MicroSectors™ Energy 3X Leveraged ETN SEC Filings

Toronto-Dominion Bank (TD) is offering 921,640 Accelerated Return Notes (Series H) linked to the SPDR S&P Biotech ETF (ticker XBI). Each note has a $10 face amount, for a total public offering size of $9.216 million. The notes price on 26 Jun 2025, settle 3 Jul 2025 and mature 28 Aug 2026, giving an effective term of roughly 14 months.

Payoff structure

• Upside: Investors receive 300% of any positive price change in XBI, subject to a maximum redemption of $12.722 per unit (27.22% capped return).
• Downside: 1-to-1 participation in any decline; principal can be completely lost if XBI falls to zero.
• No interim coupons; all cash flows occur at maturity.

Key economic terms

• Starting Value: $83.68 (XBI closing price on pricing date)
• Participation Rate: 300%
• Price Multiplier: 1
• Fees: $0.175 underwriting discount + $0.05 hedging-related charge per unit (total 2.25% of face)
• Initial estimated value: $9.818 (1.82% below issue price) based on TD’s internal models and funding rate.

Credit & liquidity considerations

• The notes are senior unsecured obligations of TD and rank equally with its other senior debt. Payments depend on TD’s creditworthiness.
• No exchange listing; BofA Securities and TD are not required to make a secondary market, so liquidity may be limited and prices may trade below intrinsic value.

Risk highlights

• Full principal at risk with sector-specific exposure; XBI concentrates in biotechnology equities.
• Return is capped, so large rallies in biotech will not be fully captured.
• The offering price exceeds the bank’s model value, reflecting distribution costs and hedging profits.
• Investors forgo dividends/distributions paid by XBI and assume tax-structure uncertainty outlined in the term sheet.

Investor profile: Suitable only for investors who expect moderate upside in biotech over 14 months, can tolerate complete principal loss, do not need current income, and are comfortable with TD credit exposure and limited liquidity.

Toronto-Dominion Bank (TD) is offering 921,640 Accelerated Return Notes (Series H) linked to the SPDR S&P Biotech ETF (ticker XBI). Each note has a $10 face amount, for a total public offering size of $9.216 million. The notes price on 26 Jun 2025, settle 3 Jul 2025 and mature 28 Aug 2026, giving an effective term of roughly 14 months.

Payoff structure

• Upside: Investors receive 300% of any positive price change in XBI, subject to a maximum redemption of $12.722 per unit (27.22% capped return).
• Downside: 1-to-1 participation in any decline; principal can be completely lost if XBI falls to zero.
• No interim coupons; all cash flows occur at maturity.

Key economic terms

• Starting Value: $83.68 (XBI closing price on pricing date)
• Participation Rate: 300%
• Price Multiplier: 1
• Fees: $0.175 underwriting discount + $0.05 hedging-related charge per unit (total 2.25% of face)
• Initial estimated value: $9.818 (1.82% below issue price) based on TD’s internal models and funding rate.

Credit & liquidity considerations

• The notes are senior unsecured obligations of TD and rank equally with its other senior debt. Payments depend on TD’s creditworthiness.
• No exchange listing; BofA Securities and TD are not required to make a secondary market, so liquidity may be limited and prices may trade below intrinsic value.

Risk highlights

• Full principal at risk with sector-specific exposure; XBI concentrates in biotechnology equities.
• Return is capped, so large rallies in biotech will not be fully captured.
• The offering price exceeds the bank’s model value, reflecting distribution costs and hedging profits.
• Investors forgo dividends/distributions paid by XBI and assume tax-structure uncertainty outlined in the term sheet.

Investor profile: Suitable only for investors who expect moderate upside in biotech over 14 months, can tolerate complete principal loss, do not need current income, and are comfortable with TD credit exposure and limited liquidity.

Barclays Bank PLC is offering $8.322 million of Autocallable Fixed Coupon Notes due July 1, 2027 linked to the worst performer of Broadcom Inc. (AVGO) common stock and Taiwan Semiconductor Manufacturing Co. Ltd. (TSM) ADRs. The securities are issued under the Global Medium-Term Notes, Series A program and are sold pursuant to a Rule 424(b)(2) prospectus supplement dated June 26, 2025.

Key commercial terms

• Coupon: fixed $33.80 per $1,000 note (13.52% p.a.) payable quarterly on eight scheduled dates from Oct 1 2025 through maturity.
• Automatic call: beginning Sept 26 2025, if the closing price of each reference asset is at or above its Initial Value on a Call Valuation Date, holders receive the $1,000 principal plus the current coupon and the notes are redeemed; no further payments accrue.
• Barrier protection: at maturity, if not previously called and the Final Value of the Least Performing asset is ≥ 60% of its Initial Value, principal is repaid; otherwise investors receive (a) cash reflecting the full negative return or (b) at the issuer’s option, a delivery of shares (and cash for fractions) of the worst performer, exposing holders to up to 100 % loss of principal.
• Initial values & barriers: AVGO $270.17 (barrier $162.10); TSM $224.01 (barrier $134.41).
• Issue price: $1,000; estimated value: $981 (1.9% below issue price).
• Fees: 1.75% selling commission ($145,635 in aggregate) yielding net proceeds of $8.176 million.
• Credit exposure: senior unsecured obligations of Barclays Bank PLC subject to U.K. bail-in powers; not FDIC-insured or guaranteed by third parties.
• Liquidity: no exchange listing; any secondary trading will be on a best-efforts basis by Barclays Capital Inc. and may be discontinued at any time.

Risk highlights

• Full downside exposure below the 60% barrier; investors may lose the entire principal.
• No participation in any upside of AVGO or TSM; return capped at the fixed coupons.
• Issuer’s physical settlement option may result in delivery of depreciated shares instead of cash.
• Estimated value is below purchase price, reflecting distribution fees, hedging costs and Barclays’ internal funding spread.
• Subject to early redemption after ~3 months, creating reinvestment uncertainty.
• Exposure to Barclays credit risk and potential write-down or conversion under U.K. bail-in regime.

The notes target investors seeking enhanced income and willing to assume equity, issuer-credit and structural risks in exchange for a 13.52% annual coupon and conditional principal protection at a 40% drawdown threshold.

Bank of Montreal (Series K) Contingent Risk Absolute Return Buffer Notes are two-year, unsecured structured notes linked to the S&P 500® Index and aimed at investors who want modest equity-linked upside with limited first-loss protection.

Key economic terms

• Pricing Date: 28 Jul 2025; Maturity: 02 Aug 2027 (≈ 2.02 years).
• Upside participation: 150 % leveraged exposure on any positive Index performance, but payments are capped at the Maximum Redemption Amount of $1,140 (14 % total / ≈6.8 % CAGR).
• Downside “buffer”: if the S&P 500® falls <=15 % (Final ≥ 85 % of Initial) investors receive a 50 % leveraged positive return on the absolute decline, up to a Maximum Downside Redemption Amount of $1,075.
• Loss exposure: if the Index declines >15 %, principal is reduced 1-for-1 beyond the buffer, exposing holders to losses of up to 85 %.
• Issue price: 100 %; Agent commission: 2.75 %; net proceeds: 97.25 %.
• Estimated initial value: $959.90 (4 % discount to issue price; may be as low as $910).
• No coupons, no listing, secondary market solely at the agent’s discretion (BMOCM).
• Credit risk: direct senior obligation of Bank of Montreal; payments depend on BMO’s ability to pay.

Investor profile: suitable for investors with a moderately bullish to range-bound view on the S&P 500® over two years who can tolerate credit risk, illiquidity, complex payoff mechanics and a hard 14 % upside cap.

Material considerations

• Pros: 1.5× upside to 14 %; 15 % first-loss buffer; limited positive return even if Index is modestly down.
• Cons: capped upside; potential 85 % principal loss; weak secondary liquidity; 4 % initial value discount; taxable treatment uncertain; 2.75 % embedded distribution costs create performance drag.

Bottom line: These notes offer structured equity exposure with partial downside protection but sharply limited upside and significant credit/liquidity risks. They may appeal to tactical investors expecting flat-to-slightly-positive S&P 500® performance, but they are not substitutes for direct index exposure or conventional bonds.

Barclays Bank PLC is offering $1.149 million of Capped Barrier Digital Plus Notes due 31-Dec-2026 linked to the common stock of PayPal Holdings, Inc. (PYPL). The notes are unsecured, unsubordinated debt and pay no coupons. At maturity investors will receive:

• If PYPL closes at or above the 70% barrier ($51.22): $1,000 plus the higher of (a) a fixed 10% digital return or (b) PYPL’s price return capped at a Maximum Return of 33.15%. The maximum redemption value is therefore $1,331.50 per $1,000.
• If PYPL closes below the barrier: delivery of 13.66680 PYPL shares (or cash equivalent), exposing holders to the full downside of the stock and potential 100% principal loss.

Key economic terms:

• Initial PYPL value: $73.17 (26-Jun-2025)
• Barrier: $51.22 (70% of initial)
• Digital percentage: 10%
• Maximum Return: 33.15%
• Issue price: 100%; estimated value: 98.7% ($987)
• Agent commission: 1.50%; net proceeds to issuer: 98.50%

Risk highlights include potential complete loss of principal if PYPL falls >30%, no interim income, limited upside, valuation and liquidity risks, U.K. bail-in power, and Barclays credit risk. The notes will not be listed, and secondary market making is discretionary.

Barclays Bank PLC is offering $1.149 million of Capped Barrier Digital Plus Notes due 31-Dec-2026 linked to the common stock of PayPal Holdings, Inc. (PYPL). The notes are unsecured, unsubordinated debt and pay no coupons. At maturity investors will receive:

• If PYPL closes at or above the 70% barrier ($51.22): $1,000 plus the higher of (a) a fixed 10% digital return or (b) PYPL’s price return capped at a Maximum Return of 33.15%. The maximum redemption value is therefore $1,331.50 per $1,000.
• If PYPL closes below the barrier: delivery of 13.66680 PYPL shares (or cash equivalent), exposing holders to the full downside of the stock and potential 100% principal loss.

Key economic terms:

• Initial PYPL value: $73.17 (26-Jun-2025)
• Barrier: $51.22 (70% of initial)
• Digital percentage: 10%
• Maximum Return: 33.15%
• Issue price: 100%; estimated value: 98.7% ($987)
• Agent commission: 1.50%; net proceeds to issuer: 98.50%

Risk highlights include potential complete loss of principal if PYPL falls >30%, no interim income, limited upside, valuation and liquidity risks, U.K. bail-in power, and Barclays credit risk. The notes will not be listed, and secondary market making is discretionary.

Bank of Montreal (BMO) is offering US$1.067 million of Senior Medium-Term Notes, Series K — Autocallable Barrier Notes with Memory Coupons due July 3, 2028. The notes are linked to the least-performing of Apple (AAPL), Amazon (AMZN) and NVIDIA (NVDA) common shares. Investors receive:

• Quarterly contingent coupons: 5.2125% per quarter (≈20.85% p.a.) if, on the relevant Observation Date, each stock closes at or above its 70% Coupon Barrier (AAPL $140.70, AMZN $151.98, NVDA $108.51). The Memory feature pays any missed coupons retroactively once the condition is next satisfied.
• Automatic redemption: Starting 30 Sep 2025, if all three stocks close at or above their 100% Call Level on any Observation Date, the notes are redeemed at par plus the coupon then due.
• Maturity payment: • If no Trigger Event (any stock < 70% of its Initial Level) occurs, principal is returned.
  • If a Trigger Event occurs, holders receive either shares of the worst-performing stock (Physical Delivery Amount) or BMO-elected cash equivalent, worth 1% less for each 1% decline below the Initial Level — up to a total loss of principal.

Key dates: Pricing Date 26 Jun 2025; Settlement 1 Jul 2025; Valuation 28 Jun 2028; Maturity 3 Jul 2028. Minimum denomination is US$1,000; the notes will not be listed on an exchange. Citigroup Global Markets is selling agent (2.0% commission). BMO’s estimated initial value is US$977.74 per US$1,000, 2.22% below the public offering price, reflecting distribution and hedging costs.

Principal risks include worst-of structure, lack of principal protection, illiquidity, potential non-payment of coupons, credit risk of BMO, and tax uncertainty. The structure limits upside to coupons; investors forego any equity appreciation.

Bank of Montreal (BMO) is offering US$2.528 million of Senior Medium-Term Notes, Series K, Autocallable Barrier Notes with Contingent Coupons that mature on July 3, 2028. The notes are unsecured and unlisted, expose investors to BMO credit risk and are linked to the worst performer among three NYSE-listed equities: Walt Disney Co. (DIS), Devon Energy Corp. (DVN) and Capital One Financial Corp. (COF).

Income profile. Investors receive a monthly Contingent Coupon of 1.2083% (≈14.5% p.a.) only if, on each Observation Date, every Reference Asset closes at or above its Coupon Barrier (50% of its initial level). Missed coupons are not recoverable.

Autocall feature. Beginning December 30, 2025, if all three stocks close at or above their respective Initial Levels (100%), the notes are automatically redeemed at par plus the scheduled coupon, ending further cash-flows.

Principal at risk. If the notes are not called and any stock finishes below its 50% Trigger Level on the June 28, 2028 Valuation Date, principal repayment is reduced 1:1 with the downside of the worst-performing stock, potentially to zero.

Key economic terms.

• Initial Levels: DIS $121.46; DVN $32.48; COF $210.51
• Coupon/Trigger/Barrier Levels: 50% of each Initial Level
• Issue price: 100% of face value; Agent commission 1.50%
• Estimated initial value: $965.74 per $1,000 (3.4% discount to offer price)
• Minimum denomination: $1,000; CUSIP 06376ELK6

Risk highlights. Investors face (1) full downside exposure below the 50% trigger, (2) uncertainty of coupon payments, (3) liquidity risk because the notes are unlisted and market-making is discretionary, (4) potential conflicts of interest as BMO and affiliates hedge and determine valuations, and (5) tax uncertainty; the notes are to be treated as prepaid contingent income-bearing derivative contracts for U.S. tax purposes.

Suitability. The structure targets yield-seeking investors who can tolerate equity risk to three specific stocks, accept potential loss of principal, and do not require secondary-market liquidity. It is not a proxy for direct equity ownership and offers no participation in stock upside above par.

JPMorgan Chase Financial Company LLC has filed a Rule 424(b)(2) pricing supplement for $7.007 million of Auto-Callable Contingent Interest Notes linked to Alphabet Inc. (GOOGL) Class A common stock, fully and unconditionally guaranteed by JPMorgan Chase & Co. The notes price on 26 June 2025, settle on or about 1 July 2025 and mature on 31 December 2026 unless called earlier.

Key structural terms

• Denomination: $1,000 (CUSIP 48136EQ73)
• Initial Value (GOOGL close 26 Jun 2025): $173.54
• Interest Barrier / Trigger Value: 64 % of Initial Value ($111.0656)
• Contingent Interest: 10.00 % p.a. (2.50 % quarterly) with a “memory” feature; payable only if the reference stock closes ≥ Interest Barrier on a Review Date.
• Automatic Call: If GOOGL closes ≥ Initial Value on any Review Date other than the final date, investors receive $1,000 plus all due coupons and the notes terminate early.
• Principal at Risk: If not called and Final Value < Trigger, repayment = $1,000 + ($1,000 × Stock Return). Investors lose 1 % of principal for every 1 % decline below Initial Value, exposing them to loss of >36 % and up to 100 %.
• Review / Payment schedule: Sept 26 2025, Dec 26 2025, Mar 26 2026, Jun 26 2026, Sept 28 2026, Dec 28 2026 (final); coupons paid five days later or at maturity.

Pricing economics

• Price to public: $1,000; Selling commissions: $15 (1.50 %); Net proceeds: $985.
• Estimated value at pricing: $978.50 (≈ 97.85 % of face), reflecting internal funding rate, hedging costs and dealer margin—highlighting a 2.15 % premium paid by investors.

Illustrative payouts

• If automatically called at first Review Date with GOOGL ≥ $173.54, total return = 2.5 %.
• If held to maturity with GOOGL ≥ Trigger and no call, maximum total coupon income = $150 (15 % over 18 months).
• If Final Value is 54 % of Initial (below Trigger), investor receives $540 (–46 % total return).

Principal risks

• Principal and coupon risk: No principal protection; coupons contingent.
• Credit risk: Payments depend on JPMorgan Financial and JPMorgan Chase & Co.
• Limited upside: Return capped at cumulative coupons; no participation in GOOGL appreciation.
• Liquidity: No exchange listing; secondary price set by JPMS and may be well below issue price.
• Valuation gap: Issue price exceeds estimated value by $21.50 per note.
• Tax: Issuer intends to treat notes as prepaid forward contracts with ordinary-income contingent coupons; tax treatment uncertain for both U.S. and non-U.S. holders.

The filing provides extensive risk disclosures, historical GOOGL price data, hypothetical scenarios and legal opinions, enabling investors to evaluate the structured note’s risk-return profile relative to direct equity or fixed-income alternatives.