PRICING SUPPLEMENT No. ARC 3722 dated July 19,
2024
(To Product Supplement No. WF1 dated July 20, 2022,
Prospectus Supplement dated May 26, 2022 and Prospectus
dated May 26, 2022) |
Registration Statement No. 333-264388
Filed Pursuant to Rule 424(b)(2)
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Bank of Montreal
Senior
Medium-Term Notes, Series I
Equity Index Linked Securities
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Market Linked Securities—Callable
Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing
of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22,
2027
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| n | Linked to the lowest performing
of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® (each referred
to as an “Index”) |
| n | The securities are redeemable
debt securities of Bank of Montreal that, unlike ordinary debt securities, do not provide for fixed payments of interest, and do not repay
a fixed amount of principal at stated maturity (if Bank of Montreal does not exercise its redemption right). Whether the securities pay
a contingent coupon and whether you receive the face amount of your securities at stated maturity will depend, in each case, on the closing
level of the lowest performing Index as described below. The lowest performing Index on any eligible trading day during an observation
period (including on the final calculation day) is the Index that has the lowest performance factor on that day, calculated for each Index
as the closing level of that Index on that day divided by its starting level |
| n | Contingent Coupon.
The securities will pay a contingent coupon on a quarterly basis until the earlier of stated maturity or early redemption if, and only
if, the closing level of the lowest performing Index on each eligible trading day during such observation period is greater
than or equal to its coupon threshold level. However, if the closing level of the lowest performing Index on any eligible trading day
during an observation period is less than its coupon threshold level, you will not receive any contingent coupon with respect to that
observation period. This will be the case even if the closing level of the lowest performing Index is greater than or equal to its
coupon threshold level on one or more other eligible trading days during that observation period, and even if the better performing Indices
perform favorably. If the closing level of the lowest performing Index is less than its coupon threshold level on one or more eligible
trading days during each observation period, you will not receive any contingent coupons throughout the entire term of the securities.
The coupon threshold level for each Index is equal to 70% of its starting level. The contingent coupon rate is 10.30% per annum |
| n | Optional Redemption.
Bank of Montreal may, at its option, redeem the securities on any contingent coupon payment date beginning approximately three months
after issuance. If Bank of Montreal elects to redeem the securities prior to maturity, you will receive the face amount plus the final
contingent coupon payment, if payable |
| n | Potential Loss of Principal.
If Bank of Montreal does not redeem the securities prior to stated maturity, you will receive the face amount at stated maturity if, and
only if, the closing level of the lowest performing Index on the final calculation day is greater than or equal to its downside threshold
level. If the closing level of the lowest performing Index on the final calculation day is less than its downside threshold level, you
will lose more than 40%, and possibly all, of the face amount of your securities. The downside threshold level for each Index is equal
to 60% of its starting level |
| n | If the securities are not
redeemed prior to stated maturity, you will have full downside exposure to the lowest performing Index from its starting level if its
closing level on the final calculation day is less than its downside threshold level, but you will not participate in any appreciation
of any Index and will not receive any dividends on securities included in any Index |
| n | Your return on the securities
will depend solely on the performance of the Index that is the lowest performing Index on each eligible trading day during the
observation periods, including on the final calculation day. You will not benefit in any way from the performance of the better performing
Indices. Therefore, you will be adversely affected if any Index performs poorly, even if the other Indices perform favorably |
| n | All payments on the securities
are subject to our credit risk, and you will have no ability to pursue any securities included in any Index for payment; if Bank of Montreal
defaults on its obligations, you could lose some or all of your investment |
| n | No
exchange listing; designed to be held to maturity |
On the date of this pricing supplement, the
estimated initial value of the securities was $991.70 per security. 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-10 herein and "Risk Factors" beginning on page PS-5 of the accompanying product supplement.
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.
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, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
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Original Offering Price
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Agent Discount(1)(2)
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Proceeds to Bank of Montreal
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Per Security |
$1,000.00 |
$12.75 |
$987.25 |
Total |
$7,770,000.00 |
$99,067.50 |
$7,670,932.50 |
| (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 addition to the forgoing, in respect of certain securities sold in this offering, our affiliate, BMO
Capital Markets Corp. ("BMOCM"), may pay a fee of up to $1.50 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—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Issuer: |
Bank of Montreal. |
Market
Measures: |
The Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® (each referred to as an “Index,” and collectively as the “Indices”). |
Pricing Date: |
July 19, 2024. |
Issue Date: |
July 24, 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. |
Contingent
Coupon
Payment: |
On each contingent coupon payment date,
you will receive a contingent coupon payment at a per annum rate equal to the contingent coupon rate if, and only if, the closing
level of the lowest performing Index on each eligible trading day during such observation period is greater than or equal to its coupon
threshold level. Each “contingent coupon payment,” if any, will be calculated per security as follows: ($1,000 ×
contingent coupon rate)/4. Any contingent coupon payment will be rounded to the nearest cent, with one-half cent rounded upward.
If the closing level of the lowest
performing Index on any eligible trading day during an observation period is less than its coupon threshold level, you will not receive
any contingent coupon payment on the related contingent coupon payment date. If the closing level of the lowest performing Index is less
than its coupon threshold level on one or more eligible trading days during each observation period, you will not receive any contingent
coupon payments over the term of the securities.
Any return on the securities will
be limited to the sum of the contingent coupon payments, if any, even if the closing level of the lowest performing Index on any observation
period end-date significantly exceeds its starting level. You will not participate in any appreciation of any Index.
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Contingent
Coupon
Payment
Dates: |
Quarterly, on the third business day following each observation period end-date (as each such observation period end-date may be postponed pursuant to “—Market Disruption Events and Postponement Provisions” below, if applicable); provided that the contingent coupon payment date with respect to the final calculation day will be the stated maturity date. |
Contingent
Coupon Rate: |
10.30% per annum |
Optional
Redemption: |
Bank of Montreal may, at its option,
redeem the securities, in whole but not in part, on any optional redemption date. If Bank of Montreal elects to redeem the securities
prior to stated maturity, you will be entitled to receive on the applicable optional redemption date a cash payment per security in U.S.
dollars equal to the face amount plus a final contingent coupon payment, if payable.
If Bank of Montreal elects to redeem
the securities on an optional redemption date, Bank of Montreal will give you notice on or before the observation period end-date immediately
preceding that optional redemption date. Any redemption of the securities will be at Bank of Montreal’s option and will not automatically
occur based on the performance of any Index.
If the securities are redeemed, they
will cease to be outstanding on the applicable optional redemption date and you will have no further rights under the securities after
that date.
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Optional
Redemption
Dates: |
Quarterly, beginning approximately three months after the issue date, on the contingent coupon payment dates following each observation period end-date scheduled to occur from October 2024 to April 2027, inclusive. |
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Observation
Periods: |
Each observation period will consist of each day that is a
trading day for at least one Index (each such day, an “eligible trading day”) from but excluding an observation period
end-date to and including the following observation period end-date, provided that the first observation period will consist of
each eligible trading day from but excluding the pricing date to and including the first observation period end-date.
If a market disruption event or non-trading day occurs with
respect to an Index on any eligible trading day during an observation period (other than an observation period end-date), that Index will
be disregarded on that eligible trading day for purposes of determining whether the contingent coupon payment is payable with respect
to such observation period. For the avoidance of doubt, any such eligible trading day for any Index not affected by a market disruption
event or non-trading day on that eligible trading day will remain a valid day for purposes of determining whether a contingent coupon
payment is payable with respect to that observation period, even if that day is not a trading day for any other Index or a market disruption
event has occurred with respect to any other Index on that day.
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Observation
Period End-
Dates: |
Quarterly, on the 19th day of each January, April, July and October, commencing October 2024 and ending April 2027, and the final calculation day, each subject to postponement as described below under “—Market Disruption Events and Postponement Provisions.” |
Final
Calculation Day: |
July 19, 2027 |
Stated Maturity
Date:
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July 22, 2027, 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. |
Maturity
Payment
Amount: |
If Bank of Montreal does not redeem the
securities prior to the stated maturity date, you will be entitled to receive on the stated maturity date a cash payment per security
in U.S. dollars equal to the maturity payment amount (in addition to the final contingent coupon payment, if payable). The “maturity
payment amount” per security will equal:
• if
the ending level of the lowest performing Index on the final calculation day is greater than or equal to its downside threshold level:
$1,000; or
• if
the ending level of the lowest performing Index on the final calculation day is less than its downside threshold level:
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$1,000 × performance factor of the lowest performing Index on the final calculation day |
If Bank of Montreal does not redeem
the securities prior to stated maturity and the ending level of the lowest performing Index is less than its downside threshold level,
you will lose more than 40%, and possibly all, of the face amount of your securities at stated maturity.
Any return on the securities will
be limited to the sum of your contingent coupon payments, if any. You will not participate in any appreciation of any Index, but you will
have full downside exposure to the lowest performing Index on the final calculation day if the ending level of that Index is less than
its downside threshold level.
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Lowest
Performing
Index: |
For any eligible trading day during an observation period
(including the final calculation day), the “lowest performing Index” will be the Index with the lowest performance
factor on that eligible trading day and that has not been disregarded due to a market disruption event or non-trading day in accordance
with “—Observation Periods” above.
For the avoidance of doubt, if any eligible trading day is
a valid day for only one Index, then that Index will be the lowest performing Index on that eligible trading day.
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Performance
Factor: |
With respect to an Index on any eligible trading day during an observation period, its closing level on such day divided by its starting level (expressed as a percentage). |
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Closing Level: |
With respect to each Index, closing level has the meaning set forth under “General Terms of the Securities—Certain Terms for Securities Linked to an Index—Certain Definitions” in the accompanying product supplement. |
Starting Level: |
With respect to the Russell 2000® Index: 2,184.349, its
closing level on the pricing date.
With respect to the EURO STOXX 50® Index: 4,827.24, its
closing level on the pricing date.
With respect to the Nasdaq-100 Index®: 19,522.62, its
closing level on the pricing date.
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Ending Level: |
The “ending level” of an Index will be its closing level on the final calculation day. |
Coupon
Threshold
Level: |
With respect to the Russell 2000® Index: 1,529.0443,
which is equal to 70% of its starting level.
With respect to the EURO STOXX 50® Index: 3,379.068,
which is equal to 70% of its starting level.
With respect to the Nasdaq-100 Index®: 13,665.834, which
is equal to 70% of its starting level.
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Downside
Threshold
Level: |
With respect to the Russell 2000® Index: 1,310.6094,
which is equal to 60% of its starting level.
With respect to the EURO STOXX 50® Index: 2,896.344,
which is equal to 60% of its starting level.
With respect to the Nasdaq-100 Index®: 11,713.572, which
is equal to 60% of its starting level.
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Market
Disruption
Events and
Postponement
Provisions: |
Each observation period end-date (including the final 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 final calculation day is postponed, and will be adjusted for non-business days. For more information regarding adjustments to the eligible trading days 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 Multiple Market Measures” and “—Payment Dates” in the accompanying product supplement. For purposes of the accompanying product supplement, each 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 the material U.S. federal income and certain estate tax consequences and the Canadian federal income tax consequences of the ownership and disposition of the securities, see "United States Federal Tax Considerations" below, and the sections of the product supplement entitled "United States Federal 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 $12.75 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 $10.00 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 will 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 $1.50 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.
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Denominations: |
$1,000 and any integral multiple of $1,000. |
CUSIP: |
06376B4V7 |
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Additional Information About the Issuer and the Securities |
You should read this pricing supplement together
with product supplement No. WF1 dated July 20, 2022, the prospectus supplement dated May 26, 2022 and the prospectus dated May 26, 2022
for additional information about the securities. Information included in this pricing supplement supersedes information in the product
supplement, prospectus supplement and prospectus to the extent it is different from that information. 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, prospectus
supplement and prospectus on the SEC website www.sec.gov as follows (or if such address has changed, by reviewing our filing for the relevant
date on the SEC website):
| • | Product Supplement No. WF1 dated July 20, 2022: |
https://www.sec.gov/Archives/edgar/data/927971/000121465922009020/r715220424b5.htm
| • | Prospectus Supplement and prospectus dated May 26, 2022: |
https://www.sec.gov/Archives/edgar/data/927971/000119312522160519/d269549d424b5.htm
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Estimated Value of the Securities |
Our estimated initial value of the securities on
the pricing date that is set forth on the cover page of this pricing supplement, 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 was 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—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
The securities are not appropriate for all investors.
The securities may be an appropriate investment for investors who:
| § | seek an investment with contingent coupon payments
at a rate of 10.30% per annum until the earlier of stated maturity or early redemption, if, and only if, the closing level of the
lowest performing Index on any eligible trading day during each observation period is greater than or equal to 70% of its starting level; |
| § | understand that if we do not exercise our redemption
right and the ending level of the lowest performing Index on the final calculation day has declined by more than 40% from its starting
level, they will be fully exposed to the decline in the lowest performing Index from the starting level and will lose more than 40%, and
possibly all, of the face amount at stated maturity; |
| § | are willing to accept the risk that they may
receive few or no contingent coupon payments over the term of the securities; |
| § | understand that we may redeem the securities
prior to stated maturity at our option beginning approximately three months after issuance and that it is more likely that we will redeem
the securities when it would otherwise be advantageous for you to continue to hold the securities; |
| § | understand that the return on the securities
will depend solely on the performance of the Index that is the lowest performing Index on each eligible trading day during the observation
periods and that they will not benefit in any way from the performance of the better performing Indices; |
| § | understand that the securities are riskier than
alternative investments linked to only one of the Indices or linked to a basket composed of each Index; |
| § | understand and are willing to accept the full
downside risks of each Index; |
| § | are willing to forgo participation in any appreciation
of any Index and dividends on securities included in the Indices; 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; |
| § | require full payment of the face amount of the
securities at stated maturity; |
| § | seek a security with a fixed term; |
| § | are unwilling to purchase securities with an estimated value as of the pricing
date that is lower than the original offering price, as set forth on the cover page; |
| § | anticipate that the closing level of the lowest
performing Index will be less than its coupon threshold level on one or more eligible trading days during the observation periods; |
| § | are unwilling to accept the risk that the closing
level of the lowest performing Index on the final calculation day may decline by more than 40% from its starting level; |
| § | seek the certainty of current income over the
term of the securities; |
| § | seek exposure to the upside performance of any
or each Index; |
| § | seek exposure to a basket composed of each Index
or a similar investment in which the overall return is based on a blend of the performances of the Indices, rather than solely on the
lowest performing Index; |
| § | are unwilling to accept the risk of exposure
to the Indices; |
| § | are unwilling to accept the credit risk of Bank
of Montreal to obtain exposure to the Indices; 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
“Selected Risk Considerations” herein and the “Risk Factors” in the accompanying product supplement for risks
related to an investment in the securities. For more information about the Indices, please see the sections titled “The Russell
2000® Index,” “The EURO STOXX 50® Index” and “The Nasdaq-100 Index®”
below.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Determining Payment On A Contingent Coupon Payment Date and at Maturity |
Unless we have previously redeemed the securities,
on each contingent coupon payment date, you will either receive a contingent coupon payment or you will not receive a contingent coupon
payment, depending on the closing level of the lowest performing Index on each eligible trading day during the related observation period.
Step 1: Determine which Index is the lowest
performing Index on each eligible trading day during the related observation period. The lowest performing Index on any eligible trading
day during an observation period is the Index that has the lowest performance factor on that date, calculated for each Index as the closing
level of that Index on that date divided by its starting level.
Step 2: Determine whether a contingent coupon
is paid on the applicable contingent coupon payment date based on the closing level of the lowest performing Index on each eligible trading
day during the relevant observation period, as follows:
If we have not redeemed the securities prior to
the stated maturity date, then at maturity you will receive (in addition to the final contingent coupon payment, if any) a cash payment
per security (the maturity payment amount) calculated as follows:
Step 1: Determine which Index is the lowest
performing Index on the final calculation day. The lowest performing Index on the final calculation day is the Index that has the lowest
performance factor on the final calculation day. The performance factor of an Index on the final calculation day is its ending level as
a percentage of its starting level (i.e., its ending level divided by its starting level).
Step 2: Calculate the maturity payment amount
based on the ending level of the lowest performing Index on the final calculation day, as follows:
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Hypothetical Payout Profile |
The following profile illustrates the potential
maturity payment amount on the securities (excluding the final contingent coupon payment, if any) for a range of hypothetical performances
of the lowest performing Index on the final calculation day from its starting level to its ending level, assuming the securities have
not been redeemed prior to the stated maturity date. As this profile illustrates, in no event will you have a positive rate of return
based solely on the maturity payment amount received at maturity; any positive return will be based solely on the contingent coupon payments,
if any, received during the term of the securities. This graph has been prepared for purposes of illustration only. Your actual return
will depend on whether the securities have been redeemed, the actual ending level of the lowest performing Index on the final calculation
day and whether you hold your securities to stated maturity. The performance of the better performing Indices is not relevant to your
return on the securities.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
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. 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 Terms And Structure
Of The Securities
If We Do Not Redeem The Securities Prior To
Stated Maturity, You May Lose Some Or All Of The Face Amount Of Your Securities At Stated Maturity.
We will not repay you a fixed amount on the securities
at stated maturity. If we do not exercise our right to redeem the securities prior to stated maturity, you will receive a maturity payment
amount that will be equal to or less than the face amount, depending on the ending level of the lowest performing Index.
If the ending level of the lowest performing Index
on the final calculation day is less than its downside threshold level, the maturity payment amount will be reduced by an amount equal
to the decline in the level of the lowest performing Index from its starting level (expressed as a percentage of its starting level).
The downside threshold level for each Index is 60% of its starting level. For example, if we do not redeem the securities prior to the
stated maturity date and the lowest performing Index on the final calculation day has declined by 40.1% from its starting level to its
ending level, you will not receive any benefit of the contingent downside protection feature and you will lose 40.1% of the face amount.
As a result, you will not receive any protection if the level of the lowest performing Index on the final calculation day declines significantly
and you may lose some, and possibly all, of the face amount at stated maturity, even if the level of the lowest performing Index is greater
than or equal to its starting level or its downside threshold level at certain times during the term of the securities.
Even if the ending level of the lowest performing
Index on the final calculation day is greater than its downside threshold level, the maturity payment amount will not exceed the face
amount, and your yield on the securities, taking into account any contingent coupon payments you may have received during the term of
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.
The Securities Do Not Provide For Fixed Payments
Of Interest And You May Receive No Coupon Payments On One Or More Contingent Coupon Payment Dates, Or Even Throughout The Entire Term
Of The Securities.
On each contingent coupon payment date you will
receive a contingent coupon payment if, and only if, the closing level of the lowest performing Index on each eligible trading
day during such observation period is greater than or equal to its coupon threshold level. The coupon threshold level for each Index is
70% of its starting level. If the closing level of the lowest performing Index on any eligible trading day during the related observation
period is less than its coupon threshold level, you will not receive any contingent coupon payment on the related contingent coupon payment
date, and if the closing level of at least one Index is less than its coupon threshold level on one more eligible trading days during
each observation period over the term of the securities, you will not receive any contingent coupon payments over the entire term of the
securities. This will be the case even if that Index closed above its coupon threshold level on one or more other eligible trading days
during the term of the securities.
The Securities Are Subject To The Full Risks
Of Each Index And Will Be Negatively Affected If Any Index Performs Poorly, Even If The Other Indices Perform Favorably.
You are subject to the full risks of each Index.
If any Index performs poorly, you will be negatively affected, even if the other Indices perform favorably. The securities are not linked
to a basket composed of the Indices, where the better performance of some Indices could offset the poor performance of others. Instead,
you are subject to the full risks of whichever Index is the lowest performing Index on each eligible trading day during the observation
periods. As a result, the securities are riskier than an alternative investment linked to only one of the Indices or linked to a basket
composed of each Index. You should not invest in the securities unless you understand and are willing to accept the full downside risks
of each Index.
Your Return On The Securities Will Depend Solely
On The Performance Of The Index That Is The Lowest Performing Index On Each Eligible Trading Day During the Observation Periods, And You
Will Not Benefit In Any Way From The Performance Of The Better Performing Indices.
Your return on the securities will depend solely
on the performance of the Index that is the lowest performing Index on each eligible trading day during the observation periods (including
the final calculation day). Although it is necessary for each Index to close at or above its respective coupon threshold level during
the related observation period in order for you to receive a contingent coupon payment and at or above its respective downside threshold
level on the final calculation day for you to receive the face amount of your securities at maturity, you will not benefit in any way
from the performance of the better performing Indices. The securities may underperform an alternative investment linked to a basket composed
of the Indices, since in such case the performance of the better performing Indices would be blended with the performance of the lowest
performing Index, resulting in a better return than the return of the lowest performing Index alone.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
You Will Be Subject To Risks Resulting From
The Relationship Among The Indices.
It is preferable from your perspective for the
Indices to be correlated with each other so that their levels will tend to increase or decrease at similar times and by similar magnitudes.
By investing in the securities, you assume the risk that the Indices will not exhibit this relationship. The less correlated the Indices,
the more likely it is that any one of the Indices will be performing poorly at any time over the term of the securities. All that is necessary
for the securities to perform poorly is for one of the Indices to perform poorly; the performance of the better performing Indices is
not relevant to your return on the securities. It is impossible to predict what the relationship among the Indices will be over the term
of the securities. To the extent the Indices represent a different equity market, such equity markets may not perform similarly over the
term of the securities.
You May Be Fully Exposed To The Decline In The
Lowest Performing Index On The Final Calculation Day From Its Starting Level, But Will Not Participate In Any Positive Performance Of
Any Index.
Even though you will be fully exposed to a decline
in the level of the lowest performing Index on the final calculation day if its ending level is below its downside threshold level, you
will not participate in any increase in the level of any Index over the term of the securities. Your maximum possible return on the securities
will be limited to the sum of the contingent coupon payments you receive, if any. Consequently, your return on the securities may be significantly
less than the return you could achieve on an alternative investment that provides for participation in an increase in the level of any
or each Index.
Higher Contingent Coupon Rates Are Associated
With Greater Risk.
The securities offer contingent coupon payments
at a higher rate, if paid, than the fixed rate we would pay on conventional debt securities of the same maturity. These higher potential
contingent coupon payments are associated with greater levels of expected risk as of the pricing date as compared to conventional debt
securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent coupon payment
dates and the risk that you may lose a substantial portion, and possibly all, of the face amount at maturity. The volatility of the Indices
and the correlation among the Indices are important factors affecting this risk. Volatility is a measurement of the size and frequency
of daily fluctuations in the level of an Index, typically observed over a specified period of time. Volatility can be measured in a variety
of ways, including on a historical basis or on an expected basis as implied by option prices in the market. Correlation is a measurement
of the extent to which the levels of the Indices tend to fluctuate at the same time, in the same direction and in similar magnitudes.
Greater expected volatility of the Indices or lower expected correlation among the Indices as of the pricing date may result in a higher
contingent coupon rate, but it also represents a greater expected likelihood as of the pricing date that the closing level of at least
one Index will be less than its coupon threshold level on one or more eligible trading days during one or more observation periods, such
that you will not receive one or more, or any, contingent coupon payments during the term of the securities, and that the closing level
of at least one Index will be less than its downside threshold level on the final calculation day such that you will lose a substantial
portion, and possibly all, of the face amount at maturity. In general, the higher the contingent coupon rate is relative to the fixed
rate we would pay on conventional debt securities, the greater the expected risk that you will not receive one or more, or any, contingent
coupon payments during the term of the securities and that you will lose a substantial portion, and possibly all, of the face amount at
maturity.
Our Redemption Right May Limit Your Potential
To Receive Contingent Coupon Payments.
We may, at our option, redeem the securities on
any optional redemption date beginning approximately three months after issuance. Although exercise of the redemption right will be within
our sole discretion, we will be more likely to redeem the securities at a time when the lowest performing Index is performing favorably
from your perspective—in other words, at a time when, if the securities were to remain outstanding, it is more likely that you would
have continued to receive contingent coupon payments and received the face amount at maturity. Therefore, our redemption right is likely
to limit your potential to receive contingent coupon payments if the lowest performing Index is performing favorably from your perspective.
On the other hand, we will be less likely to redeem the securities at a time when the lowest performing Index is performing unfavorably
from your perspective—in other words, you are more likely to continue to hold the securities at a time when it is less likely that
you will continue to receive contingent coupon payments and it is less likely that you will be receive the face amount at maturity.
If we exercise our redemption right, the term of
the securities may be reduced to as short as approximately three months. 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 we redeem the securities
prior to maturity.
A Contingent Coupon Payment Date, An Optional
Redemption Date And The Stated Maturity Date May Be Postponed If An Eligible Trading Day Is Postponed.
Each coupon period end-date, including the final
calculation day, may be postponed as set forth in the section above, "Terms of the Securities." If such a postponement occurs,
then the related contingent coupon payment date or call settlement date, as applicable, will be postponed. If such a postponement occurs
with respect to the final calculation day, the stated maturity date will be the later of (i) the initial stated maturity date and (ii)
three business days after the final calculation day as postponed.
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 any Index 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.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Significant Aspects Of The Tax Treatment Of
The Securities Are Uncertain.
There is no direct legal authority as to the proper
U.S. federal tax treatment of the securities, and we do not intend to request a ruling from the Internal Revenue Service (the “IRS”).
Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not agree with the
treatment of the securities as described in this pricing supplement under “United States Federal Tax Considerations.” If the
IRS were successful in asserting an alternative treatment, the tax consequences of ownership and disposition of the securities might be
materially and adversely affected.
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, Is 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 exceeds 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 include the agent discount and selling concessions, the profits that we and our affiliates
and/or the agent and its affiliates expect to realize for assuming the risks in hedging our obligations under the securities, and the
estimated cost of hedging these obligations.
The Terms Of The Securities Were Not Determined
By Reference To The Credit Spreads For Our Conventional Fixed-Rate Debt.
To determine the terms of the securities, we used
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 as
of the date of this pricing supplement was derived using our internal pricing models. This value is based on market conditions and other
relevant factors, which include volatility and correlation of the Indices, 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 set forth in this
pricing supplement. 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 level of each Index, 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 we refer to as the "derivative component factors," and which are described in more detail in the accompanying product
supplement, are expected to affect the value of the securities: performance of the Indices; interest rates; volatility of the Indices;
correlation among the Indices; currency exchange rates; time remaining to maturity; and dividend yields on the securities included in
the Indices. When we refer to the "value" of your security, we mean the value you could receive for your security if
you are able to sell it in the open market before the stated maturity date.
In addition to the derivative component 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 our redemption right feature because if we redeem the securities, you will not receive the contingent coupon payments
that would have accrued, if any, after the early redemption. 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 level of any or all the Indices. Because numerous factors are expected to affect the value of the securities,
changes in the levels of the Indices may not result in a comparable change in the value of the securities.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
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 or any automated quotation system. 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 Indices
An Investment In The Securities Is Subject To
Risks Associated With Investing In Stocks With A Small Market Capitalization.
The stocks that constitute the Russell 2000®
Index are issued by companies with relatively small market capitalization. These companies often have greater stock price volatility,
lower trading volume and less liquidity than large capitalization companies. As a result, the Russell 2000® Index may be
more volatile than that of an equity index 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 be less attractive to many investors if they do not pay dividends.
In addition, small capitalization companies are typically 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 those individuals. 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.
An Investment In The Securities Is Subject To
Risks Associated With Foreign Securities Markets.
Each of the EURO STOXX 50® Index
and the Nasdaq-100 Index® tracks the value of certain non-U.S. equity securities. You should be aware that investments
in securities linked to the value of non-U.S. equity securities involve particular risks. The foreign securities markets comprising the
EURO STOXX 50® Index and the Nasdaq-100 Index® may have less liquidity and may be more volatile than U.S.
or other securities markets and market developments may affect foreign markets differently from U.S. or other securities markets. Direct
or indirect government intervention to stabilize these foreign securities markets, as well as cross-shareholdings in foreign companies,
may affect trading prices and volumes in these markets. Companies traded outside of the U.S. are subject to different reporting requirements
than companies that are traded in the U.S.
Prices of securities in foreign countries are subject
to political, economic, financial and social factors that apply in those geographical regions. These factors, which could negatively affect
those securities markets, include the possibility of recent or future changes in a foreign government’s economic and fiscal policies,
the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to foreign companies or investments
in foreign equity securities and the possibility of fluctuations in the rate of exchange between currencies, the possibility of outbreaks
of hostility and political instability and the possibility of natural disaster or adverse public health developments in the region. Moreover,
foreign economies may differ favorably or unfavorably from the U.S. economy in important respects such as growth of gross national product,
rate of inflation, capital reinvestment, resources and self-sufficiency.
Any Payments On The Securities Will Not Be Adjusted
For Changes In Exchange Rates.
Although the securities included in the EURO STOXX
50® Index are traded in euro, and the securities are denominated in U.S. dollars, the amount payable on the securities
will not be adjusted for changes in the exchange rates between the U.S. dollar and the euro. Changes in exchange rates, however, may also
reflect changes in the applicable non-U.S. economies that in turn may affect the level of the EURO STOXX 50® Index, and
therefore the securities. The amount we pay in respect of the securities will be determined solely in accordance with the procedures described
in this document.
Any Payments On The Securities Will Depend Upon
The Performance Of The Indices 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 Indices. Investing in the securities is not equivalent to investing in the Indices. 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 each Index 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 Indices would have. |
| · | Historical Levels Of The Indices Should Not
Be Taken As An Indication Of The Future Performance Of The Indices During The Term Of The Securities. |
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
| · | Changes That Affect The Indices May Adversely
Affect The Value Of The Securities And Any Payments On The Securities. |
| · | We Cannot Control Actions By Any Of The Unaffiliated
Companies Whose Securities Are Included In The Indices. |
| · | We And Our Affiliates Have No Affiliation
With Any Index Sponsor And Have Not Independently Verified Their 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.
| · | We will exercise our rights under the securities
without taking your interests into account. We may, at our option, redeem the securities on any contingent coupon payment date
beginning approximately three months after issuance. Any redemption of the securities will be at our option and will not automatically
occur based on the performance of the Index. As described under “Risk Factors—Our Redemption Right May Limit Your Potential
To Receive Contingent Coupon Payments” above, we are more likely to redeem the securities at a time when it would otherwise be advantageous
for you to continue to hold the securities, and we are less likely to redeem the securities at a time when it would otherwise be advantageous
to you for us to exercise our redemption right. |
| · | 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 the closing levels of the Indices
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 levels of
the Indices. |
| · | Business activities of our affiliates or
any participating dealer or its affiliates with the companies whose securities are included in the Indices may adversely affect the levels
of the Indices. |
| · | Hedging activities by our affiliates or
any participating dealer or its affiliates may adversely affect the levels of the Indices. |
| · | Trading activities by our affiliates or
any participating dealer or its affiliates may adversely affect the levels of the Indices. |
| · | A participating dealer or its affiliates
may realize hedging profits projected by its proprietary pricing models in addition to any selling concession and/or fee, creating a further
incentive for the participating dealer to sell the securities to you. |
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
If we redeem the securities prior to the stated
maturity date:
If we redeem the securities prior to stated maturity,
you will receive the face amount of your securities plus a final contingent coupon payment, if any, on the applicable optional redemption
date. If we redeem the securities prior to the stated maturity date, your total return on the securities will equal any contingent coupon
payments received prior to the applicable optional redemption date and the contingent coupon payment received on such optional redemption
date, if any.
If we do not redeem the securities prior to
the stated maturity date:
If we do not redeem the securities prior to stated
maturity, the following table illustrates, for a range of hypothetical performance factors of the lowest performing Index on the final
calculation day, the hypothetical maturity payment amount payable at stated maturity per security (excluding the final contingent coupon
payment, if any). The performance factor of the lowest performing Index is its ending level on the final calculation day expressed as
a percentage of its starting level (i.e., its ending level divided by its starting level).
Hypothetical Performance Factor
of Lowest Performing Index on
Final Calculation Day |
Hypothetical Maturity Payment
Amount per Security |
175.00% |
$1,000.00 |
160.00% |
$1,000.00 |
150.00% |
$1,000.00 |
140.00% |
$1,000.00 |
130.00% |
$1,000.00 |
120.00% |
$1,000.00 |
110.00% |
$1,000.00 |
100.00% |
$1,000.00 |
90.00% |
$1,000.00 |
80.00% |
$1,000.00 |
70.00% |
$1,000.00 |
60.00% |
$1,000.00 |
59.00% |
$590.00 |
50.00% |
$500.00 |
40.00% |
$400.00 |
30.00% |
$300.00 |
25.00% |
$250.00 |
0.00% |
$0.00 |
The above figures do not take into account contingent
coupon payments, if any, received during the term of the securities. As evidenced above, in no event will you have a positive rate of
return based solely on the maturity payment amount received at maturity; any positive return will be based solely on the contingent coupon
payments, if any, received during the term of the securities.
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis. If we do not redeem the securities prior to the stated maturity date, the actual
amount you will receive at stated maturity will depend on the actual ending level of the lowest performing Index on the final calculation
day. The performance of the better performing Indices is not relevant to your return on the securities.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Hypothetical Contingent Coupon Payments |
Set forth below are examples that illustrate how
to determine whether a contingent coupon payment will be paid on a contingent coupon payment date. The examples do not reflect any specific
contingent coupon payment date. The following examples reflect the contingent coupon rate of 10.30% per annum and assume the hypothetical
starting level, coupon threshold level and closing levels for each Index indicated in the examples. The terms used for purposes of these
hypothetical examples do not represent any actual starting level or coupon threshold level. The hypothetical starting level of 100.00
for each Index has been chosen for illustrative purposes only and is not the actual starting level for any Index. The actual starting
level and coupon threshold level for each Index is set forth under “Terms of the Securities” above. For historical data regarding
the actual closing levels of the Indices, see the historical information provided below. These examples are for purposes of illustration
only and the values used in the examples may have been rounded for ease of analysis. If we were to redeem the securities on the relevant
contingent coupon payment date in either of the examples below, you would receive the face amount on the contingent coupon payment date
in addition to the contingent coupon payment, if payable.
Example 1. The closing level of the lowest
performing Index on each eligible trading day during the relevant observation period is greater than or equal to its coupon threshold
level and less than its starting level. As a result, investors receive a contingent coupon payment on the applicable contingent coupon
payment date:
|
Russell 2000®
Index |
EURO STOXX
50® Index |
Nasdaq-100
Index® |
Hypothetical starting level: |
100.00 |
100.00 |
100.00 |
Hypothetical lowest closing level during observation period: |
90.00 |
95.00 |
80.00 |
Hypothetical coupon threshold level: |
70.00 |
70.00 |
70.00 |
Lowest performance factor during observation period (lowest closing level during observation period divided by starting level): |
90.00% |
95.00% |
80.00% |
Step 1: Determine which Index
is the lowest performing Index on any eligible trading day during the relevant observation period.
In this example, the Nasdaq-100 Index®
has the lowest performance factor and is, therefore, the lowest performing Index during the relevant observation period.
Step 2: Determine whether a contingent
coupon payment will be paid on the applicable contingent coupon payment date.
Since the hypothetical closing level of
the lowest performing Index on each eligible trading day during the relevant observation period is greater than or equal to its coupon
threshold level, but less than its starting level, you would receive a contingent coupon payment on the applicable contingent coupon payment
date. The contingent coupon payment would be equal to $25.75 per security, determined as follows: (i) $1,000 multiplied by 10.30%
per annum divided by (ii) 4, rounded to the nearest cent.
Example 2. The closing level of the lowest
performing Index on at least one eligible trading day during the relevant observation period is less than its coupon threshold level.
As a result, investors do not receive a contingent coupon payment on the applicable contingent coupon payment date:
|
Russell 2000®
Index |
EURO STOXX
50® Index |
Nasdaq-100
Index® |
Hypothetical starting level: |
100.00 |
100.00 |
100.00 |
Hypothetical lowest closing level during observation period: |
65.00 |
85.00 |
80.00 |
Hypothetical coupon threshold level: |
70.00 |
70.00 |
70.00 |
Lowest performance factor during observation period (lowest closing level during observation period divided by starting level): |
65.00% |
85.00% |
80.00% |
Step 1: Determine which Index
is the lowest performing Index on any eligible trading day during the relevant observation period.
In this example, the closing level of
the Russell 2000® Index on at least one eligible trading day during the relevant observation period was less than its coupon
threshold level and is, therefore, the lowest performing Index during the relevant observation period.
Step 2: Determine whether a contingent
coupon payment will be paid on the applicable contingent coupon payment date.
Since the hypothetical closing level of
the lowest performing Index on at least one eligible trading day during the relevant observation period is less than its coupon threshold
level, you would not receive a contingent coupon payment on the applicable contingent coupon payment date. This is the case even though
the closing levels of the better performing Indices were each greater than their respective coupon threshold levels on every eligible
trading day during the relevant observation period, and would be the case even if the closing level of the Russell 2000®
Index was greater than or equal to its coupon threshold level on every other eligible trading day during the relevant observation period.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
As this example illustrates, whether you
receive a contingent coupon payment on a contingent coupon payment date will depend solely on the closing level of the lowest performing
Index on each eligible trading day during the relevant observation period. Therefore, if the closing level of any one of the Indices is
less than its coupon threshold level on any eligible trading day during an observation period, you will not receive a contingent coupon
payment with respect to that observation period. The performance of the better performing Indices is not relevant to your return on the
securities.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Hypothetical Payment at Stated Maturity |
Set forth below are examples of calculations of
the maturity payment amount payable at stated maturity, assuming that we have not redeemed the securities prior to the stated maturity
date and assuming the hypothetical starting level, coupon threshold level, downside threshold level, closing levels and ending levels
for each Index indicated in the examples. The terms used for purposes of these hypothetical examples do not represent any actual starting
level, coupon threshold level or downside threshold level. The hypothetical starting level of 100.00 for each Index has been chosen for
illustrative purposes only and is not the actual starting level for any Index. The actual starting level, coupon threshold level and downside
threshold level for each Index is set forth under “Terms of the Securities” above. For historical data regarding the actual
closing levels of the Indices, see the historical information provided below. These examples are for purposes of illustration only and
the values used in the examples may have been rounded for ease of analysis.
Example 1. The closing level of the lowest
performing Index on each eligible trading day during the final observation period is greater than or equal to its coupon threshold level,
and the ending level of the lowest performing Index on the final calculation day is greater than its starting level. As a result, the
maturity payment amount is equal to the face amount of your securities at maturity and you receive a final contingent coupon payment:
|
Russell 2000®
Index |
EURO STOXX
50® Index |
Nasdaq-100
Index® |
Hypothetical starting level: |
100.00 |
100.00 |
100.00 |
Hypothetical lowest closing level during final observation period: |
95.00 |
80.00 |
90.00 |
Hypothetical ending level: |
135.00 |
145.00 |
125.00 |
Hypothetical coupon threshold level: |
70.00 |
70.00 |
70.00 |
Hypothetical downside threshold level: |
60.00 |
60.00 |
60.00 |
Lowest performance factor during final observation period (lowest closing level during final observation period divided by starting level): |
95.00% |
80.00% |
90.00% |
Performance factor on final calculation day (ending level divided by starting level): |
135.00% |
145.00% |
125.00% |
Step 1: Determine which Index
is the lowest performing Index on the final calculation day.
In this example, the Nasdaq-100 Index®
has the lowest performance factor on the final calculation day and is, therefore, the lowest performing Index on the final calculation
day.
Step 2: Determine the maturity
payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level of
the lowest performing Index on the final calculation day is greater than its hypothetical downside threshold level, the maturity payment
amount would equal the face amount. Although the hypothetical ending level of the lowest performing Index on the final calculation day
is significantly greater than its hypothetical starting level in this scenario, the maturity payment amount will not exceed the face amount.
In addition to any contingent coupon
payments received during the term of the securities, on the stated maturity date you would receive $1,000 per security. In addition, because
the hypothetical ending level of the lowest performing Index on each eligible trading day during the final observation period is greater
than its coupon threshold level, you would receive a final contingent coupon payment on the stated maturity date.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Example 2. The closing level of the lowest
performing Index on at least one eligible trading day during the final observation period is less than its coupon threshold level, and
the ending level of the lowest performing Index on the final calculation day is less than its starting level but greater than its downside
threshold level. As a result, the maturity payment amount is equal to the face amount of your securities at maturity, but you will not
receive a final contingent coupon payment:
|
Russell 2000®
Index |
EURO STOXX
50® Index |
Nasdaq-100
Index® |
Hypothetical starting level: |
100.00 |
100.00 |
100.00 |
Hypothetical lowest closing level during final observation period: |
65.00 |
80.00 |
95.00 |
Hypothetical ending level: |
80.00 |
90.00 |
110.00 |
Hypothetical coupon threshold level: |
70.00 |
70.00 |
70.00 |
Hypothetical downside threshold level: |
60.00 |
60.00 |
60.00 |
Lowest performance factor during final observation period (lowest closing level during final observation period divided by starting level): |
65.00% |
80.00% |
95.00% |
Performance factor on final calculation day (ending level divided by starting level): |
80.00% |
90.00% |
110.00% |
Step 1: Determine which Index
is the lowest performing Index on the final calculation day.
In this example, the Russell 2000®
Index has the lowest performance factor on the final calculation day and is, therefore, the lowest performing Index on the final calculation
day.
Step 2: Determine the maturity
payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level of
the lowest performing Index is less than its hypothetical starting level, but not by more than 40%, you would receive the face amount
of your securities at maturity.
In addition to any contingent coupon payments received
during the term of the securities, on the stated maturity date you would receive $1,000.00 per security, but no final contingent coupon
payment since the hypothetical closing level of the lowest performing Index on at least one eligible trading day during the final observation
period was less than its coupon threshold level. This is the case even though the closing levels of the better performing Indices were
greater than their respective coupon threshold levels on every eligible trading day during the relevant observation period, and even though
the ending level of the Russell 2000® Index was greater than its coupon threshold level.
Example 3. The ending level of the lowest performing
Index on the final calculation day is less than its coupon threshold level and its downside threshold level, the maturity payment amount
is less than the face amount of your securities at maturity and you do not receive a contingent coupon payment at maturity:
|
Russell 2000®
Index |
EURO STOXX
50® Index |
Nasdaq-100
Index® |
Hypothetical starting level: |
100.00 |
100.00 |
100.00 |
Hypothetical lowest closing level during final observation period: |
105.00 |
45.00 |
85.00 |
Hypothetical ending level: |
90.00 |
45.00 |
80.00 |
Hypothetical coupon threshold level: |
70.00 |
70.00 |
70.00 |
Hypothetical downside threshold level: |
60.00 |
60.00 |
60.00 |
Lowest performance factor during final observation period (lowest closing level during final observation period divided by starting level): |
105.00% |
45.00% |
85.00% |
Performance factor on final calculation day (ending level divided by starting level): |
90.00% |
45.00% |
80.00% |
Step 1: Determine which Index
is the lowest performing Index on the final calculation day.
In this example, the EURO STOXX 50®
Index has the lowest performance factor on the final calculation day and is, therefore, the lowest performing Index on the final calculation
day.
Step 2: Determine the maturity
payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level of
the lowest performing Index on the final calculation day is less than its hypothetical starting level by more than 40%, you would lose
a portion of the face amount of your securities and receive the maturity payment amount equal to $450.00 per security, calculated as follows:
= $1,000 × performance
factor of the lowest performing Index on the final calculation day
= $1,000 × 45.00%
= $450.00
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
In addition to any contingent coupon
payments received prior to the stated maturity date, on the stated maturity date you would receive $450.00 per security, but no final
contingent coupon payment since the hypothetical closing level of the lowest performing Index on at least one eligible trading day during
the final observation period was less than its coupon threshold level.
These examples illustrate that you will not participate
in any appreciation of any Index, but will be fully exposed to a decrease in the lowest performing Index if the ending level of the lowest
performing Index on the final calculation day is less than its downside threshold level, even if the ending levels of the other Indices
have appreciated or have not declined below their respective downside threshold level.
To the extent that the starting level, coupon threshold
level, downside threshold level and ending level of the lowest performing Index on the final calculation day differ from the values assumed
above, the results indicated above would be different.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
The Russell 2000® Index is an equity
index that is intended to track the performance of the small capitalization segment of the U.S. equity market.
In addition, information about the Russell 2000®
Index may be obtained from other sources including, but not limited to, the Russell 2000® Index sponsor’s website
(including information regarding the Russell 2000® Index‘s sector weightings). We are not incorporating by reference
into this pricing supplement the website or any material it includes. Neither we nor the agent makes any representation that such publicly
available information regarding the Russell 2000® Index is accurate or complete.
Historical Information
We obtained the closing levels of the Russell 2000®
Index in the graph below from Bloomberg, without independent verification.
The following graph sets forth daily closing levels
of the Russell 2000® Index for the period from January 1, 2019 to July 19, 2024. The closing level on July 19, 2024 was
2,184.349. The historical performance of the Russell 2000® Index should not be taken as an indication of the future performance
of the Russell 2000® Index during the term of the securities.
We have not independently verified the accuracy
or completeness of the information obtained from Bloomberg and have not undertaken an independent review or due diligence. The historical
performance of the Russell 2000® Index should not be taken as an indication of its future performance, and no assurance
can be given as to the closing level of the Russell 2000® Index during an observation period or its ending level. We cannot
give you assurance that the performance of the Russell 2000® Index will result in any positive return on your investment.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Russell 2000® Index (“RTY”)
The RTY was developed by Russell Investments (“Russell”)
before FTSE International Limited and Russell combined in 2015 to create FTSE Russell, which is wholly owned by London Stock Exchange
Group. Russell began dissemination of the RTY (Bloomberg L.P. index symbol “RTY”) on January 1, 1984. FTSE Russell calculates
and publishes the RTY. The RTY was set to 135 as of the close of business on December 31, 1986. The RTY is designed to track the performance
of the small capitalization segment of the U.S. equity market. As a subset of the Russell 3000® Index, the RTY consists
of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 3000® Index measures the
performance of the largest 3,000 U.S. companies, representing approximately 96% of the investable U.S. equity market. The RTY is determined,
comprised, and calculated by FTSE Russell without regard to the securities.
Selection of Stocks Underlying the RTY
All companies eligible for inclusion in the RTY
must be classified as a U.S. company under FTSE Russell’s country-assignment methodology. If a company is incorporated, has a stated
headquarters location, and trades on a standard exchange in the same country (American Depositary Receipts and American Depositary Shares
are not eligible), then the company is assigned to its country of incorporation. If any of the three factors are not the same, FTSE Russell
defines three Home Country Indicators (“HCIs”): country of incorporation, country of headquarters, and country of the most
liquid exchange (as defined by a two-year average daily dollar trading volume) from all exchanges within a country. Using the HCIs, FTSE
Russell compares the primary location of the company’s assets with the three HCIs. If the primary location of its assets matches
any of the HCIs, then the company is assigned to the primary location of its assets. If there is insufficient information to determine
the country in which the company’s assets are primarily located, FTSE Russell will use the country from which the company’s
revenues are primarily derived for the comparison with the three HCIs in a similar manner. FTSE Russell uses the average of two years
of assets or revenues data to reduce potential turnover. If conclusive country details cannot be derived from assets or revenues data,
FTSE Russell will assign the company to the country of its headquarters, which is defined as the address of the company’s principal
executive offices, unless that country is a Benefit Driven Incorporation “BDI” country, in which case the company will be
assigned to the country of its most liquid stock exchange. BDI countries include: Anguilla, Antigua and Barbuda, Aruba, Bahamas, Barbados,
Belize, Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey,
Isle of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten, and Turks and Caicos Islands. For any companies
incorporated or headquartered in a U.S. territory, including Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI is assigned. If a
company is designated as a Chinese N share, it will not be considered eligible for inclusion.
All securities eligible for inclusion in the RTY
must trade on a major U.S. exchange. Stocks must have a closing price at or above $1.00 on their primary exchange on the “rank day”,
which is the last business day of April. However, in order to reduce unnecessary turnover, if an existing member’s closing price
is less than $1.00 on the rank day, it will be considered eligible if the average of the daily closing prices (from its primary exchange)
during the 30 days prior to the rank date is equal to or greater than $1.00. Initial public offerings are added each quarter and must
have a closing price at or above $1.00 on the last day of their eligibility period in order to qualify for index inclusion. If an existing
stock does not trade on the rank day, it must have a closing price at or above $1.00 on another eligible U.S. exchange to remain eligible
for inclusion.
An important criterion used to determine the list
of securities eligible for the RTY is total market capitalization, which is defined as the market price as of the rank day for those securities
being considered at annual reconstitution times the total number of shares outstanding. Where applicable, common stock, non-restricted
exchangeable shares and partnership units/membership interests are used to determine market capitalization. Any other form of shares such
as preferred stock, convertible preferred stock, redeemable shares, participating preferred stock, warrants, rights, installment receipts
or trust receipts, are excluded from the calculation. If multiple share classes of common stock exist, they are combined to determine
total shares outstanding. If multiple classes of common stock exist, they are combined to determine total shares outstanding. In cases
where the common stock share classes act independently of each other (e.g., tracking stocks), each class is considered for inclusion separately.
Companies with a total market capitalization of
less than $30 million are not eligible for the RTY. Similarly, companies with only 5% or less of their shares available in the marketplace
are not eligible for the RTY. Royalty trusts, U.S. limited liability companies, closed-end investment companies (companies that are required
to report acquired fund fees and expenses, as defined by the SEC, including business development companies), blank check companies, special
purpose acquisition companies, and limited partnerships are also ineligible for inclusion. Exchange traded funds and mutual funds are
also excluded. Bulletin board, pink sheets, and over-the-counter traded securities are not eligible for inclusion.
Annual reconstitution is a process by which the
RTY is completely rebuilt. Based on closing levels of the company’s common stock on its primary exchange on the rank day, all eligible
securities are ranked by their total market capitalization. Reconstitution of the RTY occurs on the fourth Friday in June. In addition,
FTSE Russell adds initial public offerings to the RTY on a quarterly basis based on total market capitalization ranking within the market-adjusted
capitalization breaks established during the most recent reconstitution.
After membership is determined, a security’s
shares are adjusted to include only those shares available to the public. This is often referred to as “free float.” The purpose
of the adjustment is to exclude from market calculations the capitalization that is not available for purchase and is not part of the
investable opportunity set.
License Agreement
FTSE Russell and the Bank have entered into a non-exclusive
license agreement providing for the license to the Bank, and certain of its affiliates, in exchange for a fee, of the right to use indices
owned and published by FTSE Russell in connection with some securities, including the securities. The license agreement provides that
the following language must be stated in this document.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
FTSE Russell does not guarantee the accuracy and/or
the completeness of the RTY or any data included in the RTY and has no liability for any errors, omissions, or interruptions in the RTY.
FTSE Russell makes no warranty, express or implied, as to results to be obtained by the calculation agent, holders of the securities,
or any other person or entity from the use of the RTY or any data included in the RTY in connection with the rights licensed under the
license agreement described in this document or for any other use. FTSE Russell makes no express or implied warranties, and hereby expressly
disclaims all warranties of merchantability or fitness for a particular purpose with respect to the RTY or any data included in the RTY.
Without limiting any of the above information, in no event will FTSE Russell have any liability for any special, punitive, indirect or
consequential damages, including lost profits, even if notified of the possibility of these damages.
The securities are not sponsored, endorsed, sold
or promoted by FTSE Russell. FTSE Russell makes no representation or warranty, express or implied, to the owners of the securities or
any member of the public regarding the advisability of investing in securities generally or in the securities particularly or the ability
of the RTY to track general stock market performance or a segment of the same. FTSE Russell’s publication of the RTY in no way suggests
or implies an opinion by FTSE Russell as to the advisability of investment in any or all of the stocks upon which the RTY is based. FTSE
Russell’s only relationship to the Bank is the licensing of certain trademarks and trade names of FTSE Russell and of the RTY, which
is determined, composed and calculated by FTSE Russell without regard to the Bank or the securities. FTSE Russell is not responsible for
and has not reviewed the securities nor any associated literature or publications and FTSE Russell makes no representation or warranty
express or implied as to their accuracy or completeness, or otherwise. FTSE Russell reserves the right, at any time and without notice,
to alter, amend, terminate or in any way change the RTY. FTSE Russell has no obligation or liability in connection with the administration,
marketing or trading of the securities.
“Russell 2000®” and
“Russell 3000®” are registered trademarks of FTSE Russell in the U.S. and other countries.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
The EURO STOXX 50® Index is an equity
index that is intended to provide blue-chip representation of supersector leaders in the Eurozone equity markets.
In addition, information about the EURO STOXX 50®
Index may be obtained from other sources including, but not limited to, the EURO STOXX 50® Index sponsor’s website
(including information regarding the EURO STOXX 50® Index’s sector weightings). We are not incorporating by reference
into this pricing supplement the website or any material it includes. Neither we nor the agent makes any representation that such publicly
available information regarding the EURO STOXX 50® Index is accurate or complete.
Historical Information
We obtained the closing levels of the EURO STOXX
50® Index in the graph below from Bloomberg, without independent verification.
The following graph sets forth daily closing levels
of the EURO STOXX 50® Index for the period from January 1, 2019 to July 19, 2024. The closing level on July 19, 2024 was
4,827.24. The historical performance of the EURO STOXX 50® Index should not be taken as an indication of the future performance
of the EURO STOXX 50® Index during the term of the securities.
We have not independently verified the accuracy
or completeness of the information obtained from Bloomberg and have not undertaken an independent review or due diligence. The historical
performance of the EURO STOXX 50® Index should not be taken as an indication of its future performance, and no assurance
can be given as to the closing level of the EURO STOXX 50® Index on each calculation day or its ending level. We cannot
give you assurance that the performance of the EURO STOXX 50® Index will result in any positive return on your investment.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
EURO STOXX 50® Index
(“SX5E”)
The SX5E is a free-float market capitalization-weighted
index of 50 European blue-chip stocks that is calculated in euros. The 50 stocks included in the SX5E trade in euros and are allocated,
generally based on their country of incorporation and primary listing of the security, to one of the following Eurozone countries: Austria,
Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. Companies allocated to a Eurozone
country but not traded in euros are not eligible for inclusion in the SX5E. The SX5E was created by STOXX Limited, a part of Deutsche
Börse Group. The SX5E was first published on February 26, 1998, with a base value of 1,000 as of December 31, 1991. Additional information
regarding the SX5E may be obtained from the STOXX Limited website: stoxx.com. We are not incorporating by reference the website or any
material it includes in this document.
Composition and Maintenance
The SX5E is composed of 50 component stocks of
market sector leaders from within the 20 EURO STOXX® Supersector indices, which represent the Eurozone portion of the STOXX
Europe 600® Supersector indices. The 20 supersectors from which stocks are selected for the SX5E are: Automobiles &
Parts; Banks; Basic Resources; Chemicals; Construction & Materials; Consumer Products & Services; Energy; Financial Services;
Food, Beverage & Tobacco; Health Care; Industrial Goods & Services; Insurance; Media; Personal Care, Drug & Grocery Stores;
Real Estate; Retailers; Technology; Telecommunications; Travel & Leisure; and Utilities; although stocks from each of these supersectors
are not necessarily included at a given time.
The composition of the SX5E is reviewed annually
in September, based on the closing stock data on the last trading day in August. For each of the 20 EURO STOXX Supersector indices, eligible
stocks are ranked in terms of free-float market capitalization. The largest stocks are added to the selection list until the coverage
is close to, but still less than, 60% of the free-float market capitalization of the corresponding EURO STOXX Total Market Supersector
Index. If the next highest-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list.
All stocks currently included in the SX5E are added to the selection list. All the stocks on the selection list are then ranked in terms
of free-float market capitalization to produce the final index selection list. The largest 40 stocks on the selection list are selected;
the remaining 10 stocks are selected from the largest remaining current stocks ranked between 41 and 60; if the number of stocks selected
is still below 50, then the largest remaining stocks are selected until there are 50 stocks.
Component changes are announced on the first trading
day in September. Changes to the component stocks are implemented on the third Friday in September and are effective the following trading
day. Changes in the composition of the SX5E are made to ensure that the SX5E includes the 50 market sector leaders from within the Eurozone.
The free float factors for each component stock
used to calculate the SX5E, as described below, are reviewed, calculated, and implemented on a quarterly basis and are fixed until the
next quarterly review. The free-float factor reduces the number of shares to the actual amount available on the market. All fractions
of the total number of shares that are larger than or equal to 5% and whose holding is of a long-term nature are excluded from the index
calculation.
Components are capped at a maximum weight of 10%
quarterly.
Ongoing Maintenance
The selection list for the SX5E is updated on a
monthly basis and is used to determine replacements for any stock deleted from the SX5E due to corporate actions. The selection list is
determined based on data as of the last trading day of the previous month. Updates to free-float data applicable to selection lists are
published on a quarterly basis in March, June, September and December.
Corporate actions (including mergers and takeovers,
spin-offs, delistings, and bankruptcy) that affect the SX5E composition are announced immediately, implemented two trading days later
and become effective on the next trading day after implementation.
A deleted stock is replaced immediately to maintain
the fixed number of 50 stocks. The replacement is based on the latest selection list that is updated monthly.
In case of merger and acquisition where an component
stock is involved, the original stock is replaced by the new stock. If a stock is deleted from the SX5E in between the regular review
dates but is still a component of the STOXX Regional TMI Index, then this stock will remain in the SX5E until the next regular review.
The component stocks of the SX5E are subject to
a “fast exit” rule. A component stock is deleted if it ranks 75 or below on the monthly selection list and it ranked 75 or
below on the selection list of the previous month.
The component stocks of the SX5E are also subject
to a “fast entry” rule. All stocks on the latest selection list and initial public offering (IPO) stocks are reviewed for
a fast-track addition on a quarterly basis. A stock is added if it qualifies for the latest selection list generated at the end of February,
May, August or November and if it ranks within the lower buffer (between 1 and 25) on the selection list. If added, the stock replaces
the smallest component stock.
In the case of a spin-off, if the original stock
was a component stock, then each spin-off stock qualifies for addition if it lies within the upper buffer (between 1 and 40) on the latest
selection list. The spin-off replaces the lowest ranked stock as determined by the selection list. Qualifying spin-off stocks are added
in sequence: The largest qualifying spin-off stock replaces the original stock in the index, and so on.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Calculation of the SX5E
The SX5E is calculated with the “Laspeyres
formula,” which measures the price changes in the component stocks against a fixed base quantity weight. The formula for calculating
the SX5E value can be expressed as follows:
SX5E = |
Free float market capitalization of the SX5E |
|
Divisor |
The “free float market capitalization of
the SX5E” is equal to the sum of the products of the price, the number of shares, the free float factor and the weighting cap factor
for each component stock as of the time the SX5E is being calculated.
The SX5E is also subject to a divisor, which is
adjusted to maintain the continuity of the SX5E values across changes due to corporate actions, such as the deletion and addition of stocks,
the substitution of stocks, stock dividends, and stock splits.
License Agreement
We have entered into a non-exclusive license agreement
with STOXX providing for the license to us and certain of our affiliated or subsidiary companies, in exchange for a fee, of the right
to use indices owned and published by STOXX (including the SX5E) in connection with certain securities, including the securities offered
hereby.
The license agreement between us and STOXX requires
that the following language be stated in this document:
STOXX has no relationship to us, other than the
licensing of the SX5E and the related trademarks for use in connection with the securities. STOXX does not:
| · | sponsor, endorse, sell, or promote the securities; |
| · | recommend that any person invest in the securities
offered hereby or any other securities; |
| · | have any responsibility or liability for or make
any decisions about the timing, amount, or pricing of the securities; |
| · | have any responsibility or liability for the
administration, management, or marketing of the securities; or |
| · | consider the needs of the securities or the holders
of the securities in determining, composing, or calculating the SX5E, or have any obligation to do so. |
STOXX will not have any liability in connection
with the securities. Specifically:
| · | STOXX does not make any warranty, express or
implied, and disclaims any and all warranty concerning: |
| · | the results to be obtained by the securities,
the holders of the securities or any other person in connection with the use of the SX5E and the data included in the SX5E; |
| · | the accuracy or completeness of the SX5E and
its data; and |
| · | the merchantability and the fitness for a particular
purpose or use of the SX5E and its data; |
| · | STOXX will have no liability for any errors,
omissions, or interruptions in the SX5E or its data; and |
| · | Under no circumstances will STOXX be liable for
any lost profits or indirect, punitive, special, or consequential damages or losses, even if STOXX knows that they might occur. |
The licensing agreement between us and STOXX is
solely for their benefit and our benefit, and not for the benefit of the holders of the securities or any other third parties.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
The Nasdaq-100 Index® is a modified
market capitalization-weighted index of the 100 largest non-financial companies listed on The Nasdaq Stock Market.
In addition, information about the Nasdaq-100 Index®
may be obtained from other sources including, but not limited to, the Nasdaq-100 Index® sponsor’s website (including
information regarding the Nasdaq-100 Index®’s sector weightings). We are not incorporating by reference into this
pricing supplement the website or any material it includes. Neither we nor the agent makes any representation that such publicly available
information regarding the Nasdaq-100 Index® is accurate or complete.
Historical Information
We obtained the closing levels of the Nasdaq-100
Index® in the graph below from Bloomberg, without independent verification.
The following graph sets forth daily closing levels
of the Nasdaq-100 Index® for the period from January 1, 2019 to July 19, 2024. The closing level on July 19, 2024 was 19,522.62.
The historical performance of the Nasdaq-100 Index® should not be taken as an indication of the future performance of the
Nasdaq-100 Index® during the term of the securities.
We have not independently verified the accuracy
or completeness of the information obtained from Bloomberg and have not undertaken an independent review or due diligence. The historical
performance of the Nasdaq-100 Index® should not be taken as an indication of its future performance, and no assurance can
be given as to the closing level of the Nasdaq-100 Index® during an observation period or its ending level. We cannot give
you assurance that the performance of the Nasdaq-100 Index® will result in any positive return on your investment.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Nasdaq-100 Index®
("NDX")
The Nasdaq-100 Index®
("NDX") is a modified market capitalization-weighted index of the 100 largest non-financial stocks that have their primary U.S.
listing on the Nasdaq Global Select Market or the Nasdaq Global Market. The NDX excludes securities of companies assigned to the Financials
industry according to the Industry Classification Benchmark. The NDX was launched on January 31, 1985, with a base index value of 250.00.
On January 1, 1994, the base index value was reset to 125.00. The Nasdaq, Inc. (“index sponsor”) publishes the NDX.
Security Eligibility Criteria
To be eligible for initial inclusion
in the NDX, a security must meet the following criteria:
| · | the security must generally be a common stock,
ordinary share, American Depositary Receipt ("ADR"), or tracking stock. Companies organized as real estate investment trusts
are not eligible for index inclusion. If the security is an ADR, then references to the “issuer” are references to the underlying
security and the total shares outstanding is the actual ADRs outstanding as reported by the depositary banks. If an issuer has listed
multiple security classes, all security classes are eligible, subject to meeting all other security eligibility criteria; |
| · | the security’s primary U.S. listing must
exclusively be listed on the Nasdaq Global Select Market or the Nasdaq Global Market; |
| · | if the security is issued by an issuer organized
under the laws of a jurisdiction outside the United States, it must have listed options on a registered options market in the United States
or be eligible for listed-options trading on a registered options market in the United States; |
| · | the security must be issued by a non-financial
company (any industry other than Financials) according to the Industry Classification Benchmark; |
| · | the security must have a minimum average daily
trading volume of 200,000 shares s (measured over the three calendar months ending with the month that includes the reconstitution reference
date); |
| · | the security must have traded for at least three
full calendar months, not including the month of initial listing, on an “eligible exchange,” which includes Nasdaq (Nasdaq
Global Select Market, Nasdaq Global Market, or Nasdaq Capital Market), NYSE, NYSE American or CBOE BZX. Eligibility is determined as of
the constituent selection reference date, and includes that month. A security that was added to the NDX as a result of a spin-off event
will be exempt from this requirement; |
| · | the security may not be issued by an issuer currently
in bankruptcy proceedings; and |
| · | the issuer of the security generally may not
have entered into a definitive agreement or other arrangement that would make it ineligible for NDX inclusion and where the transaction
is imminent as determined by the Index Management Committee. |
There is no market capitalization eligibility or
float eligibility criterion.
Constituent Selection Process
The index sponsor selects constituents once annually
in December. The security eligibility criteria are applied using market data as of the end of October and total shares outstanding as
of the end of November. All eligible issuers, ranked by market capitalization, are considered for the NDX inclusion based on the following
order of criteria.
| · | The top 75 ranked issuers will be selected for
inclusion in the NDX. |
| · | Any other issuers that were already members of
the NDX as of the reconstitution reference date and are ranked within the top 100 are also selected for inclusion in the NDX. |
| · | In the event that fewer than 100 issuers pass
the first two criteria, the remaining positions will first be filled, in rank order, by issuers currently in the index ranked in positions
101-125 that were ranked in the top 100 at the previous reconstitution or replacement-or spin-off-issuers added since the previous reconstitution.
In the event that fewer than 100 issuers pass the first three criteria, the remaining positions will be filled, in rank order, by any
issuers ranked in the top 100 that were not already members of the NDX as of the reconstitution reference date. |
Index reconstitutions are announced in early December
and become effective after the close of trading on the third Friday in December.
Constituent Weighting
The NDX is rebalanced on a quarterly basis in March,
June, September and December and index weights are announced in early March, June, September and December.
Quarterly weight adjustment
The NDX’s quarterly weight adjustment employs
a two-stage weight adjustment scheme according to issuer-level constraints.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Index securities’ initial weights are determined
using up to two calculations of market capitalization: Total shares outstanding-derived market capitalization and index share-derived
market capitalization. Total shares outstanding-derived market capitalization is defined as a security’s last sale price times its
total shares outstanding. Index share-derived market capitalization is defined as a security’s last sale price times its updated
index shares as of the prior month end. Both total shares outstanding-derived market capitalization and index share-derived market capitalization
can be used to calculate total shares outstanding-derived index weights and index share-derived initial weights by dividing each index
security’s total shares outstanding-derived market capitalization or index share-derived market capitalization by the aggregate
total shares outstanding-derived market capitalization or index share-derived market capitalization of all index securities.
When the rebalance coincides with the reconstitution,
only total shares outstanding-derived initial weights are used. When the rebalance does not coincide with the reconstitution, index share-derived
initial weights are used when doing so results in no weight adjustment; otherwise, total shares outstanding-derived initial weights are
used in both stages of the weight adjustment procedure. Issuer weights are the aggregated weights of the issuers’ respective index
securities.
Stage 1
If no initial issuer weight exceeds 24%, initial
weights are used as Stage 1 weights; otherwise, initial weights are adjusted to meet the following Stage 1 constraint, producing the Stage
1 weights:
| · | No issuer weight may exceed 20% of the index. |
Stage 2
If the aggregate weight of the subset of issuers
whose Stage 1 weights exceed 4.5% does not exceed 48%, Stage 1 weights are used as final weights; otherwise, Stage 1 weights are adjusted
to meet the following Stage 2 constraint, producing the final weights:
| · | The aggregate weight of the subset of issuers
whose Stage 1 weights exceed 4.5% is set to 40%. |
Annual weight adjustment
The NDX’s annual weight adjustment employs
a two-stage weight adjustment scheme according to security-level constraints.
Index securities’ initial weights are determined
via the quarterly weight adjustment procedure.
Stage 1
If no initial security weight exceeds 15%, initial
weights are used as Stage 1 weights; otherwise, initial weights are adjusted to meet the following Stage 1 constraint, producing the Stage
1 weights:
| · | No security weight may exceed 14% of the index. |
Stage 2
If the aggregate weight of the subset of index
securities with the five largest market capitalizations is less than 40%, Stage 1 weights are used as final weights; otherwise, Stage
1 weights are adjusted to meet the following constraints, producing the final weights:
| · | The aggregate weight of the subset of index securities
with the five largest market capitalizations is set to 38.5%. |
| · | No security with a market capitalization outside
the largest five may have a final index weight exceeding the lesser of 4.4% or the final index weight of the index security ranked fifth
by market capitalization. |
Special rebalance schedule
A special rebalance may be conducted at any time
based on the weighting restrictions described above if it is determined to be necessary to maintain the integrity of the NDX.
Index Calculation
The NDX is a modified market capitalization-weighted
index. The level of the NDX equals the index market value divided by the divisor. The index market value is the sum of each index security's
market value, as may be adjusted for any corporate actions. An index security’s market value is determined by multiplying the last
sale price by the number of shares of the index security represented in the NDX. The NDX is a price return index, which means that the
NDX reflects changes in market value of the index securities and does not reflect regular cash dividends paid on those index securities.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
If an index security does not trade on the relevant
Nasdaq exchange on a given day or the relevant Nasdaq exchange has not opened for trading, the previous index calculation day’s
closing price for the index security (adjusted for corporate actions occurring prior to market open on the current day, if any) is used.
If an index security is halted during the trading day, the most recent last sale price is used until trading resumes. For securities where
the Nasdaq Stock Market is the relevant Nasdaq exchange, the last sale price may be the Nasdaq Official Closing Price when it is closed.
The divisor is calculated as the ratio of (i) the
start of day market value of the NDX divided by (ii) the previous day market value of the NDX. The index divisor is adjusted to ensure
that changes in an index security’s price or shares either by corporate actions or index participation which occur outside of trading
hours do not affect the index level. An index divisor change occurs after the close of the NDX.
Index Maintenance
Deletion Policy
If, at any time other than an index reconstitution,
the index sponsor determines that an index security is ineligible for index inclusion, the index security is removed as soon as practicable.
This may include:
| · | Listing on an ineligible index exchange; |
| · | Merger, acquisition, or other major corporate
event that would adversely impact the integrity of the NDX; |
| · | If a company is organized as a real estate investment
trust; |
| · | If an index security is classified as a financial
company (Financials industry) according to the Industry Classification Benchmark; |
| · | if the issuer has an adjusted market capitalization
below 0.10% of the aggregate adjusted market capitalization of the NDX for two consecutive month ends; and |
| · | If a security that was added to the NDX as the
result of a spin-off event has an adjusted market capitalization below 0.10% of the aggregate adjusted market capitalization of the NDX
at the end of its second day of regular way trading as an index member. |
In the case of mergers and acquisitions, the effective
date for the removal of an index issuer or security will be largely event-based, with the goal to remove the issuer or security as soon
as completion of the acquisition or merger has been deemed highly probable. Notable events include, but are not limited to, completion
of various regulatory reviews, the conclusion of material lawsuits and/or shareholder and board approvals.
If at the time of the removal of the index issuer
or security there is not sufficient time to provide advance notification of the replacement issuer or security so that both the removal
and replacement can be effective on the same day, the index issuer or security being removed will be retained and persisted in the NDX
calculations at its last sale price until the effective date of the replacement issuer or security’s entry to the NDX.
Securities that are added as a result of a spin-off
may be deleted as soon as practicable after being added to the NDX. This may occur when the index sponsor determines that a security is
ineligible for inclusion because of reasons such as ineligible exchange, security type, industry, or adjusted market capitalization. Securities
that are added as a result of a spin-off may be maintained in the NDX until a later date and then removed, for example, if a spin-off
security has liquidity characteristics that diverge materially from the security eligibility criteria and could affect the integrity of
the NDX.
Replacement policy
Securities may be added to the NDX outside of the
index reconstitution when there is a deletion. The index security (or all index securities under the same issuer, if appropriate) is replaced
as soon as practicable if the issuer in its entirety is being deleted from the NDX. The issuer with the largest market capitalization
and that meets all eligibility criteria as of the prior month end which is not in the NDX will replace the deleted Issuer. Issuers that
are added as a result of a spin-off are not replaced until after they have been included in an index reconstitution.
For pending deletions set to occur soon after an
index reconstitution and/or index rebalance effective date, the index sponsor may decide to remove the index security from the NDX in
conjunction with the index reconstitution and/or index rebalance effective date.
Corporate actions
In the periods between scheduled index
reconstitution and rebalancing events, individual index securities may be the subject to a variety of corporate actions and events that
require maintenance and adjustments to the NDX, including special cash dividends, stock splits, stock dividends, bonus issues, reverse
stock splits, rights offerings/issues, stock distributions of another security and spin-offs/de-mergers. Adjustments for corporate actions
are made prior to market open on the effective date, ex-date, ex-dividend date or ex-distribution date of a given corporate action/event.
In absence of one of those dates, there will be no adjustment to the NDX for such corporate action.
At the quarterly rebalancing, no changes
are made to the NDX from the previous month end until the quarterly share change effective date, with the exception of corporate actions
with an ex-date.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Index share adjustments
If a change in total shares outstanding arising
from other corporate events is greater than or equal to 10%, an adjustment to index shares is made as soon as practicable after being
sufficiently verified. If the change in total shares outstanding is less than 10%, then all such changes are accumulated and made effective
at one time on a quarterly basis after the close of trading on the third Friday in each of March, June, September and December. The index
shares are adjusted by the same percentage amount by which the total shares outstanding has changed.
License Agreement
The securities are not sponsored, endorsed, sold
or promoted by Nasdaq, Inc. or its affiliates (collectively, “Nasdaq”). Nasdaq has not passed on the legality or suitability
of, or the accuracy or adequacy of descriptions and disclosures relating to, the securities. Nasdaq makes no representation or warranty,
express or implied to the owners of the securities, or any member of the public regarding the advisability of investing in securities
generally or in the securities particularly, or the ability of the NDX to track general stock market performance. Nasdaq’s only
relationship to us is in the licensing of the Nasdaq®, NDX trademarks or service marks, and certain trade names of Nasdaq
and the use of the NDX which are determined, composed and calculated by Nasdaq without regard to us or the securities. Nasdaq has no obligation
to take the needs of us or the owners of the securities into consideration in determining, composing or calculating the NDX. Nasdaq is
not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the securities to be issued
or in the determination or calculation of the equation by which the securities are to be converted into cash. Nasdaq has no liability
in connection with the administration, marketing or trading of the securities.
NASDAQ DOES NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED
CALCULATION OF THE NDX OR ANY DATA INCLUDED THEREIN. NASDAQ MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE,
OWNERS OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NDX OR ANY DATA INCLUDED THEREIN. NASDAQ MAKES NO EXPRESS
OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT
TO THE NDX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL NASDAQ HAVE ANY LIABILITY FOR ANY LOST
PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. NASDAQ®,
NASDAQ 100® AND NASDAQ 100 INDEX® ARE TRADE OR SERVICE MARKS OF NASDAQ AND ARE INCENSED FOR USE BY US. THE
SECURITIES HAVE NOT BEEN PASSED ON BY NASDAQ AS TO THEIR LEGALITY OR SUITABILITY. THE SECURITIES ARE NOT ISSUED, ENDORSED, SOLD OR PROMOTED
BY NASDAQ. NASDAQ MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE SECURITIES.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
United States Federal Tax Considerations |
You should review carefully the section entitled
“United States Federal Tax Considerations” in the accompanying product supplement. The following discussion, when read in
combination with that section, constitutes the full opinion of our counsel, Ashurst LLP, regarding the material U.S. federal income tax
consequences of owning and disposing of the securities.
In the opinion of our counsel, Ashurst LLP, it
is reasonable to treat the securities described in this pricing supplement as a pre-paid cash-settled contingent income-bearing derivative
contract in respect of the Indices for U.S. federal income tax purposes, and by purchasing a security, you agree (in the absence of a
change in law or an administrative or judicial ruling to the contrary) to treat the securities for all tax purposes in accordance with
such characterization. Although the U.S. federal income tax treatment of the contingent coupon payments is uncertain, we intend to take
the position, and the following discussion assumes, that such contingent coupon payments (including any contingent coupon payment on or
with respect to the maturity date) constitute taxable ordinary income to a United States holder at the time received or accrued in accordance
with the holder’s regular method of accounting. If the securities are treated as described above, it would be reasonable for a United
States holder to take the position that it will recognize capital gain or loss upon the sale, maturity or other disposition of the securities
in an amount equal to the difference between the amount a United States holder receives at such time (other than amounts properly attributable
to any coupon payments, which would be treated, as described above, as ordinary income) and the United States holder’s tax basis
in the securities. In general, a United States holder’s tax basis in the securities will be equal to the price the holder paid for
the securities. Capital gain recognized by an individual United States holder is generally taxed at preferential rates where the property
is held for more than one year and is generally taxed at ordinary income rates where the property is held for one year or less. The deductibility
of capital losses may be subject to limitations.
Non-U.S. Holders. The following discussion
applies to non-U.S. holders of the securities and to the extent inconsistent overrides the discussion entitled “United States Federal
Tax Considerations” and “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the
accompanying product supplement. A non-U.S. holder is a beneficial owner of a security that, for U.S. federal income tax purposes, is
a non-resident alien individual, a foreign corporation, or a foreign estate or trust.
The U.S. federal income tax treatment of the securities
(including proper characterization of the contingent coupon payments for U.S. federal income tax purposes) is uncertain. We intend to
withhold (or expect the applicable withholding agent will withhold) U.S. federal income tax at a 30% rate in respect of the contingent
coupon payments made to a non-U.S. holder. However, a reduced rate of withholding tax may be available for a non-U.S. holder under an
applicable income tax treaty (but subject to withholding tax on dividend equivalent payments under Section 871(m) of the Code discussed
below) and withholding tax will not apply if payments are effectively connected with the conduct by the non-U.S. holder of a trade or
business in the United States (in which case, the non-U.S. holder will be required to provide a Form W-8ECI). We will not pay any additional
amounts in respect of such withholding.
To claim benefits under an income tax treaty, a
non-U.S. holder must obtain a taxpayer identification number and certify as to its eligibility under the appropriate treaty’s limitations
on benefits article, if applicable. Certifications may generally be made on a Form W-8BEN or W-8BEN-E, or a substitute or successor form.
In addition, special rules may apply to claims for treaty benefits made by corporate non- U.S. holders. A non-U.S. holder that is eligible
for a reduced rate of U.S. federal withholding tax pursuant to an income tax treaty may obtain a refund of any excess amounts withheld
by filing an appropriate claim for refund with the Internal Revenue Service. The availability of a lower rate of withholding or an exemption
from withholding under an applicable income tax treaty will depend on the proper characterization of the contingent coupon payments under
U.S. federal income tax laws and whether such treaty rate or exemption applies to such contingent coupon payments. No assurance can be
provided on the proper characterization of the contingent coupon payments for U.S. federal income tax purposes and, accordingly, no assurance
can be provided on the availability of benefits under any income tax treaty. Non-U.S. holders should consult their tax advisors in this
regard.
You will generally not be subject to U.S. federal
income or withholding tax on any gain (other than amounts attributable to any contingent coupon payments) upon the sale or maturity of
the securities, provided that (i) you comply with applicable certification requirements, which certification may be made on Form W-8BEN
or W-8BEN-E (or a substitute or successor form) on which you certify, under penalties of perjury, that you are not a U.S. person and provide
your name and address, (ii) your gain is not effectively connected with your conduct of a U.S. trade or business, and (iii) if you are
a non-resident alien individual, you are not present in the U.S. for 183 days or more during the taxable year of the sale or maturity
of the securities. In the case of (ii) above, you generally would be subject to U.S. federal income tax with respect to any income or
gain in the same manner as if you were a U.S. holder and, if you are a corporation, you may also be subject to a branch profits tax equal
to 30% (or such lower rate provided by an applicable U.S. income tax treaty) of a portion of your earnings and profits for the taxable
year that are effectively connected with its conduct of a trade or business in the U.S., subject to certain adjustments.
Under Section 871(m) of the Code, a “dividend
equivalent” payment is treated as a dividend from sources within the United States. Such payments generally would be subject to
a 30% U.S. withholding tax if paid to a non-U.S. holder. Under U.S. Treasury Department regulations, payments (including deemed payments)
with respect to equity-linked instruments (“ELIs”) that are “specified ELIs” may be treated as dividend equivalents
if such specified ELIs reference, directly or indirectly, an interest in an “underlying security,” which is generally any
interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment with respect to such interest could give
rise to a U.S. source dividend. However, the IRS has issued guidance that states that the U.S. Treasury Department and the IRS intend
to amend the effective dates of the U.S. Treasury Department regulations to provide that withholding on dividend equivalent payments will
not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2027. Based on our determination
that the securities are not delta-one instruments, non-U.S. holders should not be subject to withholding on dividend equivalent payments,
if any, under the securities. However, it is possible that the securities could be treated as deemed reissued for U.S. federal income
tax purposes upon the occurrence of certain events affecting the market measures or the securities (for example, upon a rebalancing of
an Index), and following such occurrence the securities could be treated as subject to withholding on dividend equivalent payments. Non-U.S.
holders that enter, or have entered, into other transactions in respect of an Index or the securities should consult their tax advisors
as to the application of the dividend equivalent withholding tax in the context of the securities and their other transactions. If any
payments are treated as dividend equivalents subject to withholding, we (or the applicable withholding agent) would be entitled to withhold
taxes without being required to pay any additional amounts with respect to amounts so withheld.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
In the event of any withholding on the securities,
we, or the applicable withholding agent, will not be required to pay any additional amounts with respect to amounts so withheld.
Market Linked Securities—Callable Securities with Contingent Coupon with Daily Observation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nasdaq-100 Index® due July 22, 2027
Supplemental Plan of Distribution |
Delivery of the securities will be made against
payment therefor on the issue date. Under Rule 15c6-1 of the Exchange Act, trades in the secondary market generally are required to settle
in one business day, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade such securities
at any time prior to the first business day preceding the issue date will be required, by virtue of the fact that the securities will
not settle in T+1, to specify an alternative settlement cycle at the time of any such trade to prevent a failed settlement; such purchasers
should also consult their own advisors in this regard.
Validity of the Securities |
In the opinion
of Osler, Hoskin & Harcourt LLP, the issue and sale of the securities has been duly authorized by all necessary corporate action of
the Issuer in conformity with the senior indenture, and when this pricing supplement has been attached to, and duly notated on, the master
note that represents the securities the securities will have been validly executed, authenticated, issued and delivered, to the extent
that validity of the securities is a matter governed by the laws of the Province of Ontario and the federal laws of Canada applicable
therein and will be valid obligations of the Issuer, subject to the following limitations (i) the enforceability of the senior indenture
may be limited by the Canada Deposit Insurance Corporation Act (Canada), the Winding-up and Restructuring Act (Canada) and bankruptcy,
insolvency, reorganization, receivership, moratorium, arrangement or winding-up laws or other similar laws affecting the enforcement of
creditors’ rights generally; (ii) the enforceability of the senior indenture may be limited by equitable principles, including the
principle that equitable remedies such as specific performance and injunction may only be granted in the discretion of a court of competent
jurisdiction; (iii) pursuant to the Currency Act (Canada) a judgment by a Canadian court must be awarded in Canadian currency and that
such judgment may be based on a rate of exchange in existence on a day other than the day of payment; and (iv) the enforceability of the
senior indenture will be subject to the limitations contained in the Limitations Act, 2002 (Ontario), and such counsel expresses no opinion
as to whether a court may find any provision of the senior indenture to be unenforceable as an attempt to vary or exclude a limitation
period under that Act. This opinion is given as of the date hereof and is limited to the laws of the Provinces of Ontario and the federal
laws of Canada applicable therein. In addition, this opinion is subject to certain assumptions about (i) the Trustees’ authorization,
execution and delivery of the senior indenture, (ii) the genuineness of signatures and (iii) certain other matters, all as stated in the
letter of such counsel dated May 26, 2022, which has been filed as Exhibit 5.3 to the Issuer's Form 6-K filed with the SEC and dated May
26, 2022.
In the opinion
of Ashurst LLP, when the pricing supplement has been attached to, and duly notated on, the master note that represents the securities,
the securities will be executed, authenticated, issued and delivered, and the securities have been issued and sold as contemplated by
the prospectus supplement and the prospectus, the securities will be valid, binding and enforceable obligations of the Issuer, entitled
to the benefits of the senior indenture, subject to applicable bankruptcy, insolvency, fraudulent transfer, reorganization, moratorium
and similar laws of general applicability relating to or affecting creditors’ rights and subject to general principles of equity,
public policy considerations and the discretion of the court before which any suit or proceeding may be brought. This opinion is given
as of the date hereof and is limited to the laws of the State of New York. This opinion is subject to customary assumptions about the
Trustee’s authorization, execution and delivery of the senior indenture and the genuineness of signatures and to such counsel’s
reliance on the Issuer and other sources as to certain factual matters, all as stated in the legal opinion dated May 26, 2022, which has
been filed as Exhibit 5.4 to the Issuer’s Form 6-K dated May 26, 2022.
PRS-34
Exhibit 107.1
The pricing supplement to which this Exhibit is attached is a final
prospectus for the related offering. The maximum aggregate offering price of the offering is $7,770,000.
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