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 23, 2024
PRICING SUPPLEMENT dated December , 2024 |
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-264388
|
(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)
| |
|
|
Bank of Montreal
Senior Medium-Term Notes, Series I
Equity Index Linked Securities |
|
Market Linked Securities—Auto-Callable with
Leveraged Upside
Participation and Contingent Downside
Principal at Risk Securities Linked to the S&P
500® Index due January 4, 2028
|
| n | Linked to the S&P 500® Index (the "Underlier") |
| n | Unlike ordinary debt securities,
the securities do not pay interest or repay a fixed amount of principal at maturity and are subject to potential automatic call upon the
terms described below. Whether the securities are automatically called for a fixed call premium or, if not automatically called, the maturity
payment amount, will depend, in each case, on the performance of the Underlier. |
| n | Automatic Call. If
the closing value of the Underlier on the call date occurring approximately one year after issuance is greater than or equal to the starting
value, the securities will be automatically called for the face amount plus a call premium of at least 7.40% of the face amount (to be
determined on the pricing date) |
| n | Maturity Payment Amount.
If the securities are not automatically called, you will receive a maturity payment amount that could be greater than, equal to or less
than the face amount depending on the ending value of the Underlier as follows: |
n
If the ending value is greater than the starting value, 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
n
If the ending value is less than the starting value but not by more than 25%,
you will receive the face amount
n
If the ending value is less than the starting value by more than 25%, you will
have full downside exposure to the decrease in the value of the Underlier from the starting value, and you will lose more than 25%, and
possibly all, of the face amount of your securities
| n | Investors may lose a significant
portion or all of the face amount |
| n | If the securities are automatically
called, the positive return on the securities will be limited to the call premium, and you will not participate in any appreciation of
the Underlier, which may be significant. If the securities are automatically called, you will no longer have the opportunity to participate
in any appreciation of the Underlier at the upside participation rate |
| 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 or automatic call |
On the date of this preliminary pricing supplement,
the estimated initial value of the securities is $957.50 per security. The estimated initial value of the securities at pricing may differ
from this value but will not be less than $910.00 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—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
Issuer: |
Bank of Montreal. |
Market Measure: |
S&P 500® Index (the “Underlier”) (Bloomberg ticker symbol: SPX). |
Pricing Date*: |
December 30, 2024. |
Issue Date*: |
January 3, 2025. |
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. |
Automatic Call: |
If the closing value of the Underlier
on the call date is greater than or equal to the starting value, the securities will be automatically called, and on the call settlement
date, you will receive the face amount per security plus the call premium.
If the securities are automatically
called, the positive return on the securities will be limited to the call premium, and you will not participate in any appreciation of
the Underlier, which may be significant. If the securities are automatically called, you will no longer have the opportunity to participate
in any appreciation of the Underlier at the upside participation rate.
If the securities are automatically called,
they will cease to be outstanding on the related call settlement date and you will have no further rights under the securities after the
call settlement date. You will not receive any notice from us if the securities are automatically called.
|
Call Date*: |
January 5, 2026, subject to postponement. |
Call Premium: |
At least 7.40% of the face amount, or at least $74.00 per $1,000 face amount of the securities (the actual call premium will be determined on the pricing date). |
Call Settlement
Date: |
Three business days after the call date (as the call date may be postponed pursuant to “—Market Disruption Events and Postponement Provisions” below, if applicable). |
Maturity Payment
Amount: |
If the securities are not automatically
called on the call date, then 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 + ($1,000 × underlier
return × upside participation rate)
• 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)
|
If the securities are not automatically called, and the ending value is less than the threshold value, you will have full downside exposure to the decrease in the value of the Underlier from the starting value and will lose more than 25%, and possibly all, of the face amount of your securities at maturity. |
Stated Maturity
Date*: |
January 4, 2028, subject to postponement. The securities are not subject to 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 final calculation day. |
Threshold Value: |
, which is equal to 75% of the starting value. |
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
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 |
Final Calculation
Day*: |
December 30, 2027, subject to postponement. |
Market Disruption
Events and
Postponement
Provisions: |
The call date and the final calculation
day are 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 final calculation day is postponed and will be adjusted for non-business days.
For more information regarding
adjustments to the call date, the final calculation day, the call settlement date, 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. For purposes of the accompanying
product supplement, each of the call date and the final calculation day is a “calculation day,” and the call settlement 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 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: |
06376CNT9 |
| * | To the extent that we make any change to the expected pricing date or expected
issue date, the call date, the final 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—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
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—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
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—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
The securities are not appropriate for all investors.
The securities may be an appropriate investment for investors who:
| § | seek a fixed return equal to the call premium
if the securities are automatically called on the call date; |
| § | understand that the securities may be automatically
called prior to the stated maturity and that the term of the securities may be reduced; |
| § | seek 125% leveraged exposure to the upside performance
of the Underlier if the securities are not automatically called and the ending value is greater than the starting value; |
| § | desire payment of the face amount at maturity
if the securities are not automatically called so long as the ending value is not less than the starting value by more than 25%; |
| § | are willing to accept the risk that, if the securities
are not automatically called and the ending value is less than the starting value by more than 25%, they will be fully exposed to the
decrease in the value of the Underlier from the starting value, and will lose more than 25%, and possibly all, 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
or automatic call. |
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 or automatic call; |
| § | seek a security with a fixed term; |
| § | are unwilling to accept the risk that the securities
will not be automatically called and the ending value of the Underlier may decrease from the starting value by more than 25%; |
| § | 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—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
Determining Timing and Amount of Payment on the Securities |
Whether the securities are automatically called on the call date for
the call premium will each be determined based on the closing value of the Underlier on the call date as follows:
If the securities have not been automatically called, then on the stated
maturity date, you will receive a cash payment per security (the maturity payment amount) calculated as follows:
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
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 Securities Are Not Automatically Called
And The Ending Value Is Less Than The Threshold Value, You Will Lose More Than 25%, And Possibly All, Of The Face Amount Of Your Securities
At Maturity.
If the securities are not automatically called,
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 securities are not automatically called
and the ending value is less than the threshold value, the maturity payment amount will be less than the face amount and you will have
full downside exposure to the decrease in the value of the Underlier from the starting value. The threshold value is 75% of the starting
value. For example, if the Underlier has declined by 25.1% from the starting value to the ending value, you will not receive any benefit
of the contingent downside feature and you will lose 25.1% of the face amount per security. As a result, you will not receive any protection
if the ending value is less than the threshold value and you will lose more than 25%, and possibly all, 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.
If the securities are not automatically called,
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.
If The Securities Are Automatically Called,
Your Return Will Be Limited To The Call Premium.
If the securities are automatically called, the
positive return on the securities will be limited to the call premium, and you will not participate in any appreciation of the Underlier,
which may be significant. Accordingly, if the securities are automatically called, the return on the securities may be less than the return
on a direct investment in the securities included in the Underlier. If the securities are automatically called, you will no longer have
the opportunity to participate in any appreciation of the Underlier at the upside participation rate.
You Will Be Subject To Reinvestment Risk.
If your securities are automatically called, the
term of the securities may be reduced. There is no guarantee that you would be able to reinvest the proceeds from an investment in the
securities at a comparable return for a similar level of risk in the event the securities are automatically called prior to maturity.
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—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
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 Final Calculation Day Is Postponed.
The final calculation day will be postponed if
the originally scheduled final calculation day is not a trading day or if the calculation agent determines that a market disruption event
has occurred or is continuing on that 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.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
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.
In addition to these factors, the value of the
securities will be affected by actual or anticipated changes in our creditworthiness. The value of the securities will also be limited
by the automatic call feature because if the securities are automatically called, your return will be limited to the call premium, and
you will not receive the potentially higher payment that may have been paid if you had held the securities until the stated maturity date.
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.
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
Whether The Securities Will Be Automatically
Called And 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, Whether The Securities Will Be Automatically Called 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. |
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.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
| · | 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—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
Hypothetical Examples and Returns |
The payout profile, return table and examples below
illustrate hypothetical payments upon an automatic call or at stated maturity 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 amount you receive at stated maturity or upon automatic call, and the resulting pre-tax
total rate of return will depend on the actual terms of the securities.
Hypothetical Call Premium: |
7.40% of the face amount (the lowest possible call premium that may be determined on the pricing date) |
Upside Participation Rate: |
125% |
Hypothetical Starting Value: |
100.00 |
Hypothetical Threshold Value: |
75.00 (75% of the hypothetical starting value) |
Hypothetical Payout Profile
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
Hypothetical Returns
If the securities are automatically called:
If the securities are automatically called prior
to stated maturity, you will receive the face amount of your securities plus the call premium, resulting in a hypothetical pre-tax total
rate of return of 7.40%.
If the securities are not automatically called:
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% |
$2,250.00 |
125.00% |
175.00 |
75.00% |
$1,937.50 |
93.75% |
150.00 |
50.00% |
$1,625.00 |
62.50% |
140.00 |
40.00% |
$1,500.00 |
50.00% |
130.00 |
30.00% |
$1,375.00 |
37.50% |
120.00 |
20.00% |
$1,250.00 |
25.00% |
110.00 |
10.00% |
$1,125.00 |
12.50% |
105.00 |
5.00% |
$1,062.50 |
6.25% |
100.00 |
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% |
75.00 |
-25.00% |
$1,000.00 |
0.00% |
74.00 |
-26.00% |
$740.00 |
-26.00% |
70.00 |
-30.00% |
$700.00 |
-30.00% |
60.00 |
-40.00% |
$600.00 |
-40.00% |
50.00 |
-50.00% |
$500.00 |
-50.00% |
25.00 |
-75.00% |
$250.00 |
-75.00% |
0.00 |
-100.00% |
$0.00 |
-100.00% |
| (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—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
Hypothetical Examples Of Payment Upon An Automatic
Call Or At Stated Maturity
Example 1. The closing value of the Underlier
on the call date is greater than the starting value, and the securities are automatically called on the call date:
|
The Underlier |
Hypothetical starting value: |
100.00 |
Hypothetical closing value on call date: |
125.00 |
Because the hypothetical closing value
of the Underlier on the call date is greater than the hypothetical starting value, the securities are automatically called on the call
date and you will receive on the call settlement date the face amount of your securities plus a call premium of 7.40% of the face amount.
Even though the Underlier appreciated by 25.00% from its starting value to its closing value on the call date in this example, your return
is limited to the call premium 7.40%.
On the call settlement date, you would
receive $1,074.00 per security.
Example 2. The securities are not automatically
called. The maturity payment amount is greater than the face amount:
|
The Underlier |
Hypothetical starting value: |
100.00 |
Hypothetical closing value on the call date: |
80.00 |
Hypothetical ending value: |
110.00 |
Hypothetical threshold value: |
75.00 |
Hypothetical underlier return: |
10.00% |
Because the hypothetical closing value
of the Underlier on the call date is less than the hypothetical starting value, the securities are not automatically called. Because the
hypothetical ending value is greater than the hypothetical starting value, the maturity payment amount per security would be equal to:
$1,000 + ($1,000 × underlier return
× upside participation rate)
$1,000 + ($1,000 × 10.00% ×
125.00%)
= $1,125.00
On the stated maturity date, you would receive
$1,125.00 per security.
Example 3. The securities are not automatically
called. Maturity payment amount is equal to the face amount:
|
The Underlier |
Hypothetical starting value: |
100.00 |
Hypothetical closing value on the call date: |
80.00 |
Hypothetical ending value: |
95.00 |
Hypothetical threshold value: |
75.00 |
Hypothetical underlier return: |
-5.00% |
Because the hypothetical closing value
of the Underlier on the call date is less than the hypothetical starting value, the securities are not automatically called. Because the
hypothetical ending value is less than the hypothetical starting value, but not by more than 25%, 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.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
Example 4. The securities are not automatically
called. Maturity payment amount is less than the face amount:
|
The Underlier |
Hypothetical starting value: |
100.00 |
Hypothetical closing value on the call date: |
80.00 |
Hypothetical ending value: |
50.00 |
Hypothetical threshold value: |
75.00 |
Hypothetical underlier return: |
-50.00% |
Because the hypothetical closing value
of the Underlier on the call date is less than the hypothetical starting value, the securities are not automatically called. Because the
hypothetical ending value is less than the hypothetical starting value by more than 25%, 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)
$1,000 + ($1,000
× -50.00%)
$500.00
On the stated maturity date, you would receive
$500.00 per security.
Market Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
The S&P 500®
Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For more information
about the S&P 500® Index, see “Description of Indices—The
S&P U.S. 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 18, 2024. The closing level on December 18, 2024 was 5,872.16. 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—Auto-Callable with Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to the S&P 500® Index due January 4, 2028
|
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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