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—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to Advanced Micro Devices, Inc. due May 29, 2024
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—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to Advanced Micro Devices, Inc. due May 29, 2024
The securities are not appropriate for all investors.
The securities may be an appropriate investment for investors who:
| n | seek a contingent fixed return of 14% of the
face amount if the ending price is greater than or equal to the threshold price; |
| n | are willing to accept the risk that, if the ending
price is less than the starting price by more than 40%, they will be fully exposed to the decrease in the price of the Underlying Stock
from the starting price, and will lose more than 40%, and possibly all, of the face amount per security at maturity; |
| n | understand and are willing to accept the full downside risks of the Underlying
Stock; |
| n | understand that any positive return they will
receive at maturity will be limited to the contingent fixed return, regardless of the extent to which the ending price exceeds the starting
price; |
| n | are willing to forgo interest payments on the
securities and dividends on the Underlying Stock; and |
| n | are willing to hold the securities until maturity. |
The securities may not be an appropriate investment
for investors who:
| n | seek a liquid investment or are unable or unwilling
to hold the securities to maturity; |
| n | are unwilling to accept the risk that the ending
price of the Underlying Stock may decrease from the starting price by more than 40%; |
| n | seek full return of the face amount of the securities
at stated maturity; |
| n | 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 of this document; |
| n | seek current income over the term of the securities; |
| n | are unwilling to accept the risk of exposure
to the Underlying Stock; |
| n | seek exposure to the Underlying Stock but are
unwilling to accept the risk/return trade-offs inherent in the maturity payment amount for the securities; |
| n | are unwilling to accept the credit risk of Bank
of Montreal to obtain exposure to the Underlying Stock generally; or |
| n | 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 Underlying Stock, please see the section titled “The Underlying
Stock” below.
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to Advanced Micro Devices, Inc. due May 29, 2024
Determining Payment at Stated Maturity |
![](https://content.edgar-online.com/edgar_conv_img/2023/05/19/0001214659-23-007593_chart_prs7.jpg)
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to Advanced Micro Devices, Inc. due May 29, 2024
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 Price Is Less Than The Threshold
Price, You Will Lose More Than 40%, And Possibly All, 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 price of
the Underlying Stock relative to the starting price and the other terms of the securities. Because the price of the Underlying Stock 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 price is less than the threshold
price, the maturity payment amount will be less than the face amount and you will have full downside exposure to the decrease in the price
of the Underlying Stock from the starting price. The threshold price is 60% of the starting price. For example, if the Underlying Stock
has declined by 40.1% from the starting price to the ending price, you will not receive any benefit of the contingent downside feature
and you will lose 40.1% of the face amount per security. As a result, you will not receive any contingent downside protection if the ending
price is less than the threshold price and you will lose more than 40%, and possibly all, of the face amount per security at maturity.
This is the case even if the price of the Underlying Stock is greater than or equal to the starting price or the threshold price at certain
times during the term of the securities.
You Will Receive The Contingent Fixed Return Only If The Ending Price
Is Greater Than Or Equal To The Threshold Price.
You will receive the contingent fixed return only if the ending price
is greater than or equal to the threshold price. If the ending price is less than the threshold price, then you will not receive the contingent
fixed return, and you will suffer a loss on the securities.
The Potential Return On The Securities Is Limited To The Contingent
Fixed Return.
The potential return on the securities is limited
to the contingent fixed return, regardless of how significantly the ending price exceeds the starting price. The Underlying Stock could
appreciate from the pricing date through the calculation day by significantly more than the percentage represented by the contingent fixed
return, in which case an investment in the securities will underperform a hypothetical alternative investment providing a 1-to-1 return
based on the performance of the Underlying Stock. In addition, you will not receive the value of dividends or other distributions paid
with respect to the Underlying Stock.
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."
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 the Underlying Stock 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 an investment in 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 an investment
in 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 “United States Federal Income Taxation”
in the accompanying prospectus and the section entitled “Certain Income Tax Consequences — United States Federal Income Taxation”
in the accompanying product supplement. You should consult your tax advisor about your own tax situation.
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to Advanced Micro Devices, Inc. due May 29, 2024
For a discussion of the Canadian federal income
tax consequences of investing in the securities, please read the section entitled “Certain Income Tax Consequences — Certain
Canadian Income Tax Considerations” 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 Underlying Stock, dividend rates and interest rates. Different pricing models and assumptions,
including those used by the agent, its affiliates or other market participants, could provide values for the securities that are greater
than or less than our initial estimated value. In addition, market conditions and other relevant factors after the pricing date are expected
to change, possibly rapidly, and our assumptions may prove to be incorrect. After the pricing date, the value of the securities could
change dramatically due to changes in market conditions, our creditworthiness, and the other factors set forth in this pricing supplement.
These changes are likely to impact the price, if any, at which WFS or its affiliates or any other party (including us or our affiliates)
would be willing to purchase the securities from you in any secondary market transactions. Our initial estimated value does not represent
a minimum price at which WFS or any other party (including us or our affiliates) would be willing to buy your securities in any secondary
market at any time.
WFS has advised us that if it, WFA or any of their
affiliates makes a secondary market in the securities at any time, the secondary market price offered by it, WFA or any of their affiliates
will be affected by changes in market conditions and other factors described in the next risk factor. WFS has advised us that if it, WFA
or any of their affiliates makes a secondary market in the securities at any time up to the issue date or during the 3-month period following
the issue date, the secondary market price offered by it, WFA or any of its affiliates will be increased by an amount reflecting a portion
of the costs associated with selling, structuring and hedging the securities that are included in their original offering price. Because
this portion of the costs is not fully deducted upon issuance, WFS has advised us that any secondary market price it, WFA or any of their
affiliates offers during this period will be higher than it otherwise would be after this period, as any secondary market price offered
after this period will reflect the full deduction of the costs as described above. WFS has advised us that the amount of this increase
in the secondary market price will decline steadily to zero over this 3-month period. WFS has advised us that, if you hold the securities
through an account with WFS, WFA or any of their affiliates, WFS expects that this increase will also be reflected in the value indicated
for the securities on your brokerage account statement. If you hold your securities through an account at a broker-dealer other than WFS,
WFA or any of their affiliates, the value of the securities on your brokerage account statement may be different than if you held your
securities at WFS, WFA or any of their affiliates.
The Value Of The Securities Prior To Stated
Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
The value of the securities prior to stated maturity will be affected
by the then-current price of the Underlying Stock, 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 Underlying Stock; interest rates; volatility of the
Underlying Stock; time remaining to maturity; and dividend yields on the Underlying Stock. 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. We anticipate that the value of the securities will always be at a discount to the face amount plus the contingent fixed
return.
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to Advanced Micro Devices, Inc. due May 29, 2024
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 price of the Underlying Stock. Because numerous factors are expected
to affect the value of the securities, changes in the price of the Underlying Stock may not result in a comparable change in the value
of the securities.
The Securities Will Not Be Listed On Any Securities
Exchange And We Do Not Expect A Trading Market For The Securities To Develop.
The securities will not be listed or displayed
on any securities exchange 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 Underlying Stock
The Securities Will Be Subject To Single Stock
Risk.
The price of the Underlying Stock can rise or fall
sharply due to factors specific to that Underlying Stock and its issuer (the “Underlying Stock Issuer”), such as stock
price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and
other events, as well as general market factors, such as general stock market volatility and prices, interest rates and economic and political
conditions.
Any Payment At Stated Maturity Will Depend Upon
The Performance Of The Underlying Stock 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 Underlying Stock. Investing in the securities is not equivalent to investing in the Underlying Stock. As an investor
in the securities, your return will not reflect the return you would realize if you actually owned and held the Underlying Stock 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 the Underlying Stock. As a holder of the securities, you will not have any voting rights or any other rights that holders of the Underlying
Stock would have. |
| · | Historical Prices Of The Underlying Stock
Should Not Be Taken As An Indication Of Its Future Performance During The Term Of The Securities. |
| · | The Securities May Become Linked To The Common
Stock Of A Company Other Than The Original Underlying Stock Issuer. |
| · | We, The Agent And Our Respective Affiliates
Cannot Control Actions By The Underlying Stock Issuer. |
| · | We, The Agent And Our Respective Affiliates
Have No Affiliation With The Underlying Stock Issuer And Have Not Independently Verified Its Public Disclosure Of Information. |
| · | You Have Limited Anti-dilution Protection. |
Risks Relating To Conflicts Of Interest
Our Economic Interests And Those Of Any Dealer
Participating In The Offering Are Potentially Adverse To Your Interests.
You should be aware of the following ways in which
our economic interests and those of any dealer participating in the distribution of the securities, which we refer to as a "participating
dealer," are potentially adverse to your interests as an investor in the securities. In engaging in certain of the activities
described below and as discussed in more detail in the accompanying product supplement, our affiliates or any participating dealer or
its affiliates may take actions that may adversely affect the value of and your return on the securities, and in so doing they will have
no obligation to consider your interests as an investor in the securities. Our affiliates or any participating dealer or its affiliates
may realize a profit from these activities even if investors do not receive a favorable investment return on the securities.
| · | The calculation agent is our affiliate
and may be required to make discretionary judgments that affect the return you receive on the securities. BMOCM, which is our
affiliate, will be the calculation agent for the securities. As calculation agent, BMOCM will determine any values of the Underlying Stock
and make any other determinations necessary to calculate any payments on the securities. In making these determinations, BMOCM may be
required to make discretionary judgments that may adversely affect any payments on the securities. See the sections entitled "General
Terms of the Securities— Certain Terms for Securities Linked to an Underlying Stock—Market Disruption Events" and "—Adjustment
Events" in the accompanying product supplement. In making these discretionary judgments, the fact that BMOCM is our affiliate may
cause it to have economic interests that are adverse to your interests as an investor in the securities, and BMOCM's determinations as
calculation agent may adversely affect your return on the securities. |
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to Advanced Micro Devices, Inc. due May 29, 2024
| · | The estimated value of the securities was
calculated by us and is therefore not an independent third-party valuation. |
| · | Research reports by our affiliates or any
participating dealer or its affiliates may be inconsistent with an investment in the securities and may adversely affect the price of
the Underlying Stock. |
| · | Business activities of our affiliates or
any participating dealer or its affiliates with the Underlying Stock Issuer may adversely affect the price of the Underlying Stock. |
| · | Hedging activities by our affiliates or
any participating dealer or its affiliates may adversely affect the price of the Underlying Stock. |
| · | Trading activities by our affiliates or
any participating dealer or its affiliates may adversely affect the price of the Underlying Stock. |
| · | A participating dealer or its affiliates
may realize hedging profits projected by its proprietary pricing models in addition to any selling concession and/or fee, creating a further
incentive for the participating dealer to sell the securities to you. |
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to Advanced Micro Devices, Inc. due May 29, 2024
Hypothetical Examples and Returns |
The payout profile, return table and examples below
illustrate the maturity payment amount for a $1,000 face amount security on a hypothetical offering of securities under various scenarios,
with the assumptions set forth in the table below. The terms used for purposes of these hypothetical examples do not represent the actual
starting price or threshold price. The hypothetical starting price of $100.00 has been chosen for illustrative purposes only and does
not represent the actual starting price. The actual starting price and threshold price are set forth under "Terms of the Securities"
above in the final pricing supplement. For historical data regarding the actual closing prices of the Underlying Stock, see the historical
information set forth herein. The payout profile, return table and examples below assume that an investor purchases the securities for
$1,000 per security. These examples are for purposes of illustration only and the values used in the examples may have been rounded for
ease of analysis.
Contingent Fixed Return: |
14% of the face amount ($140.00 per security) |
Hypothetical Starting Price: |
$100.00 |
Hypothetical Threshold Price: |
$60.00 (60% of the hypothetical starting price) |
Hypothetical Payout Profile
![](https://content.edgar-online.com/edgar_conv_img/2023/05/19/0001214659-23-007593_chart_prs12.jpg)
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to Advanced Micro Devices, Inc. due May 29, 2024
Hypothetical Returns
Hypothetical
ending price |
Hypothetical
underlying stock return(1) |
Hypothetical
maturity payment
amount per security |
Hypothetical
pre-tax total
rate of return(2) |
$200.00 |
100.00% |
$1,140.00 |
14.00% |
$175.00 |
75.00% |
$1,140.00 |
14.00% |
$150.00 |
50.00% |
$1,140.00 |
14.00% |
$140.00 |
40.00% |
$1,140.00 |
14.00% |
$130.00 |
30.00% |
$1,140.00 |
14.00% |
$120.00 |
20.00% |
$1,140.00 |
14.00% |
$110.00 |
10.00% |
$1,140.00 |
14.00% |
$105.00 |
5.00% |
$1,140.00 |
14.00% |
$100.00 |
0.00% |
$1,140.00 |
14.00% |
$90.00 |
-10.00% |
$1,140.00 |
14.00% |
$80.00 |
-20.00% |
$1,140.00 |
14.00% |
$70.00 |
-30.00% |
$1,140.00 |
14.00% |
$60.00 |
-40.00% |
$1,140.00 |
14.00% |
$59.00 |
-41.00% |
$590.00 |
-41.00% |
$50.00 |
-50.00% |
$500.00 |
-50.00% |
$25.00 |
-75.00% |
$250.00 |
-75.00% |
$0.00 |
-100.00% |
$0.00 |
-100.00% |
| (1) | The underlying stock return is equal to the percentage change from the starting price to the ending price
(i.e., the ending price minus the starting price, divided by the starting price). |
| (2) | The hypothetical pre-tax total rate of return is the number, expressed as a percentage, that results from
comparing the maturity payment amount per security to the face amount of $1,000. |
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to Advanced Micro Devices, Inc. due May 29, 2024
Hypothetical Examples
Example 1. The maturity payment amount
is greater than the face amount and reflects a return equal to the contingent fixed return, which is greater than the percentage increase
in the price of the underlying stock from the hypothetical starting price to the hypothetical ending price:
|
The Underlying Stock |
Hypothetical starting price: |
$100.00 |
Hypothetical ending price: |
$110.00 |
Hypothetical threshold price: |
$60.00 |
Hypothetical underlying stock return
(ending price – starting price)/starting price: |
10.00% |
Because the hypothetical ending price
is greater than the hypothetical threshold price, the maturity payment amount per security would be equal to the face amount of $1,000
plus the contingent fixed return.
On the stated maturity date you would receive $1,140.00
per security.
Example 2. The maturity payment amount is greater
than the face amount and reflects a return equal to the contingent fixed return, which is less than the percentage increase in the price
of the underlying stock from the hypothetical starting price to the hypothetical ending price:
|
The Underlying Stock |
Hypothetical starting price: |
$100.00 |
Hypothetical ending price: |
$175.00 |
Hypothetical threshold price: |
$60.00 |
Hypothetical underlying stock return
(ending price – starting price)/starting price: |
75.00% |
Because the hypothetical ending price
is greater than the hypothetical threshold price, the maturity payment amount per security would be equal to the face amount of $1,000
plus the contingent fixed return. Even though the Underlying Stock increased by 75% from the starting price to the ending price in this
example, your return is limited to the contingent fixed return of 14%.
On the stated maturity date you would receive $1,140.00
per security.
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to Advanced Micro Devices, Inc. due May 29, 2024
Example 3. The ending price is less than the
starting price but is greater than the threshold price, and the maturity payment amount is greater than the face amount:
|
The Underlying Stock |
Hypothetical starting price: |
$100.00 |
Hypothetical ending price: |
$90.00 |
Hypothetical threshold price: |
$60.00 |
Hypothetical underlying stock return
(ending price – starting price)/starting price: |
-10.00% |
Because the hypothetical ending price
is less than the hypothetical starting price, but is not less than the hypothetical threshold price, the maturity payment amount per security
would be equal to the face amount of $1,000 plus the contingent fixed return.
On the stated maturity date you would receive $1,140.00
per security.
Example 4. The ending price is less than the
threshold price, and the maturity payment amount is less than the face amount:
|
The Underlying Stock |
Hypothetical starting price: |
$100.00 |
Hypothetical ending price: |
$50.00 |
Hypothetical threshold price: |
$60.00 |
Hypothetical underlying stock return
(ending price – starting price)/starting price: |
-50.00% |
Because the hypothetical ending price
is less than the hypothetical starting price by more than 40%, you would lose a portion of the face amount of your securities and receive
a maturity payment amount per security equal to:
$1,000 + ($1,000
× underlying stock return)
$1,000 + ($1,000
× -50.00%)
=$500.00
On the stated maturity date you would receive $500.00
per security. As this example illustrates, if the Underlying Stock depreciates by more than 40% from the starting price to the ending
price, you will incur a loss on the securities at maturity.
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to Advanced Micro Devices, Inc. due May 29, 2024
According to publicly available information, Advanced Micro Devices,
Inc. produces semiconductor products and devices. The company offers products such as microprocessors, embedded microprocessors, chipsets,
graphics, video and multimedia products. The company also provides assembling, testing and packaging services. Information filed by Advanced
Micro Devices, Inc. with the SEC can be located by reference to its SEC file number: 001-07882, or its CIK Code: 0000002488. Advanced
Micro Devices, Inc.’s common stock is traded on the Nasdaq Global Select Market under the ticker symbol “AMD”.
Historical Information
We obtained the closing prices of the Underlying Stock in the graph
below from Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical
prices below may have been adjusted by Bloomberg to reflect any stock splits, reverse stock splits or other corporate transactions.
The following graph sets forth daily closing prices of the Underlying
Stock for the period from January 1, 2018 to May 17, 2023. The closing price of the Underlying Stock on May 17, 2023 was $103.75. The
historical performance of the Underlying Stock should not be taken as an indication of its future performance during the term of the securities.
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to Advanced Micro Devices, Inc. due May 29, 2024