Registration Statement No.333-264388
Filed Pursuant to Rule 433
Subject to Completion,
dated September 13, 2024
Pricing Supplement to the Prospectus dated May 26, 2022,
the Prospectus Supplement dated May 26, 2022 and the Product Supplement dated July 22, 2022
US$ [ ]
Senior Medium-Term Notes, Series I
Autocallable Barrier Notes with Memory Coupons due September 20, 2027
Linked to the Least Performing of the Class A common stock of Cloudflare, Inc. and the Class A common stock of Okta, Inc. and the common
stock of The Walt Disney Company
| · | The notes are designed for investors who are seeking monthly contingent periodic interest payments (as
described in more detail below), as well as a return of principal if the closing level of each of the Class A common stock of Cloudflare,
Inc. and the Class A common stock of Okta, Inc. and the common stock of The Walt Disney Company (each, a "Reference Asset" and,
collectively, the "Reference Assets") on any monthly Observation Date beginning in March 2025 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 Assets and be willing to lose some or all of their principal
at maturity. |
| · | The notes may pay Contingent Coupons at the Contingent Interest Rate of 1.333% per month (approximately
16.00% per annum) depending on the performance of the Reference Assets. If the closing level of each Reference Asset on the applicable
monthly Observation Date is greater than or equal to its Coupon Barrier Level, the notes will pay (i) a Contingent Coupon on the corresponding
Contingent Coupon Payment Date and (ii) and previously unpaid Contingent Coupons in respect of any prior Observation Dates pursuant to
the Memory Coupon Feature. If the closing level of any Reference Asset is less than its Coupon Barrier Level on an Observation Date, the
notes will not pay the Contingent Coupon on the corresponding Contingent Coupon Payment Date. |
| · | Beginning on March 17, 2025, if on any Observation Date, the closing level of each 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 each Reference Asset and whether the Final Level of any 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, you will receive a delivery
of shares of the Least Performing Reference Asset (the “Physical Delivery Amount”) or, at our election, the cash equivalent
(calculated as described below, the “Cash Delivery Amount”), which will be worth less than the principal amount. Specifically,
the value of any Physical Delivery Amount or Cash Delivery Amount that you receive will decrease 1% for each 1% decrease in the Level
of the Least Performing Reference Asset from its Initial Level to its Final Level. Any fractional shares included in the Physical Delivery
Amount will be paid in cash. |
| · | Investing in the notes is not equivalent to a direct investment in the Reference Assets. |
| · | 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: |
September 12, 2024 |
|
|
|
| Pricing Date: |
September 13, 2024 |
|
Valuation Date: |
September 15, 2027 |
| Settlement Date: |
September 18, 2024 |
|
Maturity Date: |
September 20, 2027 |
1Expected. See “Key Terms of the Notes” below
for additional details.
Specific Terms of the Notes:
Autocallable
Number |
Reference Assets |
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 |
| 557 |
The Class A common stock of Cloudflare, Inc. |
NET |
$78.86 |
1.333% per month (approximately 16.00% per annum)
|
$39.43, 50.00% of its Initial Level |
$39.43, 50.00% of its Initial Level |
06369NC82 |
[ ] |
100% |
Up to 1.50%
[ ]
|
At least 98.50%
[ ]
|
| The Class A common stock of Okta, Inc. |
OKTA |
$73.50 |
$36.75, 50.00% of its Initial Level |
$36.75, 50.00% of its Initial Level |
| The common stock of The Walt Disney Company |
DIS |
$89.30 |
$44.65, 50.00% of its Initial Level |
$44.65, 50.00% of its Initial Level |
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 $985.00 and $1,000 per $1,000 in principal
amount. We or one of our affiliates may also pay a referral fee to certain dealers in connection with the distribution of the notes.
* Rounded to two decimal places.
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 $959.90 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 $910.00 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 Assets: |
The Class A common stock of Cloudflare, Inc. (ticker symbol "NET") and the Class A common stock of Okta, Inc. (ticker symbol "OKTA") and the common stock of The Walt Disney Company (ticker symbol "DIS"). See "The Reference Assets" below for additional information. |
| |
|
| Contingent Coupons: |
If the closing level of each Reference Asset on an Observation Date is greater than or equal to its Coupon Barrier Level, on the corresponding Contingent Coupon Payment Date you will receive (i) a Contingent Coupon (calculated at the Contingent Interest Rate) in respect of that Observation Date and (ii) any previously unpaid Contingent Coupons in respect of any prior Observation Dates pursuant to the Memory Coupon Feature. |
| |
|
| Contingent Interest Rate: |
1.333% per month (approximately 16.00% per annum), if payable. Accordingly, each Contingent Coupon, if payable, will equal $13.33 for each $1,000 in principal amount. |
| |
|
| Memory Coupon Feature: |
If a Contingent Coupon is not paid on a Contingent Coupon Payment Date
(other than the Maturity Date) because the closing level of a Reference Asset is less than its Coupon Barrier Level on the related Observation
Date, such Contingent Coupon will be paid on a later Contingent Coupon Payment Date if the closing level of each Reference Asset is greater
than or equal to its Coupon Barrier Level on the relevant Observation Date.
For the avoidance of doubt, once a previously unpaid Contingent Coupon
has been paid on a later Contingent Coupon Payment Date, it will not be paid again on any subsequent Contingent Coupon Payment Date.
If the closing level of a Reference Asset is less than its Coupon Barrier
Level on each of the Observation Dates, you will receive no Contingent Coupons during the term of the notes. |
| |
|
| 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 20th day of each month (or, if such day is not a business day, the next following business day), beginning on October 20, 2024 and ending on the Maturity Date, subject to the automatic redemption feature. |
| |
|
| Automatic Redemption: |
Beginning on March 17, 2025, if, on any Observation Date, the closing level of each 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 any Contingent Coupons (including any Contingent Coupons due pursuant to the Memory Coupon Feature) 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 Assets.
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 number of shares equal to the Physical Delivery Amount (or, at our election the Cash Delivery
Amount). Fractional shares will be paid in cash. The Physical Delivery Amount will be less than the principal amount of your notes,
and may be zero.
You will also receive any Contingent Coupons (including any Contingent
Coupons due pursuant to the Memory Coupon Feature) otherwise due. |
| |
|
| Trigger Event:2 |
A Trigger Event will be deemed to occur if the Final Level of any Reference Asset is less than its Trigger Level on the Valuation Date. |
| |
|
| Least Performing Reference Asset: |
The Reference Asset with the lowest Percentage Change. |
| |
|
| Percentage Change: |
With respect to each Reference Asset, the quotient, expressed as a percentage,
of the following formula:
(Final Level - Initial Level)
Initial Level |
| |
|
| Initial Level:2 |
As set forth on the cover hereof. |
| Coupon Barrier Level:2 |
$39.43 with respect to NET, $36.75 with respect to OKTA, and $44.65 with respect to DIS, each of which is 50.00% of the respective Initial Level (rounded to two decimal places). |
| |
|
| Trigger Level:2 |
$39.43 with respect to NET, $36.75 with respect to OKTA, and $44.65 with respect to DIS, each of which is 50.00% of the respective Initial Level (rounded to two decimal places). |
| |
|
| Call Level:2 |
With respect to each Reference Asset, 100% of its Initial Level. |
| |
|
| Final Level: |
With respect to each Reference Asset, the closing level of that Reference Asset on the Valuation Date. |
| |
|
| Strike Date:1 |
September 12, 2024 |
| |
|
| Pricing Date:1 |
September 13, 2024 |
| |
|
| Settlement Date:1 |
September 18, 2024 |
| |
|
| Valuation Date:1 |
September 15, 2027 |
| |
|
| Maturity Date:1 |
September 20, 2027 |
| |
|
| Physical Delivery Amount:2 |
The number of shares of the Least Performing Reference Asset equal to $1,000 divided by the Initial Level. Any fractional shares will be paid in cash. |
| |
|
| Cash Delivery Amount:2 |
The amount in cash equal to the product of (1) the Physical Delivery Amount and (2) the Final Level of the Least Performing 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.
2 As 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 Assets. 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 of each Reference Asset and whether a Trigger
Event has occurred. If the Final Level of any Reference Asset 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 of the Least Performing Reference Asset is less than its Initial Level.
In such a case, you will receive at maturity a delivery of shares of the Reference Asset, or at our election the cash equivalent, which
will be worth 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 any Reference Asset on an Observation Date is less than its Coupon Barrier Level, we will
not pay you the Contingent Coupon on the corresponding Contingent Coupon Payment Date. However, if a Contingent Coupon is not paid on
a Contingent Coupon Payment Date (other than the Maturity Date) because the closing level of a Reference Asset is less than the Coupon
Barrier Level on the related Observation Date, pursuant to the Memory Coupon Feature such Contingent Coupon will be paid on a later Contingent
Coupon Payment Date if the closing level of each Reference Asset is greater than or equal to its Coupon Barrier Level on the related Observation
Date. If the closing level of a 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 each 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 any Reference
Asset. — You will not receive a payment at maturity with a value greater than your principal amount plus any Contingent Coupons
otherwise due . In addition, if the notes are automatically redeemed, you will not receive a payment greater than the principal amount
plus any applicable Contingent Coupons, even if the Final Level of one or more Reference Assets exceeds its 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. |
| · | Whether you receive any Contingent Coupons and your payment at maturity may be determined solely by reference to the least performing
Reference Asset, even if any other Reference Assets perform better. - We will only make a Contingent Coupon payment on the notes
if the closing level of each Reference Asset on the applicable Observation Date exceeds the applicable Coupon Barrier, even if the values
of any other Reference Assets have increased significantly. Similarly, if a Trigger Event occurs with respect to any Reference Asset and
the Final Level of any Reference Asset is less than its Initial Level, your payment at maturity will be determined by reference to the
performance of the Least Performing Reference Asset. Even if the levels of any other Reference Assets have appreciated in value over the
term of the notes, or have experienced a decline that is less than that of the Least Performing Reference Asset, your return at maturity
will only be determined by reference to the performance of the Least Performing Reference Asset if a Trigger Event occurs. |
| · | The payments on the notes will be determined by reference to each Reference Asset individually, not to a basket, and the payments
on the notes will be based on the performance of the least performing Reference Asset. - Whether each Contingent Coupon is payable,
and the payment at maturity if a Trigger Event occurs, will be determined only by reference to the performance of the least performing
Reference Asset as of the applicable Observation Date and/or Valuation Date, regardless of the performance of any other Reference Assets.
The notes are not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components.
For example, in the case of notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket
components reflected as the basket return. As a result, the depreciation of one basket component could be mitigated by the appreciation
of the other basket components, as scaled by the weighting of that basket component. However, in the case of the notes, the individual
performance of each Reference Asset will not be combined, and the depreciation of one Reference Asset will not be mitigated by any appreciation
of any other Reference Assets. Instead, your receipt of Contingent Coupon payments on the notes will depend on the value of each Reference
Asset on each Observation Date, and your return at maturity will depend solely on the Final Level of the Least Performing Reference Asset
if a Trigger Event occurs. |
| · | Any decline in the closing level of the Reference Asset from the Valuation Date to the Maturity Date will reduce the value of the
Physical Delivery Amount. — If we deliver the Physical Delivery Amount on the Maturity Date instead of paying the Cash Delivery
Amount, the number of shares deliverable will be determined on the Valuation Date. The market value of the Physical Delivery Amount on
the Maturity Date may be less than the cash equivalent of such shares determined on the Valuation Date due to any decline in the closing
level of the Reference Asset during the period between the Valuation Date and the Maturity Date. Conversely, if we pay the Cash Delivery
Amount instead of delivering the Physical Delivery Amount on the Maturity Date, the Cash Delivery Amount will be determined on the Valuation
Date and the payment that you receive on the Maturity Date may be less than the market value of such shares that you would have received
had we instead delivered such shares due to fluctuations in their market value during the period between the Valuation Date and the Maturity
Date. |
| · | 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 Assets. 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 Levels or Coupon Barrier Levels may reflect greater expected volatility of the
Reference Assets, 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 Levels and Trigger Levels, are based, in part, on the expected
volatility of the Reference Assets at the time the terms of the notes are set. “Volatility” refers to the frequency and magnitude
of changes in the level of a Reference Asset. The greater the expected volatility of the Reference Assets as of the Pricing Date, the
greater the expectation is as of that date that the closing level of a 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 a lower Trigger Levels and/or Coupon Barrier Levels than those terms on otherwise comparable securities.
Therefore, a relatively higher Contingent Interest Rate may indicate an increased risk of loss. Further, relatively lower Trigger Levels
and/or Coupon Barriers 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 Assets and the potential to lose
a significant portion or all of your initial investment. |
Risks Related to the Reference Assets
| · | Owning the notes is not the same as owning shares of the Reference Assets or a security directly linked to the Reference Assets.
— The return on your notes will not reflect the return you would realize if you actually owned shares of the Reference Assets or
a security directly linked to the performance of the Reference Assets and held that investment for a similar period. Your notes may trade
quite differently from the Reference Assets. Changes in the level of a Reference Asset may not result in comparable changes in the market
value of your notes. Even if the levels of the Reference Assets increase 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 levels of
the Reference Assets increase. In addition, any dividends or other distributions paid on a 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 Assets — Unless
and until we choose to deliver shares of a Reference Assets at maturity, 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 Assets. You
will have no rights with respect to any underlying securities. |
| · | No delivery of shares of the Reference Assets. — We may choose, in our sole discretion, whether to deliver the Physical
Delivery Amount or pay the Cash Delivery Amount at maturity. You should not invest in the notes if you wish to elect whether to receive
cash or shares at maturity. |
| · | Single equity risk. — The level of each Reference Asset can rise or fall sharply due to factors specific to that Reference
Asset and the issuer of that Reference Asset (with respect to each 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 each Reference Asset Issuer.
We are not affiliated with any Reference Asset Issuer and are not responsible for any 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 any Reference Asset Issuer or of any other publicly available information regarding any Reference Asset Issuer. |
| · | You must rely on your own evaluation of the merits of an investment linked to the Reference Assets. — 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 Assets.
One or more of our affiliates have published, and in the future may publish, research reports that express views on the Reference Assets.
However, these views are subject to change from time to time. Moreover, other professionals who deal in the markets relating to the Reference
Assets at any time may have significantly different views from those of our affiliates. You are encouraged to derive information concerning
the Reference Assets 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 Assets 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 Assets 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 Assets. 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 Assets, 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 Assets, futures or options relating to the Reference Assets or other
derivative instruments with returns linked or related to changes in the performance on the Reference Assets. We or our affiliates may
also trade in the Reference Assets or instruments related to the Reference Assets 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 levels of the Reference
Assets 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 for each Reference Asset (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 amount of cash or shares that you
will receive at maturity will depend upon the Final Level of the Least Performing 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 any Contingent Coupons otherwise due .
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 of the
Least Performing Reference Asset |
Hypothetical Final Level of the
Least Performing Reference Asset
Expressed as a Percentage of its
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 |
* Represents the cash value of the Physical Delivery Amount on the Valuation
Date. We may elect to deliver either the Physical Delivery Amount or the Cash Delivery Amount. If we elect to deliver the Physical Delivery
Amount, the actual value received and your total return on the notes on the Maturity Date will depend on the value of the Reference Asset
on the Maturity Date.
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
Assets 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 one business day following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended (the “Exchange
Act”), trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than one business day prior to the issue date will
be required to specify alternative settlement arrangements to prevent a failed settlement.
We own, directly or indirectly, all of the outstanding
equity securities of BMOCM, the agent for this offering. In accordance with FINRA Rule 5121, BMOCM may not make sales in this offering
to any of its discretionary accounts without the prior written approval of the customer.
We reserve the right to withdraw, cancel or modify
the offering of the notes and to reject orders in whole or in part. You may cancel any order for the notes prior to its acceptance.
You should not construe the offering of the notes
as a recommendation of the merits of acquiring an investment linked to the Reference Assets or as to the suitability of an investment
in the notes.
BMOCM may, but is not obligated to, make a market
in the notes. BMOCM will determine any secondary market prices that it is prepared to offer in its sole discretion.
We may use the final pricing supplement relating
to the notes in the initial sale of the notes. In addition, BMOCM or another of our affiliates may use the final pricing supplement in
market-making transactions in any notes after their initial sale. Unless BMOCM or we inform you otherwise in the confirmation of sale,
the final pricing supplement is being used by BMOCM in a market-making transaction.
For a period of approximately three months following
issuance of the notes, the price, if any, at which we or our affiliates would be willing to buy the notes from investors, and the value
that BMOCM may also publish for the notes through one or more financial information vendors and which could be indicated for the notes
on any brokerage account statements, will reflect a temporary upward adjustment from our estimated value of the notes that would otherwise
be determined and applicable at that time. This temporary upward adjustment represents a portion of (a) the hedging profit that we or
our affiliates expect to realize over the term of the notes and (b) any underwriting discount and the selling concessions paid in connection
with this offering. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
period.
The notes and the related offer to purchase notes
and sale of notes under the terms and conditions provided herein do not constitute a public offering in any non-U.S. jurisdiction, and
are being made available only to individually identified investors pursuant to a private offering as permitted in the relevant jurisdiction.
The notes are not, and will not be, registered with any securities exchange or registry located outside of the United States and have
not been registered with any non-U.S. securities or banking regulatory authority. The contents of this document have not been reviewed
or approved by any non-U.S. securities or banking regulatory authority. Any person who wishes to acquire the notes from outside the United
States should seek the advice or legal counsel as to the relevant requirements to acquire these notes.
British Virgin Islands. The notes have not
been, and will not be, registered under the laws and regulations of the British Virgin Islands, nor has any regulatory authority in the
British Virgin Islands passed comment upon or approved the accuracy or adequacy of this document. This pricing supplement and the related
documents shall not constitute an offer, invitation or solicitation to any member of the public in the British Virgin Islands for the
purposes of the Securities and Investment Business Act, 2010, of the British Virgin Islands.
Cayman Islands. Pursuant to the Companies
Law (as amended) of the Cayman Islands, no invitation may be made to the public in the Cayman Islands to subscribe for the notes by or
on behalf of the issuer unless at the time of such invitation the issuer is listed on the Cayman Islands Stock Exchange. The issuer is
not presently listed on the Cayman Islands Stock Exchange and, accordingly, no invitation to the public in the Cayman Islands is to be
made by the issuer (or by any dealer on its behalf). No such invitation is made to the public in the Cayman Islands hereby.
Dominican Republic. Nothing in this pricing
supplement constitutes an offer of securities for sale in the Dominican Republic. The notes have not been, and will not be, registered
with the Superintendence of Securities Market of the Dominican Republic (Superintendencia del Mercado de Valores), under Dominican Securities
Market Law No. 249-17 (“Securities Law 249-17”), and the notes may not be offered or sold within the Dominican Republic or
to, or for the account or benefit of, Dominican persons (as defined under Securities Law 249-17 and its regulations). Failure to comply
with these directives may result in a violation of Securities Law 249-17 and its regulations.
Israel. This pricing supplement is intended
solely for investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended. A prospectus has not been prepared
or filed, and will not be prepared or filed, in Israel relating to the notes offered hereunder. The notes cannot be resold in Israel other
than to investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended.
No action will be taken in Israel that would permit
an offering of the notes or the distribution of any offering document or any other material to the public in Israel. In particular, no
offering document or other material has been reviewed or approved by the Israel Securities Authority. Any material provided to an offeree
in Israel may not be reproduced or used for any other purpose, nor be furnished to any other person other than those to whom copies have
been provided directly by us or the selling agents.
Nothing in this pricing supplement or any other
offering material relating to the notes, should be considered as the rendering of a recommendation or advice, including investment advice
or investment marketing under the Law For Regulation of Investment Advice, Investment Marketing and Investment Portfolio Management, 1995,
to purchase any note. The purchase of any note will be based on an investor’s own understanding, for the investor’s own benefit
and for the investor’s own account and not with the aim or intention of distributing or offering to other parties. In purchasing
the notes, each investor declares that it has the knowledge, expertise and experience in financial and business matters so as to be capable
of evaluating the risks and merits of an investment in the notes, without relying on any of the materials provided.
Mexico. The notes have not been registered
with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or
sold publicly in Mexico. This pricing supplement and the related documents may not be publicly distributed in Mexico. The notes may only
be offered in a private offering pursuant to Article 8 of the Securities Market Law.
Switzerland. This pricing supplement is not
intended to constitute an offer or solicitation to purchase or invest in any notes. Neither this pricing supplement nor any other offering
or marketing material relating to the notes constitutes a prospectus compliant with the requirements of articles 35 et seq. of the Swiss
Financial Services Act ("FinSA")) for a public offering of the notes in Switzerland and no such prospectus has been or will
be prepared for or in connection with the offering of the notes in Switzerland.
Neither this pricing supplement nor any other offering
or marketing material relating to the notes has been or will be filed with or approved by a Swiss review body (Prüfstelle). No application
has been or is intended to be made to admit the notes to trading on any trading venue (SIX Swiss Exchange or on any other exchange or
any multilateral trading facility) in Switzerland. Neither this pricing supplement nor any other offering or marketing material relating
to the notes may be publicly distributed or otherwise made publicly available in Switzerland.
The notes may not be publicly offered, directly
or indirectly, in Switzerland within the meaning of FinSA except (i) in any circumstances falling within the exemptions to prepare a prospectus
listed in article 36 para. 1 FinSA or (ii) where such offer does not qualify as a public offer in Switzerland, provided always that no
offer of notes shall require the Issuer or any offeror to publish a prospectus pursuant to article 35 FinSA in respect to such offer and
that such offer shall comply with the additional restrictions set out below (if applicable). The Issuer has not authorised and does not
authorise any offer of notes which would require the Issuer or any offeror to publish a prospectus pursuant to article 35 FinSA in respect
of such offer. For purposes of this provision "public offer" shall have the meaning as such term is understood pursuant to article
3 lit. g and h FinSA and the Swiss Financial Services Ordinance ("FinSO").
The notes do not constitute participations in a
collective investment scheme within the meaning of the Swiss Collective Investment Schemes Act. They are not subject to the approval of,
or supervision by, the Swiss Financial Market Supervisory Authority ("FINMA"), and investors in the notes will not benefit from
protection under CISA or supervision by FINMA.
Prohibition of Offer to Private Clients in Switzerland
- No Key Information Document pursuant to article 58 FinSA (Basisinformationsblatt für Finanzinstrumente) or equivalent document
under foreign law pursuant to article 59 para. 2 FinSA has been or will be prepared in relation to the notes. Therefore, the following
additional restriction applies: Notes qualifying as "debt securities with a derivative character" pursuant to article 86 para.
2 FinSO may not be offered within the meaning of article 58 para. 1 FinSA, and neither this pricing supplement nor any other offering
or marketing material relating to such notes may be made available, to any retail client (Privatkunde) within the meaning of FinSA in
Switzerland.
The notes may also be sold in the following jurisdictions,
provided, in each case, any sales are made in accordance with all applicable laws in such jurisdiction:
Additional Information Relating to the Estimated Initial Value of
the Notes
Our estimated initial value of the notes on the
date hereof, and that will be set forth on the cover page of the final pricing supplement relating to the notes, equals the sum of the
values of the following hypothetical components:
| · | a fixed-income debt component with the same tenor as the notes, valued using our internal funding rate for structured notes; and |
| · | one or more derivative transactions relating to the economic terms of the notes. |
The internal funding rate used in the determination
of the initial estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The value
of these derivative transactions is derived from our internal pricing models. These models are based on factors such as the traded market
prices of comparable derivative instruments and on other inputs, which include volatility, dividend rates, interest rates and other factors.
As a result, the estimated initial value of the notes on the Pricing Date will be determined based on the market conditions on the Pricing
Date.
The Reference Assets
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 any Reference Asset Issuer and the Reference Asset Issuers 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 Assets. 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 Assets 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 Assets, 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 Assets could affect
the price of the shares of the Reference Assets on each Observation Date and on the Valuation Date, and therefore could affect the payments
on the notes.
The selection of a Reference Asset is not a recommendation
to buy or sell the shares of that Reference Asset. Neither we nor any of our affiliates make any representation to you as to the performance
of the shares of the Reference Assets. Information provided to or filed with the SEC under the Exchange Act and the Investment Company
Act of 1940 relating to the Reference Assets may be obtained through the SEC’s website at http://www.sec.gov.
We encourage you to review recent levels of the
Reference Assets prior to making an investment decision with respect to the notes.
Cloudflare, Inc. is a cloud services provider. Information
filed by the company with the SEC under the Exchange Act can be located by reference to its SEC file number: 001-39039, or its CIK Code:
0001477333. Its Class A common stock is listed on the New York Stock Exchange under the ticker symbol “NET.”
Okta, Inc. is a cloud-based identity platform. Information
filed by the company with the SEC under the Exchange Act can be located by reference to its SEC file number: 001-38044, or its CIK Code:
0001660134. Its Class A common stock is listed on the Nasdaq Global Select Market under the ticker symbol “OKTA.”
The Walt Disney Company, together with its subsidiaries,
is an entertainment company. Information filed by the company with the SEC under the Exchange Act can be located by reference to its SEC
file number: 001-38842, or its CIK Code: 0001744489. Its common stock is listed on the New York Stock Exchange under the ticker symbol
“DIS.”
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