Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
February 26 2021 - 10:01AM
Edgar (US Regulatory)
Registration Statement
No. 333-237342
Filed Pursuant to Rule
433
Bank of Montreal
Medium Term Notes
Equity Linked Securities
|
|
Market Linked Securities—Leveraged Upside Participation
to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due
October 6, 2023
Term Sheet to Preliminary Pricing Supplement R2635 dated February
26, 2021
|
Summary of Terms
|
|
Description of Terms
|
Issuer:
|
Bank of Montreal
|
|
· Linked
to the S&P 500® Index
· Unlike
ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity. Instead, the securities
provide for a maturity payment amount that may be greater than, equal to or less than the original offering price of the securities,
depending on the performance of the Index from its starting level to its ending level. The maturity payment amount will reflect
the following terms:
· If
the level of the Index increases:
You will receive the original offering
price plus 200% participation in the upside performance of the Index, subject to a maximum return at maturity of 15% to 18% (to
be determined on the pricing date) of the original offering price. As a result of the maximum return, the maximum maturity payment
amount will be $1,150.00 to $1,180.00
· If
the level of the Index decreases but the decrease is not more than 10.00%:
You will be repaid the original
offering price
· If
the level of the Index decreases by more than 10.00%:
You will receive less than the original
offering price and have 1-to-1 downside exposure to the decrease in the level of the Index in excess of 10.00%
· Investors
may lose up to 90.00% of the original offering price
· All
payments on the securities are subject to the credit risk of Bank of Montreal, and you will have no ability to pursue any securities
included in the Index for payment; if Bank of Montreal defaults on its obligations, you could lose some or all of your investment
· No
periodic interest payments or dividends
· No
exchange listing; designed to be held to maturity
|
Term:
|
Approximately 2.5 years
|
|
Market Measure:
|
S&P 500® Index (the “Index”)
|
|
Pricing Date:
|
March 31, 2021*
|
|
Issue Date:
|
April 6, 2021*
|
|
Original Offering
Price:
|
$1,000 per security (100% of par)
|
|
Maturity Payment
Amount:
|
See “How the maturity payment amount is calculated” on page 3
|
|
Stated Maturity
Date:
|
October 6, 2023*
|
|
Starting Level:
|
The closing level of the Index on the pricing date
|
|
Ending Level:
|
The closing level of the Index on the calculation day
|
|
Maximum Return:
|
15% to 18% of the original offering price per security ($150 to $180 per security), to be determined on the pricing date
|
|
Threshold Level:
|
90.00% of the starting level
|
|
Participation Rate:
|
200%
|
|
Calculation Day:
|
September 29, 2023*
|
|
Calculation Agent:
|
BMO Capital Markets Corp.
|
|
Denominations:
|
$1,000 and any integral multiple of $1,000
|
|
Underwriting
Discount:
|
Up to 3.15%; dealers, including those using the trade name Wells
Fargo Advisors (“WFA”), may receive a selling concession of up to 1.75%, and WFA will receive a distribution expense
fee of 0.075%.
In respect of certain securities sold in this offering, our affiliate,
BMO Capital Markets Corp., may pay a fee of up to $1.00 per security to selected securities dealers in consideration for marketing
and other services in connection with the distribution of the securities to other securities dealers.
|
|
CUSIP:
|
06368EFM9
|
|
*To the extent that the issuer makes any change to the expected
pricing date or expected issue date, the calculation day and stated maturity date may also be changed in the issuer’s discretion
to ensure that the term of the securities remains the same.
On the date of the accompanying preliminary pricing
supplement, the estimated initial value of the securities is $949.30 per security. The estimated initial value of the securities
on the pricing date may differ from this value but will not be less than $909.30 per security. However, as discussed in more detail
in the accompanying preliminary pricing supplement, the actual value of the securities at any time will reflect many factors and
cannot be predicted with accuracy. See “Estimated Value of the Securities” in the accompanying preliminary pricing
supplement.
The securities have complex features and investing in the
securities involves risks not associated with an investment in conventional debt securities. See “Selected Risk Considerations”
in this term sheet and “Risk Factors” in the accompanying preliminary pricing supplement.
This introductory term
sheet does not provide all of the information that an investor should consider prior to making an investment decision.
Investors should carefully review the accompanying
preliminary pricing supplement, prospectus supplement and prospectus before making a decision to invest in the securities.
NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE
FDIC OR ANY OTHER GOVERNMENTAL AGENCY
Hypothetical Payout Profile
The profile to the right is based on a hypothetical
maximum return of 16.50% or $165.00 per $1,000 security (the midpoint of the specified range for the maximum return), the participation
rate of 200% and a threshold level equal to 90.00% of the starting level.
This graph has been prepared for purposes of
illustration only. Your actual return will depend on the actual ending level, the actual maximum return, and whether you hold your
securities to maturity.
|
|
Hypothetical Returns
Hypothetical
ending level
|
Hypothetical
percentage change
from the hypothetical
starting level to the
hypothetical ending level
|
Hypothetical
maturity payment amount
payable at
stated maturity
per security
|
Hypothetical
pre-tax total
rate of return
|
175.00
|
75.00%
|
$1,165.00
|
16.50%
|
150.00
|
50.00%
|
$1,165.00
|
16.50%
|
140.00
|
40.00%
|
$1,165.00
|
16.50%
|
130.00
|
30.00%
|
$1,165.00
|
16.50%
|
120.00
|
20.00%
|
$1,165.00
|
16.50%
|
110.00
|
10.00%
|
$1,165.00
|
16.50%
|
108.25
|
8.25%
|
$1,165.00
|
16.50%
|
105.00
|
5.00%
|
$1,100.00
|
10.00%
|
102.50
|
2.50%
|
$1,050.00
|
5.00%
|
100.00(1)
|
0.00%
|
$1,000.00
|
0.00%
|
95.00
|
-5.00%
|
$1,000.00
|
0.00%
|
90.00
|
-10.00%
|
$1,000.00
|
0.00%
|
80.00
|
-20.00%
|
$900.00
|
-10.00%
|
75.00
|
-25.00%
|
$850.00
|
-15.00%
|
50.00
|
-50.00%
|
$600.00
|
-40.00%
|
25.00
|
-75.00%
|
$350.00
|
-65.00%
|
Assumes a hypothetical maximum return of 16.50%,
or $165.00 per security (the midpoint of the specified range of the maximum return). Each security has an original offering price
of $1,000.
(1) The hypothetical starting level of
100.00 has been chosen for illustrative purposes only and does not represent the actual starting level. The actual starting level
will be determined on the pricing date and will be set forth under “Summary of Terms” above. For historical data regarding
the actual closing levels of the Index, see the historical information set forth under the section titled “The S&P 500®
Index” in the accompanying preliminary pricing supplement.
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis. The actual amount you receive at stated maturity and the resulting pre-tax
rate of return will depend on the actual starting level, ending level and maximum return.
How The Maturity Payment Amount Is Calculated
On the stated maturity date, you will receive a cash payment
per security equal to the maturity payment amount. The maturity payment amount per security will equal:
|
·
|
If the ending level is greater than the starting level: $1,000 plus the lesser of:
|
|
(i)
|
|
|
·
|
If the ending level is less than or equal to the starting level, but
greater than or equal to the threshold level: $1,000; or
|
|
·
|
If the ending level is less than the threshold level: $1,000 minus
|
If the ending level is less than the threshold level, you
will receive less, and possibly 90.00% less, than the original offering price of your securities at maturity.
Selected Risk Considerations
The risks set forth below are discussed
in detail in the “Risk Factors” section in the accompanying preliminary pricing supplement. Please review those risk
disclosures carefully.
Risks Relating To The Terms And Structure Of The Securities
·
|
If The Ending Level Is Less Than The Threshold Level, You Will
Receive Less, And Possibly 90.00% Less, Than The Original Offering Price Of Your Securities At Maturity.
|
·
|
No Periodic Interest Will Be Paid On The Securities.
|
·
|
Your Return Will Be Limited To The Maximum Return And May Be Lower
Than The Return On A Direct Investment In The Index.
|
·
|
Your Return On The Securities Could Be Less Than If You Owned Securities
Included In The Index.
|
·
|
The Stated Maturity Date May Be Postponed If The Calculation Day
Is Postponed.
|
Risks Relating To An Investment In Bank Of Montreal’s
Structured Debt Securities, Including The Securities
·
|
The Securities Are Subject To The Credit Risk Of Bank Of Montreal.
|
·
|
The Estimated Value Of The Securities On The Pricing Date, Based
On The Issuer’s Proprietary Pricing Models, Will Be Less Than The Original Offering Price.
|
·
|
The Terms Of The Securities Are Not Determined By Reference To
The Credit Spreads For Our Conventional Fixed-Rate Debt.
|
·
|
The Estimated Value Of The Securities
Is Not An Indication Of The Price, If Any, At Which WFS Or Any Other Person May Be Willing To Buy The Securities From You In The
Secondary Market.
|
Risks Relating To The Value Of The Securities And
Any Secondary Market
·
|
The Value Of The Securities Prior To Stated Maturity Will Be Affected
By Numerous Factors, Some Of Which Are Related In Complex Ways.
|
·
|
The Securities Will Not Be Listed On Any Securities Exchange And
The Issuer Does Not Expect A Trading Market For The Securities To Develop.
|
Risks Relating To The Index
·
|
Historical Levels Of The Index Should Not Be Taken As An Indication
Of The Future Performance Of The Index During The Term Of The Securities.
|
·
|
Changes That Affect The Index May Adversely Affect The Value Of
The Securities And The Maturity Payment Amount You Will Receive At Maturity.
|
·
|
The Issuer Cannot Control Actions By Any Of The Unaffiliated Companies
Whose Securities Are Included In The Index.
|
·
|
The Issuer And Its Affiliates Have No Affiliation With The Index
Sponsor And Have Not Independently Verified Its Public Disclosure Of Information.
|
Risks Relating To Conflicts Of Interest
·
|
The Issuer’s Economic Interests And Those Of Any Dealer Participating
In The Offering Are Potentially Adverse To Your Interests.
|
|
o
|
The calculation agent is the Issuer’s affiliate and may be required to make discretionary judgments that affect the
return you receive on the securities.
|
|
o
|
The estimated value of the securities was calculated by the Issuer’s affiliate and is therefore not an independent
third-party valuation.
|
|
o
|
Research reports by the Issuer’s affiliates or any participating dealer or its affiliates may be inconsistent with
an investment in the securities and may adversely affect the level of the Index.
|
|
o
|
Business activities of the Issuer’s affiliates or any participating dealer or its affiliates with the companies whose
securities are included in the Index may adversely affect the level of the Index.
|
|
o
|
Hedging activities by the Issuer’s affiliates or any participating dealer or its affiliates may adversely affect the
level of the Index.
|
|
o
|
Trading activities by the Issuer’s affiliates or any participating dealer or its affiliates may adversely affect the
level of the Index.
|
|
o
|
A participating dealer or its affiliates may realize hedging profits projected by its proprietary pricing models in addition
to any selling concession and/or fee, creating a further incentive for the participating dealer to sell the securities to you.
|
Risks Relating To Tax Matters
|
·
|
The Tax Consequences Of An Investment In The Securities Are Uncertain.
|
Not suitable for all investors
Investment suitability must be determined
individually for each investor. The securities described herein are not a suitable investment for all investors. In particular,
no investor should purchase the securities unless they understand and are able to bear the associated market, liquidity and yield
risks. Unless market conditions and other relevant factors change significantly in your favor, a sale of the securities prior to
maturity is likely to result in sale proceeds that are substantially less than the original offering price per security. Bank of
Montreal, Wells Fargo Securities, LLC and their affiliates are not obligated to purchase the securities from you at any time prior
to maturity.
The Issuer has 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 the Issuer has 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, the Issuer will arrange to send to you the prospectus (as supplemented by the prospectus supplement if you request
it by calling the Issuer’s agent toll-free at 1-877-369-5412.
Wells Fargo Advisors is a trade name used by
Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers
and non-bank affiliates of Wells Fargo & Company.
Consult your tax advisor
Investors should review carefully the accompanying
preliminary pricing supplement, prospectus supplement and prospectus and consult their tax advisors regarding the application of
the U.S. federal income tax laws to their particular circumstances, as well as any tax consequences arising under the laws of any
state, local or foreign jurisdiction.
4
Microsectors US Big Oil ... (AMEX:NRGU)
Historical Stock Chart
From Apr 2024 to May 2024
Microsectors US Big Oil ... (AMEX:NRGU)
Historical Stock Chart
From May 2023 to May 2024