affiliates expect to realize for assuming the risks in hedging our obligations under the securities, and the
estimated cost of hedging these obligations.
The Terms Of The Securities Were Not Determined
By Reference To The Credit Spreads For Our Conventional Fixed-Rate Debt.
To determine the terms of the securities, we used
an internal funding rate that represents a discount from the credit spreads for our conventional fixed-rate debt. As a result, the terms
of the securities are less favorable to you than if we had used a higher funding rate.
The Estimated Value Of The Securities Is Not
An Indication Of The Price, If Any, At Which WFS Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary Market.
Our initial estimated value of the securities as
of the date of this pricing supplement was derived using our internal pricing models. This value is based on market conditions and other
relevant factors, which include volatility of the Index, the exchange rate between the U.S. dollar and the euro, dividend rates and interest
rates. Different pricing models and assumptions, including those used by the agent, its affiliates or other market participants, could
provide values for the securities that are greater than or less than our initial estimated value. In addition, market conditions and other
relevant factors after the pricing date are expected to change, possibly rapidly, and our assumptions may prove to be incorrect. After
the pricing date, the value of the securities could change dramatically due to changes in market conditions, our creditworthiness, and
the other factors set forth in this pricing supplement. These changes are likely to impact the price, if any, at which WFS or its affiliates
or any other party (including us or our affiliates) would be willing to purchase the securities from you in any secondary market transactions.
Our initial estimated value does not represent a minimum price at which WFS or any other party (including us or our affiliates) would
be willing to buy your securities in any secondary market at any time.
WFS has advised us that if it, WFA or any of their
affiliates makes a secondary market in the securities at any time, the secondary market price offered by it, WFA or any of their affiliates
will be affected by changes in market conditions and other factors described in the next risk factor. WFS has advised us that if it, WFA
or any of their affiliates makes a secondary market in the securities at any time up to the issue date or during the 3-month period following
the issue date, the secondary market price offered by it, WFA or any of its affiliates will be increased by an amount reflecting a portion
of the costs associated with selling, structuring and hedging the securities that are included in their original offering price. Because
this portion of the costs is not fully deducted upon issuance, WFS has advised us that any secondary market price it, WFA or any of their
affiliates offers during this period will be higher than it otherwise would be after this period, as any secondary market price offered
after this period will reflect the full deduction of the costs as described above. WFS has advised us that the amount of this increase
in the secondary market price will decline steadily to zero over this 3-month period. WFS has advised us that, if you hold the securities
through an account with WFS, WFA or any of their affiliates, WFS expects that this increase will also be reflected in the value indicated
for the securities on your brokerage account statement. If you hold your securities through an account at a broker-dealer other than WFS,
WFA or any of their affiliates, the value of the securities on your brokerage account statement may be different than if you held your
securities at WFS, WFA or any of their affiliates.
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
The Value Of The Securities Prior To Stated
Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
The value of the securities prior to stated maturity will be affected
by the then-current level of the Index, interest rates at that time and a number of other factors, some of which are interrelated in complex
ways. The effect of any one factor may be offset or magnified by the effect of another factor. The following factors, which we refer to
as the “derivative component factors,” and which are described in more detail in the accompanying product supplement,
are expected to affect the value of the securities: performance of the Index; interest rates; volatility of the Index; the exchange rate
between the U.S. dollar and the euro; time remaining to maturity; and dividend yields on the securities included in the Index; volatility
of currency exchange rates; and correlation between currency exchange rates and the Index. When we refer to the “value”
of your security, we mean the value you could receive for your security if you are able to sell it in the open market before the stated
maturity date.
In addition to the derivative component factors,
the value of the securities will be affected by actual or anticipated changes in our creditworthiness. You should understand that the
impact of one of the factors specified above, such as a change in interest rates, may offset some or all of any change in the value of
the securities attributable to another factor, such as a change in the level of the Index. Because numerous factors are expected to affect
the value of the securities, changes in the level of the Index may not result in a comparable change in the value of the securities. We
anticipate that the value of the securities will always be at a discount to the face amount plus the maximum return.
The Securities Will Not Be Listed On Any Securities
Exchange And We Do Not Expect A Trading Market For The Securities To Develop.
The securities will not be listed or displayed
on any securities exchange or any automated quotation system. Although the agent and/or its affiliates may purchase the securities from
holders, they are not obligated to do so and are not required to make a market for the securities. There can be no assurance that a secondary
market will develop. Because we do not expect that any market makers will participate in a secondary market for the securities, the price
at which you may be able to sell your securities is likely to depend on the price, if any, at which the agent is willing to buy your securities.
If a secondary market does exist, it may be limited.
Accordingly, there may be a limited number of buyers if you decide to sell your securities prior to stated maturity. This may affect the
price you receive upon such sale. Consequently, you should be willing to hold the securities to stated maturity.
Risks Relating To The Index
The Maturity Payment Amount Will Depend Upon
The Performance Of The Index And Therefore The Securities Are Subject To The Following Risks, Each As Discussed In More Detail In The
Accompanying Product Supplement.
| · | Investing In The Securities Is Not The Same
As Investing In The Index. Investing in the securities is not equivalent to investing in the Index. As an investor in the securities,
your return will not reflect the return you would realize if you actually owned and held the securities included in the Index for a period
similar to the term of the securities because you will not receive any dividend payments, distributions or any other payments paid on
those securities. As a holder of the securities, you will not have any voting rights or any other rights that holders of the securities
included in the Index would have. |
| · | Historical Levels Of The Index Should Not
Be Taken As An Indication Of The Future Performance Of The Index During The Term Of The Securities. |
| · | Changes That Affect The Index May Adversely
Affect The Value Of The Securities And The Maturity Payment Amount. |
| · | We Cannot Control Actions By Any Of The Unaffiliated
Companies Whose Securities Are Included In The Index. |
| · | We And Our Affiliates Have No Affiliation
With The Index Sponsor And Have Not Independently Verified Its Public Disclosure Of Information. |
The Securities Are Subject To Risks Associated
With Non-U.S. Companies.
The level of the Index depends upon the stocks
of companies organized and traded outside of the U.S. Accordingly, an investment in the securities involves risks associated with the
home countries of those non-U.S. companies, some of which are and have been experiencing economic stress. The prices of these non-U.S.
stocks may be affected by political, economic, financial and social factors in the home country of each applicable company, including
changes in that country’s government, economic and fiscal policies, currency exchange laws or other laws or restrictions, which
could affect the value of the securities. These foreign securities may have less liquidity and could be more volatile than many of the
securities traded in U.S. or other securities markets. Direct or indirect government intervention to stabilize the relevant foreign securities
markets, as well as cross shareholdings in foreign companies, may affect trading levels or prices and volumes in those markets. The other
special risks associated with foreign securities may include, but are not limited to: less liquidity and smaller market capitalizations;
less rigorous regulation of securities markets; different accounting and disclosure standards; governmental interference; currency fluctuations;
higher inflation; and social, economic and political uncertainties. These factors may adversely affect the performance of the Index and,
as a result, the value of the securities.
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
Our Economic Interests And Those Of Any Dealer
Participating In The Offering Are Potentially Adverse To Your Interests.
You should be aware of the following ways in which
our economic interests and those of any dealer participating in the distribution of the securities, which we refer to as a "participating
dealer," are potentially adverse to your interests as an investor in the securities. In engaging in certain of the activities
described below and as discussed in more detail in the accompanying product supplement, our affiliates or any participating dealer or
its affiliates may take actions that may adversely affect the value of and your return on the securities, and in so doing they will have
no obligation to consider your interests as an investor in the securities. Our affiliates or any participating dealer or its affiliates
may realize a profit from these activities even if investors do not receive a favorable investment return on the securities.
| · | The calculation agent is our affiliate
and may be required to make discretionary judgments that affect the return you receive on the securities. BMOCM, which is our
affiliate, will be the calculation agent for the securities. As calculation agent, BMOCM will determine any values of the Index and make
any other determinations necessary to calculate any payments on the securities. In making these determinations, BMOCM may be required
to make discretionary judgments that may adversely affect any payments on the securities. See the sections entitled "General Terms
of the Securities— Certain Terms for Securities Linked to an Index—Market Disruption Events,"—Adjustments to an
Index" and "—Discontinuance of an Index" in the accompanying product supplement. In making these discretionary judgments,
the fact that BMOCM is our affiliate may cause it to have economic interests that are adverse to your interests as an investor in the
securities, and our determinations as calculation agent may adversely affect your return on the securities. |
| · | The estimated value of the securities was
calculated by us and is therefore not an independent third-party valuation. |
| · | Research reports by our affiliates or any
participating dealer or its affiliates may be inconsistent with an investment in the securities and may adversely affect the level of
the Index. |
| · | Business activities of our affiliates or
any participating dealer or its affiliates with the companies whose securities are included in the Index may adversely affect the level
of the Index. |
| · | Hedging activities by our affiliates or
any participating dealer or its affiliates may adversely affect the level of the Index. |
| · | Trading activities by our affiliates or
any participating dealer or its affiliates may adversely affect the level of the Index. |
| · | A participating dealer or its affiliates
may realize hedging profits projected by its proprietary pricing models in addition to any selling concession and/or fee, creating a further
incentive for the participating dealer to sell the securities to you. |
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
|
Hypothetical Examples and Returns |
The payout profile, return table and examples below
illustrate the maturity payment amount for a $1,000 face amount security on a hypothetical offering of securities under various scenarios,
with the assumptions set forth in the table below. The terms used for purposes of these hypothetical examples do not represent the actual
starting level or threshold level. The hypothetical starting level of 100.00 has been chosen for illustrative purposes only and does not
represent the actual starting level. The actual starting level and threshold level are set forth under "Terms of the Securities"
above. For historical data regarding the actual closing levels of the Index, see the historical information set forth herein. The payout
profile, return table and examples below assume that an investor purchases the securities for $1,000 per security. These examples are
for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
| Upside Participation Rate: |
200% |
| Maximum Return: |
35.50% or $355.00 per security |
| Hypothetical Starting Level: |
100.00 |
| Hypothetical Threshold Level: |
85.00 (85% of the hypothetical starting level) |
| Buffer Amount: |
15% |
Hypothetical Payout Profile
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
Hypothetical Returns
|
Hypothetical
ending level |
Hypothetical
index return(1) |
Hypothetical
maturity payment
amount per security |
Hypothetical
pre-tax total
rate of return(2) |
| 200.00 |
100.00% |
$1,355.00 |
35.50% |
| 175.00 |
75.00% |
$1,355.00 |
35.50% |
| 150.00 |
50.00% |
$1,355.00 |
35.50% |
| 140.00 |
40.00% |
$1,355.00 |
35.50% |
| 130.00 |
30.00% |
$1,355.00 |
35.50% |
| 120.00 |
20.00% |
$1,355.00 |
35.50% |
| 117.75 |
35.50% |
$1,355.00 |
35.50% |
| 110.00 |
10.00% |
$1,200.00 |
20.00% |
| 107.50 |
7.50% |
$1,150.00 |
15.00% |
| 105.00 |
5.00% |
$1,100.00 |
10.00% |
| 100.00 |
0.00% |
$1,000.00 |
0.00% |
| 95.00 |
-5.00% |
$1,000.00 |
0.00% |
| 90.00 |
-10.00% |
$1,000.00 |
0.00% |
| 85.00 |
-15.00% |
$1,000.00 |
0.00% |
| 84.00 |
-16.00% |
$990.00 |
-1.00% |
| 80.00 |
-20.00% |
$950.00 |
-5.00% |
| 70.00 |
-30.00% |
$850.00 |
-15.00% |
| 60.00 |
-40.00% |
$750.00 |
-25.00% |
| 50.00 |
-50.00% |
$650.00 |
-35.00% |
| 25.00 |
-75.00% |
$400.00 |
-60.00% |
| 0.00 |
-100.00% |
$150.00 |
-85.00% |
| (1) | The index return is equal to the percentage change from the starting level to the ending level (i.e.,
the ending level minus the starting level, divided by the starting level). |
| (2) | The hypothetical pre-tax total rate of return is the number, expressed as a percentage, that results from
comparing the maturity payment amount per security to the face amount of $1,000. |
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
Hypothetical Examples
Example 1. Maturity payment amount is greater
than the face amount and reflects a return that is less than the maximum return:
| |
The Index |
| Hypothetical starting level: |
100.00 |
| Hypothetical ending level: |
110.00 |
| Hypothetical threshold level: |
85.00 |
|
Hypothetical index return
(ending level – starting level)/starting level: |
10.00% |
Because the hypothetical ending level
is greater than the hypothetical starting level, the maturity payment amount per security would be equal to the face amount of $1,000
plus a positive return equal to the lesser of:
(i) $1,000
× index return × upside participation rate
$1,000 × 10.00% × 200.00%
= $200.00; and
(ii) the
maximum return of $355.00
On the stated maturity date you would receive $1,200.00
per security.
Example 2. Maturity payment amount is greater
than the face amount and reflects a return equal to the maximum return:
| |
The Index |
| Hypothetical starting level: |
100.00 |
| Hypothetical ending level: |
150.00 |
| Hypothetical threshold level: |
85.00 |
|
Hypothetical index return
(ending level – starting level)/starting level: |
50.00% |
Because the hypothetical ending level
is greater than the hypothetical starting level, the maturity payment amount per security would be equal to the face amount of $1,000
plus a positive return equal to the lesser of:
(i) $1,000
× index return × upside participation rate
$1,000 × 50.00% × 200.00%
= $1,000.00; and
(ii) the
maximum return of $355.00
On the stated maturity date you would receive $1,355.00
per security, which is the maximum maturity payment amount.
In addition to limiting your return on the securities,
the maximum return limits the positive effect of the upside participation rate. If the ending level is greater than the starting level,
you will participate in the performance of the Index at a rate of 200% up to a certain point. However, the effect of the upside participation
rate will be progressively reduced for ending levels that are greater than 117.75% of the starting level (based on the maximum return
of 35.50% or $355.00 per security) since your return on the securities for any ending level greater than 117.75% of the starting level
will be limited to the maximum return.
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
Example 3. Maturity payment amount is equal
to the face amount:
| |
The Index |
| Hypothetical starting level: |
100.00 |
| Hypothetical ending level: |
95.00 |
| Hypothetical threshold level: |
85.00 |
|
Hypothetical index return
(ending level – starting level)/starting level: |
-5.00% |
Because the hypothetical ending level
is less than the hypothetical starting level, but not by more than the buffer amount, you would not lose any of the face amount of your
securities.
On the stated maturity date you would receive $1,000.00
per security.
Example 4. Maturity payment amount is less than
the face amount:
| |
The Index |
| Hypothetical starting level: |
100.00 |
| Hypothetical ending level: |
50.00 |
| Hypothetical threshold level: |
85.00 |
|
Hypothetical index return
(ending level – starting level)/starting level: |
-50.00% |
Because the hypothetical ending level
is less than the hypothetical starting level by more than the buffer amount, you would lose a portion of the face amount of your securities
and receive the maturity payment amount equal to:
$1,000 + [$1,000
× (index return + buffer amount)]
$1,000 + [$1,000
× (-50.00% + 15%)]
=$650.00
On the stated maturity date you would receive $650.00
per security.
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
The EURO STOXX 50® Index is an equity index that
is intended to provide a blue-chip representation of Supersector leaders in the Eurozone equity markets.
In addition, information about the EURO STOXX 50®
Index may be obtained from other sources including, but not limited to, the EURO STOXX 50® Index sponsor’s website
(including information regarding the EURO STOXX 50® Index’s sector weightings). We are not incorporating by reference
into this pricing supplement the website or any material it includes. Neither we nor the agent makes any representation that such publicly
available information regarding the EURO STOXX 50® Index is accurate or complete.
Historical Information
We obtained the closing levels of the EURO STOXX
50® Index in the graph below from Bloomberg Finance L.P., without independent verification.
The following graph sets forth daily closing levels
of the Index for the period from January 1, 2018 to May 30, 2023. The closing level on May 30, 2023 was 4,291.58. The historical performance
of the Index should not be taken as an indication of its future performance of the during the term of the securities.
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
EURO STOXX 50® Index Composition
and Maintenance
For each of the 20 EURO STOXX regional supersector
indices, the stocks are ranked in terms of free-float market capitalization. The largest stocks are added to the selection list until
the coverage is close to, but still less than, 60% of the free-float market capitalization of the corresponding supersector index. If
the next highest-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list. All current
stocks in the SX5E are then added to the selection list. All of the stocks on the selection list are then ranked in terms of free-float
market capitalization to produce the final index selection list. The largest 40 stocks on the selection list are selected; the remaining
10 stocks are selected from the largest remaining current stocks ranked between 41 and 60; if the number of stocks selected is still below
50, then the largest remaining stocks are selected until there are 50 stocks. In exceptional cases, STOXX’s management board can
add stocks to and remove them from the selection list.
The SX5E stocks are subject to a capped maximum
index weight of 10%, which is applied on a quarterly basis.
The SX5E is composed of 50 component stocks of
market sector leaders from within the 20 EURO STOXX® Supersector indices, which represent the Eurozone portion of the STOXX
Europe 600® Supersector indices. The SX5E stocks have a high degree of liquidity and represent the largest companies across
a wide range of market sectors.
Composition and Maintenance of the EURO STOXX 50®
Index
The composition of the SX5E is reviewed annually,
based on the closing stock data on the last trading day in August. Changes in the composition of the SX5E are made to ensure that it includes
the 50 market sector leaders from within the Eurozone.
The free float factors for each component stock
used to calculate the SX5E, as described below, are reviewed, calculated, and implemented on a quarterly basis and are fixed until the
next quarterly review.
The SX5E is subject to a “fast exit rule.”
The SX5E stocks are monitored for any changes based on the monthly selection list ranking. A stock is deleted from the SX5E if: (a) it
ranks 75 or below on the monthly selection list and (b) it has been ranked 75 or below for a consecutive period of two months in the monthly
selection list. The highest-ranked stock that is not already an SX5E stock will replace it. Changes will be implemented on the close of
the fifth trading day of the month, and are effective the next trading day.
The SX5E is also subject to a “fast entry
rule.” All stocks on the latest selection lists and initial public offering (IPO) stocks are reviewed for a fast-track addition
on a quarterly basis. A stock is added, if (a) it qualifies for the latest STOXX blue-chip selection list generated end of February, May,
August or November and (b) it ranks within the “lower buffer” on this selection list.
The SX5E is also reviewed on an ongoing basis.
Corporate actions (including initial public offerings, mergers and takeovers, spin-offs, delistings, and bankruptcy) that affect the SX5E
composition are immediately reviewed. Any changes are announced, implemented, and effective in line with the type of corporate action
and the magnitude of the effect.
Calculation of the EURO STOXX 50® Index
The SX5E is calculated with the “Laspeyres
formula,” which measures the aggregate price changes in the SX5E stocks against a fixed base quantity weight. The formula for calculating
the SX5E value can be expressed as follows:
Index = free float market capitalization of the
SX5E at the time
divisor of the SX5E at the time
The “free float market capitalization of
the SX5E” is equal to the sum of the products of the closing price, number of shares, free float factor and the weighting cap factor
for each component company as of the time that the SX5E is being calculated.
The divisor of the SX5E is adjusted to maintain
the continuity of the SX5E’s values across changes due to corporate actions, such as the deletion and addition of stocks, the substitution
of stocks, stock dividends, and stock splits.
License Agreement
We have entered into a non-exclusive license agreement
with SX5E, which grants us a license in exchange for a fee to use the SX5E in connection with the issuance of certain securities, including
the securities.
STOXX and its licensors (the “Licensors”)
have no relationship with us or BMOCM, other than the licensing of the SX5E and the related trademarks for use in connection with the
securities.
STOXX and its Licensors do
not:
| · | sponsor, endorse, sell or promote the securities. |
| · | recommend that any person invest in the securities
or any other securities. |
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |
| · | have any responsibility or liability for or make
any decisions about the timing, amount or pricing of the securities. |
| · | have any responsibility or liability for the
administration, management or marketing of the securities. |
| · | consider the needs of the securities or the owners
of the securities in determining, composing or calculating the SX5E or have any obligation to do so. |
STOXX and its Licensors will not have any liability
in connection with the securities. Specifically,
| · | STOXX and its Licensors do not make any warranty,
express or implied, and disclaim any and all warranty about: |
| § | the results to be obtained by the securities,
the owner of the securities or any other person in connection with the use of the SX5E and the data included in the SX5E; |
| § | the accuracy or completeness of the SX5E and
its data; |
| § | the merchantability and the fitness for a
particular purpose or use of the SX5E or its data; |
| · | STOXX and its Licensors will have no liability
for any errors, omissions or interruptions in the SX5E or its data; and |
| · | any lost profits or indirect, punitive, special
or consequential damages or losses, even if STOXX knows that they might occur. |
The licensing agreement among us, BMOCM and STOXX is solely for the
benefit of the parties thereto and not for the benefit of the owner of the securities or any other third parties.
| Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the EURO STOXX 50® Index due December 2, 2025 |