The information in this preliminary pricing supplement
is not complete and may be changed. This preliminary pricing supplement and the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus are not an offer to sell these securities and we are not soliciting an offer to buy these securities
in any jurisdiction where the offer or sale is not permitted.
Subject To Completion, dated December 13, 2024
PRICING SUPPLEMENT dated December , 2024
(To Product Supplement No. WF1 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) |
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-264388
|
|
|
Bank of Montreal
Senior Medium-Term Notes, Series I
Equity Index Linked Securities
|
|
Market Linked Securities—Leveraged Upside
Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell
2000® Index due December 24, 2026
|
| n | Linked
to the Russell 2000® Index (the “Underlier”) |
| n | 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 face amount of the securities, depending on the performance of the
Underlier from the starting value to the ending value. The maturity payment amount will reflect the following terms: |
n
If the value of the Underlier increases, you will receive the face amount plus
a positive return equal to 125% of the percentage increase in the value of the Underlier from the starting value, subject to a maximum
return at maturity of at least 24.60% (to be determined on the pricing date) of the face amount. As a result of the maximum return, the
maximum maturity payment amount will be at least $1,246.00
n
If the value of the Underlier decreases but the decrease is not more than the
buffer amount of 10%, you will receive the face amount
n
If the value of the Underlier decreases by more than the buffer amount, you will
receive less than the face amount and have 1-to-1 downside exposure to the decrease in the value of the Underlier in excess of the buffer
amount
| n | Investors may lose up to
90% of the face amount |
| n | 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 Underlier for
payment; if Bank of Montreal defaults on its obligations, you could lose some or all of your investment |
| n | No periodic interest payments
or dividends |
| n | No exchange listing; designed
to be held to maturity |
On the date of this preliminary pricing supplement,
the estimated initial value of the securities is $961.60 per security. The estimated initial value of the securities at pricing may differ
from this value but will not be less than $911.00 per security. However, as discussed in more detail in this 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 this 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”
beginning on page PRS-8 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 securities are the unsecured obligations
of Bank of Montreal, and, accordingly, all payments on the securities 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 securities are not insured by the Federal Deposit Insurance
Corporation, the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency.
The securities 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 securities 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 Offering Price
|
Agent Discount(1)(2)
|
Proceeds to Bank of Montreal
|
Per Security |
$1,000.00 |
$25.75 |
$974.25 |
Total |
|
|
|
| (1) | Wells Fargo Securities, LLC is the agent for the distribution of the securities and is acting as principal.
See “Terms of the Securities—Agent” and “Estimated Value of the Securities” in this pricing supplement for
further information. |
| (2) | In respect of certain securities sold in this offering, our affiliate, BMO Capital Markets Corp., may
pay a fee of up to $3.00 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. |
Wells Fargo Securities
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
Issuer: |
Bank of Montreal. |
Market Measure: |
Russell 2000® Index (the “Underlier”) (Bloomberg ticker symbol: RTY). |
Pricing Date*: |
December 20, 2024. |
Issue Date*: |
December 26, 2024. |
Original Offering
Price: |
$1,000 per security. |
Face Amount: |
$1,000 per security. References in this pricing supplement to a “security” are to a security with a face amount of $1,000. |
Maturity Payment
Amount: |
On the stated maturity date, you will
be entitled to receive a cash payment per security in U.S. dollars equal to the maturity payment amount. The “maturity payment
amount” per security will equal:
• if the ending value is
greater than the starting value: $1,000 plus the lesser of:
(i) $1,000 × underlier return
× upside participation rate; and
(ii) the maximum return;
• if the ending value is less
than or equal to the starting value, but greater than or equal to the threshold value: $1,000; or
• if the ending value is less
than the threshold value:
$1,000 + [$1,000 × (underlier
return + buffer amount)]
|
If the ending value is less than the threshold value, you will have 1-to-1 downside exposure to the decrease in the value of the Underlier in excess of the buffer amount and will lose some, and possibly up to 90%, of the face amount of your securities at maturity. |
Stated Maturity
Date*:
|
December 24, 2026, subject to postponement. The securities are not subject to redemption by Bank of Montreal or repayment at the option of any holder of the securities prior to the stated maturity date. |
Starting Value: |
, the closing value of the Underlier on the pricing date. |
Closing Value: |
Closing value has the meaning assigned to “closing level” set forth under “General Terms of the Securities—Certain Terms for Securities Linked to an Index—Certain Definitions” in the accompanying product supplement. |
Ending Value: |
The “ending value” will be the closing value of the Underlier on the calculation day. |
Maximum Return: |
The “maximum return” will be determined on the pricing date and will be at least 24.60% of the face amount per security ($246.00 per security). As a result of the maximum return, the maximum maturity payment amount will be at least $1,246.00 per security. |
Threshold Value: |
, which is equal to 90% of the starting value. |
Buffer Amount: |
10%. |
Upside
Participation Rate: |
125%. |
Underlier Return: |
The “underlier return”
is the percentage change from the starting value to the ending value, measured as follows:
ending value – starting
value
starting value
|
Calculation Day*: |
December 21, 2026, subject to postponement. |
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
Market Disruption
Events and
Postponement
Provisions: |
The calculation day is subject to postponement
due to non-trading days and the occurrence of a market disruption event. In addition, the stated maturity date will be postponed if the
calculation day is postponed and will be adjusted for non-business days.
For more information regarding adjustments
to the calculation day and the stated maturity date, see “General Terms of the Securities—Consequences of a Market Disruption
Event; Postponement of a Calculation Day—Securities Linked to a Single Market Measure” and “—Payment Dates”
in the accompanying product supplement. In addition, for information regarding the circumstances that may result in a market disruption
event, see “General Terms of the Securities—Certain Terms for Securities Linked to an Index—Market Disruption Events”
in the accompanying product supplement.
|
Calculation Agent: |
BMO Capital Markets Corp. (“BMOCM”). |
Material Tax
Consequences:
|
For a discussion of material U.S. federal income and certain estate tax consequences and Canadian federal income tax consequences of the ownership and disposition of the securities, 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.” |
Agent: |
Wells Fargo Securities, LLC (“WFS”)
is the agent for the distribution of the securities. The agent will receive an agent discount of up to $25.75 per security. The agent
may resell the securities to other securities dealers at the original offering price of the securities less a concession not in excess
of $20.00 per security. Such securities dealers may include Wells Fargo Advisors (“WFA”) (the trade name of the retail
brokerage business of WFS’s affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC). In
addition to the concession allowed to WFA, WFS may pay $0.75 per security of the agent discount that it receives to WFA as a distribution
expense fee for each security sold by WFA.
In addition, in respect of certain
securities sold in this offering, BMOCM may pay a fee of up to $3.00 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.
WFS, BMOCM and/or one or more of their
respective affiliates expects to realize hedging profits projected by their proprietary pricing models to the extent they assume the risks
inherent in hedging our obligations under the securities. If WFS or any other dealer participating in the distribution of the securities
or any of their affiliates conduct hedging activities for us in connection with the securities, that dealer or its affiliates will expect
to realize a profit projected by its proprietary pricing models from those hedging activities. Any such projected profit will be in addition
to any discount, concession or fee received in connection with the sale of the securities to you.
|
Denominations: |
$1,000 and any integral multiple of $1,000. |
CUSIP: |
06376CM86 |
| * | To the extent that we make any change to the expected pricing date or expected
issue date, the calculation day and stated maturity date may also be changed in our discretion to ensure that the term of the securities
remains the same. |
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
Additional Information About the Issuer and the Securities |
You should read this pricing supplement together
with product supplement no. WF1 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 securities. 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. WF1 dated November 25, 2024: |
https://www.sec.gov/Archives/edgar/data/927971/000121465924019574/g1121240424b2.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
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
Estimated Value of the Securities |
Our estimated initial value of the securities on
the date of this preliminary pricing supplement, and that will be set forth on the cover page of the final pricing supplement relating
to the securities, equals the sum of the values of the following hypothetical components:
| · | a fixed-income debt component with the same tenor as the securities, valued using our internal funding
rate for structured notes; and |
| · | one or more derivative transactions relating to the economic terms of the securities. |
The internal funding rate used in the determination
of the initial estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The value
of these derivative transactions is derived from our internal pricing models. These models are based on factors such as the traded market
prices of comparable derivative instruments and on other inputs, which include volatility, dividend rates, interest rates and other factors.
As a result, the estimated initial value of the securities on the pricing date will be determined based on market conditions at that time.
For more information about the estimated initial
value of the securities, see “Selected Risk Considerations” below.
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
The securities are not appropriate for all investors.
The securities may be an appropriate investment for investors who:
| § | seek 125% leveraged exposure to the upside performance
of the Underlier if the ending value is greater than the starting value, subject to the maximum return at maturity of at least 24.60%
(to be determined on the pricing date) of the face amount; |
| § | desire to limit downside exposure to the Underlier
through the buffer amount; |
| § | are willing to accept the risk that, if the ending
value is less than the starting value by more than the buffer amount, they will lose some, and possibly up to 90%, of the face amount
per security at maturity; |
| § | are willing to forgo interest payments on the
securities and dividends on the securities included in the Underlier; and |
| § | are willing to hold the securities until maturity. |
The securities may not be an appropriate investment
for investors who:
| § | seek a liquid investment or are unable or unwilling
to hold the securities to maturity; |
| § | are unwilling to accept the risk that the ending
value may decrease from the starting value by more than the buffer amount; |
| § | seek uncapped exposure to the upside performance
of the Underlier; |
| § | seek full return of the face amount of the securities
at stated maturity; |
| § | are unwilling to purchase securities with an
estimated value as of the pricing date that is lower than the original offering price and that may be as low as the lower estimated value
set forth on the cover page; |
| § | seek current income over the term of the securities; |
| § | are unwilling to accept the risk of exposure
to the Underlier; |
| § | seek exposure to the Underlier but are unwilling
to accept the risk/return trade-offs inherent in the maturity payment amount for the securities; |
| § | are unwilling to accept the credit risk of Bank
of Montreal to obtain exposure to the Underlier generally, or to the exposure to the Underlier that the securities provide specifically;
or |
| § | prefer the lower risk of fixed income investments
with comparable maturities issued by companies with comparable credit ratings. |
The considerations identified above are not
exhaustive. Whether or not the securities are an appropriate investment for you will depend on your individual circumstances, and you
should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered
the appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully the
sections titled “Selected Risk Considerations” herein and “Risk Factors” in the accompanying product supplement
for risks related to an investment in the securities. For more information about the Underlier, please see the section titled “The
Underlier” below.
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
Determining Payment at Stated Maturity |
On the stated maturity date, you will receive a
cash payment per security (the maturity payment amount) calculated as follows:
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
Selected Risk Considerations |
The securities have complex features and investing
in the securities will involve risks not associated with an investment in conventional debt securities. Some of the risks that apply to
an investment in the securities are summarized below, but we urge you to read the more detailed explanation of the risks relating to the
securities generally in the “Risk Factors” section of the accompanying product supplement 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 securities
in light of your particular circumstances.
Risks Relating To The Securities Generally
If The Ending Value Is Less Than The Threshold
Value, You Will Lose Some, And Possibly Up To 90%, Of The Face Amount Of Your Securities At Maturity.
We will not repay you a fixed amount on the securities
on the stated maturity date. The maturity payment amount will depend on the direction of and percentage change in the ending value relative
to the starting value and the other terms of the securities. Because the value of the Underlier will be subject to market fluctuations,
the maturity payment amount may be more or less, and possibly significantly less, than the face amount of your securities.
If the ending value is less than the threshold
value, the maturity payment amount will be less than the face amount and you will have 1-to-1 downside exposure to the decrease in the
value of the Underlier in excess of the buffer amount, resulting in a loss of 1% of the face amount for every 1% decline in the Underlier
in excess of the buffer amount. The threshold value is 90% of the starting value. As a result, if the ending value is less than the threshold
value, you will lose some, and possibly up to 90%, of the face amount per security at maturity. This is the case even if the value of
the Underlier is greater than or equal to the starting value or the threshold value at certain times during the term of the securities.
Even if the ending value is greater than the starting
value, the maturity payment amount may only be slightly greater than the face amount, and your yield on the securities may be less than
the yield you would earn if you bought a traditional interest-bearing debt security of Bank of Montreal or another issuer with a similar
credit rating with the same stated maturity date.
Your Return Will Be Limited To The Maximum Return
And May Be Lower Than The Return On A Direct Investment In The Securities Included In The Underlier.
Your return on the securities will be subject to
the maximum return. The opportunity to participate in the possible increases in the value of the Underlier through an investment in the
securities will be limited because any positive return on the securities will not exceed the maximum return. Therefore, your return on
the securities may be lower than the return on a direct investment in the securities included in the Underlier. Furthermore, the effect
of the upside participation rate will be progressively reduced for all ending values exceeding the ending value at which the maximum return
is reached.
The Securities Do Not Pay Interest.
The securities will not pay any interest. Accordingly,
you should not invest in the securities if you seek current income during the term of the securities.
The Securities Are Subject To Credit Risk.
The securities are our obligations and are not,
either directly or indirectly, an obligation of any third party. Any amounts payable under the securities are subject to 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 securities and, in the event we were to default on our obligations under the securities, you may not receive
any amounts owed to you under the terms of the securities.
The U.S. Federal Income Tax Consequences Of
An Investment In The Securities Are Unclear.
There is no direct legal authority regarding the
proper U.S. federal income tax treatment of the securities and we do not plan to request a ruling from the Internal Revenue Service (the
“IRS”) with respect to the securities. Consequently, significant aspects of the tax treatment of the securities 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 securities, the tax consequences
of the ownership and disposition of the securities, 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 securities, possibly retroactively.
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
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 securities, as well as tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
The Stated Maturity Date May Be Postponed If
The Calculation Day Is Postponed.
The calculation day will be postponed if the originally
scheduled calculation day is not a trading day or if the calculation agent determines that a market disruption event has occurred or is
continuing on the calculation day. If such a postponement occurs, the stated maturity date may be postponed. For additional information,
see “General Terms of the Securities—Consequences of a Market Disruption Event; Postponement of a Calculation Day—Securities
Linked to a Single Market Measure” and “—Payment Dates” in the accompanying product supplement.
Risks
Relating To The Estimated Value Of The Securities And Any Secondary Market
The Estimated Value Of The Securities On The
Pricing Date, Based On Our Proprietary Pricing Models, Will Be Less Than The Original Offering Price.
Our initial estimated value of the securities is
only an estimate, and is based on a number of factors. The original offering price of the securities may exceed our initial estimated
value, because costs associated with offering, structuring and hedging the securities are included in the original offering price, but
are not included in the estimated value. These costs will include any agent discount and selling concessions and the cost of hedging our
obligations under the securities through one or more hedge counterparties (which may be one or more of our affiliates or an agent or its
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 Securities Are Not Determined
By Reference To The Credit Spreads For Our Conventional Fixed-Rate Debt.
To determine the terms of the securities, 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 securities are less favorable to you than if we had used a higher funding rate.
The Estimated Value Of The Securities Is Not
An Indication Of The Price, If Any, At Which WFS Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary Market.
Our initial estimated value of the securities 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 the agent, its
affiliates or other market participants, could provide values for the securities that are greater than or less than our initial estimated
value. In addition, market conditions and other relevant factors after the pricing date are expected to change, possibly rapidly, and
our assumptions may prove to be incorrect. After the pricing date, the value of the securities could change dramatically due to changes
in market conditions, our creditworthiness, and the other factors discussed in the next risk factor. These changes are likely to impact
the price, if any, at which WFS or its affiliates or any other party (including us or our affiliates) would be willing to purchase the
securities from you in any secondary market transactions. Our initial estimated value does not represent a minimum price at which WFS
or any other party (including us or our affiliates) would be willing to buy your securities in any secondary market at any time.
WFS has advised us that if it, WFA or any of their
affiliates makes a secondary market in the securities at any time, the secondary market price offered by it, WFA or any of their affiliates
will be affected by changes in market conditions and other factors described in the next risk factor. WFS has advised us that if it, WFA
or any of their affiliates makes a secondary market in the securities at any time up to the issue date or during the 3-month period following
the issue date, the secondary market price offered by it, WFA or any of its affiliates will be increased by an amount reflecting a portion
of the costs associated with selling, structuring and hedging the securities that are included in their original offering price. Because
this portion of the costs is not fully deducted upon issuance, WFS has advised us that any secondary market price it, WFA or any of their
affiliates offers during this period will be higher than it otherwise would be after this period, as any secondary market price offered
after this period will reflect the full deduction of the costs as described above. WFS has advised us that the amount of this increase
in the secondary market price will decline steadily to zero over this 3-month period. WFS has advised us that, if you hold the securities
through an account with WFS, WFA or any of their affiliates, WFS expects that this increase will also be reflected in the value indicated
for the securities on your brokerage account statement. If you hold your securities through an account at a broker-dealer other than WFS,
WFA or any of their affiliates, the value of the securities on your brokerage account statement may be different than if you held your
securities at WFS, WFA or any of their affiliates.
The Value Of The Securities Prior To Stated
Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
The value of the securities prior to stated maturity will be affected
by the then-current value 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 securities: performance of
the Underlier; interest rates; volatility of the Underlier; time remaining to maturity; and dividend yields on the securities included
in the Underlier. When we refer to the “value” of your securities, we mean the value you could receive for your securities
if you are able to sell them in the open market before the stated maturity date.
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
In addition to these factors, the value of the
securities will be affected by actual or anticipated changes in our creditworthiness. You should understand that the impact of one of
the factors specified above, such as a change in interest rates, may offset some or all of any change in the value of the securities attributable
to another factor, such as a change in the value of the Underlier. Because numerous factors are expected to affect the value of the securities,
changes in the value of the Underlier may not result in a comparable change in the value of the securities. We anticipate that the value
of the securities will always be at a discount to the face amount plus the maximum return.
The Securities Will Not Be Listed On Any Securities
Exchange And We Do Not Expect A Trading Market For The Securities To Develop.
The securities will not be listed or displayed
on any securities exchange. Although the agent and/or its affiliates may purchase the securities from holders, they are not obligated
to do so and are not required to make a market for the securities. There can be no assurance that a secondary market will develop. Because
we do not expect that any market makers will participate in a secondary market for the securities, the price at which you may be able
to sell your securities is likely to depend on the price, if any, at which the agent is willing to buy your securities.
If a secondary market does exist, it may be limited.
Accordingly, there may be a limited number of buyers if you decide to sell your securities prior to stated maturity. This may affect the
price you receive upon such sale. Consequently, you should be willing to hold the securities to stated maturity.
Risks Relating To The Underlier
The Maturity Payment Amount Will Depend Upon
The Performance Of The Underlier And Therefore The Securities Are Subject To The Following Risks, Each As Discussed In More Detail In
The Accompanying Product Supplement.
| · | Investing In The Securities Is Not The Same
As Investing In The Underlier. Investing in the securities is not equivalent to investing in the Underlier. As an investor in the
securities, your return will not reflect the return you would realize if you actually owned and held the securities included in the Underlier
for a period similar to the term of the securities because you will not receive any dividend payments, distributions or any other payments
paid on those securities. As a holder of the securities, you will not have any voting rights or any other rights that holders of the securities
included in the Underlier would have. |
| · | Historical Values Of The Underlier Should
Not Be Taken As An Indication Of The Future Performance Of The Underlier During The Term Of The Securities. |
| · | Changes That Affect The Underlier May Adversely
Affect The Value Of The Securities And The Maturity Payment Amount. |
| · | We Cannot Control Actions By Any Of The Unaffiliated
Companies Whose Securities Are Included In The Underlier. |
| · | We And Our Affiliates Have No Affiliation
With The Underlier Sponsor And Have Not Independently Verified Its Public Disclosure Of Information. |
The Securities Are Subject To Small-Capitalization Companies Risk
With Respect To The Underlier.
The Underlier tracks securities issued by companies
with relatively small market capitalizations. These companies often have greater stock price volatility, lower trading volume and less
liquidity than large-capitalization companies. As a result, the value of the Underlier may be more volatile than that of a market measure
that does not track solely small-capitalization stocks. Stock prices of small-capitalization companies are also generally more vulnerable
than those of large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization companies
may be thinly traded and may be less attractive to many investors if they do not pay dividends. In addition, small-capitalization companies
are often less well-established and less stable financially than large-capitalization companies and may depend on a small number of key
personnel, making them more vulnerable to loss of personnel. Small-capitalization companies are often subject to less analyst coverage
and may be in early, and less predictable, periods of their corporate existences. Small-capitalization companies tend to have lower revenues,
less diverse product lines, smaller shares of their target markets, fewer financial resources and fewer competitive strengths than large-capitalization
companies. These companies may also be more susceptible to adverse developments related to their products or services.
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
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 securities, which we refer to as a “participating
dealer,” are potentially adverse to your interests as an investor in the securities. In engaging in certain of the activities
described below and as discussed in more detail in the accompanying product supplement, our affiliates or any participating dealer or
its affiliates may take actions that may adversely affect the value of and your return on the securities, and in so doing they will have
no obligation to consider your interests as an investor in the securities. Our affiliates or any participating dealer or its affiliates
may realize a profit from these activities even if investors do not receive a favorable investment return on the securities.
| · | The calculation agent is our affiliate
and may be required to make discretionary judgments that affect the return you receive on the securities. BMOCM, which is our
affiliate, will be the calculation agent for the securities. As calculation agent, BMOCM will determine any values of the Underlier and
make any other determinations necessary to calculate any payments on the securities. In making these determinations, BMOCM may be required
to make discretionary judgments that may adversely affect any payments on the securities. See the sections entitled “General Terms
of the Securities— Certain Terms for Securities Linked to an Index—Market Disruption Events,” “—Adjustments
to an Index” and “—Discontinuance of an Index” in the accompanying product supplement. In making these discretionary
judgments, the fact that BMOCM is our affiliate may cause it to have economic interests that are adverse to your interests as an investor
in the securities, and BMOCM’s determinations as calculation agent may adversely affect your return on the securities. |
| · | The estimated value of the securities was
calculated by us and is therefore not an independent third-party valuation. |
| · | Research reports by our affiliates or any
participating dealer or its affiliates may be inconsistent with an investment in the securities and may adversely affect the value 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
value of the Underlier. |
| · | Hedging activities by our affiliates or
any participating dealer or its affiliates may adversely affect the value of the Underlier. |
| · | Trading activities by our affiliates or
any participating dealer or its affiliates may adversely affect the value 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 other fee, creating
a further incentive for the participating dealer to sell the securities to you. |
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
Hypothetical Examples and Returns |
The payout profile, return table and examples below
illustrate the maturity payment amount for a $1,000 face amount security on a hypothetical offering of securities under various scenarios,
with the assumptions set forth in the table below. The terms used for purposes of these hypothetical examples do not represent the actual
starting value or threshold value. The hypothetical starting value of 100.00 has been chosen for illustrative purposes only and does not
represent the actual starting value. The actual starting value and threshold value will be determined on the pricing date and will be
set forth under “Terms of the Securities” above. For actual historical data of the Underlier, see the historical information
set forth herein. The payout profile, return table and examples below assume that an investor purchases the securities for $1,000 per
security. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
The actual maturity payment amount and resulting pre-tax total rate of return will depend on the actual terms of the securities.
Upside Participation Rate: |
125% |
Hypothetical Maximum Return: |
24.60% of the face amount ($246.00 per security) (the lowest possible maximum return that may be determined on the pricing date) |
Hypothetical Starting Value: |
100.00 |
Hypothetical Threshold Value: |
90.00 (90% of the hypothetical starting value) |
Buffer Amount: |
10% |
Hypothetical Payout Profile
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
Hypothetical Returns
Hypothetical
ending value |
Hypothetical
underlier return(1) |
Hypothetical
maturity payment amount per security |
Hypothetical
pre-tax total
rate of return(2) |
200.00 |
100.00% |
$1,246.00 |
24.600% |
175.00 |
75.00% |
$1,246.00 |
24.600% |
150.00 |
50.00% |
$1,246.00 |
24.600% |
140.00 |
40.00% |
$1,246.00 |
24.600% |
130.00 |
30.00% |
$1,246.00 |
24.600% |
120.00 |
20.00% |
$1,246.00 |
24.600% |
119.68 |
19.68% |
$1,246.00 |
24.600% |
110.00 |
10.00% |
$1,125.00 |
12.500% |
105.00 |
5.00% |
$1,062.50 |
6.250% |
102.50 |
2.50% |
$1,031.25 |
3.125% |
100.00 |
0.00% |
$1,000.00 |
0.000% |
97.50 |
-2.50% |
$1,000.00 |
0.000% |
95.00 |
-5.00% |
$1,000.00 |
0.000% |
90.00 |
-10.00% |
$1,000.00 |
0.000% |
89.00 |
-11.00% |
$990.00 |
-1.000% |
80.00 |
-20.00% |
$900.00 |
-10.000% |
70.00 |
-30.00% |
$800.00 |
-20.000% |
60.00 |
-40.00% |
$700.00 |
-30.000% |
50.00 |
-50.00% |
$600.00 |
-40.000% |
25.00 |
-75.00% |
$350.00 |
-65.000% |
0.00 |
-100.00% |
$100.00 |
-90.000% |
| (1) | The underlier return is equal to the percentage change from the starting value to the ending value (i.e.,
the ending value minus the starting value, divided by the starting value). |
| (2) | The hypothetical pre-tax total rate of return is the number, expressed as a percentage, that results from
comparing the maturity payment amount per security to the face amount of $1,000. |
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
Hypothetical Examples
Example 1. Maturity payment amount is greater
than the face amount and reflects a return that is less than the maximum return:
|
The Underlier |
Hypothetical starting value: |
100.00 |
Hypothetical ending value: |
110.00 |
Hypothetical threshold value: |
90.00 |
Hypothetical underlier return: |
10.00% |
Because the hypothetical ending value
is greater than the hypothetical starting value, the maturity payment amount per security would be equal to the face amount of $1,000
plus a positive return equal to the lesser of:
(i) $1,000
× underlier return × upside participation rate
$1,000 × 10.00% × 125.00%
= $125.00; and
(ii) the
maximum return of $246.00
On the stated maturity date, you would receive
$1,125.00 per security.
Example 2. Maturity payment amount is greater
than the face amount and reflects a return equal to the maximum return:
|
The Underlier |
Hypothetical starting value: |
100.00 |
Hypothetical ending value: |
150.00 |
Hypothetical threshold value: |
90.00 |
Hypothetical underlier return: |
50.00% |
Because the hypothetical ending value
is greater than the hypothetical starting value, the maturity payment amount per security would be equal to the face amount of $1,000
plus a positive return equal to the lesser of:
(i) $1,000
× underlier return × upside participation rate
$1,000 × 50.00% × 125.00%
= $625.00; and
(ii) the
maximum return of $246.00
On the stated maturity date, you would receive
$1,246.00 per security, which is the maximum maturity payment amount.
In addition to limiting your return on the securities,
the maximum return limits the positive effect of the upside participation rate. If the ending value is greater than the starting value
you will participate in the performance of the Underlier at a rate of 125% up to a certain point. However, the effect of the upside participation
rate will be progressively reduced for ending values that are greater than 119.68% of the starting value (assuming the lowest possible
maximum return that may be determined on the pricing date) since your return on the securities for any ending value greater than 119.68%
of the starting value will be limited to the maximum return.
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
Example 3. Maturity payment amount is equal
to the face amount:
|
The Underlier |
Hypothetical starting value: |
100.00 |
Hypothetical ending value: |
95.00 |
Hypothetical threshold value: |
90.00 |
Hypothetical underlier return: |
-5.00% |
Because the hypothetical ending value
is less than the hypothetical starting value, but not by more than the buffer amount, you would not lose any of the face amount of your
securities.
On the stated maturity date, you would receive
$1,000.00 per security.
Example 4. Maturity payment amount is less than
the face amount:
|
The Underlier |
Hypothetical starting value: |
100.00 |
Hypothetical ending value: |
50.00 |
Hypothetical threshold value: |
90.00 |
Hypothetical underlier return: |
-50.00% |
Because the hypothetical ending value
is less than the hypothetical starting value by more than the buffer amount, you would lose a portion of the face amount of your securities
and receive a maturity payment amount per security equal to:
$1,000 + [$1,000
× (underlier return + buffer amount)]
$1,000 + [$1,000
× (-50.00% + 10.00%)]
= $600.00
On the stated maturity date, you would receive
$600.00 per security.
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
The Russell 2000® Index measures
the capitalization-weighted price performance of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges and is designed
to track the performance of the small-capitalization segment of the U.S. equity market. For more information about the Russell 2000®
Index, see “Description of Indices—The Russell 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, 2019 to December 11, 2024. The closing level on December 11, 2024 was 2,394.159. The historical
performance of the Underlier should not be taken as an indication of its future performance during the term of the securities.
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Russell 2000® Index due December 24, 2026 |
United States Federal Income Tax Considerations |
Although there is uncertainty regarding the U.S.
federal income tax consequences of an investment in the securities 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 security 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 securities is respected, the tax consequences are as outlined in the discussion under “United States
Federal Income Tax Considerations—Tax Consequences to U.S. Holders—Securities 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 securities. If the IRS were successful in asserting an alternative
treatment of the securities, the tax consequences of the ownership and disposition of the securities, 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 securities may be treated as contingent payment debt instruments, which
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 securities, 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 securities and
current market conditions, we expect that the securities 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 your particular circumstances,
including whether you enter 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. You should consult your tax advisor regarding the potential
application of Section 871(m) to the securities.
Both U.S. and non-U.S. investors considering an
investment in the securities 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 and estate tax consequences of an investment
in the securities, including possible alternative treatments, and any tax consequences arising under the laws of any state, local or non-U.S.
taxing jurisdiction.
PRS-17
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