Registration Statement No.333-264388
Filed Pursuant to Rule 433
Subject to Completion,
dated June 30, 2023
Pricing Supplement to the Prospectus dated May 26, 2022,
the Prospectus Supplement dated May 26, 2022 and the Product Supplement dated July 22, 2022
US$ [ ]
Senior Medium-Term Notes, Series I
Autocallable Barrier Notes with Contingent Coupons due July 07, 2025
Linked to the common stock of U.S. Bancorp
| · | The notes are designed for investors who are seeking quarterly contingent periodic interest payments
(as described in more detail below), as well as a return of principal if the closing level of the common stock of U.S. Bancorp (the “Reference
Asset”) on any quarterly Observation Date beginning in October 2023 is greater than 100% of its Initial Level (the “Call Level”).
Investors should be willing to have their notes automatically redeemed prior to maturity, be willing to forego any potential to participate
in the appreciation of the Reference Asset and be willing to lose some or all of their principal at maturity. |
| · | The notes will pay a Contingent Coupon on each Contingent Coupon Payment Date at the Contingent Interest
Rate of 3.775% per quarter (approximately 15.10% per annum) if the closing level of the Reference Asset on the applicable quarterly Observation
Date is greater than or equal to its Coupon Barrier Level. However, if the closing level of the Reference Asset is less than its Coupon
Barrier Level on an Observation Date, the notes will not pay the Contingent Coupon for that Observation Date. |
| · | Beginning on October 05, 2023, if on any Observation Date, the closing level of the Reference Asset is
greater than its Call Level, the notes will be automatically redeemed. On the following Contingent Coupon Payment Date (the “Call
Settlement Date"), investors will receive their principal amount plus the Contingent Coupon otherwise due. After the notes are redeemed,
investors will not receive any additional payments in respect of the notes. |
| · | The notes do not guarantee any return of principal at maturity. Instead, if the notes are not automatically
redeemed, the payment at maturity will be based on the Final Level of the Reference Asset and whether the Final Level of that Reference
Asset has declined from its Initial Level to below its Trigger Level on the Valuation Date (a “Trigger Event”), as described
below. |
| · | If the notes are not automatically redeemed and a Trigger Event has occurred, investors will lose 1%
of the principal amount for each 1% decrease in the level of the Reference Asset from its Initial Level to its Final Level. In such a
case, you will receive a cash amount at maturity that is less than the principal amount, together with the final Contingent Coupon, if
payable. |
| · | Investing in the notes is not equivalent to a direct investment in the Reference Asset. |
| · | The notes will not be listed on any securities exchange. |
| · | All payments on the notes are subject to the credit risk of Bank of Montreal. |
| · | The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000. |
| · | Our subsidiary, BMO Capital Markets Corp. (“BMOCM”), is the agent for this offering. See
“Supplemental Plan of Distribution (Conflicts of Interest)” below. |
| · | The notes will not be subject to conversion into our common shares or the common shares of any of our
affiliates under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act (the “CDIC Act”). |
Terms of the Notes:1
| Strike Date: |
June 29, 2023 |
|
|
|
| Pricing Date: |
June 30, 2023 |
|
Valuation Date: |
July 01, 2025 |
| Settlement Date: |
July 06, 2023 |
|
Maturity Date: |
July 07, 2025 |
1Expected. See “Key Terms of the Notes” below
for additional details.
Specific Terms of the Notes:
Autocallable
Number |
Reference
Asset |
Ticker
Symbol |
Initial
Level |
Contingent
Interest Rate |
Coupon
Barrier
Level |
Trigger
Level |
CUSIP |
Principal
Amount |
Price to
Public1 |
Agent’s
Commission1 |
Proceeds to
Bank of
Montreal1 |
| 2919 |
The common stock of U.S. Bancorp |
USB |
[ ] |
3.775% per quarter (approximately 15.10% per annum) |
[ ], 50.00% of its Initial Level |
[ ], 50.00% of its Initial Level |
06374VZB5 |
[ ] |
100% |
Up to 2.35%
[ ] |
At least 97.65%
[ ] |
1 The total “Agent’s Commission” and “Proceeds
to Bank of Montreal” to be specified above will reflect the aggregate amounts at the time Bank of Montreal establishes its hedge
positions on or prior to the Pricing Date, which may be variable and fluctuate depending on market conditions at such times. Certain dealers
who purchased the notes for sale to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions.
The public offering price for investors purchasing the notes in these accounts may be between $976.50 and $1,000 per $1,000 in principal
amount. We or one of our affiliates may also pay a referral fee to certain dealers in connection with the distribution of the notes.
Investing in the notes involves risks, including
those described in the “Selected Risk Considerations” section beginning on page P-5 hereof, the “Additional Risk Factors
Relating to the Notes” section beginning on page PS-6 of the product supplement, and the “Risk Factors” section beginning
on page S-1 of the prospectus supplement and on page 8 of the prospectus.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of these notes or passed upon the accuracy of this document, the product
supplement, the prospectus supplement or the prospectus. Any representation to the contrary is a criminal offense. The notes will be our
unsecured obligations and will not be savings accounts or deposits that are insured by the United States Federal Deposit Insurance Corporation,
the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency or instrumentality or other entity.
On the date hereof, based on the terms set forth
above, the estimated initial value of the notes is $964.40 per $1,000 in principal amount. The estimated initial value of the notes on
the Pricing Date may differ from this value but will not be less than $915.00 per $1,000 in principal amount. However, as discussed in
more detail below, the actual value of the notes at any time will reflect many factors and cannot be predicted with accuracy.
BMO CAPITAL MARKETS
Key Terms of the Notes:
| Reference Asset: |
The common stock of U.S. Bancorp (ticker symbol “USB”) . See “The Reference Asset” below for additional information. |
| |
|
| Contingent Coupons: |
If the closing level of the Reference Asset on an Observation Date is greater than or equal to its Coupon Barrier Level, a Contingent Coupon will be paid on the corresponding Contingent Coupon Payment Date at the Contingent Interest Rate, subject to the automatic redemption feature. |
| |
|
| Contingent Interest Rate: |
3.775% per quarter (approximately 15.10% per annum), if payable. Accordingly, each Contingent Coupon, if payable, will equal $37.75 for each $1,000 in principal amount. |
| |
|
| Observation Dates:1 |
Three trading days prior to each scheduled Contingent Coupon Payment Date. |
| |
|
Contingent Coupon Payment
Dates:1 |
Interest, if payable, will be paid on the 7th day of each October, January, April, and July (or, if such day is not a business day, the next following business day), beginning on October 7, 2023 and ending on the Maturity Date, subject to the automatic redemption feature. |
| |
|
| Automatic Redemption: |
Beginning on October 05, 2023, if, on any Observation Date, the closing level of the Reference Asset is greater than its Call Level, the notes will be automatically redeemed. No further amounts will be owed to you under the Notes. |
| |
|
Payment upon Automatic
Redemption: |
If the notes are automatically redeemed, then, on the Call Settlement Date, investors will receive their principal amount plus the Contingent Coupon otherwise due. |
| |
|
| Call Settlement Date:1 |
If the notes are automatically redeemed, the Contingent Coupon Payment Date immediately following the relevant Observation Date. |
| |
|
| Payment at Maturity: |
If the notes are not automatically redeemed, the payment at maturity
for the notes is based on the performance of the Reference Asset.
You will receive $1,000 for each $1,000 in principal amount of the note,
unless a Trigger Event has occurred.
If a Trigger Event has occurred, you will receive at maturity, for each
$1,000 in principal amount of your notes, a cash amount equal to:
$1,000 + [$1,000 x Percentage Change]
This amount will be less than the principal amount
of your note, and may be zero.
You will also receive the final Contingent Coupon, if payable. |
| |
|
| Trigger Event:2 |
A Trigger Event will be deemed to occur if the Final Level of the Reference Asset is less than its Trigger Level on the Valuation Date. |
| |
|
| Percentage Change: |
The quotient, expressed as a percentage, of the following formula:
(Final Level – Initial Level)
Initial Level |
| |
|
| Initial Level:2 |
The closing level of the Reference Asset on the Strike Date. |
| |
|
| Coupon Barrier Level:2 |
50.00% of the Initial Level. |
| |
|
| Trigger Level:2 |
50.00% of the Initial Level. |
| |
|
| Call Level:2 |
100% of the Initial Level. |
| |
|
| Final Level: |
The closing level of the Reference Asset on the Valuation Date. |
| |
|
| Strike Date: |
June 29, 2023 |
| |
|
| Pricing Date:1 |
June 30, 2023 |
| |
|
| Settlement Date:1 |
July 06, 2023 |
| |
|
| Valuation Date:1 |
July 01, 2025 |
| Maturity Date:1 |
July 07, 2025 |
| |
|
| Physical Delivery Amount: |
We will only pay cash on the Maturity Date, and you will have no right to receive any shares of the Reference Asset. |
| |
|
| Calculation Agent: |
BMOCM |
| |
|
| Selling Agent: |
BMOCM |
1 Expected and subject to the occurrence of a market disruption
event, as described in the accompanying product supplement. If we make any change to the expected Pricing Date and Settlement Date, the
Contingent Coupon Payment Dates (and therefore the Observation Dates and potential Call Settlement Dates), the Valuation Date and Maturity
Date will be changed so that the stated term of the notes remains approximately the same.
2As determined by the calculation agent and subject to adjustment
in certain circumstances. See “General Terms of the Notes — Anti-dilution Adjustments to a Reference Asset that Is an Equity
Security (Including Any ETF)” in the product supplement for additional information.
Additional Terms of the Notes
You should read this document together with the
product supplement dated July 22, 2022, the prospectus supplement dated May 26, 2022 and the prospectus dated May 26, 2022. This document,
together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements
as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for
implementation, sample structures, fact sheets, brochures or other educational materials of ours or the agent. You should carefully
consider, among other things, the matters set forth in Additional Risk Factors Relating to the Notes in the product supplement, as the
notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and
other advisers before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Product supplement dated July 22, 2022:
https://www.sec.gov/Archives/edgar/data/927971/000121465922009102/r712220424b2.htm
Prospectus supplement dated May 26, 2022 and prospectus dated
May 26, 2022:
https://www.sec.gov/Archives/edgar/data/0000927971/000119312522160519/d269549d424b5.htm
Our Central Index Key, or CIK, on the SEC website
is 927971. As used in this document, "we", "us" or "our" refers to Bank of Montreal.
We have filed a registration statement (including
a prospectus) with the SEC for the offering to which this document relates. Before you invest, you should read the prospectus in that
registration statement and the other documents that we have filed with the SEC for more complete information about us and this offering.
You may obtain these documents free of charge by visiting the SEC's website at http://www.sec.gov. Alternatively, we will arrange to send
to you the prospectus (as supplemented by the prospectus supplement and product supplement) if you request it by calling our agent toll-free
at 1-877-369-5412.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Reference Asset. These risks are explained in more detail
in the “Additional Risk Factors Relating to the Notes” section of the product supplement.
Risks Related to the Structure or Features of the Notes
| · | Your investment in the notes may result in a loss. — The notes do not guarantee any return of principal. If the notes
are not automatically redeemed, the payment at maturity will be based on the Final Level and whether a Trigger Event has occurred. If
the Final Level is less than its Trigger Level, a Trigger Event will occur, and you will lose 1% of the principal amount for each 1% that
the Final Level is less than the Initial Level. In such a case, you will receive at maturity a cash payment that is less than the principal
amount of the notes and may be zero. Accordingly, you could lose your entire investment in the notes. |
| · | You may not receive any Contingent Coupons with respect to your notes. — We will not necessarily make periodic interest
payments on the notes. If the closing level of the Reference Asset on an Observation Date is less than its Coupon Barrier Level, we will
not pay you the Contingent Coupon applicable to that Observation Date. If the closing level of the Reference Asset is less than its Coupon
Barrier Level on each of the Observation Dates, we will not pay you any Contingent Coupons during the term of the notes, and you will
not receive a positive return on the notes. Generally, this non-payment of any Contingent Coupons will coincide with a greater risk of
principal loss on your notes. |
| · | Your notes are subject to automatic early redemption. — We will redeem the notes if the closing level of the Reference
Asset on any Observation Date is greater than its Call Level. Following an automatic redemption, you will not receive any additional Contingent
Coupons and may not be able to reinvest your proceeds in an investment with returns that are comparable to the notes. Furthermore, to
the extent you are able to reinvest such proceeds in an investment with a comparable return for a similar level of risk, you may incur
transaction costs such as dealer discounts and hedging costs built into the price of the new notes. |
| · | Your return on the notes is limited to the Contingent Coupons, if any, regardless of any appreciation in the value of the Reference
Asset. — You will not receive a payment at maturity with a value greater than your principal amount plus the final Contingent
Coupon, if payable. In addition, if the notes are automatically redeemed, you will not receive a payment greater than the principal amount
plus the applicable Contingent Coupon, even if the Final Level exceeds the Call Level by a substantial amount. Accordingly, your maximum
return on the applicable notes is limited to the potential return represented by the Contingent Coupons. |
| · | Your return on the notes may be lower than the return on a conventional debt security of comparable maturity. — The
return that you will receive on your notes, which could be negative, may be less than the return you could earn on other investments.
The notes do not provide for fixed interest payments and you may not receive any Contingent Coupons over the term of the notes. Even if
you do receive one or more Contingent Coupons and your return on the notes is positive, your return may be less than the return you would
earn if you bought a conventional senior interest bearing debt security of ours with the same maturity or if you invested directly in
the Reference Asset. Your investment may not reflect the full opportunity cost to you when you take into account factors that affect the
time value of money. |
| · | A higher Contingent Interest Rate or lower Trigger Level or Coupon Barrier Level may reflect greater expected volatility of the
Reference Asset, and greater expected volatility generally indicates an increased risk of loss at maturity. — The economic
terms for the notes, including the Contingent Interest Rate, Coupon Barrier Level and Trigger Level, are based, in part, on the expected
volatility of the Reference Asset at the time the terms of the notes are set. “Volatility” refers to the frequency and magnitude
of changes in the level of the Reference Asset. The greater the expected volatility of the Reference Asset as of the Pricing Date, the
greater the expectation is as of that date that the closing level of the Reference Asset could be less than its Coupon Barrier Level on
any Observation Date and that a Trigger Event could occur and, as a consequence, indicates an increased risk of not receiving a Contingent
Coupon and an increased risk of loss, respectively. All things being equal, this greater expected volatility will generally be reflected
in a higher Contingent Interest Rate than the yield payable on our conventional debt securities with a similar maturity or on otherwise
comparable securities, and/or lower Trigger Level and/or Coupon Barrier Level than those terms on otherwise comparable securities. Therefore,
a relatively higher Contingent Interest Rate may indicate an increased risk of loss. Further, a relatively lower Trigger Level and/or
Coupon Barrier may not necessarily indicate that the notes have a greater likelihood of a return of principal at maturity and/or paying
Contingent Coupons. You should be willing to accept the downside market risk of the Reference Asset and the potential to lose a significant
portion or all of your initial investment. |
Risks Related to the Reference Asset
| · | Owning the notes is not the same as owning shares of the Reference Asset or a security directly linked to the Reference Asset.
— The return on your notes will not reflect the return you would realize if you actually owned shares of the Reference Asset or
a security directly linked to the performance of the Reference Asset and held that investment for a similar period. Your notes may trade
quite differently from the Reference Asset. Changes in the level of the Reference Asset may not result in comparable changes in the market
value of your notes. Even if the level of the Reference Asset increases during the term of the notes, the market value of the notes prior
to maturity may not increase to the same extent. It is also possible for the market value of the notes to decrease while the level of
the Reference Asset increases. In addition, any dividends or other distributions paid on the Reference Asset will not be reflected in
the amount payable on the notes. |
| · | You will not have any shareholder rights and will have no right to receive any shares of the Reference Asset at maturity.
— Investing in your notes will not make you a holder of any shares of the Reference Asset. Neither you nor any other holder or owner
of the notes will have any voting rights, any right to receive dividends or other distributions, or any other rights with respect to the
Reference Asset. |
| · | No delivery of shares of the Reference Asset. — The notes will be payable only in cash. You should not invest in the
notes if you seek to have the shares of the Reference Asset delivered to you at maturity. |
| · | Single equity risk. — The level of the Reference Asset can rise or fall sharply due to factors specific to the Reference
Asset and the issuer of the Reference Asset (the “Reference Asset Issuer”), such as stock price volatility, earnings, financial
conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market
factors, such as general stock market volatility and levels, interest rates and economic and political conditions. We urge you to review
financial and other information filed periodically with the SEC by the Reference Asset Issuer. We are not affiliated with the Reference
Asset Issuer and are not responsible for the Reference Asset Issuer’s public disclosure of information, whether contained in SEC
filings or otherwise. We have not undertaken any independent review or due diligence of the SEC filings of the Reference Asset Issuer
or of any other publicly available information regarding the Reference Asset Issuer. |
| · | You must rely on your own evaluation of the merits of an investment linked to the Reference Asset. — In the ordinary
course of their businesses, our affiliates from time to time may express views on expected movements in the level of the Reference Asset.
One or more of our affiliates have published, and in the future may publish, research reports that express views on the Reference Asset.
However, these views are subject to change from time to time. Moreover, other professionals who deal in the markets relating to the Reference
Asset at any time may have significantly different views from those of our affiliates. You are encouraged to derive information concerning
the Reference Asset from multiple sources, and you should not rely on the views expressed by our affiliates.
Neither the offering of the notes nor any views which our affiliates from time to time may express in the ordinary course of their businesses
constitutes a recommendation as to the merits of an investment in the notes. |
General Risk Factors
| · | Your investment is subject to the credit risk of Bank of Montreal. — Our credit ratings and credit spreads may adversely
affect the market value of the notes. Investors are dependent on our ability to pay any amounts due on the notes, and therefore investors
are subject to our credit risk and to changes in the market’s view of our creditworthiness. Any decline in our credit ratings or
increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of the notes. |
| · | Potential conflicts. — We and our affiliates play a variety of roles in connection with the issuance of the notes, including
acting as calculation agent. In performing these duties, the economic interests of the calculation agent and other affiliates of ours
are potentially adverse to your interests as an investor in the notes. We or one or more of our affiliates may also engage in trading
of shares of the Reference Asset on a regular basis as part of our general broker-dealer and other businesses, for proprietary accounts,
for other accounts under management or to facilitate transactions for our customers. Any of these activities could adversely affect the
level of the Reference Asset and, therefore, the market value of, and the payments on, the notes. We or one or more of our affiliates
may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to changes in the
performance of the Reference Asset. By introducing competing products into the marketplace in this manner, we or one or more of our affiliates
could adversely affect the market value of the notes. |
| · | Our initial estimated value of the notes will be lower than the price to public. — Our initial estimated value of the
notes is only an estimate, and is based on a number of factors. The price to public of the notes will exceed our initial estimated value,
because costs associated with offering, structuring and hedging the notes are included in the price to public, but are not included in
the estimated value. These costs include any underwriting discount and selling concessions, the profits that we and our affiliates expect
to realize for assuming the risks in hedging our obligations under the notes and the estimated cost of hedging these obligations. The
initial estimated value of the notes may be as low as the amount indicated on the cover page hereof. |
| · | Our initial estimated value does not represent any future value of the notes, and may also differ from the estimated value of any
other party. — Our initial estimated value of the notes as of the date hereof is, and our estimated value as determined on the
Pricing Date will be, derived using our internal pricing models. This value is based on market conditions and other relevant factors,
which include volatility of the Reference Asset, dividend rates and interest rates. Different pricing models and assumptions could provide
values for the notes that are greater than or less than our initial estimated value. In addition, market conditions and other relevant
factors after the Pricing Date are expected to change, possibly rapidly, and our assumptions may prove to be incorrect. After the Pricing
Date, the value of the notes could change dramatically due to changes in market conditions, our creditworthiness, and the other factors
set forth herein and in the product supplement. These changes are likely to impact the price, if any, at which we or BMOCM would be willing
to purchase the notes from you in any secondary market transactions. Our initial estimated value does not represent a minimum price at
which we or our affiliates would be willing to buy your notes in any secondary market at any time. |
| · | The terms of the notes are not determined by reference to the credit spreads for our conventional fixed-rate debt. —
To determine the terms of the notes, we will use an internal funding rate that represents a discount from the credit spreads for our conventional
fixed-rate debt. As a result, the terms of the notes are less favorable to you than if we had used a higher funding rate. |
| · | Certain costs are likely to adversely affect the value of the notes. — Absent any changes in market conditions, any secondary
market prices of the notes will likely be lower than the price to public. This is because any secondary market prices will likely take
into account our then-current market credit spreads, and because any secondary market prices are likely to exclude all or a portion of
any underwriting discount and selling concessions, and the hedging profits and estimated hedging costs that are included in the price
to public of the notes and that may be reflected on your account statements. In addition, any such price is also likely to reflect a discount
to account for costs associated with establishing or unwinding any related hedge transaction, such as dealer discounts, mark-ups and other
transaction costs. As a result, the price, if any, at which BMOCM or any other party may be willing to purchase the notes from you in
secondary market transactions, if at all, will likely be lower than the price to public. Any sale that you make prior to the Maturity
Date could result in a substantial loss to you. |
| · | Lack of liquidity. — The notes will not be listed on any securities exchange. BMOCM may offer to purchase the notes in
the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which
you may be able to trade the notes is likely to depend on the price, if any, at which BMOCM is willing to buy the notes. |
| · | Hedging and trading activities. — We or any of our affiliates have carried out or may carry out hedging activities related
to the notes, including purchasing or selling shares of the Reference Asset, futures or options relating to the Reference Asset or other
derivative instruments with return liked or related to changes in the performance on the Reference Asset. We or our affiliates may also
trade in the Reference Asset or instruments related to the Reference Asset from time to time. Any of these hedging or trading activities
on or prior to the Pricing Date and during the term of the notes could adversely affect the payments on the notes. |
| · | Many economic and market factors will influence the value of the notes. — In addition to the level of the Reference Asset
and interest rates on any trading day, the value of the notes will be affected by a number of economic and market factors that may either
offset or magnify each other, and which are described in more detail in the product supplement. |
| · | Significant aspects of the tax treatment of the notes are uncertain. — The tax treatment of the notes is uncertain. We
do not plan to request a ruling from the Internal Revenue Service or from any Canadian authorities regarding the tax treatment of the
notes, and the Internal Revenue Service or a court may not agree with the tax treatment described herein.
The Internal Revenue Service has released a notice that may affect the taxation of holders of “prepaid forward contracts”
and similar instruments. According to the notice, the Internal Revenue Service and the U.S. Treasury are actively considering whether
the holder of such instruments should be required to accrue ordinary income on a current basis. While it is not clear whether the notes
would be viewed as similar to such instruments, it is possible that any future guidance could materially and adversely affect the tax
consequences of an investment in the notes, possibly with retroactive effect.
Please read carefully the section entitled "U.S. Federal Tax Information" herein, the section entitled "Supplemental Tax
Considerations–Supplemental U.S. Federal Income Tax Considerations" in the accompanying product supplement, the section entitled
"United States Federal Income Taxation" in the accompanying prospectus and the section entitled "Certain Income Tax Consequences"
in the accompanying prospectus supplement. You should consult your tax advisor about your own tax situation. |
Examples of the Hypothetical Payment at Maturity for a $1,000 Investment
in the Notes
The following table illustrates the hypothetical
payments on a note at maturity, assuming that the notes are not automatically redeemed. The hypothetical payments are based on a $1,000
investment in the note, a hypothetical Initial Level of $100.00, a hypothetical Trigger Level of $50.00 (50.00% of the hypothetical Initial
Level), a hypothetical Call Level of $100.00 (100.00% of the hypothetical Initial Level), a range of hypothetical Final Levels and the
effect on the payment at maturity .
The hypothetical examples shown below are intended
to help you understand the terms of the notes. If the notes are not automatically redeemed, the actual cash amount that you will receive
at maturity will depend upon the Final Level of the Reference Asset. If the notes are automatically redeemed prior to maturity, the hypothetical
examples below will not be relevant, and you will receive on the applicable Call Settlement Date, for each $1,000 principal amount, the
principal amount plus the applicable Contingent Coupon.
As discussed in more detail above, your total return
on the notes will also depend on the number of Contingent Coupon Dates on which the Contingent Coupon is payable. It is possible that
the only payments on your notes will be the payment, if any, due at maturity. The payment at maturity will not exceed the principal amount,
and may be significantly less.
| Hypothetical Final Level |
Hypothetical Final Level Expressed
as a Percentage of the Initial Level |
Payment at Maturity (Excluding
Coupons) |
| $200.00 |
200.00% |
$1,000.00 |
| $180.00 |
180.00% |
$1,000.00 |
| $160.00 |
160.00% |
$1,000.00 |
| $140.00 |
140.00% |
$1,000.00 |
| $120.00 |
120.00% |
$1,000.00 |
| $100.00 |
100.00% |
$1,000.00 |
| $90.00 |
90.00% |
$1,000.00 |
| $80.00 |
80.00% |
$1,000.00 |
| $70.00 |
70.00% |
$1,000.00 |
| $60.00 |
60.00% |
$1,000.00 |
| $50.00 |
50.00% |
$1,000.00 |
| $49.99 |
49.99% |
$499.90 |
| $40.00 |
40.00% |
$400.00 |
| $20.00 |
20.00% |
$200.00 |
| $0.00 |
0.00% |
$0.00 |
U.S. Federal Tax Information
By purchasing the notes, each holder agrees (in
the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat each note as a pre-paid
contingent income-bearing derivative contract for U.S. federal income tax purposes. In the opinion of our counsel, Mayer Brown LLP, it
would generally be reasonable to treat the notes as pre-paid contingent income-bearing derivative contracts in respect of the Reference
Asset for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the notes are uncertain
and the Internal Revenue Service could assert that the notes should be taxed in a manner that is different from that described in the
preceding sentence. Please see the discussion in the accompanying product supplement under “Supplemental Tax Considerations—Supplemental
U.S. Federal Income Tax Considerations—Notes Treated as an Investment Unit Consisting of a Debt Portion and a Put Option, as a Pre-Paid
Contingent Income-Bearing Derivative Contract, or as a Pre-Paid Derivative Contract—Notes Treated as a Pre-Paid Contingent Income-Bearing
Derivative Contract,” which applies to the notes, except the following disclosure which supplements, and to the extent inconsistent
supersedes, the discussion in the product supplement.
Under current Internal Revenue Service guidance,
withholding on “dividend equivalent” payments (as discussed in the product supplement), if any, will not apply to notes that
are issued as of the date of this pricing supplement unless such notes are “delta-one” instruments. Based on our determination
that the notes are not delta-one instruments, non-United States holders (as defined in the product supplement) should not generally be
subject to withholding on dividend equivalent payments, if any, under the notes.
Supplemental Plan of Distribution (Conflicts of Interest)
BMOCM will purchase the notes from us at a purchase
price reflecting the commission set forth on the cover hereof. BMOCM has informed us that, as part of its distribution of the notes, it
will reoffer the notes to other dealers who will sell them. Each such dealer, or each additional dealer engaged by a dealer to whom BMOCM
reoffers the notes, will receive a commission from BMOCM, which will not exceed the commission set forth on the cover page. We or one
of our affiliates may also pay a referral fee to certain dealers in connection with the distribution of the notes.
Certain dealers who purchase the notes for sale
to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions. The public offering price
for investors purchasing the notes in these accounts may be less than 100% of the principal amount, as set forth on the cover page of
this document. Investors that hold their notes in these accounts may be charged fees by the investment advisor or manager of that account
based on the amount of assets held in those accounts, including the notes.
We will deliver the notes on a date that is greater
than two business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended (the “Exchange
Act”), trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than two business days prior to the issue date will
be required to specify alternative settlement arrangements to prevent a failed settlement.
We own, directly or indirectly, all of the outstanding
equity securities of BMOCM, the agent for this offering. In accordance with FINRA Rule 5121, BMOCM may not make sales in this offering
to any of its discretionary accounts without the prior written approval of the customer.
We reserve the right to withdraw, cancel or modify
the offering of the notes and to reject orders in whole or in part. You may cancel any order for the notes prior to its acceptance.
You should not construe the offering of the notes
as a recommendation of the merits of acquiring an investment linked to the Reference Asset or as to the suitability of an investment in
the notes.
BMOCM may, but is not obligated to, make a market
in the notes. BMOCM will determine any secondary market prices that it is prepared to offer in its sole discretion.
We may use the final pricing supplement relating
to the notes in the initial sale of the notes. In addition, BMOCM or another of our affiliates may use the final pricing supplement in
market-making transactions in any notes after their initial sale. Unless BMOCM or we inform you otherwise in the confirmation of sale,
the final pricing supplement is being used by BMOCM in a market-making transaction.
For a period of approximately three months following
issuance of the notes, the price, if any, at which we or our affiliates would be willing to buy the notes from investors, and the value
that BMOCM may also publish for the notes through one or more financial information vendors and which could be indicated for the notes
on any brokerage account statements, will reflect a temporary upward adjustment from our estimated value of the notes that would otherwise
be determined and applicable at that time. This temporary upward adjustment represents a portion of (a) the hedging profit that we or
our affiliates expect to realize over the term of the notes and (b) any underwriting discount and the selling concessions paid in connection
with this offering. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
period.
The notes and the related offer to purchase notes
and sale of notes under the terms and conditions provided herein do not constitute a public offering in any non-U.S. jurisdiction, and
are being made available only to individually identified investors pursuant to a private offering as permitted in the relevant jurisdiction.
The notes are not, and will not be, registered with any securities exchange or registry located outside of the United States and have
not been registered with any non-U.S. securities or banking regulatory authority. The contents of this document have not been reviewed
or approved by any non-U.S. securities or banking regulatory authority. Any person who wishes to acquire the notes from outside the United
States should seek the advice or legal counsel as to the relevant requirements to acquire these notes.
British Virgin Islands. The notes have not
been, and will not be, registered under the laws and regulations of the British Virgin Islands, nor has any regulatory authority in the
British Virgin Islands passed comment upon or approved the accuracy or adequacy of this document. This pricing supplement and the related
documents shall not constitute an offer, invitation or solicitation to any member of the public in the British Virgin Islands for the
purposes of the Securities and Investment Business Act, 2010, of the British Virgin Islands.
Cayman Islands. Pursuant to the Companies
Law (as amended) of the Cayman Islands, no invitation may be made to the public in the Cayman Islands to subscribe for the notes by or
on behalf of the issuer unless at the time of such invitation the issuer is listed on the Cayman Islands Stock Exchange. The issuer is
not presently listed on the Cayman Islands Stock Exchange and, accordingly, no invitation to the public in the Cayman Islands is to be
made by the issuer (or by any dealer on its behalf). No such invitation is made to the public in the Cayman Islands hereby.
Dominican Republic. Nothing in this pricing
supplement constitutes an offer of securities for sale in the Dominican Republic. The notes have not been, and will not be, registered
with the Superintendence of Securities Market of the Dominican Republic (Superintendencia del Mercado de Valores), under Dominican Securities
Market Law No. 249-17 (“Securities Law 249-17”), and the notes may not be offered or sold within the Dominican Republic or
to, or for the account or benefit of, Dominican persons (as defined under Securities Law 249-17 and its regulations). Failure to comply
with these directives may result in a violation of Securities Law 249-17 and its regulations.
Israel. This pricing supplement is intended
solely for investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended. A prospectus has not been prepared
or filed, and will not be prepared or filed, in Israel relating to the notes offered hereunder. The notes cannot be resold in Israel other
than to investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended.
No action will be taken in Israel that would permit
an offering of the notes or the distribution of any offering document or any other material to the public in Israel. In particular, no
offering document or other material has been reviewed or approved by the Israel Securities Authority. Any material provided to an offeree
in Israel may not be reproduced or used for any other purpose, nor be furnished to any other person other than those to whom copies have
been provided directly by us or the selling agents.
Nothing in this pricing supplement or any other
offering material relating to the notes, should be considered as the rendering of a recommendation or advice, including investment advice
or investment marketing under the Law For Regulation of Investment Advice, Investment Marketing and Investment Portfolio Management, 1995,
to purchase any note. The purchase of any note will be based on an investor’s own understanding, for the investor’s own benefit
and for the investor’s own account and not with the aim or intention of distributing or offering to other parties. In purchasing
the notes, each investor declares that it has the knowledge, expertise and experience in financial and business matters so as to be capable
of evaluating the risks and merits of an investment in the notes, without relying on any of the materials provided.
Mexico. The notes have not been registered
with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or
sold publicly in Mexico. This pricing supplement and the related documents may not be publicly distributed in Mexico. The notes may only
be offered in a private offering pursuant to Article 8 of the Securities Market Law.
Switzerland. The notes may not be distributed
to retail investors in Switzerland. This pricing supplement shall not be dispatched, copied to or otherwise made available to any person
in Switzerland, and the notes may not be offered for sale to any person in Switzerland, except in accordance with Swiss law.
The notes are not offered, sold or advertised, directly
or indirectly, in, into or from Switzerland on the basis of a public offering and will not be listed on the SIX Swiss Exchange or any
other offering or regulated trading facility in Switzerland. Accordingly, neither this pricing supplement or any other marketing material
constitute a prospectus as defined in article 652a or article 1156 of the Swiss Code of Obligations or a listing prospectus as defined
in article 32 of the Listing Rules of the SIX Swiss Exchange or any other regulated trading facility in Switzerland. Any sales or resales
of the notes may only be undertaken on a private basis to selected individual investors in compliance with Swiss law. By accepting this
pricing supplement or by purchasing the notes, investors are deemed to have acknowledged and agreed to abide by these restrictions.
The notes may also be sold in the following jurisdictions,
provided, in each case, any sales are made in accordance with all applicable laws in such jurisdiction:
Additional Information Relating to the Estimated Initial Value of
the Notes
Our estimated initial value of the notes on the
date hereof, and that will be set forth on the cover page of the final pricing supplement relating to the notes, equals the sum of the
values of the following hypothetical components:
| · | a fixed-income debt component with the same tenor as the notes, valued using our internal funding rate for structured notes; and |
| · | one or more derivative transactions relating to the economic terms of the notes. |
The internal funding rate used in the determination
of the initial estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The value
of these derivative transactions is derived from our internal pricing models. These models are based on factors such as the traded market
prices of comparable derivative instruments and on other inputs, which include volatility, dividend rates, interest rates and other factors.
As a result, the estimated initial value of the notes on the Pricing Date will be determined based on the market conditions on the Pricing
Date.
The Reference Asset
We have derived the following information from publicly
available documents. We have not independently verified the accuracy or completeness of the following information. We are not affiliated
with the Reference Asset Issuer and the Reference Asset Issuer will have no obligations with respect to the notes. This document relates
only to the notes and does not relate to the shares of the Reference Asset. Neither we nor any of our affiliates participates in the preparation
of the publicly available documents described below. Neither we nor any of our affiliates has made any due diligence inquiry with respect
to the Reference Asset in connection with the offering of the notes. There can be no assurance that all events occurring prior to the
date hereof, including events that would affect the accuracy or completeness of the publicly available documents described below and that
would affect the trading price of the shares of the Reference Asset, have been or will be publicly disclosed. Subsequent disclosure of
any events or the disclosure of or failure to disclose material future events concerning the Reference Asset could affect the price of
the shares of the Reference Asset on each Observation Date and on the Valuation Date, and therefore could affect the payments on the notes.
The selection of the Reference Asset is not a recommendation
to buy or sell the shares of the Reference Asset. Neither we nor any of our affiliates make any representation to you as to the performance
of the shares of the Reference Asset. Information provided to or filed with the SEC under the Exchange Act and the Investment Company
Act of 1940 relating to the Reference Asset may be obtained through the SEC’s website at http://www.sec.gov.
We encourage you to review recent levels of the
Reference Asset prior to making an investment decision with respect to the notes.
U.S. Bancorp provides banking and investment services.
Information filed by the company with the SEC can be located by reference to its SEC file number: 001-6880, or its CIK Code: 0000786393.
Its common stock is listed on the New York Stock Exchange under the ticker symbol “USB.”
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