Registration Statement No.333-264388
Filed Pursuant to Rule 433
Subject to Completion,
dated May 16, 2024
Pricing Supplement to the Prospectus dated May 26, 2022,
the Prospectus Supplement dated May 26, 2022 and the Product Supplement dated July 22, 2022
US$ [ ]
Senior Medium-Term Notes, Series I
Autocallable Barrier Notes with Contingent Coupons due May 22, 2025
Linked to the Least Performing of the shares of SPDR® S&P® Biotech ETF and the shares of iShares® Silver Trust
| · | The notes are designed for investors who are seeking monthly contingent periodic interest payments (as
described in more detail below), as well as a return of principal if the closing level of each of the shares of SPDR® S&P®
Biotech ETF and the shares of iShares® Silver Trust (each, a "Reference Asset" and, collectively, the "Reference Assets")
on any monthly Observation Date beginning in August 2024 is greater than 100% of its Initial Level (the “Call Level”). Investors
should be willing to have their notes automatically redeemed prior to maturity, be willing to forego any potential to participate in the
appreciation of the shares of the Reference Assets and be willing to lose some or all of their principal at maturity. |
| · | The notes will pay a Contingent Coupon on each Contingent Coupon Payment Date at the Contingent Interest
Rate of 1.129% per month (approximately 13.55% per annum) if the closing level of each Reference Asset on the applicable monthly Observation
Date is greater than or equal to its Coupon Barrier Level. However, if the closing level of any Reference Asset is less than its Coupon
Barrier Level on an Observation Date, the notes will not pay the Contingent Coupon for that Observation Date. |
| · | Beginning on August 19, 2024, if on any Observation Date, the closing level of each Reference Asset is
greater than its Call Level, the notes will be automatically redeemed. On the following Contingent Coupon Payment Date (the “Call
Settlement Date"), investors will receive their principal amount plus the Contingent Coupon otherwise due. After the notes are redeemed,
investors will not receive any additional payments in respect of the notes. |
| · | The notes do not guarantee any return of principal at maturity. Instead, if the notes are not automatically
redeemed, the payment at maturity will be based on the Final Level of each Reference Asset and whether the Final Level of any Reference
Asset has declined from its Initial Level to below its Trigger Level on the Valuation Date (a “Trigger Event”), as described
below. |
| · | If the notes are not automatically redeemed and a Trigger Event has occurred, investors will lose 1%
of the principal amount for each 1% decrease in the level of the Least Performing Reference Asset from its Initial Level to its Final
Level. In such a case, you will receive a cash amount at maturity that is less than the principal amount, together with the final Contingent
Coupon, if payable. |
| · | Investing in the notes is not equivalent to a direct investment in the Reference Assets. |
| · | The notes will not be listed on any securities exchange. |
| · | All payments on the notes are subject to the credit risk of Bank of Montreal. |
| · | The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000. |
| · | Our subsidiary, BMO Capital Markets Corp. (“BMOCM”), is the agent for this offering. See
“Supplemental Plan of Distribution (Conflicts of Interest)” below. |
| · | The notes will not be subject to conversion into our common shares or the common shares of any of our
affiliates under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act (the “CDIC Act”). |
Terms of the Notes:1
Pricing Date: |
May 17, 2024 |
|
Valuation Date: |
May 19, 2025 |
Settlement Date: |
May 22, 2024 |
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Maturity Date: |
May 22, 2025 |
1Expected. See “Key Terms of the Notes” below
for additional details.
Specific Terms of the Notes:
Autocallable
Number |
Reference
Assets |
Ticker
Symbol |
Initial
Level |
Contingent
Interest Rate |
Coupon
Barrier
Level |
Trigger
Level |
CUSIP |
Principal
Amount |
Price to
Public1 |
Agent’s
Commission1 |
Proceeds to
Bank of
Montreal1 |
3515 |
The shares of SPDR® S&P® Biotech ETF |
XBI |
[ ] |
1.129% per month (approximately 13.55% per annum) |
[ ], 70.00% of its Initial Level |
[ ], 70.00% of its Initial Level |
06376AMA5 |
[ ] |
100% |
Up to 0.25%
[ ] |
At least 99.75%
[ ] |
The shares of iShares® Silver Trust |
SLV |
[ ] |
[ ], 70.00% of its Initial Level |
[ ], 70.00% of its Initial Level |
1 The total “Agent’s Commission” and “Proceeds
to Bank of Montreal” to be specified above will reflect the aggregate amounts at the time Bank of Montreal establishes its hedge
positions on or prior to the Pricing Date, which may be variable and fluctuate depending on market conditions at such times. Certain dealers
who purchased the notes for sale to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions.
The public offering price for investors purchasing the notes in these accounts may be between $997.50 and $1,000 per $1,000 in principal
amount. We or one of our affiliates may also pay a referral fee to certain dealers in connection with the distribution of the notes.
Investing in the notes involves risks, including
those described in the “Selected Risk Considerations” section beginning on page P-5 hereof, the “Additional Risk Factors
Relating to the Notes” section beginning on page PS-6 of the product supplement, and the “Risk Factors” section beginning
on page S-1 of the prospectus supplement and on page 8 of the prospectus.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of these notes or passed upon the accuracy of this document, the product
supplement, the prospectus supplement or the prospectus. Any representation to the contrary is a criminal offense. The notes will be our
unsecured obligations and will not be savings accounts or deposits that are insured by the United States Federal Deposit Insurance Corporation,
the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency or instrumentality or other entity.
On the date hereof, based on the terms set forth
above, the estimated initial value of the notes is $986.60 per $1,000 in principal amount. The estimated initial value of the notes on
the Pricing Date may differ from this value but will not be less than $935.00 per $1,000 in principal amount. However, as discussed in
more detail below, the actual value of the notes at any time will reflect many factors and cannot be predicted with accuracy.
BMO CAPITAL MARKETS
Key Terms of the Notes:
Reference Assets: |
The shares of SPDR® S&P® Biotech ETF (ticker symbol "XBI") and the shares of iShares® Silver Trust (ticker symbol "SLV"). See "The Reference Assets" below for additional information. |
|
|
Underlying Index: |
With respect to SPDR® S&P® Biotech ETF, S&P® Biotechnology Select Industry® Index. |
|
|
Contingent Coupons: |
If the closing level of each Reference Asset on an Observation Date is greater than or equal to its Coupon Barrier Level, a Contingent Coupon will be paid on the corresponding Contingent Coupon Payment Date at the Contingent Interest Rate, subject to the automatic redemption feature. |
|
|
Contingent Interest Rate: |
1.129% per month (approximately 13.55% per annum), if payable. Accordingly, each Contingent Coupon, if payable, will equal $11.29 for each $1,000 in principal amount. |
|
|
Observation Dates:1 |
Three trading days prior to each scheduled Contingent Coupon Payment Date. |
|
|
Contingent Coupon Payment
Dates:1 |
Interest, if payable, will be paid on the 22nd day of each month (or, if such day is not a business day, the next following business day), beginning on June 22, 2024 and ending on the Maturity Date, subject to the automatic redemption feature. |
|
|
Automatic Redemption: |
Beginning on August 19, 2024, if, on any Observation Date, the closing level of each Reference Asset is greater than its Call Level, the notes will be automatically redeemed. No further amounts will be owed to you under the Notes. |
|
|
Payment upon Automatic
Redemption: |
If the notes are automatically redeemed, then, on the Call Settlement Date, investors will receive their principal amount plus the Contingent Coupon otherwise due. |
|
|
Call Settlement Date:1 |
If the notes are automatically redeemed, the Contingent Coupon Payment Date immediately following the relevant Observation Date. |
|
|
Payment at Maturity: |
If the notes are not automatically redeemed, the payment at maturity
for the notes is based on the performance of the Reference Assets.
You will receive $1,000 for each $1,000 in principal amount of the note,
unless a Trigger Event has occurred.
If a Trigger Event has occurred, you will receive at maturity, for each
$1,000 in principal amount of your notes, a cash amount equal to:
$1,000 + [$1,000 x Percentage Change of the Least
Performing Reference Asset]
This amount will be less than the principal amount
of your notes, and may be zero.
You will also receive the final Contingent Coupon, if payable. |
|
|
Trigger Event:2 |
A Trigger Event will be deemed to occur if the Final Level of any Reference Asset is less than its Trigger Level on the Valuation Date. |
|
|
Least Performing Reference Asset: |
The Reference Asset with the lowest Percentage Change. |
|
|
Percentage Change: |
With respect to each Reference Asset, the quotient, expressed as a percentage,
of the following formula:
(Final Level - Initial Level)
Initial Level |
|
|
Initial Level:2 |
With respect to each Reference Asset, the closing level of that Reference Asset on the Pricing Date. |
|
|
Coupon Barrier Level:2 |
With respect to each Reference Asset, 70.00% of its Initial Level. |
|
|
Trigger Level:2 |
With respect to each Reference Asset, 70.00% of its Initial Level. |
|
|
Call Level:2 |
With respect to each Reference Asset, 100% of its Initial Level. |
|
|
Final Level: |
With respect to each Reference Asset, the closing level of that Reference Asset on the Valuation Date. |
|
|
Pricing Date:1 |
May 17, 2024 |
|
|
Settlement Date:1 |
May 22, 2024 |
Valuation Date:1 |
May 19, 2025 |
|
|
Maturity Date:1 |
May 22, 2025 |
|
|
Physical Delivery Amount: |
We will only pay cash on the Maturity Date, and you will have no right to receive any shares of any Reference Asset. |
|
|
Calculation Agent: |
BMOCM |
|
|
Selling Agent: |
BMOCM |
1 Expected and subject to the occurrence of a market disruption
event, as described in the accompanying product supplement. If we make any change to the expected Pricing Date and Settlement Date, the
Contingent Coupon Payment Dates (and therefore the Observation Dates and potential Call Settlement Dates), the Valuation Date and Maturity
Date will be changed so that the stated term of the notes remains approximately the same.
2 As determined by the calculation agent and subject to adjustment
in certain circumstances. See "General Terms of the Notes — Anti-dilution Adjustments to a Reference Asset that Is an Equity
Security (Including Any ETF)" and "— Adjustments to a Reference Asset that Is an ETF" in the product supplement for
additional information.
Additional Terms of the Notes
You should read this document together with the
product supplement dated July 22, 2022, the prospectus supplement dated May 26, 2022 and the prospectus dated May 26, 2022. This document,
together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements
as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for
implementation, sample structures, fact sheets, brochures or other educational materials of ours or the agent. You should carefully
consider, among other things, the matters set forth in Additional Risk Factors Relating to the Notes in the product supplement, as the
notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and
other advisers before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Product supplement dated July 22, 2022:
https://www.sec.gov/Archives/edgar/data/927971/000121465922009102/r712220424b2.htm
Prospectus supplement dated May 26, 2022 and prospectus dated
May 26, 2022:
https://www.sec.gov/Archives/edgar/data/0000927971/000119312522160519/d269549d424b5.htm
Our Central Index Key, or CIK, on the SEC website
is 927971. As used in this document, "we", "us" or "our" refers to Bank of Montreal.
We have filed a registration statement (including
a prospectus) with the SEC for the offering to which this document relates. Before you invest, you should read the prospectus in that
registration statement and the other documents that we have filed with the SEC for more complete information about us and this offering.
You may obtain these documents free of charge by visiting the SEC's website at http://www.sec.gov. Alternatively, we will arrange to send
to you the prospectus (as supplemented by the prospectus supplement and product supplement) if you request it by calling our agent toll-free
at 1-877-369-5412.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Reference Assets. These risks are explained in more detail
in the “Additional Risk Factors Relating to the Notes” section of the product supplement.
Risks Related to the Structure or Features of the Notes
| · | Your investment in the notes may result in a loss. — The notes do not guarantee any return of principal. If the notes
are not automatically redeemed, the payment at maturity will be based on the Final Level of each Reference Asset and whether a Trigger
Event has occurred. If the Final Level of any Reference Asset is less than its Trigger Level, a Trigger Event will occur, and you will
lose 1% of the principal amount for each 1% that the Final Level of the Least Performing Reference Asset is less than its Initial Level.
In such a case, you will receive at maturity a cash payment that is less than the principal amount of the notes and may be zero. Accordingly,
you could lose your entire investment in the notes. |
| · | You may not receive any Contingent Coupons with respect to your notes. — We will not necessarily make periodic interest
payments on the notes. If the closing level of any Reference Asset on an Observation Date is less than its Coupon Barrier Level, we will
not pay you the Contingent Coupon applicable to that Observation Date. If the closing level of a Reference Asset is less than its Coupon
Barrier Level on each of the Observation Dates, we will not pay you any Contingent Coupons during the term of the notes, and you will
not receive a positive return on the notes. Generally, this non-payment of any Contingent Coupons will coincide with a greater risk of
principal loss on your notes. |
| · | Your notes are subject to automatic early redemption. — We will redeem the notes if the closing level of each Reference
Asset on any Observation Date is greater than its Call Level. Following an automatic redemption, you will not receive any additional Contingent
Coupons and may not be able to reinvest your proceeds in an investment with returns that are comparable to the notes. Furthermore, to
the extent you are able to reinvest such proceeds in an investment with a comparable return for a similar level of risk, you may incur
transaction costs such as dealer discounts and hedging costs built into the price of the new notes. |
| · | Your return on the notes is limited to the Contingent Coupons, if any, regardless of any appreciation in the value of any Reference
Asset. — You will not receive a payment at maturity with a value greater than your principal amount plus the final Contingent
Coupon, if payable. In addition, if the notes are automatically redeemed, you will not receive a payment greater than the principal amount
plus the applicable Contingent Coupon, even if the Final Level of one or more Reference Assets exceeds its Call Level by a substantial
amount. Accordingly, your maximum return on the applicable notes is limited to the potential return represented by the Contingent Coupons. |
| · | Whether you receive any Contingent Coupons and your payment at maturity may be determined solely by reference to the least performing
Reference Asset, even if any other Reference Assets perform better. - We will only make each Contingent Coupon payment on the notes
if the closing level of each Reference Asset on the applicable Observation Date exceeds the applicable Coupon Barrier, even if the values
of any other Reference Assets have increased significantly. Similarly, if a Trigger Event occurs with respect to any Reference Asset and
the Final Level of any Reference Asset is less than its Initial Level, your payment at maturity will be determined by reference to the
performance of the Least Performing Reference Asset. Even if the levels of any other Reference Assets have appreciated in value over the
term of the notes, or have experienced a decline that is less than that of the Least Performing Reference Asset, your return at maturity
will only be determined by reference to the performance of the Least Performing Reference Asset if a Trigger Event occurs. |
| · | The payments on the notes will be determined by reference to each Reference Asset individually, not to a basket, and the payments
on the notes will be based on the performance of the least performing Reference Asset. - Whether each Contingent Coupon is payable,
and the payment at maturity if a Trigger Event occurs, will be determined only by reference to the performance of the least performing
Reference Asset as of the applicable Observation Date and/or Valuation Date, regardless of the performance of any other Reference Assets.
The notes are not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components.
For example, in the case of notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket
components reflected as the basket return. As a result, the depreciation of one basket component could be mitigated by the appreciation
of the other basket components, as scaled by the weighting of that basket component. However, in the case of the notes, the individual
performance of each Reference Asset will not be combined, and the depreciation of one Reference Asset will not be mitigated by any appreciation
of any other Reference Assets. Instead, your receipt of Contingent Coupon payments on the notes will depend on the value of each Reference
Asset on each Observation Date, and your return at maturity will depend solely on the Final Level of the Least Performing Reference Asset
if a Trigger Event occurs. |
| · | Your return on the notes may be lower than the return on a conventional debt security of comparable maturity. — The
return that you will receive on your notes, which could be negative, may be less than the return you could earn on other investments.
The notes do not provide for fixed interest payments and you may not receive any Contingent Coupons over the term of the notes. Even if
you do receive one or more Contingent Coupons and your return on the notes is positive, your return may be less than the return you would
earn if you bought a conventional senior interest bearing debt security of ours with the same maturity or if you invested directly in
the Reference Assets. Your investment may not reflect the full opportunity cost to you when you take into account factors that affect
the time value of money. |
| · | A higher Contingent Interest Rate or lower Trigger Levels or Coupon Barrier Levels may reflect greater expected volatility of the
Reference Assets, and greater expected volatility generally indicates an increased risk of loss at maturity. — The economic
terms for the notes, including the Contingent Interest Rate, Coupon Barrier Levels and Trigger Levels, are based, in part, on the expected
volatility of the Reference Assets at the time the terms of the notes are set. “Volatility” refers to the frequency and magnitude
of changes in the level of a Reference Asset. The greater the expected volatility of the Reference Assets as of the Pricing Date, the
greater the expectation is as of that date that the closing level of a Reference Asset could be less than its Coupon Barrier Level on
any Observation Date and that a Trigger Event could occur and, as a consequence, indicates an increased risk of not receiving a Contingent
Coupon and an increased risk of loss, respectively. All things being equal, this greater expected volatility will generally be reflected
in a higher Contingent Interest Rate than the yield payable on our conventional debt securities with a similar maturity or on otherwise
comparable securities, and/or a lower Trigger Levels and/or Coupon Barrier Levels than those terms on otherwise comparable securities.
Therefore, a relatively higher Contingent Interest Rate may indicate an increased risk of loss. Further, relatively lower Trigger Levels
and/or Coupon Barriers may not necessarily indicate that the notes have a greater likelihood of a return of principal at maturity and/or
paying Contingent Coupons. You should be willing to accept the downside market risk of the Reference Assets and the potential to lose
a significant portion or all of your initial investment. |
Risks Related to the Reference Assets
| · | Owning the notes is not the same as owning shares of the Reference Assets or a security directly linked to the Reference Assets.
— The return on your notes will not reflect the return you would realize if you actually owned shares of the Reference Assets or
a security directly linked to the performance of the Reference Assets and held that investment for a similar period. Your notes may trade
quite differently from the Reference Assets. Changes in the level of a Reference Asset may not result in comparable changes in the market
value of your notes. Even if the levels of the Reference Assets increase during the term of the notes, the market value of the notes prior
to maturity may not increase to the same extent. It is also possible for the market value of the notes to decrease while the levels of
the Reference Assets increase. In addition, any dividends or other distributions paid on a Reference Asset will not be reflected in the
amount payable on the notes. |
| · | You will not have any shareholder rights and will have no right to receive any shares of the Reference Assets (or any company included
in a Reference Asset) at maturity. — Investing in your notes will not make you a holder of any shares of the Reference Assets
or any securities held by the Reference Assets. Neither you nor any other holder or owner of the notes will have any voting rights, any
right to receive dividends or other distributions, or any other rights with respect to the Reference Assets or such underlying securities. |
| · | No delivery of shares of the Reference Assets. — The notes will be payable only in cash. You should not invest in the
notes if you seek to have the shares of a Reference Asset delivered to you at maturity. |
| · | Changes that affect an Underlying Index will affect the market value of the notes, whether the notes will be automatically redeemed,
and the amount you will receive at maturity. — With respect to each Reference Asset, the policies of the applicable index sponsor
concerning the calculation of the applicable Underlying Index, additions, deletions or substitutions of the components of the applicable
Underlying Index and the manner in which changes affecting those components, such as stock dividends, reorganizations or mergers, may
be reflected in the applicable Reference Asset and, therefore, could affect the share price of the Reference Asset, the amounts payable
on the notes, whether the notes are automatically redeemed, and the market value of the notes prior to maturity. The amount payable on
the notes and their market value could also be affected if the applicable index sponsor changes these policies, for example, by changing
the manner in which it calculates the applicable Underlying Index, or if the applicable index sponsor discontinues or suspends the calculation
or publication of the applicable Underlying Index. |
| · | We have no affiliation with any index sponsor of any Underlying Index and will not be responsible for any index sponsor's actions.
— The sponsors of the Underlying Indices are not our affiliates and will not be involved in the offering of the notes in any way.
Consequently, we have no control over the actions of any index sponsor , including any actions of the type that would require the calculation
agent to adjust the payment to you at maturity. The index sponsors have no obligation of any sort with respect to the notes. Thus, the
index sponsors have no obligation to take your interests into consideration for any reason, including in taking any actions that might
affect the value of the notes. None of our proceeds from the issuance of the notes will be delivered to any index sponsor of any Underlying
Index. |
| · | Adjustments to a Reference Asset could adversely affect the notes. — The sponsor and advisor of each Reference Asset
is responsible for calculating and maintaining that Reference Asset. The sponsor and advisor of each Reference Asset can add, delete or
substitute the stocks comprising that Reference Asset or make other methodological changes that could change the share price of the applicable
Reference Asset at any time. If one or more of these events occurs, the calculation of the amount payable at maturity may be adjusted
to reflect such event or events. Consequently, any of these actions could adversely affect the amount payable at maturity and/or the market
value of the notes. |
| · | We and our affiliates do not have any affiliation with any applicable investment advisor or any Reference Asset Issuer and are
not responsible for their public disclosure of information. — The investment advisor of each Reference Asset advises the issuer
of the applicable Reference Asset (each, a “Reference Asset Issuer” and, collectively, the “Reference Asset Issuers”)
on various matters, including matters relating to the policies, maintenance and calculation of the applicable Reference Asset. We and
our affiliates are not affiliated with the investment advisor of any Reference Asset or any Reference Asset Issuer in any way and have
no ability to control or predict their actions, including any errors in or discontinuance of disclosure regarding the methods or policies
relating to a Reference Asset. No investment advisor of a Reference Asset nor any Reference Asset Issuer is involved in the offerings
of the notes in any way and has no obligation to consider your interests as an owner of the notes in taking any actions relating to a
Reference Asset that might affect the value of the notes. Neither we nor any of our affiliates has independently verified the adequacy
or accuracy of the information about any investment advisor or any Reference Asset Issuer contained in any public disclosure of information.
You, as an investor in the notes, should make your own investigation into the Reference Asset Issuers. |
| · | The correlation between the performance of a Reference Asset and the performance of the applicable Underlying Index may be imperfect.
— The performance of each Reference Asset is linked principally to the performance of the applicable Underlying Index. However,
because of the potential discrepancies identified in more detail in the product supplement, the return on a Reference Asset may correlate
imperfectly with the return on the applicable Underlying Index. |
| · | The Reference Assets are subject to management risks. — The Reference Assets are subject to management risk, which is
the risk that the applicable investment advisor’s investment strategy, the implementation of which is subject to a number of constraints,
may not produce the intended results. For example, the applicable investment advisor may invest a portion of a Reference Asset Issuer’s
assets in securities not included in the relevant industry or sector but which the applicable investment advisor believes will help the
applicable Reference Asset track the relevant industry or sector. |
| · | You must rely on your own evaluation of the merits of an investment linked to the Reference Assets. — In the ordinary
course of their businesses, our affiliates from time to time may express views on expected movements in the prices of the Reference Assets
or the prices of the securities held by the Reference Assets. One or more of our affiliates have published, and in the future may publish,
research reports that express views on the Reference Assets or these securities. However, these views are subject to change from time
to time. Moreover, other professionals who deal in the markets relating to the Reference Assets at any time may have significantly different
views from those of our affiliates. You are encouraged to derive information concerning the Reference Assets from multiple sources, and
you should not rely on the views expressed by our affiliates.
Neither the offering of the notes nor any views which our affiliates from time to time may express in the ordinary course of their businesses
constitutes a recommendation as to the merits of an investment in the notes. |
Risks Related to the SPDR® S&P® Biotech ETF
| · | An investment in the notes is subject to risks associated with investing in the biotechnology sector. — The stocks
held by the SPDR® S&P® Biotech ETF are generally concentrated in the biotechnology industry.
Companies within the biotech industry invest heavily in research and development which may not necessarily lead to commercially successful
products. This industry is also subject to increased governmental regulation which may delay or inhibit the release of new products. Many
biotech companies are dependent upon their ability to use and enforce intellectual property rights and patents. Any impairment of such
rights may have adverse financial consequences. Biotech stocks, especially those of smaller, less-seasoned companies, tend to be more
volatile than the overall market. Biotech companies can be significantly affected by technological change and obsolescence, product liability
lawsuits and consequential high insurance costs. |
| · | An investment in the notes is subject to risks associated with investing in small-capitalization and mid-capitalization companies.
— The SPDR® S&P® Biotech ETF may invest in companies that may be considered small-capitalization or mid-capitalization
companies. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization
companies and therefore the SPDR® S&P® Biotech ETF’s share price may be more volatile than an investment in stocks issued
by large-capitalization companies. Stock prices of small-capitalization or mid-capitalization companies are also more vulnerable than
those of large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization or mid-capitalization
companies may be thinly traded, making it difficult for the SPDR® S&P® Biotech ETF to buy and sell them. In addition, small-capitalization
or mid-capitalization companies are typically less stable financially than large-capitalization companies and may depend on a small number
of key personnel, making them more vulnerable to loss of personnel. Small-capitalization or mid-capitalization companies are often subject
to less analyst coverage and may be in early, and less predictable, periods of their corporate existences. Such companies tend to have
smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive
strengths than large-capitalization companies and are more susceptible to adverse developments related to their products. |
Risks Relating to iShares® Silver Trust
| · | The iShares® Silver Trust is not an investment company or a commodity pool and will not be subject to regulation under the
Investment Company Act of 1940, as amended, or the Commodity Exchange Act, as amended. – The iShares® Silver Trust is not
registered as an investment company for purposes of U.S. federal securities laws, and is not subject to regulation by the SEC as an investment
company. Similarly, the iShares® Silver Trust does not hold or trade in commodity futures contracts or any other instruments regulated
by the U.S. Commodity Exchange Act (the “CEA”), as administered by the U.S. Commodity Futures Trading Commission (the “CFTC”),
is not a commodity pool for purposes of the CEA, and neither the sponsor nor the trustee of the iShares® Silver Trust is a commodity
pool operator with respect to the iShares® Silver Trust. Consequently, investors in the iShares® Silver Trust or investments linked
to the iShares® Silver Trust will not benefit from any regulatory protections afforded to persons who invest in regulated investment
companies or commodity pools or any of the disclosures required to published by registered commodity pool operators. |
| · | Single commodity prices tend to be more volatile than, and may not correlate with, the prices of commodities generally. –
The iShares® Silver Trust is linked exclusively to the price of silver and not to a diverse basket of commodities or a broad-based
commodity index. The price of silver may not correlate with, and may diverge significantly from, the prices of commodities generally.
Because the securities are linked to the iShares® Silver Trust, which reflect the performance of the price of a single commodity,
they carry greater risk and may be more volatile than a security linked to the prices of multiple commodities or a broad-based commodity
index. The price of silver may be, and has recently been, highly volatile, and we can give you no assurance that such volatility will
lessen. |
| · | The iShares® Silver Trust, and therefore an investment in the notes, is subject to risks associated with silver. –
The iShares® Silver Trust seeks to reflect generally the performance of the price of silver, less the iShares® Silver Trust’
expenses and liabilities. The price of silver is primarily affected by global demand for and supply of silver. Silver prices can fluctuate
widely and may be affected by numerous factors. These include general economic trends, technical developments, substitution issues and
regulation, as well as specific factors including industrial and jewelry demand, expectations with respect to the rate of inflation, the
relative strength of the U.S. dollar (as the currency in which the price of silver is generally quoted) and other currencies, interest
rates, central bank sales, forward sales by producers, global or regional political or economic events and production costs and disruptions
in major silver-producing countries, such as Mexico, China and Peru. The demand for and supply of silver affect silver prices, but not
necessarily in the same manner as supply and demand affect the prices of other commodities. The supply of silver consists of a combination
of new mine production and existing stocks of bullion and fabricated silver held by governments, public and private financial institutions,
industrial organizations and private individuals. In addition, the price of silver has on occasion been subject to very rapid short-term
changes due to speculative activities. From time to time, above-ground inventories of silver may also influence the market. The major
end-uses for silver include industrial applications, jewelry and silverware. It is not possible to predict the aggregate effect of any
or all of these factors. |
| · | The iShares® Silver Trust, and therefore an investment in the notes, is subject to risks associated with commodities trading
on the London Bullion Market Association. – The investment objective of the iShares® Silver Trust seeks to reflect generally
the performance of the price of silver, less the iShares® Silver Trust’s expenses and liabilities. The price of silver is determined
by the London Bullion Market Association (“LBMA”) or an independent service-provider appointed by the LBMA. The LBMA is a
self-regulatory association of bullion market participants. Although all market-making members of the LBMA are supervised by the Bank
of England and are required to satisfy a capital adequacy test, the LBMA itself is not a regulated entity. If the LBMA should cease operations,
or if bullion trading should become subject to a value added tax or other tax or any other form of regulation not currently in place,
the role of LBMA prices as a global benchmark for the value of silver may be adversely affected. The LBMA is a principals’ market
that operates in a manner more closely analogous to an over-the-counter physical commodity market than a regulated futures markets, and
certain features of U.S. futures contracts are not present in the context of LBMA trading. For example, there are no daily price limits
on the LBMA that would otherwise restrict fluctuations in the prices of LBMA contracts. In a declining market, it is possible that prices
would continue to decline without limitation within a trading day or over a period of trading days. The LBMA may alter, discontinue or
suspend calculation or dissemination of the LBMA silver price, which could adversely affect the value of the securities. The LBMA, or
an independent service-provider appointed by the LBMA, will have no obligation to consider your interests in calculating or revising LBMA
prices. |
| · | The iShares® Silver Trust may not fully correlate with the performance of silver and may underperform an investment linked
directly to the price of silver. – The iShares® Silver Trust does not fully replicate the performance of its underlying
commodity, which is silver, due to the fees and expenses charged by the iShares® Silver Trust and restrictions on access to its underlying
commodity due to other circumstances. The iShares® Silver Trust does not generate any income, and as the iShares® Silver Trust
regularly sells its underlying commodity to pay for ongoing expenses, the amount of its underlying commodity represented by each share
gradually declines over time. The iShares® Silver Trust sells its underlying commodity to pay expenses on an ongoing basis irrespective
of whether the trading price of the shares rises or falls in response to changes in the price of its underlying commodity. The sale by
the iShares® Silver Trust of its underlying commodity to pay expenses at a time of low prices for its underlying commodity could adversely
affect the value of the notes. Additionally, there is a risk that part or all of the iShares® Silver Trust’s holdings in its
underlying commodity could be lost, damaged or stolen. Access to the SLV’s underlying commodity could also be restricted by natural
events (such as an earthquake) or human actions (such as a terrorist attack). All of these factors may lead to a lack of correlation between
the performance of the iShares® Silver Trust and its underlying commodity. In addition, because the shares of the SLV are traded on
a securities exchange and are subject to market supply and investor demand, the market value of one share of the iShares® Silver Trust
may differ from the net asset value per share of the iShares® Silver Trust. During periods of market volatility, the iShares®
Silver Trust’s underlying commodity may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the iShares® Silver Trust and the liquidity of the iShares® Silver Trust may be adversely affected.
This kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the iShares® Silver
Trust. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy
and sell shares of the iShares® Silver Trust. |
General Risk Factors
| · | Your investment is subject to the credit risk of Bank of Montreal. — Our credit ratings and credit spreads may adversely
affect the market value of the notes. Investors are dependent on our ability to pay any amounts due on the notes, and therefore investors
are subject to our credit risk and to changes in the market’s view of our creditworthiness. Any decline in our credit ratings or
increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of the notes. |
| · | Potential conflicts. — We and our affiliates play a variety of roles in connection with the issuance of the notes, including
acting as calculation agent. In performing these duties, the economic interests of the calculation agent and other affiliates of ours
are potentially adverse to your interests as an investor in the notes. We or one or more of our affiliates may also engage in trading
of shares of the Reference Assets or the securities held by a Reference Asset on a regular basis as part of our general broker-dealer
and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for our customers. Any
of these activities could adversely affect the level of the Reference Assets and, therefore, the market value of, and the payments on,
the notes. We or one or more of our affiliates may also issue or underwrite other securities or financial or derivative instruments with
returns linked or related to changes in the performance of the Reference Assets. By introducing competing products into the marketplace
in this manner, we or one or more of our affiliates could adversely affect the market value of the notes. |
| · | Our initial estimated value of the notes will be lower than the price to public. — Our initial estimated value of the
notes is only an estimate, and is based on a number of factors. The price to public of the notes will exceed our initial estimated value,
because costs associated with offering, structuring and hedging the notes are included in the price to public, but are not included in
the estimated value. These costs include any underwriting discount and selling concessions, the profits that we and our affiliates expect
to realize for assuming the risks in hedging our obligations under the notes and the estimated cost of hedging these obligations. The
initial estimated value of the notes may be as low as the amount indicated on the cover page hereof. |
| · | Our initial estimated value does not represent any future value of the notes, and may also differ from the estimated value of any
other party. — Our initial estimated value of the notes as of the date hereof is, and our estimated value as determined on the
Pricing Date will be, derived using our internal pricing models. This value is based on market conditions and other relevant factors,
which include volatility of the Reference Assets, dividend rates and interest rates. Different pricing models and assumptions could provide
values for the notes that are greater than or less than our initial estimated value. In addition, market conditions and other relevant
factors after the Pricing Date are expected to change, possibly rapidly, and our assumptions may prove to be incorrect. After the Pricing
Date, the value of the notes could change dramatically due to changes in market conditions, our creditworthiness, and the other factors
set forth herein and in the product supplement. These changes are likely to impact the price, if any, at which we or BMOCM would be willing
to purchase the notes from you in any secondary market transactions. Our initial estimated value does not represent a minimum price at
which we or our affiliates would be willing to buy your notes in any secondary market at any time. |
| · | The terms of the notes are not determined by reference to the credit spreads for our conventional fixed-rate debt. —
To determine the terms of the notes, we will use an internal funding rate that represents a discount from the credit spreads for our conventional
fixed-rate debt. As a result, the terms of the notes are less favorable to you than if we had used a higher funding rate. |
| · | Certain costs are likely to adversely affect the value of the notes. — Absent any changes in market conditions, any secondary
market prices of the notes will likely be lower than the price to public. This is because any secondary market prices will likely take
into account our then-current market credit spreads, and because any secondary market prices are likely to exclude all or a portion of
any underwriting discount and selling concessions, and the hedging profits and estimated hedging costs that are included in the price
to public of the notes and that may be reflected on your account statements. In addition, any such price is also likely to reflect a discount
to account for costs associated with establishing or unwinding any related hedge transaction, such as dealer discounts, mark-ups and other
transaction costs. As a result, the price, if any, at which BMOCM or any other party may be willing to purchase the notes from you in
secondary market transactions, if at all, will likely be lower than the price to public. Any sale that you make prior to the Maturity
Date could result in a substantial loss to you. |
| · | Lack of liquidity. — The notes will not be listed on any securities exchange. BMOCM may offer to purchase the notes in
the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which
you may be able to trade the notes is likely to depend on the price, if any, at which BMOCM is willing to buy the notes. |
| · | Hedging and trading activities. — We or any of our affiliates have carried out or may carry out hedging activities related
to the notes, including purchasing or selling shares of the Reference Assets or securities held by the Reference Assets, futures or options
relating to the Reference Assets or securities held by the Reference Assets or other derivative instruments with returns linked or related
to changes in the performance on the Reference Assets or securities held by the Reference Assets. We or our affiliates may also trade
in the Reference Assets, such securities, or instruments related to the Reference Assets or such securities from time to time. Any of
these hedging or trading activities on or prior to the Pricing Date and during the term of the notes could adversely affect the payments
on the notes. |
| · | Many economic and market factors will influence the value of the notes. — In addition to the levels of the Reference
Assets and interest rates on any trading day, the value of the notes will be affected by a number of economic and market factors that
may either offset or magnify each other, and which are described in more detail in the product supplement. |
| · | Significant aspects of the tax treatment of the notes are uncertain. — The tax treatment of the notes is uncertain. We
do not plan to request a ruling from the Internal Revenue Service or from any Canadian authorities regarding the tax treatment of the
notes, and the Internal Revenue Service or a court may not agree with the tax treatment described herein. |
The Internal Revenue Service has released
a notice that may affect the taxation of holders of “prepaid forward contracts” and similar instruments. According to the
notice, the Internal Revenue Service and the U.S. Treasury are actively considering whether the holder of such instruments should be required
to accrue ordinary income on a current basis. While it is not clear whether the notes would be viewed as similar to such instruments,
it is possible that any future guidance could materially and adversely affect the tax consequences of an investment in the notes, possibly
with retroactive effect.
Please read carefully the section entitled "U.S. Federal Tax Information" herein, the section entitled "Supplemental Tax
Considerations–Supplemental U.S. Federal Income Tax Considerations" in the accompanying product supplement, the section entitled
"United States Federal Income Taxation" in the accompanying prospectus and the section entitled "Certain Income Tax Consequences"
in the accompanying prospectus supplement. You should consult your tax advisor about your own tax situation.
Examples of the Hypothetical Payment at Maturity for a $1,000 Investment
in the Notes
The following table illustrates the hypothetical
payments on a note at maturity, assuming that the notes are not automatically redeemed. The hypothetical payments are based on a $1,000
investment in the note, a hypothetical Initial Level of $100.00, a hypothetical Trigger Level of $70.00 for each Reference Asset (70.00%
of the hypothetical Initial Level), a hypothetical Call Level of $100.00 (100.00% of the hypothetical Initial Level), a range of hypothetical
Final Levels and the effect on the payment at maturity .
The hypothetical examples shown below are intended
to help you understand the terms of the notes. If the notes are not automatically redeemed, the actual cash amount that you will receive
at maturity will depend upon the Final Level of the Least Performing Reference Asset. If the notes are automatically redeemed prior to
maturity, the hypothetical examples below will not be relevant, and you will receive on the applicable Call Settlement Date, for each
$1,000 principal amount, the principal amount plus the applicable Contingent Coupon.
As discussed in more detail above, your total return
on the notes will also depend on the number of Contingent Coupon Dates on which the Contingent Coupon is payable. It is possible that
the only payments on your notes will be the payment, if any, due at maturity. The payment at maturity will not exceed the principal amount,
and may be significantly less.
Hypothetical Final Level of the
Least Performing Reference Asset |
Hypothetical Final Level of the
Least Performing Reference Asset
Expressed as a Percentage of its
Initial Level |
Payment at Maturity (Excluding
Coupons) |
$200.00 |
200.00% |
$1,000.00 |
$180.00 |
180.00% |
$1,000.00 |
$160.00 |
160.00% |
$1,000.00 |
$140.00 |
140.00% |
$1,000.00 |
$120.00 |
120.00% |
$1,000.00 |
$100.00 |
100.00% |
$1,000.00 |
$90.00 |
90.00% |
$1,000.00 |
$80.00 |
80.00% |
$1,000.00 |
$70.00 |
70.00% |
$1,000.00 |
$69.99 |
69.99% |
$699.90 |
$60.00 |
60.00% |
$600.00 |
$40.00 |
40.00% |
$400.00 |
$20.00 |
20.00% |
$200.00 |
$0.00 |
0.00% |
$0.00 |
U.S. Federal Tax Information
By purchasing the notes, each holder agrees (in
the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat each note as a pre-paid
contingent income-bearing derivative contract for U.S. federal income tax purposes. In the opinion of our counsel, Mayer Brown LLP, it
would generally be reasonable to treat the notes as pre-paid contingent income-bearing derivative contracts in respect of the Reference
Assets for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the notes are uncertain
and the Internal Revenue Service could assert that the notes should be taxed in a manner that is different from that described in the
preceding sentence. Please see the discussion in the accompanying product supplement under "Supplemental Tax Considerations—Supplemental
U.S. Federal Income Tax Considerations—Notes Treated as an Investment Unit Consisting of a Debt Portion and a Put Option, as a Pre-Paid
Contingent Income-Bearing Derivative Contract, or as a Pre-Paid Derivative Contract—Notes Treated as a Pre-Paid Contingent Income-Bearing
Derivative Contract," which applies to the notes, except the following disclosure which supplements, and to the extent inconsistent
supersedes, the discussion in the product supplement.
Under current Internal Revenue Service guidance,
withholding on "dividend equivalent" payments (as discussed in the product supplement), if any, will not apply to notes that
are issued as of the date of this pricing supplement unless such notes are "delta-one" instruments. Based on our determination
that the notes are not delta-one instruments, non-United States holders (as defined in the product supplement) should not generally be
subject to withholding on dividend equivalent payments, if any, under the notes.
Supplemental Plan of Distribution (Conflicts of Interest)
BMOCM will purchase the notes from us at a purchase
price reflecting the commission set forth on the cover hereof. BMOCM has informed us that, as part of its distribution of the notes, it
will reoffer the notes to other dealers who will sell them. Each such dealer, or each additional dealer engaged by a dealer to whom BMOCM
reoffers the notes, will receive a commission from BMOCM, which will not exceed the commission set forth on the cover page. We or one
of our affiliates may also pay a referral fee to certain dealers in connection with the distribution of the notes.
Certain dealers who purchase the notes for sale
to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions. The public offering price
for investors purchasing the notes in these accounts may be less than 100% of the principal amount, as set forth on the cover page of
this document. Investors that hold their notes in these accounts may be charged fees by the investment advisor or manager of that account
based on the amount of assets held in those accounts, including the notes.
We will deliver the notes on a date that is greater
than two business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended (the “Exchange
Act”), trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than two business days prior to the issue date will
be required to specify alternative settlement arrangements to prevent a failed settlement.
We own, directly or indirectly, all of the outstanding
equity securities of BMOCM, the agent for this offering. In accordance with FINRA Rule 5121, BMOCM may not make sales in this offering
to any of its discretionary accounts without the prior written approval of the customer.
We reserve the right to withdraw, cancel or modify
the offering of the notes and to reject orders in whole or in part. You may cancel any order for the notes prior to its acceptance.
You should not construe the offering of the notes
as a recommendation of the merits of acquiring an investment linked to the Reference Assets or as to the suitability of an investment
in the notes.
BMOCM may, but is not obligated to, make a market
in the notes. BMOCM will determine any secondary market prices that it is prepared to offer in its sole discretion.
We may use the final pricing supplement relating
to the notes in the initial sale of the notes. In addition, BMOCM or another of our affiliates may use the final pricing supplement in
market-making transactions in any notes after their initial sale. Unless BMOCM or we inform you otherwise in the confirmation of sale,
the final pricing supplement is being used by BMOCM in a market-making transaction.
For a period of approximately three months following
issuance of the notes, the price, if any, at which we or our affiliates would be willing to buy the notes from investors, and the value
that BMOCM may also publish for the notes through one or more financial information vendors and which could be indicated for the notes
on any brokerage account statements, will reflect a temporary upward adjustment from our estimated value of the notes that would otherwise
be determined and applicable at that time. This temporary upward adjustment represents a portion of (a) the hedging profit that we or
our affiliates expect to realize over the term of the notes and (b) any underwriting discount and the selling concessions paid in connection
with this offering. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
period.
The notes and the related offer to purchase notes
and sale of notes under the terms and conditions provided herein do not constitute a public offering in any non-U.S. jurisdiction, and
are being made available only to individually identified investors pursuant to a private offering as permitted in the relevant jurisdiction.
The notes are not, and will not be, registered with any securities exchange or registry located outside of the United States and have
not been registered with any non-U.S. securities or banking regulatory authority. The contents of this document have not been reviewed
or approved by any non-U.S. securities or banking regulatory authority. Any person who wishes to acquire the notes from outside the United
States should seek the advice or legal counsel as to the relevant requirements to acquire these notes.
British Virgin Islands. The notes have not
been, and will not be, registered under the laws and regulations of the British Virgin Islands, nor has any regulatory authority in the
British Virgin Islands passed comment upon or approved the accuracy or adequacy of this document. This pricing supplement and the related
documents shall not constitute an offer, invitation or solicitation to any member of the public in the British Virgin Islands for the
purposes of the Securities and Investment Business Act, 2010, of the British Virgin Islands.
Cayman Islands. Pursuant to the Companies
Law (as amended) of the Cayman Islands, no invitation may be made to the public in the Cayman Islands to subscribe for the notes by or
on behalf of the issuer unless at the time of such invitation the issuer is listed on the Cayman Islands Stock Exchange. The issuer is
not presently listed on the Cayman Islands Stock Exchange and, accordingly, no invitation to the public in the Cayman Islands is to be
made by the issuer (or by any dealer on its behalf). No such invitation is made to the public in the Cayman Islands hereby.
Dominican Republic. Nothing in this pricing
supplement constitutes an offer of securities for sale in the Dominican Republic. The notes have not been, and will not be, registered
with the Superintendence of Securities Market of the Dominican Republic (Superintendencia del Mercado de Valores), under Dominican Securities
Market Law No. 249-17 (“Securities Law 249-17”), and the notes may not be offered or sold within the Dominican Republic or
to, or for the account or benefit of, Dominican persons (as defined under Securities Law 249-17 and its regulations). Failure to comply
with these directives may result in a violation of Securities Law 249-17 and its regulations.
Israel. This pricing supplement is intended
solely for investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended. A prospectus has not been prepared
or filed, and will not be prepared or filed, in Israel relating to the notes offered hereunder. The notes cannot be resold in Israel other
than to investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended.
No action will be taken in Israel that would permit
an offering of the notes or the distribution of any offering document or any other material to the public in Israel. In particular, no
offering document or other material has been reviewed or approved by the Israel Securities Authority. Any material provided to an offeree
in Israel may not be reproduced or used for any other purpose, nor be furnished to any other person other than those to whom copies have
been provided directly by us or the selling agents.
Nothing in this pricing supplement or any other
offering material relating to the notes, should be considered as the rendering of a recommendation or advice, including investment advice
or investment marketing under the Law For Regulation of Investment Advice, Investment Marketing and Investment Portfolio Management, 1995,
to purchase any note. The purchase of any note will be based on an investor’s own understanding, for the investor’s own benefit
and for the investor’s own account and not with the aim or intention of distributing or offering to other parties. In purchasing
the notes, each investor declares that it has the knowledge, expertise and experience in financial and business matters so as to be capable
of evaluating the risks and merits of an investment in the notes, without relying on any of the materials provided.
Mexico. The notes have not been registered
with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or
sold publicly in Mexico. This pricing supplement and the related documents may not be publicly distributed in Mexico. The notes may only
be offered in a private offering pursuant to Article 8 of the Securities Market Law.
Switzerland. This pricing supplement is not
intended to constitute an offer or solicitation to purchase or invest in any notes. Neither this pricing supplement nor any other offering
or marketing material relating to the notes constitutes a prospectus compliant with the requirements of articles 35 et seq. of the Swiss
Financial Services Act ("FinSA")) for a public offering of the notes in Switzerland and no such prospectus has been or will
be prepared for or in connection with the offering of the notes in Switzerland.
Neither this pricing supplement nor any other offering
or marketing material relating to the notes has been or will be filed with or approved by a Swiss review body (Prüfstelle). No application
has been or is intended to be made to admit the notes to trading on any trading venue (SIX Swiss Exchange or on any other exchange or
any multilateral trading facility) in Switzerland. Neither this pricing supplement nor any other offering or marketing material relating
to the notes may be publicly distributed or otherwise made publicly available in Switzerland.
The notes may not be publicly offered, directly
or indirectly, in Switzerland within the meaning of FinSA except (i) in any circumstances falling within the exemptions to prepare a prospectus
listed in article 36 para. 1 FinSA or (ii) where such offer does not qualify as a public offer in Switzerland, provided always that no
offer of notes shall require the Issuer or any offeror to publish a prospectus pursuant to article 35 FinSA in respect to such offer and
that such offer shall comply with the additional restrictions set out below (if applicable). The Issuer has not authorised and does not
authorise any offer of notes which would require the Issuer or any offeror to publish a prospectus pursuant to article 35 FinSA in respect
of such offer. For purposes of this provision "public offer" shall have the meaning as such term is understood pursuant to article
3 lit. g and h FinSA and the Swiss Financial Services Ordinance ("FinSO").
The notes do not constitute participations in a
collective investment scheme within the meaning of the Swiss Collective Investment Schemes Act. They are not subject to the approval of,
or supervision by, the Swiss Financial Market Supervisory Authority ("FINMA"), and investors in the notes will not benefit from
protection under CISA or supervision by FINMA.
Prohibition of Offer to Private Clients in Switzerland
- No Key Information Document pursuant to article 58 FinSA (Basisinformationsblatt für Finanzinstrumente) or equivalent document
under foreign law pursuant to article 59 para. 2 FinSA has been or will be prepared in relation to the notes. Therefore, the following
additional restriction applies: Notes qualifying as "debt securities with a derivative character" pursuant to article 86 para.
2 FinSO may not be offered within the meaning of article 58 para. 1 FinSA, and neither this pricing supplement nor any other offering
or marketing material relating to such notes may be made available, to any retail client (Privatkunde) within the meaning of FinSA in
Switzerland.
The notes may also be sold in the following jurisdictions,
provided, in each case, any sales are made in accordance with all applicable laws in such jurisdiction:
Additional Information Relating to the Estimated Initial Value of
the Notes
Our estimated initial value of the notes on the
date hereof, and that will be set forth on the cover page of the final pricing supplement relating to the notes, equals the sum of the
values of the following hypothetical components:
| · | a fixed-income debt component with the same tenor as the notes, valued using our internal funding rate for structured notes; and |
| · | one or more derivative transactions relating to the economic terms of the notes. |
The internal funding rate used in the determination
of the initial estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The value
of these derivative transactions is derived from our internal pricing models. These models are based on factors such as the traded market
prices of comparable derivative instruments and on other inputs, which include volatility, dividend rates, interest rates and other factors.
As a result, the estimated initial value of the notes on the Pricing Date will be determined based on the market conditions on the Pricing
Date.
The Reference Assets
We have derived the following information from publicly
available documents. We have not independently verified the accuracy or completeness of the following information. We are not affiliated
with any Reference Asset Issuer and the Reference Asset Issuers will have no obligations with respect to the notes. This document relates
only to the notes and does not relate to the shares of the Reference Assets or any securities included in any Underlying Index. Neither
we nor any of our affiliates participates in the preparation of the publicly available documents described below. Neither we nor any of
our affiliates has made any due diligence inquiry with respect to the Reference Assets in connection with the offering of the notes. There
can be no assurance that all events occurring prior to the date hereof, including events that would affect the accuracy or completeness
of the publicly available documents described below and that would affect the trading price of the shares of the Reference Assets, have
been or will be publicly disclosed. Subsequent disclosure of any events or the disclosure of or failure to disclose material future events
concerning the Reference Assets could affect the price of the shares of the Reference Assets on each Observation Date and on the Valuation
Date, and therefore could affect the payments on the notes.
The selection of a Reference Asset is not a recommendation
to buy or sell the shares of that Reference Asset. Neither we nor any of our affiliates make any representation to you as to the performance
of the shares of the Reference Assets. Information provided to or filed with the SEC under the Exchange Act and the Investment Company
Act of 1940 relating to the Reference Assets may be obtained through the SEC’s website at http://www.sec.gov.
We encourage you to review recent levels of the
Reference Assets prior to making an investment decision with respect to the notes.
The SPDR® S&P® Biotech
ETF (“XBI”)
The XBI is an investment portfolio maintained and
managed by SSgA Funds Management, Inc. (“SSFM”). SSFM is the investment advisor to separate investment portfolios, including
the XBI. The XBI seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses,
of the S&P® Biotechnology Select Industry® Index (the “SPSIBI”). The SPSIBI represents the biotechnology sub-industry
portion of the Standard & Poor’s Total Market Index (“S&P TMI”), an index that is designed to measure the performance
of the U.S. equity market. The XBI trades on NYSE Arca under the ticker symbol “XBI.”
In seeking to track the performance of the SPSIBI,
the XBI employs a sampling strategy, which means that the Fund is not required to purchase all of the securities represented in the SPSIBI.
Instead, the SPSIBI may purchase a subset of the securities in the SPSIBI in an effort to hold a portfolio of securities with generally
the same risk and return characteristics of the SPSIBI. The XBI will normally invest at least 80% of its total assets in the common stocks
that comprise the SPSIBI.
The S&P®
Biotechnology Select Industry® Index
The SPSIBI represents the
biotechnology segment of the S&P TMI. The biotechnology segment of the S&P TMI comprises the Biotechnology sub-industry. The SPSIBI
is one of 21 of the S&P Select Industry Indices (the “Select Industry Indices”), each designed to measure the performance
of a narrow sub-industry or group of sub-industries determined based on the Global Industry Classification Standard (“GICS”).
Membership in the Select Industry Indices is based on the GICS classification, as well as liquidity and market cap requirements. Companies
in the Select Industry Indices are classified according to GICS which determines classifications primarily based on revenues; however,
earnings and market perception are also considered. The SPSIBI consists of the S&P TMI constituents belonging to the Biotechnology
sub-industry that satisfy the following criteria:
| · | have a float-adjusted market capitalization greater than or equal to $500 million with a float-adjusted liquidity ratio (defined by
dollar value traded over the previous 12 months divided by the float-adjusted market capitalization as of the index rebalancing reference
date) greater than or equal to 90% or have a float-adjusted market capitalization greater than or equal to $400 million with a float-adjusted
liquidity ratio (as defined above) greater than or equal to 150%; and |
| · | are U.S. based companies. |
To evaluate liquidity,
the dollar value traded for initial public offerings or spin-offs that do not have 12 months of trading history is annualized. If there
are fewer than 35 stocks, stocks from the Life Sciences Tools & Services sub-industry that meet the market capitalization and liquidity
thresholds are included in order of their float-adjusted market capitalization from largest to smallest. If there continues to be fewer
than 22 stocks, the market capitalization threshold may be relaxed to ensure that there are at least 22 stocks in the SPSIBI as of the
rebalancing effective date. Existing index constituents are removed at the quarterly rebalancing effective date if either their float-adjusted
market capitalization falls below $300 million or their float-adjusted liquidity ratio falls below 50%. The market capitalization threshold
and the liquidity threshold are each reviewed from time to time based on market conditions.
The SPSIBI rebalances and
reconstitutes quarterly on the third Friday of the quarter ending month. The reference date for additions and deletions is after the close
of the last trading date of the previous month. The S&P TMI tracks all eligible U.S. common equities listed on the NYSE, NYSE Arca,
NYSE American, NASDAQ Global Select Market, NASDAQ Select Market, NASDAQ Capital Market, Cboe BZX, Cboe BYX, Cboe EDGA, or Cboe EDGX exchanges.
The SPSIBI is modified
equal weighted.
iShares® Silver Trust (“SLV”)
The iShares® Silver Trust is an investment trust
sponsored by iShares® Delaware Trust Sponsor LLC (the “Sponsor”), which is an indirect subsidiary of BlackRock, Inc. The
Bank of New York Mellon is the trustee of the SLV (the “Trustee”), and JPMorgan Chase Bank, N.A., London branch, is the custodian
of the SLV (the “Custodian”). The SLV trades on NYSE Arca, Inc. under the ticker symbol “SLV.” Information about
the SLV filed with the SEC can be found by reference to its SEC file numbers: 333-262440 and 001-32863 or its CIK Code: 0001330568.
The SLV seeks to reflect generally the performance
of the price of silver before the payment of SLV’s expenses and liabilities. The assets of the SLV consist primarily of silver held
by the Custodian on behalf of the SLV. The SLV issues shares in exchange for deposits of silver and distributes silver in connection with
the redemption of shares. The shares of the SLV are intended to constitute a simple and cost-effective means of making an investment similar
to an investment in silver.
The SLV is not actively managed. The SLV does not
engage in any activity designed to derive a profit from changes in the price of silver. The SLV’s only ordinary recurring expense
is expected to be the Sponsor’s fee, which accrues daily at an annualized rate equal to 0.50% of the net asset value of the SLV
and is payable monthly in arrears. The Trustee will, when directed by the Sponsor, and, in the absence of such direction, may in its discretion,
sell silver in such quantity and at such times as may be necessary to permit payment of the Sponsor’s fee and of SLV expenses or
liabilities not assumed by the Sponsor. As a result of the recurring sales of silver necessary to pay the Sponsor’s fee and the
SLV expenses or liabilities not assumed by the Sponsor, the net asset value of the SLV will decrease over time.
16
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