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—Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due May 15, 2026 |
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 “Risk Factors” below.
Market Linked Securities—Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due May 15, 2026 |
The securities are not appropriate for all investors.
The securities may be an appropriate investment for investors who:
| § | seek 1-to-1 exposure to the upside performance of the Index if the ending
level is greater than the starting level, subject to the maximum return at maturity of 30.00% of the face amount; |
| § | desire to limit downside exposure to the Index
through the buffer amount; |
| § | are willing to accept the risk that, if the ending
level is less than the starting level by more than the buffer amount, they will lose some, and possibly up to 66.00%, of the face amount
per security at maturity; |
| § | are willing to forgo interest payments on the
securities and dividends on the securities included in the Index; and |
| § | are willing to hold the securities until maturity. |
The securities may not be an appropriate investment
for investors who:
| § | seek a liquid investment or are unable or unwilling
to hold the securities to maturity; |
| § | are unwilling to accept the risk that the ending
level may decrease from the starting level by more than the buffer amount; |
| § | seek uncapped exposure to the upside performance
of the Index; |
| § | seek full return of the face amount of the securities
at stated maturity; |
| § | are unwilling to purchase securities with an estimated value as of the
pricing date that is lower than the original offering price, as set forth on the cover page; |
| § | seek current income over the term of the securities; |
| § | are unwilling to accept the risk of exposure
to the Index; |
| § | seek exposure to the Index but are unwilling
to accept the risk/return trade-offs inherent in the maturity payment amount for the securities; |
| § | are unwilling to accept the credit risk of Bank
of Montreal to obtain exposure to the Index generally, or to the exposure to the Index that the securities provide specifically; or |
| § | prefer the lower risk of fixed income investments
with comparable maturities issued by companies with comparable credit ratings. |
The considerations identified above are not
exhaustive. Whether or not the securities are an appropriate investment for you will depend on your individual circumstances, and you
should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered
the appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully the
"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 Index, please see the section titled "The S&P 500®
Index " below.
Market Linked Securities—Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due May 15, 2026 |
Determining Payment at Stated Maturity |
On the stated maturity date, you will receive a
cash payment per security (the maturity payment amount) calculated as follows:
![](https://content.edgar-online.com/edgar_conv_img/2023/05/12/0001214659-23-006970_prs7-chart.jpg)
Market Linked Securities—Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due May 15, 2026 |
Selected Risk Considerations |
The securities have complex features and investing
in the securities will involve risks not associated with an investment in conventional debt securities. Some of the risks that apply to
an investment in the securities are summarized below, but we urge you to read the more detailed explanation of the risks relating to the
securities generally in the "Risk Factors" section of the accompanying product supplement. 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 The Ending Level Is Less Than The Threshold
Level, You Will Lose Some, And Possibly Up To 66.00%, Of The Face Amount Of Your Securities At Maturity.
We will not repay you a fixed amount on the securities
on the stated maturity date. The maturity payment amount will depend on the direction of and percentage change in the ending level relative
to the starting level and the other terms of the securities. Because the level of the Index will be subject to market fluctuations, the
maturity payment amount may be more or less, and possibly significantly less, than the face amount of your securities.
If the ending level is less than the threshold
level, the maturity payment amount will be less than the face amount and you will have 1-to-1 downside exposure to the decrease in the
level of the Index in excess of the buffer amount, resulting in a loss of 1% of the face amount for every 1% decline in the Index in excess
of the buffer amount. The threshold level is 66.00% of the starting level. As a result, if the ending level is less than the threshold
level, you will lose some, and possibly up to 66.00%, of the face amount per security at maturity. This is the case even if the level
of the Index is greater than or equal to the starting level or the threshold level at certain times during the term of the securities.
Even if the ending level is greater than the starting
level, the maturity payment amount may only be slightly greater than the face amount, and your yield on the securities may be less than
the yield you would earn if you bought a traditional interest-bearing debt security of Bank of Montreal or another issuer with a similar
credit rating with the same stated maturity date.
No Periodic Interest Will Be Paid On The Securities.
No periodic payments of interest will be made on
the securities. However, if the agreed-upon tax treatment is successfully challenged by the Internal Revenue Service (the "IRS"),
you may be required to recognize taxable income over the term of the securities. You should review the section of this pricing supplement
entitled "United States Federal Tax Considerations."
Your Return Will Be Limited To The Maximum Return
And May Be Lower Than The Return On A Direct Investment In The Index.
The opportunity to participate in the possible
increases in the level of the Index through an investment in the securities will be limited because any positive return on the securities
will not exceed the maximum return. Therefore, your return on the securities may be lower than the return on a direct investment in the
Index.
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 creditworthiness
and you will have no ability to pursue any securities included in the 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.
Significant Aspects Of The Tax Treatment Of
The Securities Are Uncertain.
The tax treatment of the securities is uncertain.
We do not plan to request a ruling from the IRS or from the Canada Revenue Agency regarding the tax treatment of the securities, and the
IRS, the Canada Revenue Agency or a court may not agree with the tax treatment described in this pricing supplement and/or the accompanying
product supplement.
The IRS has issued a notice indicating that it
and the U.S. Treasury Department are actively considering whether, among other issues, a holder should be required to accrue interest
over the term of an instrument such as the securities even though that holder will not receive any payments with respect to the securities
until maturity or earlier sale or exchange and whether all or part of the gain a holder may recognize upon sale, exchange or maturity
of an instrument such as the securities should be treated as ordinary income. The outcome of this process is uncertain and could apply
on a retroactive basis.
Please read carefully the section entitled “United States Federal
Tax Considerations” in this pricing supplement, the section entitled “Tax Consequences –United States Taxation”
in the accompanying prospectus and the section entitled “United States Federal Tax Considerations” in the accompanying product
supplement. You should consult your tax advisor about your own tax situation.
Market Linked Securities—Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due May 15, 2026 |
For a discussion of the Canadian federal income
tax consequences of investing in the securities, please read the section entitled “Certain Income Tax Consequences — Canadian
Taxation” in the accompanying prospectus supplement. You should consult your tax advisor about your own tax situation.
The Stated Maturity Date May Be Postponed If
The Calculation Day Is Postponed.
The calculation day will be postponed if the originally
scheduled calculation day is not a trading day or if the calculation agent determines that a market disruption event has occurred or is
continuing on the calculation day. If such a postponement occurs, the stated maturity date will be the later of (i) the initial stated
maturity date and (ii) three business days after the calculation day as postponed.
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 of the Index, 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.
Market Linked Securities—Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due May 15, 2026 |
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 the 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 Index; interest rates; volatility of the Index; time remaining
to maturity; and dividend yields on the securities included in the Index. 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. 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 the Index. Because numerous factors are expected to affect
the value of the securities, changes in the level of the Index may not result in a comparable change in the value of the securities. We
anticipate that the value of the securities will always be at a discount to the face amount plus the maximum return.
The Securities Will Not Be Listed On Any Securities
Exchange And We Do Not Expect A Trading Market For The Securities To Develop.
The securities will not be listed or displayed
on any securities exchange 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 Index
The Maturity Payment Amount Will Depend Upon
The Performance Of The Index 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 Index. Investing in the securities is not equivalent to investing in the Index. As an investor in the securities,
your return will not reflect the return you would realize if you actually owned and held the securities included in the 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 Index would have. |
| · | Historical Levels Of The Index Should Not
Be Taken As An Indication Of The Future Performance Of The Index During The Term Of The Securities. |
| · | Changes That Affect The Index May Adversely
Affect The Value Of The Securities And The Maturity Payment Amount. |
| · | We Cannot Control Actions By Any Of The Unaffiliated
Companies Whose Securities Are Included In The Index. |
| · | We And Our Affiliates Have No Affiliation
With The Index Sponsor And Have Not Independently Verified Its Public Disclosure Of Information. |
Risks Relating To Conflicts Of Interest