[FWP] MicroSectors Energy 3x Leveraged ETNs Free Writing Prospectus

Rhea-AI Filing Summary

The Toronto-Dominion Bank (TD) is offering $5,050,000 aggregate principal of Enhanced Trigger Jump Securities with Auto-Callable Feature (Senior Debt Securities, Series H) maturing 1 July 2027. The notes are linked to the worst-performing of three equity benchmarks: the Nasdaq-100 (NDX), S&P 500 (SPX) and EURO STOXX 50 (SX5E).

Structure & key economics

• Denomination: $1,000 per security; minimum investment one security.
• No periodic coupons and no principal protection.
• Auto-call: if, on any of four scheduled determination dates before maturity, the closing level of each index is at least its initial level, TD will automatically redeem the notes for a cash amount equal to principal plus a fixed premium that equates to approximately 10.40% simple annual return. Early-redemption payments per $1,000 note: $1,104 (Jul 2026), $1,130 (Oct 2026), $1,156 (Dec 2026) and $1,182 (Apr 2027).
• Maturity payout: if not previously redeemed and every index closes at or above 75 % of its initial level on 28 Jun 2027, investors receive $1,208 per note (≈ 20.8% total).
• If the final level of any index is below its 75 % trigger, repayment equals $1,000 + ($1,000 × worst-index return), creating a 1 : 1 downside exposure that can reduce the payment to zero.
• Initial/trigger levels: NDX 22,534.20 / 16,900.65; SPX 6,173.07 / 4,629.8025; SX5E 5,325.64 / 3,994.23.
• Pricing date: 27 Jun 2025; issue date: 2 Jul 2025 (T+3 settlement). Estimated value on the pricing date: $966.10; public price: $1,000.
• Distribution costs: $20 sales commission + $5 structuring fee per note; proceeds to issuer $975.
• Credit & liquidity: senior unsecured obligation of TD; not FDIC/CDIC insured; not listed on any exchange; secondary market, if any, is expected to be limited and at prices below issue price.

Risk highlights

• Investors face full principal risk if the worst index falls more than 25 % at maturity.
• Returns are capped at fixed amounts; investors do not participate in any index upside beyond the stated premiums.
• Worst-of structure increases likelihood of loss because a single underperforming index drives outcomes.
• The notes’ estimated value is 3.4 % below issue price, reflecting distribution and hedging costs.
• No interim interest, dividend entitlement or listing; early redemption may occur when reinvestment opportunities are uncertain.
• All payments depend on TD’s creditworthiness.

The securities target investors who can tolerate equity-like downside, limited upside and illiquidity in exchange for the potential of ~10.40 % simple annualized returns if all three indices meet predefined thresholds.

Positive

• Fixed return potential of ≈10.40 % per annum if auto-call conditions are met or indices stay above 75 % at maturity.
• 25 % downside buffer mitigates moderate market declines before principal loss begins.
• Short two-year tenor offers quicker capital rotation versus longer-dated structured notes.

Negative

• Full principal at risk; investors lose 1 % for every 1 % decline beyond the 25 % buffer on the worst index.
• Worst-of structure heightens probability of loss because one index can negate positive performance of the others.
• Capped upside; maximum total return limited to 20.8 % over two years, regardless of index performance.
• Estimated value ($966.10) below issue price indicates 3.4 % initial value erosion.
• No listing or guaranteed secondary market, leading to potential illiquidity and large bid-ask spreads.
• Dependence on TD credit; default would eliminate payments.
• Early redemption reinvestment risk if auto-called before maturity.

Insights

Structured-Products Analyst

TL;DR Auto-call notes offer 10.4 % p.a. but expose investors to full downside on worst index and TD credit risk.

The product delivers equity-linked income via fixed premiums that match roughly 10.40 % simple annual return, attractive versus current short-dated yields. However, the worst-performing feature materially elevates risk: one index breaching the 75 % trigger at maturity causes a linear loss of principal, nullifying early gains. Estimated value ($966.10) versus offer price evidences a 3.4 % embedded cost, while commissions/fees total 2.5 %. Lack of listing and TD’s senior unsecured credit profile add liquidity and credit considerations. Overall, risk-reward skews negative unless the investor holds a strong conviction that all three indices will remain flat-to-moderately positive over two years.

Portfolio Risk Manager

TL;DR Market correlation, downside asymmetry and illiquidity make these notes high risk despite headline yield.

Correlation analysis suggests diversified indices rarely move in lockstep; hence probability that all stay above their initial levels on any given date is modest. The 25 % buffer offers some cushion, yet bear-market drawdowns of that magnitude are historically common over two-year windows. Auto-call creates reinvestment risk, while capped upside forfeits participation in sustained rallies. From a portfolio-construction view, the note behaves like a short worst-of put financed by selling index upside—suitable only as a small, tactical allocation for yield enhancement, not a core holding. Impact on TD stock is negligible; for investors, outcome variance is high.

NEW ISSUE: Bank of Montreal’s Market Linked Notes Linked to a Reference Asset These notes do not guarantee the return of your principal at maturity NOTE INFORMATION Bank of Montreal Issuer: $1,000 (and $1,000 increments thereafter) Minimum Investment: ELN - 4543 Issue: 06376ERM6 CUSIP: REFERENCE ASSET S&P 500 ® Index (Bloomberg symbol: SPX) Please see the following page for additional information about the terms included on this cover page, and how your investment ma y be impacted. Any capitalized term not defined herein shall have the meaning set forth in the preliminary pricing supplement to which the term sheet relates (se e h yperlink below). 1 SEC File No. 33 - 285508| July 09, 2025 This term sheet, which gives a brief summary of the terms of the notes, relates to, and should be read in conjunction with, t he pricing supplement dated July 08, 2025, the Product Supplement dated March 25, 2025, the Prospectus Supplement dated March 25, 2025, and to the Prospectus dated March 25, 2025. DATES July 30, 2025 Offering Period Closes: On or about July 30, 2025 Pricing Date: On or about August 04, 2025 Settlement Date: On or about September 01, 2026 Valuation Date: On or about September 04, 2026 Maturity Date: Approximately 13 months Term: INVESTMENT OBJECTIVE The objective of the notes is to provide clients the potential for capped leveraged participation in any upside performance o f t he Reference Asset. As such, the notes may be suitable for investors with a bullish view of the Reference Asset over the term of the notes. The performance of the notes ma y n ot be consistent with the investment objective. TERMS 100.00% Upside Leverage Factor: The closing level of the Reference Asset on the Pricing Date. Initial Level: The closing level of the Reference Asset on the Valuation Date. Final Level: If the Final Level of the Reference Asset is greater than its Initial Level and the Percentage Change of the Reference Asset multiplied by the Upside Leverage Factor is greater than or equal to the Maximum Return, the payment at maturity for each $1,000 in principal amount of the notes will equal the Maximum Redemption Amount. If the Final Level of the Reference Asset is greater than its Initial Level and the Percentage Change of the Reference Asset multiplied by the Upside Leverage Factor is less than the Maximum Return, then the amount that investors will receive at maturity for each $1,000 in principal amount of the notes will equal: $1,000 + [$1,000 x (Percentage Change of the Reference Asset x Upside Leverage Factor)] If the Final Level of the Reference Asset is less than its Initial Level but is greater than or equal to 95.00% of its Initial Level, then the amount that investors will receive at maturity for each $1,000 in principal amount of the notes will equal: $1,000 + [$1,000 x (Percentage Change of the Reference Asset)] In this case, investors will lose 1% of their principal for each 1% that the Final Level of the Reference Asset declines from its Initial Level. You may lose up to 5.00% of the principal amount of your notes. If the Final Level of the Reference Asset is less than 95.00% of its Initial Level, then the amount that investors will receive at maturity for each $1,000 in principal amount of the notes will equal $950.00. In this case, you will lose 5.00% of the principal amount of your notes. Payment at Maturity: The Percentage Change of the Reference Asset, expressed as a percentage, is calculated using the following formula: (Final Level – Initial Level) / Initial Level Percentage Change: 7.75% Maximum Return: The payment at maturity will not exceed the Maximum Redemption Amount of $1,077.50 per $1,000 in principal amount of the notes. Maximum Redemption Amount:

 

 

2 The notes will not be listed on any securities exchange. Although not obligated to do so, BMO Capital Markets Corp. (or one of its affiliates), plans to maintain a secondary market in the notes after the Settlement Date. Proceeds from a sale of notes prior to maturity may be less than the principal amount initially invested. Secondary Market: The risks summarized below are some of the most important factors to be considered prior to any purchase of the notes. Investors are urged to read all the risk factors related to the notes in the pricing supplement and the product supplement to which this term sheet relates. • Your return on the notes may result in a loss. • Your return on the notes is limited to the Maximum Redemption Amount, regardless of any appreciation in the levels of the Reference Asset. • Your return on the notes may be lower than the return on a conventional debt security of comparable maturity. • The notes are unsecured debt obligations of the Issuer and your investment is subject to the credit risk of the Issuer. • Our and our affiliates’ activities may conflict with your interests and may also adversely affect the value of the notes. • Our initial estimated value of the notes will be lower than the price to public, does not represent any future value of the notes, and may also differ from the estimated value of any other party. • The terms of the notes are not determined by reference to the credit spreads for our conventional fixed - rate debt. • The inclusion of the hedging profits, if any, in the initial price to public of the notes, as well as our hedging costs, is likely to adversely affect the price at which you can sell your notes. • You will not have any shareholder rights and will have no right to receive any securities represented by the Reference Asset at maturity. • Changes that affect the Reference Asset will affect the market value of the notes and the amount you will receive at maturity. Adjustments to the Reference Asset could adversely affect the notes. The sponsor of the Reference Asset may make adjustments, discontinue or suspend calculations or publication of the Reference Asset, or discontinue of suspend maintenance of the Reference Asset at any time. • We and our affiliates do not have any affiliation with the sponsor of the Reference Asset and are not responsible for their actions. • The notes will not be listed on any securities exchange. BMOCM may offer to purchase the notes in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. • We and our affiliates may engage in hedging and trading activities related to the notes that could adversely affect our payment to you at maturity. Selected Risk Considerations:

 

 

3 Hypothetical Calculations for the Payment at Maturity: Examples of the Hypothetical Payment at Maturity for a $1,000 Investment in the notes The following table illustrates the hypothetical payments on a note at maturity. The hypothetical payments are based on a $1,000 investment in the note, a hypothetical Initial Level of 100.00, the Maximum Return of 7.75%, the Maximum Redemption Amount of $1,077.50, and a range of hypothetical Final Levels and the effect on the payment at maturity. The hypothetical examples shown below are intended to help you understand the terms of the notes. The actual cash amount that you will receive at maturity will depend upon the Final Level of the Reference Asset. You may lose up to 5.00% of the principal amount at maturity. These examples do not give effect to any U.S. federal tax payments or brokerage commissions that you may be required to pay in connection with your purchase of the notes.

 

 

Additional Information The notes will not constitute deposits insured by the U.S. Federal Deposit Insurance Corporation or under the Canada Deposit Ins urance Corporation or by any other U.S. or Canadian governmental agency or instrumentality. The notes will not be subject to conversion into our common shares or the common shares of any of our affiliates under subsec tio n 39.2(2.3) of the Canada Deposit Insurance Corporation Act. Neither the U.S. Securities and Exchange Commission (the “SEC”), nor any state securities commission, has reviewed or approve d t hese notes, nor or otherwise passed upon the accuracy of this document, to which it relates or the accompanying product supplement , p rospectus supplement, or prospectus. Any representation to the contrary is a criminal offense. The Issuer has filed a registration statement with the SEC for the offerings to which this communication relates. Before you in vest, you should read the prospectus in that registration statement and the other documents discussed below that the Issuer has filed w ith the SEC for more complete information about the Issuer and these offerings. You may obtain these documents free of charge by visiting th e S EC’s web site at http://www.sec.gov . Alternatively, the Issuer will arrange to send to you the prospectus (as supplemented by the prospectus supplement, product supplement, and preliminary pricing supplement to which this term sheet relates) if you request it by cal lin g its agent toll - free on 1 - 877 - 369 - 5412 or emailing investor.solutions@bmo.com . The information in this term sheet is qualified in its entirety by the more detailed explanations set forth elsewhere in the Iss uer’s preliminary pricing supplement dated July 08, 2025 and the accompanying product supplement, prospectus supplement, and prospectus. Unless the context provides otherwise, capitalized terms used in this term sheet but not defined shall have the meaning assigned to them in the pricing supplement, product supplement, prospectus supplement, or prospectus, as applicable, to which this term sheet relates. Infor mat ion about retrieving these documents can be found elsewhere in this term sheet. You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website): • Preliminary Pricing Supplement dated July 08, 2025: https://www.sec.gov/Archives/edgar/data/927971/000183988225037781/bmo4543_fwp - 20523.htm • Product Supplement dated March 25, 2025: https://www.sec.gov/Archives/edgar/data/927971/000121465925004741/g324250424b2.htm • Prospectus Supplement dated March 25, 2025 and Prospectus dated March 25, 2025: https://www.sec.gov/Archives/edgar/data/927971/000119312525062081/d840917d424b5.htm • Our Central Index Key, or CIK, on the SEC website is 927971. As used in this terms sheet, the “Issuer,” “we,” “us” or “our” r efe rs to Bank of Montreal, but not its consolidated subsidiaries. This term sheet contains no description or discussion of the United States tax consequences of the acquisition, holding or di spo sition of the notes. We urge you to carefully read the section entitled “U.S. Federal Tax Information” in the accompanying pricing supplement, the section entitled “Supplemental Tax Considerations — Supplemental U.S. Federal Income Tax Considerations” in the accompanying product supplement, the section “United States Federal Income Taxation” in the accompanying prospectus and the section entitled “Cert ain Income Tax Consequences” in the accompanying prospectus supplement, in each case, to which this term sheet relates. You should consult your tax advisor about your own tax situation. 4

 

FAQ

What is the maturity date of TD's Enhanced Trigger Jump Securities?

July 1, 2027, subject to adjustment for market disruption events.

How does the auto-call feature work for TD (symbol TD) notes?

If the closing level of all three indices is at least their initial level on any of the first four determination dates, TD will redeem the note early for $1,104–$1,182 per $1,000, equating to ≈10.40 % annual return.

What happens at maturity if one index falls below 75 % of its initial value?

Investors receive $1,000 plus 1 % times the worst-index return, potentially as low as $0, resulting in up to 100 % loss of principal.

Why is the estimated value of the securities lower than the public offering price?

The $966.10 estimated value reflects TD’s internal funding rate, hedging costs and the $25 per note sales and structuring fees.

Are the TD Enhanced Trigger Jump Securities listed on an exchange?

No. The notes will not be listed; secondary market trading, if any, will be limited and at negotiated prices.

What is the downside buffer on the TD auto-call notes?

A 25 % trigger level; principal is protected only if each index remains at or above 75 % of its initial level at maturity.