The information in this preliminary pricing supplement
is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these
notes in any jurisdiction where the offer or sale is not permitted.
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-264388
Subject to Completion, dated March
6, 2025
Pricing Supplement dated March ,
2025 (To Product Supplement No. ELN-1 dated November 25, 2024, Underlying Supplement No. ELN-1 dated November 25, 2024, Prospectus Supplement
dated May 26, 2022 and Prospectus dated May 26, 2022)
|
|
Bank of Montreal
Senior Medium-Term Notes, Series I
$
Digital EURO STOXX 50®
Index-Linked Notes due |
The
notes do not bear interest. The amount that you will be paid on your notes on the stated maturity
date (set on the trade date and expected to be the second scheduled business day following the determination date) is based on the performance
of the EURO STOXX 50® Index
as measured from the trade date to and including the determination date (expected to be within the range of 24 and 27 months following
the trade date).
If
the final underlier level on the determination date is greater than or equal to the threshold level of 85.00% of the initial underlier
level (set on the trade date and expected to be the closing level of the underlier on the trade date),
the return on your notes will be positive and you will receive, for each $1,000 principal amount of your notes, the threshold settlement
amount (expected to be within the range of $1,148.80 and $1,175.00). However, if the final underlier level is less than the threshold
level, the return on your notes will be negative and you will lose approximately 1.1765% of the principal amount of your notes
for every 1% that the final underlier level has declined below the
threshold level. You could lose some, or all, of the principal amount
of your notes.
To
determine your payment at maturity, we will calculate the underlier return,
which is the percentage increase or decrease in the final underlier level from the initial underlier level. On the stated maturity date,
for each $1,000 principal amount of your notes, you will receive an amount in cash equal to:
| ● | if the underlier return is
greater than or equal to -15.00% (the final underlier level is greater than or equal to 85.00% of the initial underlier
level), the threshold settlement amount; or |
| ● | if the underlier return is
negative and is below -15.00% (the final underlier level is less than the initial underlier level by more than 15.00%),
the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the buffer rate of approximately
117.65% times (c) the sum of the underlier
return plus 15.00%. This
amount will be less than $1,000 and could be zero. |
The notes will not be listed on any securities exchange and are designed
to be held to maturity.
The estimated initial value of the notes determined by us as of the
trade date, which we refer to as the initial estimated value, is expected to be within the range of $969.00 and $999.00 per $1,000 principal
amount of notes and will be less than the original issue price. However, as discussed in more detail in this pricing supplement, the actual
value of the notes at any time will reflect many factors and cannot be predicted with accuracy. See “Estimated Value of the Notes”
in this pricing supplement.
The notes involve risks not associated with an investment in conventional
debt securities. See “Selected Risk Considerations” beginning on page PS-9 herein and “Risk Factors” beginning
on page PS-5 of the accompanying product supplement, page S-2 of the prospectus
supplement and page 8 of the prospectus.
The notes are the unsecured obligations of Bank of Montreal, and,
accordingly, all payments on the notes are subject to the credit risk of Bank of Montreal. If Bank of Montreal defaults on its obligations,
you could lose some or all of your investment. The notes are not insured by the Federal Deposit Insurance Corporation, the Deposit Insurance
Fund, the Canada Deposit Insurance Corporation or any other governmental agency.
The notes are not bail-inable notes and are not 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.
Neither the Securities and Exchange Commission nor any state securities
commission or other regulatory body has approved or disapproved of these notes or passed upon the accuracy or adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense.
| |
Original Issue Price |
Underwriting
Discount(1) |
Proceeds to Bank of Montreal |
| Per Note |
$1,000.00 |
$0.00 |
$1,000.00 |
| Total |
$ |
$ |
$ |
(1) BMO Capital Markets Corp. (“BMOCM”),
our subsidiary, is the agent for the distribution of the notes. See “Supplemental Plan of Distribution” in this pricing supplement
for further information.
BMO CAPITAL
MARKETS
Terms of the
Notes
| Issuer: |
Bank of Montreal |
| |
|
| Underlier: |
EURO STOXX 50® Index (Bloomberg ticker symbol: SX5E) |
| |
|
| Trade Date: |
|
| |
|
Original Issue
Date: |
Expected to be the fifth scheduled business day following the trade date |
| |
|
Determination
Date: |
The determination date will be set on the trade date and is expected to be within the range of 24 and 27 months following the trade date, subject to postponement as described under “—Market Disruption Events and Postponement Provisions” below. |
| |
|
Stated Maturity
Date: |
The stated maturity date will be set on the trade date and is expected to be the second scheduled business day following the determination date, subject to postponement as described under “—Market Disruption Events and Postponement Provisions” below. |
| |
|
| Principal Amount: |
$1,000 per note. |
| |
|
Cash Settlement
Amount: |
On the stated maturity date, you will receive a cash payment in U.S.
dollars equal to the cash settlement amount. The cash settlement amount per note will equal:
● if the final underlier
level is greater than or equal to the threshold level, the threshold settlement amount; or
● if the final underlier
level is less than the threshold level, the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times
(b) the buffer rate times (c) the sum of the underlier return plus the threshold amount.
If the final underlier level is less than the threshold level, you
will lose some, and possibly all, of the principal amount of your notes at maturity.
|
| |
|
Initial Underlier
Level: |
, the closing level of the underlier on the trade date |
| |
|
Final Underlier
Level: |
the closing level of the underlier on the determination date. |
| |
|
Threshold
Settlement
Amount: |
expected to be within the range of $1,148.80 and $1,175.00 per note (to be set on the trade date) |
| |
|
| Underlier Return: |
the quotient of (i) the final underlier level minus the initial underlier level divided by (ii) the initial underlier level, expressed as a percentage |
| |
|
| Threshold Level: |
, which is equal to 85.00% of the initial underlier level |
| |
|
| Buffer Rate: |
the quotient of the initial underlier level divided by the threshold level, which equals approximately 117.65% |
| |
|
Threshold
Amount: |
15.00% |
| |
|
| Closing Level: |
Closing level has the meaning set forth under “General Terms of the Notes—Certain Terms for Notes Linked to an Index—Certain Definitions” in the accompanying product supplement. |
| |
|
Calculation
Agent: |
BMO Capital Markets Corp. (“BMOCM”) |
| |
|
Material Tax
Consequences: |
For a discussion of material U.S. federal income tax consequences and Canadian federal income tax consequences of the ownership and disposition of the notes, see “United States Federal Income Tax Considerations” below and the sections of the product supplement entitled “United States Federal Income Tax Considerations” and “Canadian Federal Income Tax Consequences.” |
Market Disruption
Events and
Postponement
Provisions: |
The determination date is subject to postponement due to non-scheduled
trading days and the occurrence of a market disruption event. In addition, the stated maturity date will be postponed if the determination
date is postponed and will be adjusted for non-business days.
For more information regarding adjustments to the determination date
and the stated maturity date, see “General Terms of the Notes—Consequences of a Market Disruption Event; Postponement of a
Valuation Date—Notes Linked to a Single Underlier” and “—Payment Dates” in the accompanying product supplement.
For purposes of the accompanying product supplement the determination date is a “valuation date” and the stated maturity date
is a “payment date.” In addition, for information regarding the circumstances that may result in a market disruption event,
see “General Terms of the Notes—Certain Terms for Notes Linked to an Index—Market Disruption Events” in the accompanying
product supplement.
|
| |
|
Supplemental
Provisions: |
For purposes of the notes, the provisions set forth under “General Terms of the Notes—Change-in-Law Events” in the accompanying product supplement are not applicable. |
| |
|
| Denominations: |
$1,000 and any integral multiple of $1,000. |
| |
|
| CUSIP / ISIN: |
06376DHC1 / US06376DHC11 |
Additional Information about the Issuer and
the Notes
You should read this pricing supplement together with product supplement
no. ELN-1 dated November 25, 2024, underlying supplement no. ELN-1 dated November 25, 2024, the prospectus supplement dated May 26, 2022
and the prospectus dated May 26, 2022 for additional information about the notes. To the extent that disclosure in this pricing supplement
is inconsistent with the disclosure in the product supplement, underlying supplement, prospectus supplement or prospectus, the disclosure
in this pricing supplement will control. Certain defined terms used but not defined herein have the meanings set forth in the product
supplement, prospectus supplement or prospectus.
Our Central Index Key, or CIK, on the SEC website is 927971. When we
refer to “we,” “us” or “our” in this pricing supplement, we refer only to Bank of Montreal.
You may access the product supplement, underlying supplement, prospectus
supplement and prospectus on the SEC website 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 No. ELN-1 dated November 25, 2024: |
https://www.sec.gov/Archives/edgar/data/927971/000121465924019572/p1024243424b2.htm
| · | Underlying Supplement No. ELN-1 dated November 25, 2024: |
https://www.sec.gov/Archives/edgar/data/927971/000121465924019577/p116241424b2.htm
| · | Prospectus Supplement and Prospectus dated May 26, 2022: |
https://www.sec.gov/Archives/edgar/data/927971/000119312522160519/d269549d424b5.htm
Estimated Value of the Notes
Our estimated initial value of 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 is based on market conditions at the time it is calculated.
For more information about the estimated initial
value of the notes, see “Selected Risk Considerations” below.
Hypothetical
Examples
The following examples are provided for purposes of illustration only.
The examples should not be taken as an indication or prediction of future investment results and are intended merely to illustrate the
impact that the various hypothetical final underlier levels on the determination date could have on the cash settlement amount at maturity,
assuming all other variables remain constant and are not intended to predict the actual final underlier level.
The information in the following examples reflects hypothetical rates
of return on the notes assuming that they are purchased on the original issue date at a price equal to the principal amount and held to
the stated maturity date. If you sell your notes in any secondary market prior to the stated maturity date, your return will depend upon
the market value of your notes at the time of sale, which may be affected by a number of factors that are not reflected in the examples
below. Such factors are described under “Selected Risk Considerations—The Value of the Notes Prior to Maturity Will Be Affected
by Numerous Factors, Some of Which Are Related in Complex Ways” below. In addition, the estimated value of the notes will be less
than the original issue price. For more information on the estimated value of your notes, see “Estimated Value of the Notes”
above and “Selected Risk Considerations” below.
The information in the examples also reflects the key terms and assumptions
in the box below.
| Key Terms and Assumptions |
| Principal amount |
$1,000 |
| Threshold settlement amount |
$1,148.80 |
| Threshold level |
85.00% of the initial underlier level |
| Buffer rate |
approximately 117.65% |
| Threshold amount |
15.00% |
| |
|
| Neither a market disruption event nor a non-scheduled trading day occurs on the originally scheduled determination date |
| No change in or affecting any of the securities included in the underlier or the method by which the index sponsor calculates the underlier |
| |
| Notes purchased on original issue date at a price equal to the principal amount and held to the stated maturity date |
Moreover, we have not yet set the initial underlier level that will
serve as the baseline for determining the underlier return and the amount that we will pay on your notes, if any, at maturity. We will
not do so until the trade date. As a result, the actual initial underlier level may differ substantially from the closing level of the
underlier prior to the trade date.
For these reasons, the actual performance of the underlier over the
term of your notes, as well as the actual cash settlement amount, if any, may bear little relation to the hypothetical examples shown
below or to the historical closing levels of the underlier shown elsewhere in this pricing supplement. For information about the historical
closing levels of the underlier during recent periods, see “The Underlier—Historical Information” below.
Also, the hypothetical examples shown below do not take into account
the effects of applicable taxes.
The levels in the left column of the table below represent hypothetical
final underlier levels and are expressed as percentages of the initial underlier level. The amounts in the right column represent the
hypothetical cash settlement amounts, based on the corresponding hypothetical final underlier level (expressed as a percentage of the
initial underlier level), and are expressed as percentages of the principal amount of a note (rounded to the nearest one-thousandth of
a percent). Thus, a hypothetical cash settlement amount of 114.800% means that the value of the cash payment that we would deliver for
each $1,000 of the outstanding principal amount of the notes on the stated maturity date would equal 114.800% of the principal amount
of a note, based on the corresponding hypothetical final underlier level and the assumptions noted above.
|
Hypothetical Final Underlier Level
(as a Percentage of the Initial Underlier Level)
|
Hypothetical Cash Settlement Amount
(as a Percentage of the Principal Amount)
|
| 200.000% |
114.880% |
| 175.000% |
114.880% |
| 160.000% |
114.880% |
| 150.000% |
114.880% |
| 140.000% |
114.880% |
| 130.000% |
114.880% |
| 120.000% |
114.880% |
| 114.880% |
114.880% |
| 110.000% |
114.880% |
| 105.000% |
114.880% |
| 100.000% |
114.880% |
| 95.000% |
114.880% |
| 90.000% |
114.880% |
| 85.000% |
114.880% |
| 84.999% |
99.999% |
| 80.000% |
94.118% |
| 75.000% |
88.235% |
| 50.000% |
58.824% |
| 25.000% |
29.412% |
| 0.000% |
0.000% |
As shown in the table above:
| · | If the final underlier level were determined to be 25.000% of the initial underlier level, the cash settlement amount that we would
deliver on your notes at maturity would be approximately 29.412%
of the principal amount of your notes. As a result, if you purchased your notes on the original issue date at the principal amount and
held them to the stated maturity date, you would lose approximately 70.588% of your investment. |
| · | If the final underlier level were determined to be 0.000%
of the initial underlier level, you would lose your entire investment in the notes. |
| · | If the final underlier level were determined to be 200.000%
of the initial underlier level, the cash settlement amount that we would deliver on your notes at maturity would be limited by the threshold
settlement amount, or 114.880% of each $1,000 principal amount of your notes. As a result, if you held your notes to the stated maturity
date, you would not benefit from any increase in the final underlier level over 85.000% of the initial underlier level, regardless of
the extent of that increase. |
The following chart shows a graphical illustration of the hypothetical
cash settlement amounts (expressed as percentages of the principal amount of your notes) that we would pay on your notes on the stated
maturity date, if the final underlier level (expressed as percentages of the initial underlier level) were any of the hypothetical levels
shown on the horizontal axis. The chart shows that any hypothetical final underlier level of less than 85.000% (the section left of the
85.000% marker on the horizontal axis) would result in a hypothetical cash settlement amount of less than 100.000% of the principal amount
of your notes (the section below the 100.000% marker on the vertical axis) and, accordingly, in a loss of principal to the holder of the
notes. The chart also shows that any hypothetical final underlier level of greater than or equal to 85.000% (the section right of the
85.000% marker on the horizontal axis) would result in a limited return on your investment.
Selected Risk
Considerations
The notes involve risks not associated with an
investment in conventional debt securities. Some of the risks that apply to an investment in the notes are summarized below, but we urge
you to read the more detailed explanation of the risks relating to the notes generally in the “Risk Factors” section of the
accompanying product supplement and prospectus supplement. You should reach an investment decision only after you have carefully considered
with your advisors the appropriateness of an investment in the notes in light of your particular circumstances.
Risks Relating To The Notes Generally
If The Final Underlier Level Is Less Than The
Threshold Level, You Will Lose Some, And Possibly All, Of The Principal Amount Of Your Notes At Maturity.
We will not repay you a fixed amount on the notes on the stated maturity
date. The cash settlement amount will depend on the direction of and percentage change in the final underlier level relative to the initial
underlier level and the other terms of the notes. Because the level of the underlier will be subject to market fluctuations, the cash
settlement amount may be more or less, and possibly significantly less, than the principal amount of your notes.
If the final underlier level is less than the threshold level, the
cash settlement amount will be less than the principal amount and you will lose approximately 1.1765% of the principal amount for every
1% that the final underlier level is less than the threshold level. As a result, if the final underlier level is less than the threshold
level, you will lose some, and possibly all, of the principal amount per security at maturity. This is the case even if the level of the
underlier is greater than or equal to the initial underlier level or the threshold level at certain times during the term of the notes.
You Will Receive The Threshold Settlement Amount Only If The Final
Underlier Level Is Greater Than Or Equal To The Threshold Level.
You will receive the threshold settlement amount only if the final
underlier level is greater than or equal to the threshold level. If the final underlier level is less than the threshold level, then you
will not receive the threshold settlement amount.
The Potential Return On The Notes Is Limited By The Threshold Settlement
Amount.
The potential return on the notes is limited by the threshold settlement
amount, regardless of how significantly the final underlier level exceeds the initial underlier level. The underlier could appreciate
from the trade date through the determination date by significantly more than the percentage represented by the threshold settlement amount,
in which case an investment in the notes will underperform a hypothetical alternative investment providing a 1-to-1 return based on the
performance of the underlier.
The Notes Do Not Pay Interest.
The notes will not pay any interest. Accordingly, you should not invest
in the notes if you seek current income during the term of the notes.
The Notes Are Subject To Credit Risk.
The notes are our obligations and are not, either directly or indirectly,
an obligation of any third party. Any amounts payable under the notes are subject to our creditworthiness and you will have no ability
to pursue any securities included in the underlier for payment. As a result, our actual and perceived creditworthiness may affect the
value of the notes and, in the event we were to default on our obligations under the notes, you may not receive any amounts owed to you
under the terms of the notes.
The Stated Maturity Date Of The Notes Is A Pricing Term And Will
Be Determined By Us On The Trade Date.
We will not fix the stated maturity date until the trade date. The
stated maturity date is expected to be the second scheduled business day following the determination date. Therefore, the term of the
notes could be as short as the low end of the range and as long as the high end of the range for the determination date set forth on the
cover page. You should be willing to hold your notes for up to the high end of the range set forth on the cover page. The stated maturity
date selected by us could have an impact on the value of the notes.
The U.S. Federal Income Tax Consequences Of An Investment In The
Notes Are Unclear.
There is no direct legal authority regarding the proper U.S. federal
income tax treatment of the notes and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”) with
respect to the notes. Consequently, significant aspects of the tax treatment of the notes are uncertain, and the IRS or a court might
not agree with our intended treatment of them, as described in “United States Federal Income Tax Considerations” below. If
the IRS were successful in asserting an alternative treatment of the notes, the tax consequences of the ownership and disposition of the
notes, including the timing and character of income recognized by U.S. investors, and the withholding tax consequences to non-U.S. investors,
might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect
the U.S. federal income tax treatment of the notes, possibly retroactively.
You should review carefully the sections of this pricing supplement
and the accompanying product supplement entitled “United States Federal Income Tax Considerations” and consult your tax advisor
regarding the U.S. federal income tax consequences of an investment in the notes, as well as tax consequences arising under the laws of
any state, local or non-U.S. taxing jurisdiction.
The Stated Maturity Date Will Be Postponed If The Determination
Date Is Postponed.
The determination date will be postponed if the originally scheduled
determination date is not a scheduled trading day or if the calculation agent determines that a market disruption event has occurred or
is continuing on the determination date. If such a postponement occurs, the stated maturity date will be postponed. See “General
Terms of the Notes—Consequences of a Market Disruption Event; Postponement of a Valuation Date—Notes Linked to a Single Underlier”
and “—Payment Dates” in the accompanying product supplement.
Risks Relating To The Estimated Value Of The Notes And Any Secondary
Market
The Estimated Value Of The Notes On The Trade
Date, Based On Our Proprietary Pricing Models, Will Be Less Than The Original Issue Price.
Our initial estimated value of the notes is only an estimate, and is
based on a number of factors. The original issue price of the notes may exceed our initial estimated value, because costs associated with
offering, structuring and hedging the notes are included in the original issue price, but are not included in the estimated value. These
costs will include any underwriting discount and selling concessions and the cost of hedging our obligations under the notes through one
or more hedge counterparties (which may be one or more of our affiliates). Such hedging cost includes our or our hedge counterparty’s
expected cost of providing such hedge, as well as the profit we or our hedge counterparty expect to realize in consideration for assuming
the risks inherent in providing such hedge.
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 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.
The Estimated Value Of The Notes Is Not An Indication Of The Price,
If Any, At Which We, BMOCM Or Any Other Person May Be Willing To Buy The Notes From You In The Secondary Market.
Our initial estimated value of the notes is derived using our internal
pricing models. This value is based on market conditions and other relevant factors, which include volatility of the underlier, dividend
rates and interest rates. Different pricing models and assumptions, including those used by other market participants, 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 trade date are expected to change, possibly rapidly, and our assumptions may prove to be incorrect. After the trade date, the
value of the notes could change dramatically due to changes in market conditions, our creditworthiness, and the other factors discussed
in the next risk factor. These changes are likely to impact the price, if any, at which we, BMOCM or any other party 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, BMOCM or any other party would be willing to buy your notes in any secondary market at any time.
For a period of approximately 3 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 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 3-month period.
The Value Of The Notes Prior To Maturity Will
Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
The value of the notes prior to stated maturity will
be affected by the then-current level of the underlier, interest rates at that time and a number of other factors, some of which are interrelated
in complex ways. The effect of any one factor may be offset or magnified by the effect of another factor. The following factors, which
are described in more detail in the accompanying product supplement, are expected to affect the value of the notes: performance of the
underlier; interest rates; volatility of the underlier; time remaining to maturity; volatility of currency exchange rates; correlation
between currency exchange rates and the underlier; and dividend yields on the securities included in the underlier. When we refer to the
“value” of your notes, we mean the value you could receive for your notes if you are able to sell them in the open market
before the stated maturity date.
In addition to these factors, the value of the notes
will be affected by actual or anticipated changes in our creditworthiness. You should understand that the impact of one of the factors
specified above, such as a change in interest rates, may offset some or all of any change in the value of the notes attributable to another
factor, such as a change in the level of the underlier. Because numerous factors are expected to affect the value of the notes, changes
in the level of the underlier may not result in a comparable change in the value of the notes.
The Notes Will Not Be Listed On Any Securities
Exchange And We Do Not Expect A Trading Market For The Notes To Develop.
The notes will not be listed or displayed on any securities exchange.
Although the agent and/or its affiliates may purchase the notes from holders, they are not obligated to do so and are not required to
make a market for the notes. There can be no assurance that a secondary market will develop. Because we do not expect that any market
makers will participate in a secondary market for the notes, the price at which you may be able to sell your notes is likely to depend
on the price, if any, at which the agent is willing to buy your notes.
If a secondary market does exist, it may be limited. Accordingly, there
may be a limited number of buyers if you decide to sell your notes prior to maturity. This may affect the price you receive upon such
sale. Consequently, you should be willing to hold the notes to maturity.
Risks Relating To The Underlier
The Cash Settlement Amount Will Depend Upon The Performance Of The
Underlier And Therefore The Notes Are Subject To The Following Risks, Each As Discussed In More Detail In The Accompanying Product Supplement.
| · | Investing In The Notes Is Not The Same As Investing In The Underlier. Investing in the notes is not equivalent to investing
in the underlier. As an investor in the notes, your return will not reflect the return you would realize if you actually owned and held
the securities included in the underlier for a period similar to the term of the notes because you will not receive any dividend payments,
distributions or any other payments paid on those securities. As a holder of the notes, you will not have any voting rights or any other
rights that holders of the securities included in the underlier would have. |
| · | Historical Levels Of The Underlier Should Not Be Taken As An Indication Of The Future Performance Of The Underlier During The Term
Of The Notes. |
| · | Changes That Affect The Underlier May Adversely Affect The Value Of The Notes And The Cash Settlement Amount. |
| · | We Cannot Control Actions By Any Of The Unaffiliated Companies Whose Securities Are Included In The Underlier. |
| · | We And Our Affiliates Have No Affiliation With The Index Sponsor And Have Not Independently Verified Its Public Disclosure Of Information. |
The Notes Are Subject To Risks Relating To Non-U.S. Securities Markets
With Respect To The Underlier.
The equity securities composing the underlier are issued by non-U.S.
companies in non-U.S. securities markets. Investments in securities linked to the value of such non-U.S. equity securities involve risks
associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility
in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is
generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are
subject to the reporting requirements of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial reporting
standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. The prices of securities
in non-U.S. markets may be affected by political, economic, financial and social factors in those countries, or global regions, including
changes in government, economic and fiscal policies and currency exchange laws.
The Notes Do Not Provide Direct Exposure To Fluctuations In Exchange
Rates Between The U.S. Dollar And The Euro With Respect To The Underlier.
The underlier is composed of non-U.S. securities denominated in euros.
Because the value of the underlier is also calculated in euros (and not in U.S. dollars), the performance of the underlier will not be
adjusted for exchange rate fluctuations between the U.S. dollar and the euro. In addition, any payments on the securities determined based
on the performance of the underlier will not be adjusted for exchange rate fluctuations between the U.S. dollar and the euro. Therefore,
holders of the securities will not benefit from any appreciation of the euro relative to the U.S. dollar.
Risks Relating To Conflicts Of Interest
Our Economic Interests And Those Of Any Dealer Participating In
The Offering Are Potentially Adverse To Your Interests.
You should be aware of the following ways in which our economic interests
and those of any dealer participating in the distribution of the notes, which we refer to as a “participating dealer,” are
potentially adverse to your interests as an investor in the notes. In engaging in certain of the activities described below and as discussed
in more detail in the accompanying product supplement, our affiliates, or any participating dealer or its affiliates may take actions
that may adversely affect the value of and your return on the notes, and in so doing they will have no obligation to consider your interests
as an investor in the notes. Our affiliates, or any participating dealer or its affiliates may realize a profit from these activities
even if investors do not receive a favorable investment return on the notes.
| · | The calculation agent is our affiliate and may be required to make discretionary judgments that affect the return you receive on
the notes. BMOCM, which is our affiliate, will be the calculation agent for the notes. As calculation agent, BMOCM will determine
any values of the underlier and make any other determinations necessary to calculate any payments on the notes. In making these determinations,
BMOCM may be required to make discretionary judgments that may adversely affect any payments on the notes. See the sections entitled “General
Terms of the Notes—Certain Terms for Notes Linked to an Index—Market Disruption Events” and “—Discontinuance
of, or Adjustments to, an Index” in the accompanying product supplement. In making these discretionary judgments, the fact that
BMOCM is our affiliate may cause it to have economic interests that are adverse to your interests as an investor in the notes, and BMOCM’s
determinations as calculation agent may adversely affect your return on the notes. |
| · | The estimated value of the notes was calculated by us and is therefore not an independent third-party valuation. |
| · | Research reports by our affiliates or any participating dealer or its affiliates may be inconsistent with an investment in the
notes and may adversely affect the level of the underlier. |
| · | Business activities of our affiliates or any participating dealer or its affiliates with the companies whose securities are included
in the underlier may adversely affect the level of the underlier. |
| · | Hedging activities by our affiliates or any participating dealer or its affiliates may adversely affect the level of the underlier. |
| · | Trading activities by our affiliates or any participating dealer or its affiliates may adversely affect the level of the underlier. |
| · | A participating
dealer or its affiliates may realize hedging profits projected by its proprietary pricing models in addition to any selling concession
and/or fee, creating a further incentive for the participating dealer to sell the notes to you. |
The Underlier
The EURO STOXX 50® Index is a free-float market capitalization-weighted
index composed of 50 of the largest stocks in terms of free float market capitalization traded on major Eurozone exchanges. For more information
about the EURO STOXX 50® Index, see “Description of Indices—The STOXX Benchmark Indices” in the accompanying
underlying supplement.
Historical Information
We obtained the closing levels of the underlier in the graph below
from Bloomberg Finance L.P., without independent verification.
The following graph sets forth daily closing levels of the underlier
for the period from January 2, 2020 to March 5, 2025. The closing level on March 5, 2025 was 5,489.12. The historical performance of the
underlier should not be taken as an indication of its future performance during the term of the notes.
United States Federal Income Tax Considerations
Although there is uncertainty regarding the U.S. federal income tax
consequences of an investment in the notes due to the lack of governing authority, in the opinion of our counsel Davis Polk & Wardwell
LLP, under current law, and based on current market conditions, it is reasonable to treat a note as a single financial contract that is
an “open transaction” for U.S. federal income tax purposes. However, because our counsel’s opinion is based in part
on market conditions as of the date of this document, it is subject to confirmation in the final pricing supplement. Assuming this treatment
of the notes is respected, the tax consequences are as outlined in the discussion under “United States Federal Income Tax Considerations—Tax
Consequences to U.S. Holders—Notes Treated as Open Transactions” in the accompanying product supplement.
We do not plan to request a ruling from the Internal Revenue Service
(the “IRS”) regarding the treatment of the notes. If the IRS were successful in asserting an alternative treatment of the
notes, the tax consequences of the ownership and disposition of the notes, including the timing and character of income recognized by
U.S. investors, and the withholding tax consequences to non-U.S. investors, might be materially and adversely affected. For example, under
one alternative characterization the notes may be treated as contingent payment debt instruments, which among other things would require
U.S. investors to accrue income periodically based on a “comparable yield” and generally would require non-U.S. investors
to certify their non-U.S. status on an IRS Form W-8 to avoid a 30% (or a lower treaty rate) U.S. withholding tax. In addition, the U.S.
Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future regulations
or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any
legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the notes, possibly with retroactive effect.
As discussed in the accompanying product supplement, Section 871(m)
of the Code and the Treasury regulations thereunder (“Section 871(m)”) generally impose a 30% (or lower treaty rate) withholding
tax on “dividend equivalents” paid or deemed paid to non-U.S. investors with respect to certain financial instruments linked
to equities that could pay U.S.-source dividends for U.S. federal income tax purposes (“underlying securities”), as defined
under the applicable Treasury regulations, or indices that include underlying securities. Section 871(m) generally applies to financial
instruments that substantially replicate the economic performance of one or more underlying securities, as determined based on tests set
forth in the applicable Treasury regulations. Pursuant to an IRS notice, Section 871(m) will not apply to securities issued before January
1, 2027 that do not have a delta of one with respect to any underlying security. Based on the terms of the notes and current market conditions,
we expect that the notes will not have a delta of one with respect to any underlying security on the pricing date. However, we will provide
an updated determination in the final pricing supplement. Our determination is not binding on the IRS, and the IRS may disagree with this
determination. Section 871(m) is complex and its application may depend on a non-U.S. investor’s particular circumstances, including
whether a non-U.S. investor enters into other transactions with respect to an underlying security. If withholding is required, we will
not be required to pay any additional amounts with respect to the amounts so withheld. Non-U.S. investors should consult their tax advisors
regarding the potential application of Section 871(m) to the notes.
Both U.S. and non-U.S. investors considering an investment in the notes
should read the discussion under “United States Federal Income Tax Considerations” in the accompanying product supplement
and consult their tax advisors regarding all aspects of the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments, and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental Plan of Distribution
BMOCM, our subsidiary, is the agent for the distribution of the notes
and will purchase the notes at the original issue price specified on the cover page of this pricing supplement. BMOCM will not receive
an underwriting discount in connection with the sale of the notes. BMOCM may resell the notes to other securities dealers at the original
issue price of the notes. A fee will be paid to iCapital Markets LLC, an electronic platform in which an affiliate of Goldman Sachs &Co.
LLC, who is acting as a dealer in connection with the distribution of the notes, holds an indirect minority equity interest, for services
it is providing in connection with this offering.
We expect to hedge our obligations through one or
more hedge counterparties (which may be one or more of our affiliates). The agent or another affiliate of ours expects to realize hedging
profits projected by its proprietary pricing models to the extent it assumes the risks inherent in hedging our obligations under the notes.
If any dealer participating in the distribution of the notes or any of its affiliates conducts hedging activities for us in connection
with the notes, that dealer or its affiliate will expect to realize a profit projected by its proprietary pricing models from such hedging
activities. Any such projected profit will be in addition to any discount or concession received in connection with the sale of the notes
to you.
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.
For a period of approximately 3 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 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 3 month period.
We may use this pricing supplement in the initial sale of the notes.
In addition, BMOCM or another of our affiliates may use this pricing supplement in market-making transactions in any notes after their
initial sale. Unless BMOCM or we inform you otherwise in the confirmation of sale, this pricing supplement is being used by BMOCM in a
market-making transaction.
See “Supplemental Plan of Distribution” in the accompanying
product supplement, “Supplemental Plan of Distribution (Conflicts of Interest) in the accompanying prospectus supplement and “Plan
of Distribution (Conflicts of Interest)” in the accompanying prospectus for more information.
PS-15
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