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

Rhea-AI Filing Summary

Bank of Montreal (BMO) is marketing an offering of Senior Medium-Term Notes, Series K – “Autocallable Barrier Notes with Memory Coupons” – maturing 25 July 2028. The $1,000-denominated notes are linked to the least performing of three equity indices: the S&P 500® (SPX), Russell 2000® (RTY) and Nasdaq-100 Technology Sector Index (NDXT). The securities are unsecured, unsubordinated obligations of BMO and will not be listed on any exchange.

Income feature. Investors may receive a 0.825 % monthly contingent coupon (≈ 9.90 % p.a.). A coupon is paid only if each index closes on the relevant Observation Date at or above its 70 % Coupon Barrier. The “Memory Coupon” provision repays any previously missed coupons the next time all three barriers are satisfied.

Automatic call. From the 21 January 2026 Observation Date onward, if all three indices exceed their 100 % Call Level, the notes are automatically redeemed at par plus the due coupon; no further payments are made thereafter.

Maturity payoff. If the notes have not been called, principal repayment depends on the final closing levels on the 20 July 2028 Valuation Date. • If no index has closed below 70 % of its Initial Level (no “Trigger Event”), investors receive par plus the final coupon(s). • If any index breaches the Trigger, redemption equals $1,000 × (Final Level ÷ Initial Level) of the least-performing index, producing a 1 : 1 downside loss and possible total principal loss.

Pricing & fees. Public offering price is 100 % of par; agent’s commission is up to 0.60 %, leaving ≥ 99.40 % in proceeds to BMO. The estimated initial value is $973.70 per $1,000 (not less than $925), reflecting structuring and hedging costs.

Key risks highlighted include (1) full downside exposure below the 70 % Trigger, (2) the possibility of receiving no coupons, (3) early redemption risk, (4) limited secondary market liquidity, (5) credit risk of BMO, and (6) uncertain tax treatment. Investing in the notes is not equivalent to a direct investment in the underlying indices and may underperform conventional debt of similar maturity.

Positive

• High potential income: contingent coupon of 0.825 % per month (≈ 9.90 % p.a.) plus ‘memory’ feature can boost cash flow.
• Automatic call from Jan 2026: investors may recover principal early at par with accrued coupons if equity markets remain strong.
• 30 % downside buffer: principal is repaid at par provided no index falls below 70 % of its Initial Level at maturity.

Negative

• Full downside below trigger: once any index breaches the 70 % Trigger, losses mirror the decline of the worst performer, up to total loss of principal.
• Coupon uncertainty: monthly interest is forfeited whenever any index closes below its 70 % Coupon Barrier; investors could receive no income for the entire term.
• Unsecured credit exposure: payments depend solely on Bank of Montreal’s ability to pay; no FDIC or CDIC insurance.
• Liquidity risk: notes are not exchange-listed; secondary trading, if any, will be dealer-driven and at prices below issue price.
• Valuation gap: estimated initial value ($973.70) is materially below the $1,000 issue price, reflecting structuring costs and dealer margins.
• Early redemption risk: automatic call caps upside and may force reinvestment at lower yields.

Insights

Structured Products Analyst

TL;DR – High coupons but contingent; 70 % trigger exposes investors to full equity downside, making risk-adjusted appeal neutral.

The notes offer an eye-catching 9.9 % annualised coupon and a memory feature, but income depends on all three indices staying above 70 % on monthly checkpoints. Because the redemption profile is binary – par if barriers hold, steep losses if any single index breaches – investors effectively short a put on the least-performing index basket while capping upside at coupons. The 100 % call level from Jan-2026 shortens expected duration, reducing effective yield if equity markets perform well. Estimated initial value of $973.70 confirms a 2.6 % structuring cost, and the notes carry 60 bp of sales commission. For investors comfortable with multi-asset equity risk and BMO credit risk, the structure can supplement income portfolios; for most, the uncompensated tail risk tempers attractiveness.

Credit & Risk Analyst

TL;DR – Material downside, no principal protection, and unsecured BMO exposure imply risk profile skewed negative.

The product embeds significant risk relative to senior fixed-rate BMO debt. A 30 % buffer is modest given historical drawdowns of RTY and NDXT. Correlation among indices increases the probability that at least one breaches the barrier during market stress, jeopardising both coupons and capital. Liquidity is limited; BMO Capital Markets is sole dealer, and no listing exists. Credit spreads on BMO senior debt will feed directly into secondary pricing. The initial 2.6–7.5 % valuation discount (depending on final estimate) plus 60 bp commission create negative carry for early sellers. Overall impact on BMO is immaterial, but risk/return for buyers is borderline; classification: neutral to slightly negative.

NEW ISSUE: Bank of Montreal’s Buffer Enhanced Return 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 - 4558 Issue: 06376ESG8 CUSIP: REFERENCE ASSET The EURO STOXX 50® Index (Bloomberg symbol: "SX5E ") 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. 333 - 285508 | July 14, 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 preliminary pricing supplement dated July 10, 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 24, 2025 Offering Period Closes: On or about July 24, 2025 Pricing Date: On or about July 29, 2025 Settlement Date: On or about July 16, 2027 Valuation Date: On or about July 29, 2027 Maturity Date: Approximately 2 years Term: INVESTMENT OBJECTIVE The objective of the notes is to provide clients the potential for leveraged participation in any upside performance of the R efe rence Asset, while offering limited downside protection against a slight to moderate decline in the Reference Asset over the term of the notes. As such, the notes may be sui table for investors with a bullish view of the Reference Asset over the term of the notes. The performance of the notes may not be consistent with the investment objective. TERMS 127.60% Upside Leverage Factor: The closing level of the Reference Asset on the Pricing Date. Initial Level: 85% of the Initial Level Buffer Level: 15.00% Accordingly, you will receive the principal amount of your notes at maturity only if the level of the Reference Asset does not decrease by more than 15.00% over the term of the notes. If the Final Level of the Reference Asset is less than its Buffer Level, you will receive less than the principal amount of your notes at maturity and you could lose up to 85.00% of the principal amount of your notes. Buffer Percentage: The closing level of the Reference Asset on the Valuation Date. Final Level: If the Final Level of the Reference Asset is greater than or equal to 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 x Upside Leverage Factor)] If the Final Level of the Reference Asset is less than its Initial Level, but is not less than its Buffer Level, then investors will, for each $1,000 in principal amount of the notes, receive the principal amount of $1,000 and no additional return. If the Final Level of the Reference Asset is less than its Buffer 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 + Buffer Percentage)] 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 in excess of 15.00%. You may lose up to 85.00% 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: CITIGROUP GLOBAL MARKETS INC.

 

 

2 Investors in these notes could lose a substantial portion of their investment at maturity if there has been a decline in the market value of the Reference Asset and the Final Level of the Reference Asset is less than its Buffer Level. We urge you to carefully review the documents described in “Additional Information” below, including the risk factors set forth and incorporated by reference therein, prior to making an investment decision. Principal at Risk: The notes will not be listed on any securities exchange. Although not obligated to do so, Citigroup Global Markets Inc. (“Citigroup”) or one of our or their 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. • You could lose up to 85% of the principal amount of your notes. If the Final Level of the Reference Asset is less than its Buffer Level, you will lose 1% of the principal amount for each 1% that the Final Level of the Reference Asset is less than its Initial Level in excess of the Buffer Percentage. • 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, Citigroup and our and their 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. • Neither we nor Citigroup have any affiliation with the sponsor of the Reference Asset, and will not be responsible for their actions. • 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 that Reference Asset, or discontinue of suspend maintenance of that Reference Asset at any time. • The notes will not be listed on any securities exchange. Citigroup or one or more of our or their affiliates may offer to purchase the notes in the secondary market, but are 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, Citigroup and our or their affiliates may engage in hedging and trading activities related to the notes that could adversely affect our payment to you at maturity. • An investment in the notes is subject to risks associated with foreign securities markets. • An investment in the notes is subject to foreign currency exchange rate risk. 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, a hypothetical Upside Leverage Factor of 127.60%, a hypothetical Buffer Level of 85.00 (85.00% of the hypothetical Initial Level), and a range of hypothetical Final Levels and t he 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 some or a significant portion 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 10, 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 10 , 2025 : https://www.sec.gov/Archives/edgar/data/927971/000183988225038175/bmo4558_fwp - 20852.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 contingent coupon rate do the BMO Autocallable Barrier Notes pay?

If payable, the notes pay 0.825 % per month, equivalent to approximately 9.90 % per annum.

When can the notes be automatically redeemed?

Starting 21 January 2026, the notes are called at par plus coupon if all three reference indices close above their Initial Level on any monthly Observation Date.

How is principal protected at maturity?

Principal is protected only if no index closes below 70 % of its Initial Level. A breach triggers a dollar-for-dollar loss on the downside.

What is the Coupon Barrier and Trigger Level?

For each index, both the Coupon Barrier and the Trigger Level are set at 70 % of the Initial Level.

What is the estimated initial value compared with the $1,000 issue price?

BMO estimates an initial value of $973.70 per $1,000 note (not less than $925), reflecting structuring and hedging costs.

Are the notes listed on an exchange?

No. The notes will not be listed; liquidity will depend on BMO Capital Markets’ willingness to make a market.