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Registration Statement No. 333-264388
Filed under Rule 433
Subject to completion, dated May 22, 2023
Price Supplement to the Prospectus dated May 26, 2022,
the Prospectus Supplement dated May 26, 2022 and the Product Supplement dated July 22, 2022
THE DOLLAR US$ [ ]
Medium Term Senior Notes, Series I
Contingent Coupon Auto Tradable Barrier Bonds Due July 5, 2024
Linked to common stock of Capital One Financial Corporation
| · | The notes are intended for investors seeking contingent monthly periodic interest payments (as described in more detail below) as well as a return of principal if the closing level of capital One Financial Corporation common stock (the "Owner's Remedy" reference ") on any monthly Observation Date after November 2023 is greater than 100% of your Initial Level (the "Call Level"). Investors must be willing to have their bonds automatically redeemed before maturity, be willing to forego any ability to participate in the appreciation of the Reference Asset, 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 1.267% per month (approximately 15.20% per annum) if the closing level of the Reference Asset on the applicable monthly Observation Date is greater or equal to your Coupon Barrier Level. However, if the closing level of the Reference Asset is less than its CouponBarrier Level on an Observation Date, the notes will not pay the Contingent Coupon for that Observation Date. |
| · | As of November 30, 2023, if on any Observation Date the closing level of the Reference Asset is higher than its Call Level, the notes will be automatically redeemed. On the next Contingent Coupon Payment Date (the "Call Option Settlement Date"), investors will receive their principal amount plus the Contingent Coupon that would have been due. Upon redemption of the notes, investors will not receive any further payments in respect of the notes. |
| · | The notes do not guarantee any return of principal at maturity. Instead, if notes are not automatically redeemed, payment at maturity will be based on the Final Level of the Reference Asset and whether the Final Level of that Reference Asset has decreased from its Initial Level below its Activation Level on the Valuation Date ( a “Trigger Event”), as described below. |
| · | If notes are not automatically redeemed and a Trigger Event has occurred, investors will lose 1% of the principal amount for each 1% reduction in the level of the Reference Asset from its Initial Tier to its Final Tier. In such event, you will receive a delivery of shares of the Reference Asset (the “Physical Delivery Value”) or, at our option, the cash equivalent (calculated as described below, the “Cash Delivery Value”), which will be worth less than the main value. Fractions of shares included in the Physical Delivery Value will be paid in cash. |
| · | Investment in the bonds is not equivalent to a direct investment in the Reference Asset. |
| · | The notes will not be listed on any stock exchange. |
| · | All notes payments are subject to the credit risk of the Bank of Montreal. |
| · | Notes will be issued in minimum denominations of US$1,000 and integer multiples of US$1,000. |
| · | Our subsidiary, BMO Capital Markets Corp. ("BMOCM"), is the agent for this offer. See “Supplemental Distribution Plan (Conflicts of Interest)” below. |
| · | The notes will not be subject to conversion into our common stock or into the common stock of any of our affiliates pursuant to subsection 39.2(2.3) of the Deposit Insurance Corporation Act of Canada (the “CDIC Act”). |
Bonus Terms:1
| Pricing date: | May 31, 2023 | Validation date: | July 1, 2024 | |
| Settlement date: | June 05, 2023 | Due date: | July 05, 2024 |
1Expected. See “Notes Key Terms” below for additional details.
Title Specific Terms:
| With Autoliga Number | Reference Active | Heart Symbol | Initial Level | Quota Interest rate | Coupon Barrier Level | activate Level | CUSIP | Director Amount | price for Public1 | of us commission1 | proceeds to banco Montreal1 |
| 187 | Common Stock of Capital One Financial Corporation | COF | [ ] | 1.267% monthly (approximately 15.20% per year) | [ ], 72.00% of your Starting Level | [ ], 72.00% of your Starting Level | 06369NJA0 | [ ] | 100% | Up to 2.15% [ ] | At least 97.85% [ ] |
1The total of the "Agent Fee" and "Procedures for Bank of Montreal" specified above will reflect the aggregated amounts at the time Bank of Montreal establishes its hedge positions on or before the Pricing Date, which may be variable and fluctuate based on market conditions at Certain brokers who have purchased notes for sale to certain fee-based advisory accounts may waive some or all of their sales concessions, fees or commissions. . We or one of our affiliates may also pay a referral fee to certain intermediaries in connection with the distribution of the Notes.
Investing in the securities involves risks, including those described in the “Selected Risk Considerations” section beginning on page P-5 of this document, the “Additional Risk Factors Relating to Securities” section beginning on page PS-6 of the product supplement and the “ Risk Factors” beginning on page S-1 of the package insert and page 8 of the package insert.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or voided the accuracy of this document, product supplement, prospectus supplement or prospectus. Any statement to the contrary is a criminal offence. The notes will be our unsecured obligations and will not be savings accounts or deposits insured by the United States Federal Deposit Insurance Corporation, the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency or instrument or other entity.
As of the date hereof, based on the terms set forth above, the estimated initial value of the notes is $959.60 per $1,000 principal amount. The estimated initial value of the Notes on the Pricing Date may differ from this amount, but will not be less than $910.00 per $1,000 principal amount. However, as discussed in more detail below, the actual value of notes at any given time will reflect many factors and cannot be accurately predicted.
BMO CAPITAL MARKETS
Key Bonus Terms:
| Reference resource: | Common stock of Capital One Financial Corporation (symbol "COF"). See "The Benchmark Asset" below for additional information. |
| contingent coupons: | If the closing level of the Reference Asset on an Observation Date is greater than or equal to its Coupon Barrier Level, a Contingent Coupon will be paid on the Contingent Coupon Payment Date corresponding to the Contingent Interest Rate, subject to the automatic redemption feature . |
| Contingent interest rate: | 1.267% per month (approximately 15.20% per annum), if payable. Accordingly, each Contingent Coupon, if payable, will equal $12.67 per $1,000 principal amount. |
| Observation dates:1 | Three business days prior to each scheduled Contingent Coupon Payment Date. |
| contingent coupon payment Dates:1 | Interest, if due, will be paid on the 5th of each month (or, if not a business day, the following business day), commencing on July 5, 2023 and ending on the Maturity Date, subject to automatic redemption appeal. |
| Automatic redemption: | As of November 30, 2023, if on any Observation Date the closing level of the Reference Asset is higher than its Call Level, the notes will be automatically redeemed. No additional amounts will be payable to you under the Notes. |
| automatic payment Redemption: | If the notes are redeemed automatically, on the Call Option Settlement Date, investors will receive their principal amount plus the Contingent Coupon that would otherwise be due. |
| Call Settlement Date:1 | If notes are automatically redeemed, the Contingent Coupon Payment Date immediately following the corresponding Observation Date. |
| Payment on Maturity: | If the obligations are not automatically redeemed, the payment at maturity of the obligations is based on the performance of the Reference Asset. You will receive $1,000 for every $1,000 in the principal amount of the note, unless a Triggering Event has occurred. If a Trigger Event has occurred, you will receive at maturity, for every $1,000 in principal amount of your notes, a number of shares equal to the Physical Delivery Value (or, at our discretion, the Cash Delivery Value). Fractional shares will be paid in cash.The Physical Delivery 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 have occurred if the Final Level of the Reference Asset is lower than its Trigger Level on the Valuation Date. |
| Percentage change: | The quotient, expressed as a percentage, of the following formula: (Final Level - Initial Level) |
| Beginner level:2 | The close level of the Reference Asset on the Price Date. |
| Coupon Barrier Level:2 | 72.00% of the Initial Level. |
| Trigger Level:2 | 72.00% of the Initial Level. |
| Call level:2 | 100% of the Starting Level. |
| final level: | The closing level of the Reference Asset on the Valuation Date. |
| Pricing date:1 | May 31, 2023 |
| Settlement date:1 | June 05, 2023 |
| Validation date:1 | July 1, 2024 |
| Due date:1 | July 05, 2024 |
| Physical delivery quantity:2 | The number of shares of the Reference Asset is equal to $1,000 divided by the Initial Level. Fractional shares will be paid in cash. |
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| Delivery value in cash:2 | The cash value equal to the product of (1) the Physical Delivery Value and (2) the Final Tier of the Reference Asset. |
| Calculation agent: | BMOCM |
| Sales agent: | BMOCM |
1Expected and subject to the occurrence of a market disruption event as described in the accompanying product supplement. If we make changes to the Forecast Listing Date and Settlement Date, Coupon Contingent Payment Dates (and, therefore, Notice Dates and Potential Call Option Settlement Dates), the Valuation Date and Expiration Date will change to that the stated term of the notes remains approximately the same.
2As determined by the calculation agent and subject to adjustment in certain circumstances. See “Terms of General Notes: Anti-Dilution Adjustments for a Reference Asset That Is an Equity Security (Including Any ETF)” in the Product Supplement for additional information.
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Additional Terms of the Securities
You should read this document in conjunction with the Product Supplement dated 22 July 2022, the Prospectus Supplement dated 26 May 2022 and the Prospectus dated 26 May 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 material, including preliminary or indicative pricing terms, correspondence, business ideas, frameworks for implementation , sample structures, facts. information leaflets, brochures or other educational materials from us or our agent.You should carefully consider, among other things, the issues set out in Additional Risk Factors Related to Notes in the product supplement, as notes involve risks not associated with conventional debt securities. We recommend that you consult with your investment, legal, tax, accounting and other advisors before investing in the notes.
You can access these documents on the SEC's website at www.sec.gov as follows (or if that address has changed, by reviewing our records for the corresponding date on the SEC's website):
Product Supplement July 22, 2022:
https://www.sec.gov/Archives/edgar/data/927971/000121465922009102/r712220424b2.htm
Supplementary prospectus 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's website is 927971. As used in this document, "we" or "our" refers to the Bank of Montreal.
We have filed a registration statement (including a prospectus) with the SEC for the offering to which this document relates. Before investing, you should read the prospectus in this registration statement and the other documents we file with the SEC for more complete information about us and this offering. You can obtain these documents free of charge by visiting the SEC's website at http://www.sec.gov. Alternatively, we will arrange for you to mail the prospectus (supplemented by the prospectus supplement and the product supplement) upon request by calling our toll-free agent at 1-877-369-5412.
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Selected risk considerations
An investment in the notes involves significant risk. Investing in bonds is not equivalent to investing directly in the Reference Asset. These risks are explained in more detail in the “Additional Risk Factors Related to Securities” section of the Product Supplement.
Risks Related to the Structure or Characteristics of the Securities
| · | Your investment in the notes may result in a loss.— Promissory notes do not guarantee any repayment of principal. If notes are not automatically redeemed, payment at maturity will be based on final level and whether a triggering event has occurred. If the Ending Level is less than your Trigger Level, a Trigger Event will occur and you will lose 1% of the Principal Amount for every 1% that the Ending Level is less than the Starting Level. In such event, you will receive upon maturity a delivery of shares of the Reference Share or, at our option, the cash equivalent, which will be worth less than the principal amount of the notes and may be zero.As a result, you could lose your entire investment in the notes. |
| · | You may not receive any Contingent Coupons in connection with your Notes.— We will not necessarily make periodic interest payments on the bonds. If the closing level of the Reference Asset on a Observation Date is less than your Coupon Barrier Level, we will not pay you the applicable Contingency Coupon on that Observation Date. If the closing level of the Reference Asset is lower than your Coupon Barrier Level on each of the Observation Dates, we will not pay you any Contingency Coupons during the term of the securities and you will not receive a positive yield on the securities. Generally, this non-payment of any Contingent Coupons will coincide with an increased risk of losing principal on your notes. |
| · | Your notes are subject to automatic early redemption.— We will redeem the notes if the closing level of the Reference Asset on any Observation Date is higher than its Buy Level. After an automatic redemption, you will not receive any additional Contingent Coupons and may not be able to reinvest your earnings in an investment with yields comparable to bonds. Furthermore, to the extent that you can reinvest those proceeds into 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 new notes. |
| · | Your return on the notes is limited to Contingent Coupons, if any, regardless of any appreciation in the value of the Reference Asset.— You will not receive a payment at maturity in an amount greater than your principal amount plus the final Contingent Coupon, if payable. Furthermore, if the notes are automatically redeemed, you will not receive a payment greater than the principal amount plus the applicable Contingency Coupon, even if the Final Level exceeds the Redemption Level by a substantial amount. Consequently, your maximum return on the applicable securities is limited to the potential return represented by the Contingency Coupons. |
| · | Any reduction in the closing level of the Reference Asset from the Valuation Date to the Maturity Date will reduce the value of the Physical Delivery Value.— If we deliver the Physical Delivery Price on the Maturity Date instead of paying the Delivery Price in Cash, the number of shares to be delivered will be determined on the Valuation Date. The market value of the Physical Delivery Value on the Maturity Date may be less than the cash equivalent of such shares determined on the Valuation Date due to any decrease in the closing level of the Reference Asset during the period between the Valuation Valuation Date and the Expiration Date. On the other hand, if we pay the Cash Delivery Amount instead of delivering the Physical Delivery Amount on the Due Date, the Cash Delivery Amount will be determined on the Valuation Date and the payment you receive on the Due Date may be less than the market value of such shares. you would have received had we delivered those shares to you because of fluctuations in their market value during the period between the Valuation Date and the Expiration Date. |
| · | The yield on the notes may be lower than the yield on a conventional bond of comparable maturity.— The return you receive on your notes, which may be negative, may be less than the return you could earn on other investments. The notes do not provide fixed interest payments and you cannot receive any contingent coupons during the term of the note. Even if you receive one or more contingent coupons and the yield on the notes is positive, your yield may be less than the yield you would earn if you purchased a conventional senior bond from us with the same maturity or invested directly in the Reference Asset. Your investment may not reflect the full opportunity cost to you when you take into account the factors that affect the time value of money. |
| · | A higher contingent interest rate or lower coupon trigger or barrier level may reflect higher expected volatility of the underlying asset, and higher expected volatility generally indicates greater risk of loss at maturity.— The economic terms of the notes, including the contingent interest rate, coupon barrier level and trigger level, are based, in part, on the expected volatility of the underlying asset at the time the terms of the notes are set. “Volatility” refers to the frequency and magnitude of changes in the level of the Reference Asset. The greater the expected volatility of the Reference Asset on the Valuation Date, the greater the expectation from that date that the closing level of the Reference Asset could be lower than its Coupon Barrier Level on any Observation Date and that an Event Trigger may occur and, as a consequence, indicates a greater risk of not receiving a Contingent Coupon and a greater risk of loss, respectively. Other things being equal, this higher expected volatility will generally be reflected in a Contingent Interest Rate that is greater than the yield payable on our conventional debt securities of similar maturity or comparable securities and/or Trigger Level and/or Trigger Level. Coupon Barrier lower than the terms of comparable securities. Therefore, a relatively higher contingent interest rate may indicate a greater risk of loss. In addition, a relatively low trigger level and/or coupon barrier may not necessarily indicate that the notes are more likely to have principal repayments at maturity and/or contingent coupon payments. You must be willing to accept the downside market risk of the Reference Asset and the possibility of losing a significant part or all of your initial investment. |
Risks related to the reference asset
| · | Owning the notes is not the same as owning shares in the Reference Asset or a security directly linked to the Reference Asset.— The performance of your Notes will not reflect the return you would earn if you actually owned stock in the Reference Asset or a security directly related to the performance of the Reference Asset and held that investment for a similar period. Its Notes may trade very differently from the Reference Asset. Changes in the level of the Reference Asset may not result in comparable changes in the market value of its notes. Even if the level of the Reference Asset increases during the life of the notes, the pre-maturity market value of the notes may not increase at the same rate. It is also possible that the market value of the notes decreases while the level of the Reference Asset increases. In addition, dividends or other distributions paid on the Reference Asset will not be reflected in the note payable amount. |
| · | You will not have any shareholder rights and will not be entitled to receive any shares of the Reference Asset.— Unless and until we elect to deliver the shares of the Reference Asset at maturity, neither you nor any other holder or owner of the notes will have any voting rights, any rights to receive dividends or other distributions, or any other rights with respect to the Asset of reference. . |
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| · | Non-delivery of shares of the Reference Asset.— We may choose, in our sole discretion, to deliver the Physical Delivery Price or pay the Delivery Price in Cash when due. You should not invest in the notes if you want to choose between receiving cash or stock at maturity. |
| · | Single equity risk.— The level of the Reference Asset may rise or fall sharply due to factors specific to the Reference Asset and the issuer of the Reference Asset (the “Benchmark Asset Issuer”), such as stock price volatility, earnings, finance, corporate , industry and regulatory conditions. developments, changes and management decisions and other events, as well as general market factors such as general stock market levels and volatility, interest rates and political and economic conditions. We ask that you review the financial and other information periodically filed with the SEC by the Reference Asset Issuer. We are not affiliated with the Reference Asset Issuer and are not responsible for the public release of Reference Asset Issuer information, whether contained in SEC filings or otherwise. We have not performed any independent review or due diligence of the Reference Asset Issuer's SEC filings or any other publicly available information regarding the Reference Asset Issuer. |
| · | It must be based on its own assessment of the merits of an investment linked to the Reference Asset.— In the normal course of business, our affiliates may, from time to time, express opinions on expected movements at the level of the Reference Asset. One or more of our affiliates have published and may in the future publish research reports expressing opinions on the Reference Asset. However, these views are subject to change from time to time. In addition, other professionals trading in the markets related to the Reference Asset at any given time may have significantly different opinions from our affiliates. You are encouraged to obtain information about the Reference Asset from a variety of sources and should not rely on the opinions expressed by our affiliates. Neither the offer of the notes nor any opinion that our affiliates may express from time to time in the normal course of their business constitutes a recommendation as to the merits of an investment in the notes. |
General risk factors
| · | Your investment is subject to the Bank of Montreal's credit risk.— Our credit ratings and credit spreads may adversely affect the market value of the notes. Investors depend on our ability to pay amounts due on the notes and, therefore, investors are subject to our credit risk and changes in market opinion about our creditworthiness. Any reduction in our credit ratings or increase in the credit spreads charged by the market to assume our credit risk is likely to adversely affect the value of the notes. |
| · | Potential conflicts.— We and our affiliates perform a variety of functions related to issuing the notes, including acting as a calculation agent. In performing these functions, the economic interests of the Calculation Agent and our other affiliates are potentially adverse to your interests as an investor in the notes. We or one or more of our affiliates may also trade shares of the Reference Asset on a regular basis as part of our general brokerage and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for our clients. . Any of these activities could adversely affect the level of the Reference Asset and, therefore, the market value and payments of the notes. We or one or more of our affiliates may also issue or underwrite other securities or financial instruments or derivatives with returns linked or related to changes in the performance of the Reference Asset. By introducing competing products to the market in this manner, we or one or more of our affiliates could adversely affect the market value of the Notes. |
| · | Our estimated initial value of the notes will be less than the retail price.— Our initial estimated value of notes is an estimate only and is based on a number of factors. The retail price of the notes will exceed our initial estimate because costs associated with offering, structuring and hedging the notes are included in the retail price but not included in the estimate. These costs include any underwriting discounts and sales concessions, the earnings we and our affiliates expect to realize by assuming the risks of meeting our obligations under the notes, and the estimated cost of meeting those obligations. The initial estimated value of the notes may be as low as the value indicated on the face of the gift. |
| · | Our estimated initial value does not represent any future value of the notes and may also differ from any other party's estimated value.— Our initial estimated value of the notes as of the date hereof is, and will be, our estimated value as determined on the Pricing Date, derived from our internal pricing models. This value is based on market conditions and other relevant factors, including the volatility of the Reference Asset, dividend rates and interest rates. Different pricing models and assumptions may provide note values greater 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 could prove to be incorrect. After the Pricing Date, the value of the Notes may change dramatically due to changing market conditions, our creditworthiness and other factors set forth in this document and the Product Supplement. These changes are likely to affect the price, if any, at which we or BMOCM would be willing to purchase the notes from you in any secondary market transaction. Our estimated initial value does not represent a minimum price at which we or our affiliates would be willing to purchase your notes in any secondary market at any given time. |
| · | The terms of the notes are not determined by reference to 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 of credit spreads to 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. |
| · | It is likely that certain costs will adversely affect the value of the notes.— In the absence of changing market conditions, any secondary market price for the notes is likely to be lower than the retail price. This is because secondary market pricing is likely to take into account our then-current market credit spreads and because secondary market pricing is likely to exclude all or part of any underwriting discounts and sales concessions. the retail price of the Notes and this may be reflected on your account statements. In addition, any price is likely to reflect a discount to account for the costs associated with establishing or reversing any related hedging transactions, such as broker discounts, margins and other transaction costs. As a result, the price, if any, at which BMOCM or any other party would be willing to purchase the notes from you in secondary market transactions, if any, is likely to be less than the retail price. Any sales you make before the Expiration Date could result in a substantial loss to you. |
| · | Lack of liquidity.— The notes will not be listed on any stock exchange. BMOCM may offer to purchase the Notes on the secondary market, but is under no obligation to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to easily trade or sell the notes. As other dealers are unlikely to create a secondary market for the notes, the price at which you can trade the notes will likely depend on the price, if any, that the BMOCM is willing to buy the notes. |
| · | Hedging and trading activities.— We or any of our affiliates engage or may engage in hedging activities relating to the notes, including the purchase or sale of shares in the Reference Asset, futures or options relating to the Reference Asset or other derivative instruments with similar or related performance with changes in the performance of the Reference Asset. We or our affiliates may also trade the Reference Asset or instruments related to the Reference Asset from time to time. Any such trading or hedging activity on or before the Listing Date and during the life of the notes could adversely affect payments on the notes. |
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| · | Many economic and market factors will influence the value of the notes.— In addition to the level of the Benchmark Asset and interest rates on any given trading day, the value of the Notes will be affected by a range of economic and market factors that can offset or enhance each other, and are described further below. 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 intend to obtain a decision from the Internal Revenue Service or any Canadian authority regarding the tax treatment of the notes, and the Internal Revenue Service or a court of law may disagree with the tax treatment described in this document. The Internal Revenue Service has issued a notice that may affect the taxation of holders of "prepaid forward contracts" and similar instruments. Per the notice, the Internal Revenue Service and the US Treasury are actively considering whether the holder of such instruments should be required to accrue ordinary income on a current basis. While it is unclear 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. Carefully read the section titled "US Federal Tax Information". of this document, the section entitled "Supplemental Tax Considerations: Supplemental US Federal Income Tax Considerations". in the accompanying product supplement, the section titled "US Federal Income Tax." section entitled "Certain Income Tax Consequences" in the accompanying prospectus supplement. You should consult your tax adviser regarding your own tax situation. |
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Examples of the hypothetical payment at maturity of a $1,000 investment in the notes
The following table illustrates hypothetical payments on a note at maturity, assuming the notes are not automatically redeemed. Hypothetical payouts are based on a $1,000 investment in the note, a hypothetical starting level of $100.00, a hypothetical trigger level of $72.00 (72.00% of the hypothetical starting level), a hypothetical buy level of $100.00 (100.00% of the hypothetical starting level), a range of hypothetical final levels, and the effect on payment at maturity.
The hypothetical examples below are intended to help you understand the terms in the notes. If notes are not automatically redeemed, the actual amount in cash or shares you will receive at maturity will depend on the Final Tier of the Reference Asset. If notes are automatically redeemed prior to maturity, the hypothetical examples below are not relevant and you will receive on the settlement date of the applicable call, for each principal amount of $1,000, 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 paid. The only payments on your notes may be the payments, if any, due when due. The payment at maturity will not exceed the principal amount and may be significantly less.
| hypothetical final level | Express Hypothetical Final Level as a percentage of the starting level | Payment on 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 |
| $ 72,00 | 72,00% | $ 1.000,00 |
| $ 71,99 | 71,99% | $ 719,90 |
| $ 60,00 | 60,00% | $ 600,00 |
| $ 40,00 | 40,00% | $ 400,00 |
| $ 20,00 | 20,00% | $ 200,00 |
| $ 0,00 | 0,00% | $ 0,00 |
* Represents the cash value of the Physical Delivery Value on the Valuation Date. We can choose to deliver the physical delivery value or the cash delivery value. If we choose to deliver the Physical Delivery Value, the actual amount received and your total return on the notes on the Maturity Date will depend on the value of the Reference Asset on the Maturity Date.
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US federal tax information
By purchasing the notes, each holder agrees (unless the law changes, administrative order or court order to the contrary) to treat each note as a derivative contract that generates prepaid contingent revenue for income tax purposes. In the opinion of our attorney, Mayer Brown LLP, it would generally be reasonable to treat the Notes as contingent derivative contracts accruing prepaid income with respect to the Reference Asset for US federal income tax purposes. However, the US federal income tax consequences of your investment in the Notes are uncertain and the Internal Revenue Service may declare that the Notes should be taxed differently than described in the previous sentence. See the discussion in the attached product supplement under “Supplemental Tax Considerations—SupplementalU.S. Federal income tax considerations: Notes treated as an investment unit consisting of a portion of debt and a put option, as a derivative contract that generates contingent prepaid income, or as a prepaid derivative contract: Notes Treated as Prepaid Contingent Revenue - Cargo Derivatives Agreement”, 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 tax on "dividend equivalent" payments (as explained in the product supplement), if applicable, will not apply to notes issued on or after the date of this pricing supplement, unless said grades are "delta-one". instruments Based on our determination that the notes are not delta-one instruments, non-US holders (as defined in the product supplement) generally should not be subject to withholding tax on matching dividend payments, if applicable, under the notes.
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Complementary Distribution Plan (Conflicts of Interest)
BMOCM will purchase the notes from us at a purchase price that reflects the fee set out on the cover of this document. BMOCM has informed us that, as part of its distribution of the notes, it will again offer them to other intermediaries who will sell them. Each such intermediary, or each additional intermediary retained by an intermediary to whom the BMOCM reoffers the Notes, will receive a fee from the BMOCM, not to exceed the fee set out on the cover. We or one of our affiliates may also pay a referral fee to certain intermediaries in connection with the distribution of the Notes.
Certain brokers who purchase notes for sale to certain advisory accounts on a fee basis may waive some or all of their sales concessions, fees or commissions. The tender offer price for investors who purchase the notes in these accounts may be less than 100% of the principal amount, as set forth on the cover of this document. The investment adviser or manager of that account may charge fees to investors who hold their notes in those accounts based on the number of assets held in those accounts, including the notes.
We will deliver the notes no later than two business days after the pricing date. According to Rule 15c6-1 of the Stock Exchange Law of 1934, as amended (the "Stock Exchange Law"), operations in the secondary market generally must be liquidated within two working days, unless the parts of this operation are expressly agreed the opposite. Consequently, buyers wishing to trade the notes more than two business days before the date of issuance will need to specify alternative settlement arrangements to avoid settlement failure.
We own, directly or indirectly, all outstanding shares of BMOCM, the agent for this offering. Pursuant to FINRA Rule 5121, BMOCM cannot make sales under this offer to any of its discretionary accounts without prior written approval from the customer.
We reserve the right to withdraw, cancel or modify the offer of notes and to reject orders in whole or in part. You may cancel any order for the Notes prior to acceptance.
You should not construe the offer of the notes as a recommendation as to the merits of purchasing an investment linked to the Reference Asset or the suitability of an investment in the notes.
BMOCM may, but is not obliged to, market the Notes. The BMOCM will determine the secondary market prices it is willing to offer at its sole discretion.
We may use the final price supplement related to the notes in the initial sale of the notes. In addition, BMOCM or another of our affiliates may use the final price supplement in market transactions on any note after its initial sale. Unless BMOCM or we inform you otherwise in the sales confirmation, BMOCM is using the final price surcharge in a market-making transaction.
During a period of approximately three months after the notes are issued, the price, if any, at which we or our affiliates would be willing to purchase the notes from investors, and the value that the BMOCM may also publish for the notes through a or more providers of financial information and which may be indicated for the Notes on any brokerage account statement, will reflect a temporary upward adjustment to our estimated value of the Notes that would otherwise have been determined and applied at that time. This temporary upward adjustment represents a portion of (a) the coverage gain we or our affiliates expect to realize during the term of the notes and (b) any subscription discounts and sales rebates paid in connection with this offer. The value of this temporary upward adjustment will be reduced linearly to zero over the three month period.
The Notes and the related offer to buy the Notes and sell the Notes in accordance with the terms and conditions set forth herein do not constitute an offer to the public in any jurisdiction outside of the relevant US jurisdiction. The notes are not and will not be registered with any stock exchange or registry located outside the United States and have not been registered with any banking or securities regulatory authority outside the United States. The contents of this document have not been reviewed or approved by any banking or securities regulatory authority outside the United States. Any person wishing to purchase the Notes outside of the United States should seek legal advice or advice regarding the relevant requirements for purchasing 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 commented on or approved the accuracy or adequacy of this document. This pricing supplement and related documents shall not constitute an offer, solicitation or solicitation to any member of the public in the British Virgin Islands for the purposes of the British Virgin Islands Securities and Investments Act 2010.
Cayman Islands.Pursuant to the Cayman Islands Companies Act (as amended), no invitation may be extended to the public in the Cayman Islands to subscribe to the notes by or on behalf of the issuer, unless at the time of such invitation the issuer is listed in the Cayman Islands Islands. Island Stock Exchange. The issuer is not currently listed on the Cayman Islands Stock Exchange and therefore the issuer (or any broker on its behalf) must not make any invitations to the public in the Cayman Islands. No such invitation is extended to the public in the Cayman Islands.
Dominican Republic.Nothing in this price supplement constitutes an offer of securities for sale in the Dominican Republic. The securities have not been and will not be registered with the Superintendencia do Mercado de Valores of the Dominican Republic (Superintendencia do Mercado de Valores), pursuant to Dominican Securities Market Law No. 249-17 (“Securities Law 249-17”) , and the securities may not be offered or sold within the Dominican Republic to, or for the account or benefit of, Dominican persons (as defined in Securities Law 249-17 and its regulations). Failure to comply with these guidelines may result in violation of Securities Act 249-17 and its regulations.
Israel.This price supplement is intended exclusively for investors listed in the First Supplement to the Securities Act of Israel 1968, as amended. No prospectus has been prepared or filed, and will not be prepared or filed, in Israel in connection with the notes provided below. The notes may not be resold in Israel, except to investors listed in the First Supplement to the Securities Act of Israel 1968, as amended.
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No action will be taken in Israel to permit the offering of the notes or the distribution of any offering documents 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 a recipient in Israel may not be reproduced or used for any other purpose, or given to anyone other than the person to whom copies were provided directly by us or sales agents.
Nothing in this price supplement or any other offering material relating to the notes should be construed as a recommendation or advice, including investment advice or investment marketing under the Investment Advice, Investment Marketing and Investment Portfolio Management Regulation Act. 1995, to buy any note. The purchase of any notes shall be based on the investor's own understanding, for the investor's own benefit and for the investor's own account and not with the purpose or intent of distributing or offering to other parties. By purchasing the notes, each investor represents that he or she has the knowledge, expertise and experience in financial and business matters to be able to assess the risks and merits of an investment in the notes, without relying on any of the materials provided.
Mexico.The notes are not registered with the National Securities Registry maintained by Mexico's National Banking and Values Commission and may not be publicly offered or sold in Mexico. This pricing supplement and related documents may not be publicly distributed in Mexico. The bonds can only be placed in a private offer under the terms of article 8 of the Securities Market Law.
Swiss.The bonds cannot be distributed to retail investors in Switzerland. This price supplement must not be sent, copied or made available to anyone else in Switzerland, and the notes may not be offered for sale to anyone in Switzerland, except in accordance with Swiss law.
The notes are not offered, sold or advertised, directly or indirectly, in, to or from Switzerland on the basis of a public offering and will not be listed on the SIX Swiss Exchange or any other regulated offering or trading center in Switzerland. Consequently, neither this price supplement nor any other marketing material constitutes a prospectus as defined in article 652a or article 1156 of the Swiss Code of Obligations or a listing prospectus as defined in article 32 of the Listing Rules of the SIX Swiss Exchange or any other Center regulated trading. In Switzerland. Any sale or resale of the securities may only be made privately to individual investors selected in accordance with Swiss law. By accepting this price supplement or purchasing the notes, investors are deemed to be aware of and agree to abide by these restrictions.
The notes may also be sold in the following jurisdictions, provided that, in each case, sales are made in accordance with all applicable laws in such jurisdiction:
| · | barbados |
| · | Bermuda Islands |
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Additional Information on the Estimated Initial Value of the Securities
Our estimated initial value of the notes on this date, and to be established in light of the final price supplement relating to the notes, is equal to the sum of the values of the following hypothetical components:
| · | a component of fixed-income debt with the same maturity as the notes, valued using our internal funding rate for structured notes; It is |
| · | one or more derivative transactions relating to the economic terms of the notes. |
The domestic borrowing rate used in determining the estimated initial value generally represents a discount of 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 other data including 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 market conditions on the Pricing Date.
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the reference resource
We derived the following information from publicly available documents. We have not independently verified the accuracy or completeness of the information below. We are not affiliated with the Reference Assets Issuer and the Reference Assets Issuer will have no obligations with respect to the Notes. This document only refers to the notes and does not refer to the Reference Asset shares. Neither we nor any of our affiliates are involved in the preparation of the publicly available documents described below. Neither we nor any of our affiliates have performed any due diligence investigations with respect to the Reference Asset in connection with the offering of the notes. There can be no guarantees that all events occurring prior to this date, including events that may affect the accuracy or completeness of the publicly available documents described below and that may affect the listing price of the Reference Asset's shares, have been or will be publicly disclosed. Subsequent disclosure of any event or the disclosure or non-disclosure of material future events relating to the Reference Asset may affect the share price of the Reference Asset on each Observation Date and on the Valuation Date and, therefore, may affect the payments of the grades.
The choice of the Reference Asset does not constitute a recommendation to buy or sell shares of the Reference Asset. Neither we nor any of our affiliates make any representation to you as to the performance of the Reference Asset's shares. Information furnished or filed with the SEC pursuant to the Stock Exchange and Investment Company Act of 1940 in connection with the Reference Asset may be obtained through the SEC's website athttp://www.sec.gov.
We encourage you to review recent levels of the Benchmark Asset before making an investment decision regarding the grades.
Capital One Financial Corporation is a financial services holding company. Information filed by the company with the SEC can be located by reference to its SEC file number: 001-13300, or its CIK code: 0000927628. Its common stock is listed on the New York Stock Exchange under the symbol "COF".
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