Amendment No. 4 dated January 9, 2024 to the Pricing Supplement dated December 4, 2023 to the Product Supplement dated December 4, 2023, the Prospectus dated May 26, 2022 and the Series I Senior Medium-Term Notes Prospectus Supplement dated May 26, 2022

This pricing supplement relates to the MAX S&P 500^® 4X Leveraged ETNs due November 30, 2043 (the “notes”) that Bank of Montreal may issue from time to time. The return on the notes is linked to a four times leveraged participation in the daily performance of the S&P 500^® Total Return Index (the “Index”), which is described in this pricing supplement. The Index is a total return index, meaning that the level of the Index reflects both movements in stock prices and the reinvestment of dividend income.

On January 9, 2024, the closing price of the notes on the NYSE Arca was $28.39 per note, and the closing Indicative Note Value per note was $28.41.

The notes do not guarantee any return of principal at maturity, call or upon early redemption. Instead, you will receive a cash payment in U.S. dollars at maturity, a call by us or redemption at your option, based on a daily resetting four times leveraged participation in the performance of the Index, less the Daily Investor Fee, the Daily Financing Charge and, upon early redemption, the Redemption Fee Amount (each as described below). We discuss in more detail below how the payments on the notes will be calculated. Because these various fees may substantially reduce the amount of your investment at maturity, call or upon redemption, or if you sell your notes, the level of the Index must increase significantly in order for you to receive at least the principal amount of your investment at maturity, call or upon redemption, or if you sell your notes. You may lose some or all of your principal. Please see the “Summary” section below for important information relating to the terms and conditions of the notes.

The notes are intended to be daily trading tools for sophisticated investors to manage daily trading risks as part of an overall diversified portfolio. They are designed to achieve their stated investment objectives on a daily basis. The notes are designed to reflect a 4x leveraged long exposure to the performance of the Index on a daily basis (as described below), before taking into account the negative effect of the Daily Investor Fee, the Daily Financing Charge and the Redemption Fee Amount, if applicable. However, due to the daily resetting leverage, the returns on the notes over different periods of time can, and most likely will, differ significantly from four times the return on a direct long investment in the Index. Their performance over longer periods of time can differ significantly from their stated daily objectives. The notes are riskier than securities that have intermediate- or long-term investment objectives, and are not suitable for investors who plan to hold them for a period other than one day or who have a “buy and hold” strategy. Accordingly, the notes should be purchased only by knowledgeable investors who understand the risks of investing in the notes and of seeking compounding leveraged investment results linked to the Index. Investors should actively and continuously monitor their investments in the notes, even intra-day. It is possible that you will suffer significant losses in the notes even if the long-term performance of the Index is positive. You should proceed with extreme caution in considering an investment in the notes. Any payment on the notes is subject to the credit risk of Bank of Montreal.

The notes are unsecured and unsubordinated obligations of Bank of Montreal. Each note has a principal amount of $25. The notes do not bear interest. The notes are listed on the NYSE Arca, Inc., under the ticker symbol “XXXX.” The notes initially settled on December 7, 2023. The Daily Investor Fee (based on a rate of 0.95% per annum) and the Daily Financing Charge (which is based on the Federal Reserve Bank Prime Loan Rate (as defined below) plus an amount that will initially be 2.00%, but which may be increased to up to 4.00% per annum) are deducted from the closing indicative value on a daily basis. If you elect for us to redeem your notes, your payment may be subject to the Redemption Fee Amount of 0.125%.

An investment in the notes involves significant risks and is not appropriate for every investor. Investors should regularly monitor their holdings of the notes to ensure that they remain consistent with their investment strategies. Any payment on the notes is subject to the credit risk of Bank of Montreal.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement, the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.

Investing in the notes involves risks, including those described in the “Risk Factors” section beginning on page PS- 12 of this pricing supplement, and the “Risk Factors” sections beginning on page PS-8 of the product supplement, page S-1 of the prospectus supplement and on page 8 of the prospectus.

The notes are our unsecured obligations and will not be savings accounts or deposits that are insured by the United States Federal Deposit Insurance Corporation, the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency or instrumentality or other entity.

You should read this pricing supplement together with the product supplement ETN 4x dated December 4, 2023, the prospectus supplement dated May 26, 2022 and the prospectus dated May 26, 2022. This pricing supplement, 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 materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours or the agent. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes. The contents of any website referred to in this pricing supplement are not incorporated by reference in this pricing supplement, the accompanying product supplement, prospectus supplement or prospectus.

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):

Our Central Index Key, or CIK, on the SEC website is 927971. As used in this pricing supplement, “we,” “us” or “our” refers to Bank of Montreal.

The notes described in this pricing supplement are not appropriate for all investors, and involve important legal and tax consequences and investment risks, which should be discussed with your professional advisers. You should be aware that the regulations of the Financial Industry Regulatory Authority, Inc., or FINRA, and the laws of certain jurisdictions (including regulations and laws that require brokers to ensure that investments are suitable for their customers) may limit the availability of the notes. This pricing supplement and the accompanying product supplement, prospectus supplement and prospectus do not constitute an offer to sell or a solicitation of an offer to buy the notes in any circumstances in which such offer or solicitation is unlawful.

SUMMARY

The information in this “Summary” section is qualified by the more detailed information set forth in this pricing supplement, the product prospectus supplement, the prospectus supplement, and the prospectus. You should read these documents in full, including the information in the “Risk Factors” sections, before making an investment decision.

General

Issuer:		Bank of Montreal

Principal Amount:		$25 per note

Aggregate Principal Amount:		2,000,000 notes outstanding as of January 11, 2024, representing an aggregate principal amount of $50,000,000.

Initial Trade Date:		December 4, 2023

Initial Issue Date:		December 7, 2023

Term:		Approximately 20 years, subject to your right to require us to redeem your notes on any Redemption Date, our call right or our right to extend the Maturity Date, each as described below.

Maturity Date:		November 30, 2043, which is scheduled to be the fifth Business Day following the last Index Business Day in the Final Measurement Period. The Maturity Date may occur earlier, as set forth under “—Payments on the Notes—Final Measurement Period” below. The Maturity Date for the notes may be extended at our option for up to two additional 5-year periods, as described in the product supplement. The Maturity Date is also subject to adjustment as described herein and under “Specific Terms of the Notes — Market Disruption Events” in the product supplement.

Listing:		The notes are listed on the NYSE Arca, Inc. (the “NYSE”) under the ticker symbol listed below. The CUSIP and ISIN numbers, and the Intraday Indicative Note Value ticker symbol, for the notes are:

Ticker

Symbol

CUSIP

Number

ISIN Number

Intraday

Indicative Note

Value Symbol

XXXX

063679567

US0636795678

XXXXIV

		If an active secondary market develops, we expect that investors will purchase and sell the notes primarily in this secondary market.

Index:		The S&P 500^® Total Return Index. The ticker symbol of the Index is “SPXT”. The Index is an equity index that is intended to provide an indication of the pattern of common stock price movement in the large capitalization segment of the United States equity market. The Index is a total return index, in which dividends paid on the applicable securities are included in the level of the Index. S&P Dow Jones Indices (the “Index Sponsor”) publishes the level of the Index.

Exchange Business Day:		“Exchange Business Day” means any day on which the primary exchange or market for trading of the notes is scheduled to be open for trading.

Index Business Day:		“Index Business Day” means any day on which the Index Sponsor publishes the Closing Index Level.

Payments on the Notes

Interest Payments:		None.

Payment at Maturity/Cash Settlement Amount:		If you hold your notes to maturity, you will receive a cash payment in U.S. dollars at maturity in an amount equal to the arithmetic mean of the Closing Indicative Note Values on each Index Business Day in the Final Measurement Period. This amount will not be less than $0.

Final Measurement Period:		The Final Measurement Period will be a period of five consecutive Index Business Days from and including the Calculation Date, except as provided below, subject to adjustment as described under “Additional Terms of the Notes – Market Disruption Events” in the product supplement. If the Calculation Agent determines that the “aggregate market value” of the outstanding notes is less than or equal to $2,000,000,000 at the close of trading on the Index Business Day immediately preceding the Calculation Date, the Final Measurement Period will consist solely of the Calculation Date, and will not extend for five Index Business Days. In such a case, the scheduled Maturity Date shall be accelerated to the fifth Business Day following the Calculation Date. The Calculation Agent will determine the aggregate market value for purposes of this section by multiplying the Closing Indicative Note Value on the applicable date by the number of units of the notes that are outstanding on that date.

Calculation Date:		November 16, 2043

Closing Indicative Note Value

Closing Indicative Note Value:		On the Initial Trade Date, the Closing Indicative Note Value of each note was equal to the principal amount of $25. On any subsequent Exchange Business Day until maturity, call or redemption of the notes, the Closing Indicative Note Value will equal (a) the Long Index Amount on that Exchange Business Day minus (b) the Financing Level on that Exchange Business Day; provided that if that calculation results in a value less than or equal to $0, the Closing Indicative Note Value will be $0. If the Closing Indicative Note Value is $0 on any Exchange Business Day, or the Intraday Indicative Note Value at any time during the Core Trading Session (as defined below) on an Exchange Business Day, is less than or equal to $0, then the Closing Indicative Note Value on all future days during the term of the notes will be $0. *If the Closing Indicative Note Value is $0, the Cash Settlement Amount will be $0.* The NYSE currently defines the “Core Trading Session” as 9:30 a.m. to 4:00 p.m., New York time. This definition may change during the term of the notes.

Long Index Amount:		On the Initial Trade Date, the Long Index Amount was equal to the Daily Leverage Factor times the principal amount, which was equal to $100. On any subsequent Exchange Business Day until maturity, call or redemption of the notes, the Long Index Amount will equal the product of (a) the Closing Indicative Note Value on the immediately preceding Exchange Business Day times (b) the Daily Leverage Factor times (c) the Index Performance Factor on that Exchange Business Day.

Daily Leverage Factor:		4

Market Disruption Events:		If a Market Disruption Event occurs or is continuing on any applicable Index Business Day on which the Index Performance Factor must be determined, the Calculation Agent will determine the Index Performance Factor for the notes on that day using an appropriate Closing Index Level for the applicable Index Business Day, taking into account the nature and duration of such Market Disruption Event. Furthermore, if a Market Disruption Event occurs and is continuing with respect to the notes on any Index Business Day (or occurred or was continuing on the immediately preceding Index Business Day), the calculation of the Index Performance Factor will be modified so that the applicable leveraged exposure does not reset until the first Index Business Day on which no Market Disruption Event with respect to the notes is continuing. Please see the section of the product supplement, “Additional Terms of the Notes—Market Disruption Events” for additional information about Market Disruption Events.

Calculation of the Financing Level

Financing Level:		On the Initial Trade Date, the Financing Level was equal to the Long Index Amount minus the principal amount of $25, which was equal to $75. On any subsequent Exchange Business Day until maturity, call or redemption of the notes, the Financing Level will equal (a) the Closing Indicative Note Value on the immediately preceding Exchange Business Day times the Daily Financing Factor plus (b) the Daily Financing Charge on that Exchange Business Day, plus (c) the Daily Investor Fee on that Exchange Business Day.

Daily Financing Factor:		3

Index Performance Factor

Index Performance Factor:		On the Initial Trade Date, the Index Performance Factor was set equal to 1. On any subsequent Exchange Business Day until maturity, call or redemption of the notes, the Index Performance Factor will equal (a) the Closing Index Level on that Exchange Business Day (or, if such day is not an Index Business Day, the Closing Index Level on the immediately preceding Index Business Day) divided by (b) the Closing Index Level on the immediately preceding Index Business Day, as determined by the Calculation Agent.

Daily Financing Charge

Daily Financing Charge:		On the Initial Trade Date, the Daily Financing Charge was equal to $0. On any subsequent Exchange Business Day until maturity, call or redemption of the notes, the Daily Financing Charge will equal the product of (a) the Closing Indicative Note Value on the immediately preceding Exchange Business Day times (b) the Daily Financing Factor times (c) the Daily Financing Rate divided by (d) 365 times (e) the Financing Period (as defined below). Because the Daily Financing Charge is calculated and added to the Financing Level on a daily basis, the net effect of the Daily Financing Charge accrues over time.

Daily Financing Rate:		The Daily Financing Rate will equal (a) the most recent bank prime loan rate published by the Board of Governors of the Federal Reserve System (the “Federal Reserve Bank Prime Loan Rate”); plus (b) the Financing Spread. The Federal Reserve Bank Prime Loan Rate is based on the prime rates posted by large insured U.S.-chartered commercial banks. The Federal Reserve Bank Prime Loan Rate will be the rate set forth on Bloomberg page “FCPR Index,” or any other successor applicable source reasonably determined by the Calculation Agent. Increases in the Federal Reserve Bank Prime Loan Rate will increase the Daily Financing Rate, and, all other things remaining equal, will reduce the return on the notes. If the Calculation Agent determines that the Federal Reserve Bank Prime Loan Rate is no longer published or available, the Calculation Agent may substitute a successor rate, with any applicable adjustments, as it reasonably determines to be appropriate under the circumstances.

Financing Spread:		As of the Initial Trade Date, 2.00%. The Financing Spread may be adjusted from time to time by the Calculation Agent, but in no case will it increase by more than 2.00% per annum, to a maximum amount of 4.00%. See “—Procedure for Adjusting the Financing Spread” below.

Financing Period:		The Financing Period is equal to the number of calendar days from (and excluding) the "settlement date" for the immediately preceding Exchange Business Day to (and including) the settlement date for the current Exchange Business Day. The "settlement date" refers to the business day on which a sale of an equity security agreed on the applicable Exchange Business Day is typically required to settle under Rule 15c6-1(a) under the Exchange Act. This business day is currently the second business day after the date of an agreement to buy or sell a security, but is expected to be the first business day after such date, effective May 28, 2024. For example, the settlement date for an Exchange Business Day occurring on a Wednesday is currently the following Friday, and the settlement date for an Exchange Business Day occurring on a Thursday is currently the following Monday. Accordingly, on a typical Thursday prior to May 28, 2024, the Financing Period would be three, since there are three calendar days from (and excluding) Friday to (and including) Monday; that is, Saturday, Sunday and Monday. The Calculation Agent may adjust a settlement date if it deems reasonably appropriate to reflect any disruptions or extraordinary events that impact the securities settlement or other systems in the applicable markets.

Daily Investor Fee

Daily Investor Fee:		On the Initial Trade Date, the Daily Investor Fee was $0. On any subsequent Exchange Business Day until maturity, call or redemption of the notes, the Daily Investor Fee will equal the product of (a) the Closing Indicative Note Value at the close of the immediately preceding Exchange Business Day times (b) the Fee Rate divided by (c) 365 times (d) the Financing Period. Because the Daily Investor Fee is calculated as part of the Financing Level through which it is subtracted from the Closing Indicative Note Value on a daily basis, the net effect of the Daily Investor Fee accumulates over time and is subtracted at a rate per year equal to the Fee Rate specified below. Because the net effect of the Daily Investor Fee is a fixed percentage of the value of the notes, the aggregate effect of the Daily Investor Fee will increase or decrease in a manner directly proportional to the value of the notes and the amount of notes that are held.

Fee Rate:		0.95% per annum

Fee Adjustments

Procedure for Adjusting the Financing Spread:		The Calculation Agent may adjust the Financing Spread, subject to the limitations set forth in this document. If it elects to do so, we will notify the trustee for the notes, and issue a press release that we will publish on our website at least five Business Days prior to the effective date (a “Fee Effective Date”) of the applicable change. We refer to the date on which we publish such a press release as a “Fee Notice Date.” Notwithstanding the forgoing, the Fee Effective Date for any reduction to the Financing Spread may be any date after the Fee Notice Date that is designated in the applicable press release.

Call Right

Call Right:		On any Business Day after the Initial Trade Date, we may give notice that we will redeem all or a portion of the issued and outstanding notes. To exercise our call right, we must provide notice to the holders not less than 14 calendar days prior to the Call Settlement Date, as set forth below. The notice will specify the amount of the notes that we will call. If we exercise our Call Right, you will receive a cash payment for the notes to be called equal to the Call Settlement Amount, which will be paid on the Call Settlement Date. The notice to holders will specify the Call Settlement Date, which will be a date determined by the Calculation Agent in its discretion occurring shortly after the Call Settlement Amount is scheduled to be determined and that is not less than 14 calendar days after the date of such notice to holders. We may elect to call a portion of the notes on more than one occasion during the term of the notes.

Call Settlement Amount:		If we exercise our Call Right, for each note that is called, you will receive on the Call Settlement Date a cash payment equal to the arithmetic mean of the Closing Indicative Note Values on each Index Business Day in the Call Measurement Period. The Call Settlement Amount will not be less than $0.

Call Measurement Period:		The Call Measurement Period will be a period of five consecutive Index Business Days from and including the applicable Call Calculation Date, except as provided below, subject to adjustment as described in the product supplement under “Additional Terms of the Notes — Market Disruption Events.”

		If we issue a call notice, the Call Calculation Date will be an Index Business Day specified in such call notice. The Call Settlement Date will be the fifth Business Day following the last Index Business Day in the Call Measurement Period. If the Calculation Agent determines that the “aggregate market value” of the notes to be called in a whole or partial call is less than or equal to $2,000,000,000 at the close of trading on the Index Business Day immediately preceding the Call Calculation Date, then the Call Measurement Period will consist solely of the Call Calculation Date, and will not extend for five Index Business Days. The Calculation Agent will determine the aggregate market value for purposes of this section by multiplying the Closing Indicative Note Value on the applicable date by the number of units of the notes to be called on that date.

Early Redemption at Option of Holder

Early Redemption:		You may submit a request on any Business Day after the Initial Trade Date to require us to redeem all or a portion of your notes on a Redemption Day, subject to your compliance with the redemption procedures described in “Additional Terms of the Notes—Early Redemption at the Option of the Holders — Redemption Procedures” in the product supplement and your satisfying the Minimum Redemption Amount of at least 25,000 notes. To satisfy the Minimum Redemption Amount, your broker or other financial intermediary may bundle your notes for redemption with those of other investors to reach the Minimum Redemption Amount; however, there can be no assurance that they can or will do so. We may from time to time in our sole discretion reduce the Minimum Redemption Amount in whole or in part. Any such reduction will be applied on a consistent basis for all holders of the notes at the time the reduction becomes effective. The Minimum Redemption Amount will not be applicable for any redemption validly elected on any Fee Notice Date or the following five Business Days if the Financing Spread increased. If you elect to have your notes redeemed and you have complied with the redemption procedures and satisfied the Minimum Redemption Amount, for each note that is redeemed, you will receive the Redemption Amount on the applicable Redemption Date.

Redemption Amount:		The Redemption Amount will be a cash payment payable on the applicable Redemption Date equal to (a) the arithmetic mean of the Closing Indicative Note Values on each Index Business Day in the Redemption Measurement Period minus (b) the Redemption Fee Amount. The Redemption Amount will not be less than $0.

Redemption Measurement Period:		The Redemption Measurement Period will be a period of five consecutive Index Business Days from and including the applicable Redemption Calculation Date, except as provided below, subject to adjustment as described in the product supplement under “Additional Terms of the Notes — Market Disruption Events.” The Redemption Calculation Date will be the first Index Business Day immediately following the applicable Redemption Notice Date (i.e., the date that the applicable Redemption Notice and Redemption Confirmation are delivered in compliance with the redemption procedures described in “Additional Terms of the Notes—Early Redemption at the Option of the Holders — Redemption Procedures” in the product supplement). If the Calculation Agent determines that the “aggregate market value” of the notes to be redeemed is less than or equal to $2,000,000,000 at the close of trading on the Redemption Notice Date, then the Redemption Measurement Period will consist solely of the Redemption Calculation Date, and will not extend for five Index Business Days. The Calculation Agent will determine the aggregate market value for purposes of this section by multiplying the Closing Indicative Note Value on the applicable date by the number of units of the notes to be redeemed.

		The Redemption Amount will be paid on the applicable Redemption Date. The Redemption Date will be the fifth Business Day following the last Index Business Day in the applicable Redemption Measurement Period. The first possible Redemption Date will be the sixth Index Business Day immediately following the Initial Issue Date and the final Redemption Date will be the last scheduled Index Business Day prior to the Calculation Date or Call Calculation Date, as applicable.

Redemption Fee Amount:		As of any Redemption Date, an amount per note in cash equal to the product of (a) 0.125% and (b) the arithmetic mean of the Closing Indicative Note Values on each Index Business Day in the Redemption Measurement Period. We reserve the right from time to time to reduce or waive the Redemption Fee Amount in our sole discretion on a case-by-case basis. In exercising your right to have us redeem your notes, you should not assume you will be entitled to the benefit of any such waiver.

Performance Information

Initial Index Level:		9,884.17, which was the Closing Index Level on the Initial Trade Date.

Closing Index Level:		On any Index Business Day, the closing level of the Index as reported on Bloomberg under the applicable symbol set forth above, subject to adjustment as described in the product supplement under “Additional Terms of the Notes — Market Disruption Events.”

Intraday Indicative Note Value:		The Intraday Indicative Note Value of the notes at any time during an Exchange Business Day will equal (a) the Intraday Long Index Amount minus (b) the Financing Level; provided that if such calculation results in a value less than or equal to $0, the Intraday Indicative Note Value will be $0. If the Intraday Indicative Note Value is less than or equal to $0 at any time on any Exchange Business Day, then both the Intraday Indicative Note Value and the Closing Indicative Note Value on that day, and for the remainder of the term of the notes, will be $0.

Intraday Long Index Amount:		The Intraday Long Index Amount will equal the product of (a) the Closing Indicative Note Value on the immediately preceding Exchange Business Day times (b) the Daily Leverage Factor times (c) the Intraday Index Performance Factor.

Intraday Index Performance Factor:		The Intraday Index Performance Factor will equal (a) the most recently published level of the Index divided by (b) the Closing Index Level on the immediately preceding Index Business Day.

Additional Information and Terms

Calculation Agent:		BMO Capital Markets Corp.

No Conversion into Common Shares:		The notes will not be subject to conversion into our common shares or the common shares of any of our affiliates under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act (the “CDIC Act”).

The notes are not intended to be “buy and hold” investments. The notes are intended to be daily trading tools for sophisticated investors and are not intended to be held to maturity. The notes are designed to reflect a 4x leveraged exposure to the performance of the Index on a daily basis, but the returns on the notes over different periods of time can, and most likely will, differ significantly from four times the return on a direct investment in the Index. Accordingly, the notes should be purchased only by knowledgeable investors who understand the risks of investing in the notes and of seeking daily compounding leveraged investment results linked to the Index. Investors should actively and continuously monitor their investments in the notes, even intra-day.

Because your investment in the notes is linked to a four times leveraged participation in the performance of the Index, compounded daily, any decrease in the level of the Index will result in a decrease in the Cash Settlement Amount, Call Settlement Amount or Redemption Amount, as applicable (before taking into account the fees and charges described in this document), and you may receive less than your original investment in the notes at maturity, call or upon redemption, or if you sell your notes in the secondary market. Due to leverage, the notes are very sensitive to changes in the level of the Index and the path of such changes, and any decrease in the level of the Index will result in a larger decrease in the value of the notes. Because the applicable fees and charges may substantially reduce the amount of your return at maturity, call or upon redemption, the level of the Index must increase significantly in order for you to receive at least the principal amount of your investment at maturity, call or upon redemption, or if you sell your notes. If the level of the Index decreases or does not increase sufficiently to offset the negative effect of these fees and charges, you will receive less than the principal amount of your investment at maturity, call or upon redemption, or if you sell your notes.

* We are using this pricing supplement to offer up to $50,000,000 in aggregate principal amount of the notes (2,000,000 notes). On the Initial Trade Date, we sold $4,000,000 in aggregate principal amount of the notes to BMO Capital Markets Corp. (“BMOCM”) at 100% of their stated principal amount. $4,000,000 in aggregate principal amount of the notes are outstanding as of the date of this pricing supplement. We will issue an additional $18,750,000 in principal amount of the notes (representing an additional 750,000 notes) on January 11, 2024. After the date of this document, we may sell from time to time a portion of the notes at prices that are based on the Closing Indicative Note Value at the time of sale, at prices related to market prices or at negotiated prices. We will receive proceeds equal to 100% of the price at which the notes are sold to the public, less any commissions paid to BMOCM. BMOCM may charge normal commissions in connection with any purchase or sale of the notes. In addition, BMOCM may receive a portion of the Daily Investor Fee. Please see “Supplemental Plan of Distribution (Conflicts of Interest)” for more information.

If there is a substantial demand for the notes, we may issue and sell additional notes to BMOCM, and BMOCM may sell those notes to investors and dealers, potentially frequently. However, we and BMOCM are under no obligation to issue or sell additional notes at any time, and if we and BMOCM do issue and sell additional notes, we or BMOCM may limit or restrict such sales, and we may stop and subsequently resume selling additional notes at any time. Furthermore, the number of notes stated at the top of the cover page of this pricing supplement is the maximum amount of the notes that we have currently authorized for issuance. Although we have the right to increase the authorized amount of the notes at any time, it is our current intention not to issue more than the current maximum authorized amount of the notes, even if there is substantial market demand for additional notes. We may also reduce the maximum authorized amount of the notes at any time, and we have no obligation to issue up to the maximum authorized amount.

Understanding the Value of the Notes

The initial offering price of the notes was determined at the inception of the notes. The initial offering price and the Intraday Indicative Note Value are not the same as the trading price, which is the price at which you may be able to sell your notes in the secondary market, or the Redemption Amount, which is the amount that you will receive from us in the event that you choose to have your notes repurchased by us. An explanation of each type of valuation is set forth below.

Initial Offering Price to the Public. The initial offering price to the public was equal to the principal amount of the notes. The initial offering price reflects the value of the notes only on the Initial Trade Date.

Intraday Indicative Note Value. The Intraday Indicative Note Value of the notes at any time during an Exchange Business Day will equal (a) the Intraday Long Index Amount minus (b) the Financing Level; provided that if such calculation results in a value equal to or less than $0 as set forth above, the Intraday Indicative Note Value will be $0. If the Intraday Indicative Note Value is equal to or less than $0 at any time on any Exchange Business Day as set forth above, then both the Intraday Indicative Note Value and the Closing Indicative Note Value on that Exchange Business Day, and on all future Exchange Business Days, will be $0. The Intraday Long Index Amount will equal the product of (a) the Closing Indicative Note Value on the immediately preceding Exchange Business Day times (b) the Daily Leverage Factor times (c) the Intraday Index Performance Factor. The Intraday Index Performance Factor will equal (a) the most recently published level of the Index divided by (b) the Closing Index Level on the immediately preceding Index Business Day.

The Intraday Indicative Note Value is not the same as, and may differ from, the amount payable upon an early redemption, call or at maturity and the trading price of the notes in the secondary market. Because the Intraday Indicative Note Value uses an intraday Index level for its calculation, a variation in the intraday level of the Index from the previous Index Business Day’s Closing Index Level may cause a significant variation between the Closing Indicative Note Value and the Intraday Indicative Note Value on any date of determination. The Intraday Indicative Note Value may vary significantly from the previous or next Index Business Day’s Closing Indicative Note Value or the price of the notes purchased intraday. The Intraday Indicative Note Value for the notes will be published every 15 seconds to the Consolidated Tape and ICE Data Global Index Feed, and will be available on Bloomberg under the ticker symbol indicated herein.

Trading Price. The market value of the notes at any given time, which we refer to as the trading price, is the price at which you may be able to buy or sell your notes in the secondary market, if one exists. The trading price may vary significantly from the Intraday Indicative Note Value because the market value reflects investor supply and demand for the notes.

Redemption Amount. The Redemption Amount is the price per note that we will pay you to redeem the notes upon your request. The Redemption Amount is calculated according to the formula set forth above. The Redemption Amount may vary significantly from the Intraday Indicative Note Value and the trading price of the notes.

Because the Redemption Amount is based on the Closing Index Levels on the Index Business Days during the Redemption Measurement Period, you will not know the Redemption Amount you will receive at the time you elect to request that we redeem your notes.

Ticker Symbols

Trading price:	XXXX

Intraday Indicative Note Value:	XXXXIV

Intraday Index Level:	SPXT<Index>

The notes may be a suitable investment for you if:

· You seek a short-term investment with a return linked to a four times leveraged participation in the performance of the Index, compounded daily, in which case you are willing to accept the risk of fluctuations in the level of the Index.

· You understand (i) leverage risk, including the risks inherent in maintaining a constant four times daily resetting leverage, and (ii) the risks of seeking leveraged investment results generally.

· You are a sophisticated investor, understand path dependence of investment returns and you seek a short-term investment in order to manage daily trading risks.

· You understand that the notes are designed to achieve their stated investment objective on a daily basis, but their performance over different periods of time can differ significantly from their stated daily objective.

· You believe the level of the Index will increase during your investment horizon for the notes by an amount, after giving effect to the daily resetting leverage and the compounding effect thereof, sufficient to offset the Daily Investor Fee, the Daily Financing Charge and any Redemption Fee Amount.

· You are willing to accept the risk that you may lose some or all of your investment.

· You are willing to hold notes that may be redeemed early by us, under our call right.

· You are willing to forgo dividends or other distributions paid to holders of the Index constituents, except as reflected in the Index level.

· You understand that the trading price of the notes at any time may vary significantly from the Intraday Indicative Value of the notes at such time and that paying a premium purchase price over the Intraday Indicative Note Value of the notes could lead to significant losses in the event you sell the notes at a time when that premium is no longer present in the market place or the notes are called.

· You are willing to actively and frequently monitor your investment in the notes.

· You are willing to accept the risk that the price at which you are able to sell the notes may be significantly less than the amount you invested.

· You do not seek a pre-determined amount of current income from your investment.

· You are not seeking an investment for which there will be an active secondary market.

· You are comfortable with the creditworthiness of Bank of Montreal, as issuer of the notes.

The notes may not be a suitable investment for you if:

· You do not seek a short-term investment with a return linked to a four times leveraged participation in the performance of the Index, compounded daily, in which case you are not willing to accept the risk of fluctuations in the level of the Index.

· You do not understand (i) leverage risk, including the risks inherent in maintaining a constant four times daily resetting leverage, or (ii) the risks of seeking leveraged investment results generally.

· You are not a sophisticated investor, do not understand path dependence of investment returns or you seek an investment for purposes other than managing daily trading risks.

· You do not understand why performance of the notes over different periods of time can differ significantly from their stated daily objective on a daily basis.

· You believe that the level of the Index will decrease during your investment horizon for the notes or the level of the Index will not increase by an amount, after giving effect to the daily resetting leverage and the compounding effect thereof, sufficient to offset the Daily Investor Fee, the Daily Financing Charge and any Redemption Fee Amount.

· You are not willing to accept the risk that you may lose some or all of your investment.

· You are not willing to hold notes that may be redeemed early by us, under our call right.

· You are not willing to forgo dividends or other distributions paid to holders of the Index constituents, except as reflected in the Index level.

· You do not understand that the trading price of the notes at any time may vary significantly from the Intraday Indicative Note Value of the notes at such time and that paying a premium purchase price over the Intraday Indicative Note Value of the notes could lead to significant losses in the event you sell the notes at a time when that premium is no longer present in the market place or the notes are called.

· You are not willing to actively and frequently monitor your investment in the notes.

· You are not willing to accept the risk that the price at which you are able to sell the notes may be significantly less than the amount you invested.

· You seek a pre-determined amount of current income from your investment.

· You seek an investment for which there will be an active secondary market.

· You are not comfortable with the creditworthiness of Bank of Montreal as issuer of the notes.

· You prefer lower risk and are willing to accept potentially lower returns of fixed-income investments with comparable maturities and credit ratings.

Your investment in the notes will involve certain risks. The notes are not secured debt and do not guarantee any return of principal at, or prior to, maturity, call or upon early redemption. As described in more detail below, the trading price of the notes may vary considerably before the Maturity Date. Investing in the notes is not equivalent to investing directly in the Index constituents or any securities of the constituent issuers. In addition, your investment in the notes entails other risks not associated with an investment in conventional debt securities. In addition to the “Risk Factors” sections of the product supplement, the prospectus supplement and the prospectus, you should carefully consider the following discussion of risks before investing in the notes.

The notes may not return any of your investment. The amount payable at maturity, call or upon early redemption, will reflect a four times daily resetting leveraged participation in the performance of the Index minus the Daily Investor Fee, the Daily Financing Charge, and, in the case of an early redemption, the Redemption Fee Amount. These amounts will be determined as described in this pricing supplement. Because these fees and charges will reduce the payments on the notes, the Closing Index Levels, measured as a component of the Closing Indicative Note Value during the Final Measurement Period, Call Measurement Period or Redemption Measurement Period, as applicable, will need to have increased over the period you hold the notes by an amount, after giving effect to the daily resetting leverage and the compounding effect thereof, sufficient to offset the decrease in the principal amount represented by the Daily Investor Fee, the Daily Financing Charge and the Redemption Fee Amount, if applicable, in order for you to receive an aggregate amount at maturity, upon a call or redemption, or if you sell your notes, that is equal to at least the principal amount of your notes. If the increase in the Closing Index Levels, as measured during the Final Measurement Period, Call Measurement Period or Redemption Measurement Period, as applicable, is insufficient to offset the cumulative negative effect of the Daily Investor Fee, the Daily Financing Charge, and the Redemption Fee Amount, if applicable, you will lose some or all of your investment at maturity, call or upon early redemption. This loss may occur even if the Closing Index Levels during the Final Measurement Period, Call Measurement Period or Redemption Measurement Period, or when you elect to sell your notes, have increased since the Initial Trade Date.

The negative effect of the Daily Investor Fee, Daily Financing Charge, and the Redemption Fee Amount, if applicable, are in addition to the losses that may be caused by the daily resetting leverage of the notes and volatility in the Index. See “—Leverage increases the sensitivity of your notes to changes in the level of the Index,” “—The notes are not suitable for investors with longer-term investment objectives” and “—The notes are not suitable for all investors. In particular, the notes should be purchased only by sophisticated investors who do not intend to hold the notes as a buy and hold investment, who are willing to actively and continuously monitor their investment and who understand the risks of investing in the notes and of seeking daily resetting leveraged investment results linked to the Index” below.

If the Intraday Indicative Note Value for the notes is equal to or less than $0 during the Core Trading Session on an Exchange Business Day, or the Closing Indicative Note Value is equal to or less than $0, you will lose all of your investment in the notes.

If the Closing Indicative Note Value or the Intraday Indicative Note Value of the notes is equal to or less than $0 as set forth above, then the notes will be permanently worth $0 (a total loss of value) and you will lose all of your investment in the notes and the Cash Settlement Amount will be $0. We would be likely to call the notes in full under these circumstances, and you will not receive any payments on the notes.

Even if the Closing Index Levels during the Final Measurement Period, Call Measurement Period or Redemption Measurement Period have increased since the Initial Trade Date, you may receive less than the principal amount of your notes due to the Daily Investor Fee, the Daily Financing Charge and the Redemption Fee Amount, if applicable.

The amount of the Daily Investor Fee, the Daily Financing Charge and the Redemption Fee Amount, if applicable, will reduce the payment, if any, you will receive at maturity, call or upon early redemption, or if you sell your notes. If you elect to require us to redeem your notes prior to maturity, you will be charged a Redemption Fee Amount equal to 0.125% of the Closing Indicative Note Value. If the Closing Index Levels, measured as a component of the Closing Indicative Note Value during the Final Measurement Period, Call Measurement Period or Redemption Measurement Period have decreased or increased insufficiently to offset the cumulative negative effect of these fees and charges, you will receive less than the principal amount of your investment at maturity, call or upon early redemption of your notes.

As described in the “Summary” section above (and up to the limits in that section), we may increase the Financing Spread. If we do so, the Daily Financing Charge will increase, and your return on the notes will be adversely affected. Please see the section “Hypothetical Examples” below.

Leverage increases the sensitivity of your notes to changes in the level of the Index.

Because your investment in the notes is four times leveraged, compounded daily, changes in the level of the Index will have a greater impact on the payout on your notes than on a payout on securities that are not so leveraged. In particular, any decrease in the level of the Index will result in a significantly greater decrease in your payment at maturity, call or upon redemption, and you will suffer losses on your investment in the notes substantially greater than you would if the terms of your notes did not contain leverage. Accordingly, as a result of this daily resetting leverage component and without taking into account the cumulative negative effect of the Daily Investor Fee and the Daily Financing Charge, if the level of the Index decreases over the period you hold the notes, the daily resetting leverage will magnify any losses at maturity, call or upon redemption.

The notes are subject to our credit risk, and our credit ratings and credit spreads may adversely affect the market value of the notes. The notes are senior unsecured debt obligations of the issuer, Bank of Montreal, and are not, either directly or indirectly, an obligation of any third party. Investors are dependent on our ability to pay all amounts due on the notes at maturity, call or upon early redemption or on any other relevant payment dates, and therefore investors are subject to our credit risk and to changes in the market’s view of our creditworthiness. If we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.

Our credit ratings are an assessment of our ability to pay our obligations, including those on the notes. Consequently, actual or anticipated changes in our credit ratings may affect the market value of the notes. However, because the return on the notes is dependent upon certain factors in addition to our ability to pay our obligations on the notes, an improvement in our credit ratings will not reduce the other investment risks related to the notes. Therefore, an improvement in our credit ratings may or may not have a positive effect on the market value of the notes.

The notes are not suitable for investors with longer-term investment objectives.

The notes are not intended to be “buy and hold” investments. The notes are intended to be daily trading tools for sophisticated investors, and are not intended to be held to maturity. The notes are designed to achieve their stated investment objective on each day, but their performance over different periods of time can differ significantly from their stated daily objective because the relationship between the level of the Index and the Closing Indicative Note Value will begin to break down as the length of an investor’s holding period increases. The notes are not long-term substitutes for long positions in the Index constituents.

Investors should carefully consider whether the notes are appropriate for their investment portfolio. As discussed below, because the notes are meant to provide leveraged long exposure to changes in the Closing Index Level on each Index Business Day, their performance over months or years can differ significantly from the performance of the Index during the same period of time. Therefore, it is possible that you will suffer significant losses in the notes even if the long-term performance of the Index is positive (even before taking into account the negative effect of the Daily Investor Fee, the Daily Financing Charge and the Redemption Fee Amount, if applicable). It is possible for the level of the Index to increase over time while the market value of the notes declines over time. You should proceed with extreme caution in considering an investment in the notes.

The notes seek to provide a four times leveraged long return based on the performance of the Index (as adjusted for costs and fees) over a period of a single day. The notes do not attempt to, and should not be expected to, provide returns that reflect leverage on the return of the Index for periods longer than a single day.

The daily resetting leverage is expected to cause the notes to experience a “decay” effect, which will impair the performance of the notes if the Index experiences volatility from day to day, and such performance will be dependent on the path of daily returns during the holder’s holding period. The “decay” effect refers to the tendency of the notes to lose value over time. At higher ranges of volatility, there is a significant chance of a complete loss of the value of the notes even if the performance of the Index is flat (even before taking into account the negative effect of the Daily Investor Fee, the Daily Financing Charge and the Redemption Fee Amount, if applicable). Although the decay effect is more likely to manifest itself the longer the notes are held, the decay effect can have a significant impact on the performance of the notes, even over a period as short as two days. The notes should be purchased only by sophisticated investors seeking a short-term investment who understand leverage risk, including the risks inherent in maintaining a constant four times daily resetting leverage as described in this document, and who understand the risks inherent in path dependence of investment returns. The notes are not appropriate for investors who intend to hold positions in an attempt to generate returns over periods longer than one day. See “Hypothetical Examples—Illustrations of the “Decay” Effect on the Notes” below.

In addition, the daily resetting leverage feature will result in leverage relative to the Closing Indicative Note Value that may be greater or less than the stated leverage factor if the value of the notes has changed since the beginning of the day in which you purchase the notes. See "—The notes are subject to intraday purchase risk." below

You should continuously monitor your holdings of the notes to ensure that they remain consistent with your investment strategies.

The notes are designed to reflect a leveraged long exposure to the performance of the Index on a daily basis, as described in this document. As such, the notes will be more volatile than a non-leveraged investment linked to the Index. You should continuously monitor your holdings of the notes, at least on each Index Business Day or even intraday, to ensure that they remain consistent with your investment strategies.

The notes are not suitable for all investors. In particular, the notes should be purchased only by sophisticated investors who do not intend to hold the notes as a buy and hold investment, who are willing to actively and continuously monitor their investment and who understand the risks of investing in the notes and of seeking daily resetting leveraged investment results linked to the Index.

The notes require an understanding of path dependence of investment results and are intended for sophisticated investors to use as part of an overall diversified portfolio. The notes are risky and may not be suitable for investors who plan to hold them for periods greater than a single day. The notes are designed to achieve their stated investment objective on each day, but the performance of the notes over different periods of time can differ significantly from their stated daily objectives because the relationship between the level of the Index and the Closing Indicative Note Value will begin to break down as the length of an investor’s holding period increases. The notes are not long-term substitutes for long exposure to the Index. Accordingly, it is likely that the returns on the notes will not correlate with returns on the Index over periods longer than one day.

Investors should carefully consider whether the notes are appropriate for their investment portfolio. The notes entail leverage risk and should be purchased only by investors who understand leverage risk, including the risks inherent in maintaining a constant four times leverage on a daily basis as described in this document, and the risks of seeking daily leveraged investment results generally. Investing in the notes is not equivalent to a direct investment in the Index constituents because the notes reset their theoretical leveraged exposure to the Index on each day (subject to the occurrence of a Market Disruption Event). Daily resetting of the leverage will impair the performance of the notes if the Index experiences volatility from day to day, and such performance is dependent on the path of daily returns during an investor’s holding period. If the notes experience a high amount of realized volatility, there is a significant chance of a complete loss of your investment even if the performance of the Index is flat or is positive. In addition, the notes are meant to provide leveraged exposure to changes in the Closing Index Level, which means their performance over months or years can differ significantly from the performance of the Index over the same period of time. It is possible that you will suffer significant losses in the notes even if the long-term performance of the Index is positive (before taking into account the negative effect of the Daily Investor Fee, the Daily Financing Charge and the Redemption Fee Amount, if applicable).

The amount you receive at maturity, call or redemption will be contingent upon the compounded leveraged daily performance of the Index during the term of the notes, as described in this document. There is no guarantee that you will receive at maturity, call or redemption your initial investment or any return on that investment. Significant adverse daily performances for the notes may not be offset by any beneficial daily performances of the same magnitude.

Due to the effect of compounding, if the Closing Indicative Note Value increases, any subsequent decrease of the Index level will result in a larger dollar reduction from the Closing Indicative Note Value than if the Closing Indicative Note Value remained constant.

If the Closing Indicative Note Value increases, the dollar amount that you can lose in any single Index Business Day from a decrease of the Index level will increase correspondingly. This is because the Index Performance Factor will be applied to a larger Indicative Note Value and, consequently, a larger Long Index Amount in calculating any subsequent Indicative Note Value. As such, the dollar amount that you can lose from any decrease will be greater than if the Closing Indicative Note Value were maintained at a constant level. This means that if the Closing Indicative Note Value increases, you could subsequently lose more than 4% of your initial investment for each 1% daily decrease of the Index level.

Due to the effect of compounding, if the Closing Indicative Note Value decreases, any subsequent increase of the Index level will result in a smaller dollar increase on the Closing Indicative Note Value than if the Closing Indicative Note Value remained constant.

If the Closing Indicative Note Value decreases, the dollar amount that you can gain in any single Index Business Day from an increase of the Index level will decrease correspondingly. This is because the Index Performance Factor will be applied to a smaller Closing Indicative Note Value and, consequently, a smaller Long Index Amount in calculating any subsequent Closing Indicative Note Value. As such, the dollar amount that you can gain from any increase of the Index level will be less than if the Closing Indicative Note Value were maintained at a constant level. This means that if the Closing Indicative Note Value decreases on an Exchange Business Day, the daily increase of the Index level on the following Exchange Business Day will have to exceed the prior decrease to restore the value of your investment (before taking into account the negative effect of the Daily Investor Fee, the Daily Financing Charge and the Redemption Fee Amount, if applicable). Further, if the Closing Indicative Note Value is less than your initial investment, each 1% daily increase in the Index level will result in an increase in the Closing Indicative Note Value that is less than 4% of your initial investment.

The leverage of the notes is reset daily, and the effective leverage of the notes during any given day may be greater than or less than 4.0.

The leverage of the notes is reset daily (subject to the occurrence of a Market Disruption Event). Resetting the Closing Indicative Note Value has the effect of resetting the then-current leverage to approximately 4.0. During any given day, the effective leverage of the notes will depend on intra-day changes in the level of the Index and any change in the level of the Index on any day may cause the effective leverage to be greater than or less than 4.0. If the level of the Index on any day has increased from the Closing Index Level on the preceding day, the effective leverage of the notes will be less than 4.0 (e.g. 3.5, 2.0, 0.5); conversely, if the level of the Index on any day has decreased from the Closing Index Level on the preceding day, the effective leverage of the notes will be greater than 4.0 (e.g., 4.5, 5.0, 5.5). Thus, the effective leverage of the notes at the time that you purchase them may be greater or less than the target leverage of 4.0, depending on the performance of the Index since the leverage was reset. See “—The notes are subject to intraday purchase risk” below.

The notes are subject to our Call Right, which does not allow for participation in any future performance of the Index. The exercise of our Call Right may adversely affect the value of, or your ability to sell, your notes. We may call the notes prior to the Maturity Date.

We have the right to call the notes prior to maturity. You will only be entitled to receive a payment on the Call Settlement Date equal to the Call Settlement Amount. The Call Settlement Amount may be less than the stated principal amount of your notes. You will not be entitled to any further payments after the Call Settlement Date, even if the Index level increases substantially after the Call Measurement Period. In addition, the issuance of a notice of our election to exercise our call right in whole or in part may adversely impact your ability to sell your notes, and/or the price at which you may be able to sell your notes prior to the Call Settlement Date. We have no obligation to ensure that investors will not lose all or a portion of their investment in the notes if we call the notes; consequently, a potential conflict between our interests and those of the noteholders exists with respect to our Call Right. Because we will select the Call Calculation Date, as set forth in the section above, “Summary—Call Right—Call Right” above, the Call Measurement Period may occur on Exchange Business Days when the Closing Indicative Note Value is lower than on other days that we could have selected, which could reduce the Call Settlement Amount.

If we exercise our right to call the notes prior to maturity, your payment on the Call Settlement Date may be less than the Closing Indicative Note Value at the time we gave the notice of our election to call the notes.

As discussed above, we have the right to call the notes on or prior to the Maturity Date. The Call Settlement Amount will be payable on the Call Settlement Date and we will provide notice prior to the Call Settlement Date of our election to exercise our call of the notes. The Call Settlement Amount per note will be based principally on the Closing Indicative Note Value on each Index Business Day during the Call Measurement Period (determined as set forth above). The Call Calculation Date will be a date specified in our call notice, subject to postponement if that date is not an Index Business Day or in the event of a Market Disruption Event. It is possible that the market prices of the Index constituents, and, as a result, the Closing Index Level and the Closing Indicative Note Value, may vary significantly between when we provide the notice of our intent to call the notes and the Call Measurement Period, including potentially as a result of our trading activities during this period, as described further under “We or our affiliates may have economic interests that are adverse to those of the holders of the notes as a result of our hedging and other trading activities.” As a result, you may receive a Call Settlement Amount that is significantly less than the Indicative Value at the time of the notice of our election to call the notes and may be less than your initial investment in the notes.

The notes do not pay any interest, and you will not have any ownership rights in the Index constituents.

The notes do not pay any interest, and you should not invest in the notes if you are seeking an interest-bearing investment. You will not have any ownership rights in the Index constituents, nor will you have any right to receive dividends or other distributions paid to holders of the Index constituents, except to the extent that dividend payments are reflected in the Index level. The Cash Settlement Amount, the Call Settlement Amount or Redemption Amount, if any, will be paid in U.S. dollars, and you will have no right to receive delivery of any shares of the Index constituents.

The Closing Index Levels used to calculate the payment at maturity, call or upon a redemption may be less than those levels on the Maturity Date, Call Settlement Date, Redemption Date or at other times during the term of the notes.

The Closing Index Level on the Maturity Date, Call Settlement Date or Redemption Date or at other times during the term of the notes, including dates near the Final Measurement Period, Call Measurement Period or Redemption Measurement Period, as applicable, could be greater than any of the Closing Index Levels during the Final Measurement Period, Call Measurement Period or Redemption Measurement Period, as applicable. This difference could be particularly large if there is a significant increase in the Closing Index Level after the Final Measurement Period, Call Measurement Period or Redemption Measurement Period, as applicable, or if there is a significant decrease in the Closing Index Level around the Final Measurement Period, Call Measurement Period or Redemption Measurement Period, as applicable, or if there is significant volatility in the Closing Index Level during the term of the notes.

There are restrictions on the minimum number of notes you may request that we redeem and the dates on which you may exercise your right to have us redeem your notes.

If you elect to require us to redeem your notes, except under the circumstances set forth above, you must request that we redeem at least 25,000 notes on any Business Day, through and including the Final Redemption Date. If you own fewer than 25,000 notes, you generally will not be able to elect to require us to redeem your notes. Your request that we redeem your notes is only valid if we receive your Redemption Notice by email no later than 2:00 p.m., New York City time, on the applicable Redemption Notice Date and a completed and signed Redemption Confirmation by 5:00 p.m., New York City time, that same day. If we do not receive such notice and confirmation, your redemption request will not be effective and we will not redeem your notes on the corresponding Redemption Date.

The daily redemption feature is intended to induce arbitrageurs to counteract any trading of the notes at a premium or discount to their indicative value. There can be no assurance that arbitrageurs will employ the redemption feature in this manner.

Because of the timing requirements of the Redemption Notice and the Redemption Confirmation, settlement of the redemption will be prolonged when compared to a sale and settlement in the secondary market. Because your request that we redeem your notes is irrevocable, this will subject you to loss if the level of the Index decreases after we receive your request. Furthermore, our obligation to redeem the notes prior to maturity may be postponed upon the occurrence of a Market Disruption Event.

If you want to sell your notes but are unable to satisfy the minimum redemption requirements, you may attempt to sell your notes into the secondary market at any time, subject to the risks described below. A trading market for the notes may not develop. Also, the price you may receive for the notes in the secondary market may differ from, and may be significantly less than, the Redemption Amount.

You will not know the Redemption Amount at the time you elect to request that we redeem your notes.

You will not know the Redemption Amount you will receive at the time you elect to request that we redeem your notes. Your notice to us to redeem your notes is irrevocable and must be received by us no later than 2:00 p.m., New York City time, on the applicable Redemption Notice Date and a completed and signed confirmation of such redemption must be received by us no later than 5:00 p.m., New York City time, on the same day. The Redemption Measurement Period will commence on the Redemption Calculation Date. You will not know the Redemption Amount until after last Index Business Day in the Redemption Measurement Period. As a result, you will be exposed to market risk in the event the level of the Index fluctuates after we confirm the validity of your notice of election to exercise your right to have us redeem your notes, and prior to the relevant Redemption Date.

Significant aspects of the tax treatment of the notes are uncertain and certain aspects may make the notes less suitable for certain non-U.S. investors.

The tax treatment of the notes is uncertain. We do not plan to request a ruling from the Internal Revenue Service or from any Canadian tax authorities regarding the tax treatment of the notes, and the Internal Revenue Service, Canada Revenue Agency or a court may not agree with the tax treatment described in this pricing supplement.

The Internal Revenue Service has issued a notice indicating that it and the Treasury Department are actively considering whether, among other issues, a holder should be required to accrue interest over the term of an instrument such as the notes even though that holder will not receive any payments with respect to the notes until maturity and whether all or part of the gain a holder may recognize upon sale or maturity of an instrument such as the notes could be treated as ordinary income. The outcome of this process is uncertain and could apply on a retroactive basis.

Moreover, certain investors that are not “United States persons” for U.S. income tax purposes may incur U.S. tax obligations as a result of an investment in the notes.

With respect to Canadian withholding tax on interest paid or credited or deemed to be paid or credited on a note (including amounts on account or in lieu of payment of, or in satisfaction of, interest), the administrative policy of the Canada Revenue Agency is that interest paid on a debt obligation is not subject to withholding tax unless, in general, it is reasonable to consider that there is a material connection between the index or formula to which any amount payable under the debt obligation is calculated and the profits of the issuer or the debt obligation can be considered to be a substitute for a direct investment in the underlying securities in an index where dividends or gains on those underlying securities would be subject to tax in Canada if held directly by the Holder. Where there is such a material connection or the notes can be considered to be such a substitute, amounts paid or credited or deemed to be paid or credited as, on account of or in lieu of or in satisfaction of interest, on the notes may be subject to Canadian withholding tax, subject to any relief that may be available under an applicable income tax treaty or convention.

Please read carefully the section entitled “Supplemental Tax Considerations” in the product supplement and in this pricing supplement. You should consult your tax advisor about your own tax situation.

The Intraday Indicative Note Value and the Closing Indicative Note Value are not the same as the closing price or any other trading price of the notes in the secondary market.

The Intraday Indicative Note Value is calculated by ICE Data Indices, LLC (“ICE Data”). The Intraday Indicative Note Value at any point in time during the Core Trading Session of an Exchange Business Day will equal (a) the Intraday Long Index Amount minus (b) the Financing Level; provided that if such calculation results in a value equal to or less than $0, the Intraday Indicative Note Value will be $0. Because the Intraday Indicative Note Value uses an intraday Index level for its calculation, a variation in the intraday level of the Index from the previous Index Business Day’s Closing Index Level may cause a significant variation between the Closing Indicative Note Value and the Intraday Indicative Note Value on any date of determination. The Intraday Indicative Note Value also does not reflect intraday changes in the leverage; it is based on the constant Daily Leverage Factor of 4. Consequently, the Intraday Indicative Note Value may vary significantly from the previous or next Index Business Day’s Closing Indicative Note Value or the price of the notes purchased intraday.

The trading price of the notes at any time is the price at which you may be able to sell your notes in the secondary market at such time if one exists. The trading price of the notes at any time may vary significantly from the Intraday Indicative Note Value of the notes at such time due to, among other things, imbalances of supply and demand, lack of liquidity, transaction costs, credit considerations and bid-offer spreads, and any corresponding premium in the trading price may be reduced or eliminated at any time. Paying a premium purchase price over the Intraday Indicative Note Value of the notes could lead to significant losses in the event the investor sells such notes at a time when that premium is no longer present in the marketplace or the notes are called, in which case investors will receive a cash payment based on the Closing Indicative Note Value of the notes during the Call Measurement Period. See “— There is no assurance that your notes will continue to be listed on a securities exchange, and they may not have an active trading market” below. We may, without providing you notice or obtaining your consent, create and issue notes in addition to those offered by this pricing supplement having the same terms and conditions as the notes. However, we are under no obligation to sell additional notes at any time, and we may suspend issuance of new notes at any time and for any reason without providing you notice or obtaining your consent. If we limit, restrict or stop sales of additional notes, or if we subsequently resume sales of such additional notes, the price and liquidity of the notes could be materially and adversely affected, including an increase or decline in the premium purchase price of the notes over the Intraday Indicative Note Value of the notes. Before trading in the secondary market, you should compare the Intraday Indicative Note Value with the then-prevailing trading price of the notes.

Publication of the Intraday Indicative Note Value may be delayed, particularly if the publication of the intraday Index level is delayed. See “Intraday Value of the Index and the Notes—Intraday Indicative Note Values.”

There is no assurance that your notes will continue to be listed on a securities exchange, and they may not have an active trading market.

The notes have been listed on the NYSE under the ticker symbol “XXXX.” No assurance can be given as to the continued listing of the notes for their term or of the liquidity or trading market for the notes. There can be no assurance that a secondary market for the notes will be maintained. We are not required to maintain any listing of the notes on any securities exchange.

If the notes are delisted, they will no longer trade on a national securities exchange. Trading in delisted notes, if any, would be on an over-the-counter basis. If the notes are removed from their primary source of liquidity, it is possible that holders may not be able to trade their notes at all. We cannot predict with certainty what effect, if any, a delisting would have on the trading price of the notes; however, the notes may trade at a significant discount to their indicative value. If a holder had paid a premium over the Intraday Indicative Note Value of the notes and wanted to sell the notes at a time when that premium has declined or is no longer present, the investor may suffer significant losses and may be unable to sell the notes in the secondary market.

The liquidity of the market for the notes may vary materially over time, and may be limited if you do not hold at least 25,000 notes.

As stated on the cover of this pricing supplement, we sold a portion of the notes on the Initial Trade Date, and the remainder of the notes may be offered and sold from time to time, through BMOCM, our affiliate, as agent, to investors and dealers acting as principals. Certain affiliates of BMOCM may engage in limited purchase and resale transactions in the notes, and we or BMOCM may purchase notes from holders in amounts and at prices that may be agreed from time to time, although none of us are required to do so. Also, the number of notes outstanding or held by persons other than our affiliates could be reduced at any time due to early redemptions of the notes or due to our or our affiliates’ purchases of notes in the secondary market. Accordingly, the liquidity of the market for the notes could vary materially over the period you hold the notes. There may not be sufficient liquidity to enable you to sell your notes readily and you may suffer substantial losses and/or sell your notes at prices substantially less than their Intraday Indicative Note Value or Indicative Note Value, including being unable to sell them at all or only for a minimal price in the secondary market. You may elect to require us to redeem your notes, but such redemption is subject to the restrictive conditions and procedures described in this pricing supplement, including the condition that, except to the extent set forth above, you must request that we redeem a minimum of 25,000 notes on any Redemption Date.

We may sell additional notes at different prices, but we are under no obligation to issue or sell additional notes at any time, and if we do sell additional notes, we may limit or restrict such sales, and we may stop selling additional notes at any time.

In our sole discretion, we may decide to issue and sell additional notes from time to time at a price that is higher or lower than the stated principal amount, based on the Closing Indicative Note Value at that time. The price of the notes in any subsequent sale may differ substantially (higher or lower) from the issue price paid in connection with any other issuance of such notes. Additionally, any notes held by us or an affiliate in inventory may be resold at prevailing market prices. However, we are under no obligation to issue or sell additional notes at any time, and if we do sell additional notes, we may limit or restrict such sales, and we may stop selling additional notes at any time. If we start selling additional notes, we may stop selling additional notes for any reason, which could materially and adversely affect the price and liquidity of such notes in the secondary market.

Any limitation or suspension on the issuance or sale of the notes by us or BMOCM may materially and adversely affect the price and liquidity of the notes in the secondary market. Alternatively, the decrease in supply may cause an imbalance in the market supply and demand, which may cause the notes to trade at a premium over the indicative value of the notes. Any premium may be reduced or eliminated at any time. Paying a premium purchase price over the Closing Indicative Note Value could lead to significant losses if you sell those notes at a time when that premium is no longer present in the marketplace or if the notes are called at our option. If we call the notes prior to maturity, investors will receive a cash payment in an amount equal to the Call Settlement Amount, which will not include any premium. Investors should consult their financial advisors before purchasing or selling the notes, especially if they are trading at a premium.

The value of the notes in the secondary market may be influenced by many unpredictable factors.

The market value of your notes may fluctuate between the date you purchase them and the relevant date of determination. You may also sustain a significant loss if you sell your notes in the secondary market. Several factors, many of which are beyond our control, will influence the market value of the notes. We expect that, generally, the Index level on any day will affect the value of the notes more than any other single factor. The value of the notes may be affected by a number of other factors that may either offset or magnify each other.

The notes may be purchased in the secondary market at prices other than the Closing Indicative Note Value, which will have an effect on the effective leverage amount of the notes. Because the leverage exposure is fixed after the close of each Exchange Business Day (subject to the occurrence of a Market Disruption Event) and does not change intraday as the level of the Index increases or decreases, the effective leverage amount of the notes decreases when the level of the Index increases and the effective leverage amount of the notes increases when the level of the Index decreases. The table below presents the hypothetical exposure an investor has (ignoring all costs, fees and other factors) when purchasing a note intraday given the movement of the level of the Index since the Closing Index Level on the prior Index Business Day. The resulting effective exposure amount will then be constant for that purchaser until the earlier of (i) a sale or (ii) the end of the relevant day. The table below assumes the Closing Indicative Note Value for the notes was $25 on the prior Index Business Day and the Closing Index Level on the prior Index Business Day was 100.00.

The table above shows that if the level of the Index increases during the Index Business Day, your effective exposure decreases from four times leveraged long. For example, if the level of the Index increases by 20%, your effective exposure decreases from 4.00x to 2.67x.

The table above also shows that if the level of the Index decreases during the Index Business Day, your effective exposure increases from four times leveraged long. For example, if the level of the Index decreases by 20%, your effective exposure increases from 4.00x to 16.00x.

Please see the discussion in the product supplement under the caption “Risk Factors—Risks Relating to Conflicts of Interest and Hedging” for important information relating to the different roles that we and our affiliates will play in connection with the offering of the notes, and the variety of conflicts of interest that may arise.

In addition to the conflicts of interest noted in that section, please note that we will have the rights set forth in the “Summary” section above, including the right to elect to increase the Financing Spread, up to the limits set forth in the “Summary” section.

The Index Sponsor may adjust the Index in a way that may affect its level, and the Index Sponsor has no obligation to consider your interests.

S&P Dow Jones Indices, as the Index Sponsor, is responsible for maintaining the Index. The Index Sponsor can add, delete or substitute an Index constituent or make other methodological changes that could change the Index level. Changes to the Index constituents may affect the Index, as a newly added equity security may perform significantly better or worse than the Index constituent or constituents it replaces.

Additionally, the Index Sponsor may alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely affect the value of the notes. The Index Sponsor has no obligation to consider your interests in calculating or revising the Index, and you will not have any rights against the Index Sponsor if it takes any such action. See “The Index.”

We and our affiliates have no affiliation with the Index Sponsor, and are not responsible for any of its public disclosure of information.

We and our affiliates are not affiliated with the Index Sponsor (except for licensing arrangements discussed under “The Index — License Agreement”) and have no ability to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods or policies relating to the calculation of the Index. If the Index Sponsor discontinues or suspends the calculation of the Index, it may become difficult to determine the market value of the notes and the payment at maturity, call or upon early redemption. The Calculation Agent may designate a successor index in its sole discretion. If the Calculation Agent determines in its sole discretion that no successor index comparable to the Index exists, the payment you receive at maturity, call or upon early redemption will be determined by the Calculation Agent in its sole discretion. See the section in the product supplement, “Additional Terms of the Notes — Discontinuance or Modification of an Index.”

The Index Sponsor is not involved in the offering of the notes in any way and does not have any obligation of any sort with respect to your notes. We are not affiliated with the Index Sponsor, and the Index Sponsor does not have any obligation to take your interests into consideration for any reason, including when taking any actions that might affect the value of the notes.

We have derived the information about the Index Sponsor and the Index from publicly available information, without independent verification. Neither we nor any of our affiliates have undertaken any independent review of the publicly available information about the Index Sponsor or the Index contained in this pricing supplement. You, as an investor in the notes, should make your own independent investigation into the Index Sponsor and the Index.

The Index Sponsor may, in its sole discretion, discontinue the public disclosure of the intraday Index value and the end-of-day Closing Index Level.

The Index Sponsor is under no obligation to holders of the notes to continue to calculate the intraday Index value and end-of-day Closing Index Level, or to calculate similar values for any successor index. If the Index Sponsor discontinues such public disclosure, we may not be able to provide the Intraday Indicative Note Values or the Closing Indicative Note Value.

We are not currently affiliated with any of the issuers of the Index components.

We are not currently affiliated with any of the issuers of the components of the Index. As a result, we have no ability, nor expect to have the ability in the future, to control the actions of these companies, including actions that could affect the level of the Index or the value of your notes, and we are not responsible for any disclosure made by any other company. None of the money you pay us will go to any of the constituent issuers represented in the Index and none of the constituent issuers will be involved in the offering of the notes in any way. These companies will not have any obligation to consider your interests as a holder of the notes in taking any corporate actions that might affect the value of your notes.

The following examples and tables illustrate how the notes would perform at maturity in hypothetical circumstances. They are intended to highlight how the return on the notes is affected by the daily performance of the Index, fees, leverage, compounding and path dependency. For ease of review, the hypotheticals cover a 22-day period.

The resetting of the leverage on each day is likely to cause each note to experience a “decay” effect, which is likely to worsen over time and will be greater the more volatile the level of the Index. The “decay” effect refers to the tendency of the notes to lose value over time. Accordingly, the notes are not suitable for intermediate- or long-term investment, as any intermediate- or long-term investment is very likely to sustain significant losses, even if the Index appreciates over the relevant time period. Although the decay effect is more likely to impact the return on the notes the longer the notes are held, the decay effect can have a significant impact on the note performance even over a period as short as two days. The notes are suitable only for sophisticated investors. If you invest in the notes, you should continuously monitor your holdings of the notes and make investment decisions at least on each Exchange Business Day. Please see the section "— Illustrations of the “Decay” Effect on the Notes" below.

We have shown two sets of examples: 1 to 4 and 5 to 8. Examples 1 to 4 are based upon the minimum Financing Spread of 2.00%. Examples 5 to 8 show the impact if we elect to increase this amount to the maximum extent described above, to a Financing Spread of 4.00%. All of these examples assume that the Federal Reserve Bank Prime Loan Rate remains constant at 8.50% during the relevant period.

We have included examples in which the Index level alternatively increases and decreases at a constant rate of 3.00% per day, with the Index level decreasing by 0.99 points by day 22 (Examples 1 and 5), with a Note Return of -16.42% (Example 1) and -16.73% (Example 5); we have also included examples in which the Index level decreases at a constant rate of 3.00% per day, decreasing -48.83 points by day 22 (Examples 2 and 6), with a Note Return of -94.13% (Example 2) and -94.15% (Example 6).

Examples 3 and 4, and examples 7 and 8, highlight the effect of volatility in the Index. In Example 3 and 7, the Index level increases by a constant 1.00% per day, with an increase of 24.47 points by day 22 and a Note Return of 132.57% (Example 3) and 131.77% (Example 7). In contrast, in Examples 4 and 8, at day 22, the Index level has increased 24.87 points; however, due to the volatility of the Index on a daily basis, the Note Return is -66.69% (in Example 4) and -66.84% in Example 8), resulting in significant differences from the Note Returns in Example 3 and 7. For ease of analysis and presentation, all of examples 1-8 assume that the notes were purchased on the Initial Trade Date at the Closing Indicative Note Value and disposed of on the Maturity Date, no Market Disruption Events occurred and that the term of the notes is 22 days. In Examples 1-8, the Daily Investor Fee and the Daily Financing Charge assume that there are no weekends or holidays. The examples assume that every calendar day is an Exchange Business Day. The examples do not contemplate a call or early redemption during the relevant period.

These examples highlight the impact of the Daily Investor Fee, leverage and compounding on the payment at maturity under different circumstances and are provided for illustration only; many other factors will affect the value of the notes. These hypothetical examples should not be taken as an indication or a prediction of future Index performance or investment results and are intended to illustrate a few of the possible returns on the notes. Because the Closing Indicative Note Value takes into account the net effect of the Daily Investor Fee, which is a fixed percentage of the value of the notes, and the performance of the Index, the Closing Indicative Note Value is dependent on the path taken by the Index level to arrive at its ending level. The figures in these examples have been rounded for convenience.

We cannot predict the actual Index level at any time during the term of the notes or the market value of the notes, nor can we predict the relationship between the Index level and the market value of your notes at any time prior to the Maturity Date. The actual amount that a holder of the notes will receive at maturity or call, or upon early redemption, as the case may be, and the rate of return on the notes will depend on the actual Closing Index Levels during the term of the notes and during the Final Measurement Period, Call Measurement Period or Redemption Measurement Period, as applicable, the Daily Investor Fee, Daily Financing Charge, Index volatility and the Redemption Fee Amount, if applicable. Moreover, the assumptions on which the hypothetical returns are based are purely for illustrative purposes. Consequently, the amount to be paid in respect of the notes, if any, on the Maturity Date, Call Settlement Date or the relevant Redemption Date, as applicable, may be very different from the information reflected in this section.

Example 1: The Index level alternatively increases then decreases by a constant 3.00% per day.

Example 5: The Index level alternatively increases then decreases by a constant 3.00% per day.

Table 1: Expected return on the notes over one year of Index performance, without giving effect to the Daily Investor Fee and the Daily Financing Charge, and assuming a constant daily leverage and volatility over time.

Table 1 illustrates the effect of two factors that affect the notes’ performance: Index volatility and Index return. Index volatility is a statistical measure of the magnitude of fluctuations in the returns of the Index and is calculated as the standard deviation of the natural logarithms of the Index Performance Factor (calculated daily), multiplied by the square root of the number of Index Business Days per year (assumed to be 252). Table 1 shows estimated note returns for a number of combinations of Index volatility and Index return over a one-year period. To isolate the impact of daily leveraged exposure, the table assumes no Daily Investor Fees and a Daily Financing Rate of 0% and that the volatility of the Index remains constant over time. If these assumptions were different, the notes’ performance would be different than that shown. If the effect of the Daily Investor Fee and the Daily Financing Rate were included, the notes’ performance would be different than shown.

Because the return on the notes is linked to a four times leveraged participation in the performance of the Index, compounded daily, the notes might be incorrectly expected to achieve a 40% return on a yearly basis if the Index return was 10%, absent the effects of compounding. However, as Table 1 shows, with an Index volatility of 40%, and given the assumptions listed above, the notes would return -43.94%. In Table 1, shaded areas represent those scenarios where the notes will outperform (i.e., return more than) the Index performance times 4.0 leverage; conversely, areas not shaded represent those scenarios where the notes will underperform (i.e., return less than) the Index performance times 4.0 leverage.

This table highlights the impact of leverage and compounding on the payment at maturity under different circumstances. Many other factors will affect the value of the notes, and these figures are provided for illustration only. This table should not be taken as an indication or a prediction of future Index performance or investment results and are intended to illustrate a few of the possible returns on the notes. Because the Closing Indicative Note Value takes into account the net effect of the Daily Investor Fee, which is a fixed percentage of the value of the notes, and the performance of the Index, the Closing Indicative Note Value is dependent on the path taken by the Index level to arrive at its ending level. The figures in this table have been rounded for convenience.

The daily resetting of the notes’ leveraged exposure to the Index is expected to cause the notes to experience a “decay” effect, which worsens over time and increases with the volatility of the Index. The decay effect refers to the tendency of the notes to lose value over time, regardless of the performance of the Index. The decay effect occurs any time the Index moves in a direction on one day that is different from the direction it moved on the prior day. If the Index increases one day and decreases the next, the resetting of the leveraged exposure based on the higher value after the first day means that a greater amount of value is exposed to the decrease on the next day than if the leveraged exposure had not been reset; and if the Index decreases one day and increases the next, the resetting of the leveraged exposure based on the lower value after the first day means that a smaller amount is exposed to the increase on the next day. One consequence of this daily resetting of leverage is that, if the Index moves in one direction from Day 0 to Day 1 and then returns to its Day 0 level on Day 2, the Closing Indicative Note Value of the notes will be lower on Day 2 than it was on Day 0, even though the Closing Index Level is the same on Day 2 as it was on Day 0. As a result of this decay effect, it is extremely likely that the value of the notes will decline to near zero (absent reverse splits) by the Maturity Date, and likely significantly sooner. Accordingly, the notes are not suitable for intermediate- or long-term investment, as any intermediate-or long-term investment is very likely to sustain significant losses, even if the Index increases over the relevant time period. Although the decay effect is more likely to manifest itself the longer the notes are held, the decay effect can have a significant impact on the performance of the notes, even over a period as short as two days. The notes are not intended to be “buy and hold” investments. If you invest in the notes, you should continuously monitor your holding of the notes and make investment decisions at least on each Index Business Day, or even intraday.

The examples below are designed to illustrate the decay effect on the Closing Indicative Note Value of the notes over a short period of time. To isolate the decay effect, the examples below disregard the effects of the Daily Financing Charge and the Daily Investor Fee. If the Daily Financing Charge and the Daily Investor Fee were also taken into account, then the hypothetical Closing Indicative Note Values below would be even lower.

Each of the examples below illustrates hypothetical daily fluctuations in the Closing Index Level over a period of 10 Index Business Days. By showing changes over 10 Index Business Days, we are not suggesting that 10 Index Business Days is an appropriate period of time to hold the notes. Rather, we are showing changes over 10 Index Business Days to illustrate how the decay effect increases over a number of days, and to illustrate the risks of holding the notes for more than one Index Business Day. As described elsewhere in this pricing supplement, the notes are intended to be daily trading tools for sophisticated investors to manage daily trading risks.

In each of the examples below, the Closing Index Level is the same at the end of the hypothetical 10 Index Business Day period as it was at the beginning of the period. We are showing examples on this basis to illustrate how the decay effect has an impact on the Closing Indicative Note Value of the notes that is independent from the directional performance of the Index. If the Index were to move in an adverse direction (i.e., lower in the case of the notes) over the relevant time period, the Closing Indicative Note Values would be lower than in the examples illustrated below.

The examples below are based on a hypothetical Closing Index Level of 100 and a hypothetical Closing Indicative Note Value of $100 at the beginning of the hypothetical 10 Index Business Day period.

In this example, the Index fluctuates by 1% per day (as a percentage of the initial level) over a 10 Index Business Day period.

In this example, although the Closing Index Level fluctuated within a narrow range around the initial level and concluded the hypothetical 10 Index Business Day period at the same level at which it started, the Closing Indicative Note Value of the notes experienced a decay of -0.60% (before giving effect to the Daily Financing Charge and the Daily Investor Fee).

In this example, the Index fluctuates by 5% per day (as a percentage of the initial level) over a 10 Index Business Day period.

In this example, although the Closing Index Level fluctuated around the initial level and concluded the hypothetical 10 Index Business Day period at the same level at which it started, the Closing Indicative Note Value of the notes experienced a decay of -14.03% (before giving effect to the Daily Financing Charge and the Daily Investor Fee).

In this example, the Index fluctuates by 12% per day (as a percentage of the initial level) over a 10 Index Business Day period.

In this example, although the Closing Index Level fluctuated around the initial level and concluded the hypothetical 10 Index Business Day period at the same level at which it started, the Closing Indicative Note Value of the notes experienced a decay of -60.93% (before giving effect to the Daily Financing Charge and the Daily Investor Fee).

In this example, the greater magnitude of the daily changes in the Closing Index Level as compared to both of the prior examples results in significantly greater decay, with a decay of -60.93%. The Closing Indicative Note Value experienced this significant decay even though the Closing Index Level concluded the hypothetical 10 Index Business Day period at the same level at which it started. As this example illustrates, the greater the daily fluctuations in the Closing Index Level (i.e., the greater the volatility), the greater the decay.

In each example, there is no change in the Closing Index Level from Day 0 to Day 10, in order to isolate the decay effect from other factors that affect the Closing Indicative Note Value. If the Index level decreases over the same time period, that adverse Index movement would have caused the Closing Indicative Note Value to be even lower. For example, on Day 7 of Example 3 above, the Index level was 12% lower than it was on Day 0, and the Closing Indicative Note Value was 70.11% lower on that day than it was on Day 0, for a loss that is greater than 4 times the decline of the Index from Day 0 to Day 7.

The above examples illustrate the following important points about the decay effect over any holding period of more than one day:

The decay effect worsens over time. In each of the examples above, the Closing Index Level returns to the original level of 100 on multiple days during the 10 Index Business Day period. Each time the level returns to 100, the Closing Indicative Note Value is lower than it was on any earlier date on which the Closing Index Level was 100. The same is true for each of the other Closing Index Levels shown in the examples above.

Although the decay effect worsens over time, it can have a meaningful effect even over a period as short as two days. In Example 3 above, the Closing Index Level falls from 100 to 88 from Day 2 to Day 3 and then returns to 100 on Day 4. Although the Closing Index Level is the same on Day 4 as it was on Day 2, the Closing Indicative Note Value of the notes on Day 4 was lower, and in the case of Example 3, significantly lower, than it was on Day 2.

The decay effect worsens as volatility increases. Volatility refers to the average magnitude of daily fluctuations in the Closing Index Level over any period of time. The daily fluctuations in Example 2 are significantly larger than they are in Example 1, and the daily fluctuations in Example 3 are significantly larger than they are in Example 2. As a result, the decline in the Closing Indicative Note Value in Example 2 is significantly greater than it is in Example 1, and the decline in the Closing Indicative Note Value in Example 3 is significantly greater than it is in Example 2.

The daily compounding of returns will adversely affect the Closing Indicative Note Value of the notes any time the Closing Index Level moves in a different direction on one day than it did on the prior day. If the Closing Index Level increases from Day 0 to Day 1 and then decreases by the same amount from Day 1 to Day 2, or if the Closing Index Level decreases from Day 0 to Day 1 and then increases by the same amount from Day 1 to Day 2, the Closing Indicative Note Value on Day 2 will be lower than it was on Day 0, even though the Closing Index Level on Day 2 is the same as it was on Day 0.

The 4-to-1 leverage ratio does not hold for any period longer than one day. In Example 3 above, the 70.11% loss reflected in the Closing Indicative Note Value from Day 0 to Day 7 was approximately 5.84 times greater than the 12% decline in the Closing Index Level over the same period.

In fact, the Closing Indicative Note Value of the notes may decline significantly over any given time period even if the Closing Index Level from the beginning to the end of that time period increases. For example, in Example 3 above, the Closing Index Level has increased by 12% from Day 0 to Day 9, but the Closing Indicative Note Value was 31.64% lower on Day 9 than it was on Day 0.

Each Index Business Day, the Index Sponsor publishes the intraday Index value during normal trading hours on Bloomberg under the ticker symbol “SPXT<Index>.”

The Index Sponsor is not affiliated with Bank of Montreal and does not approve, endorse, review or recommend the Index or the notes. The information used in the calculation of the intraday Index value will be derived from sources the Index Sponsor deems reliable, but the Index Sponsor and its affiliates do not guarantee the correctness or completeness of the intraday Index value or other information furnished in connection with the notes or the calculation of the Index. The Index Sponsor makes no warranty, express or implied, as to results to be obtained by Bank of Montreal, holders of the notes, or any other person or entity from the use of the intraday Index value or any data included therein. The Index Sponsor makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose with respect to the intraday Index value or any data included therein. The Index Sponsor, its employees, subcontractors, agents, suppliers and vendors shall have no liability or responsibility, contingent or otherwise, for any injury or damages, whether caused by the negligence of the Index Sponsor, its employees, subcontractors, agents, suppliers or vendors or otherwise, arising in connection with the intraday Index value or the notes, and shall not be liable for any lost profits, losses, punitive, incidental or consequential damages. The Index Sponsor shall not be responsible for or have any liability for any injuries or damages caused by errors, inaccuracies, omissions or any other failure in, or delays or interruptions of, the intraday Index value from whatever cause. The Index Sponsor is not responsible for the selection of or use of the Index or the notes, the accuracy and adequacy of the Index or information used by Bank of Montreal and the resultant output thereof.

The intraday calculation of the level of the Index will be provided for reference purposes only. Published calculations of the level of the Index from the Index Sponsor may occasionally be subject to delay or postponement. Any such delays or postponements will affect the current level of the Index and therefore the value of the notes in the secondary market. The intraday Index level published every 15 seconds will be based on the intraday prices of the Index constituents.

An Intraday Indicative Note Value, which is our approximation of the value of the notes, will be calculated and published by ICE Data or a successor to the Consolidated Tape and ICE Data Global Index Feed, and will be available on Bloomberg under the ticker symbol “XXXXIV” every 15 seconds during normal trading hours. The actual trading price of the notes may vary significantly from their Intraday Indicative Note Value. In connection with the notes, we use the term “indicative value” to refer to the value at a given time equal to (a) the Intraday Long Index Amount minus (b) the Financing Level; provided that if such calculation results in a value equal to or less than $0, then both the Intraday Indicative Note Value and the Closing Indicative Note Value will be $0. The Intraday Long Index Amount will equal the product of (a) the Closing Indicative Note Value on the immediately preceding Exchange Business Day times (b) the Daily Leverage Factor times (c) the Intraday Index Performance Factor. The Intraday Index Performance Factor equals (a) the most recently published Index level divided by (b) the Closing Index Level on the preceding Index Business Day.

If the Intraday Indicative Note Value of the notes is equal to or less than $0 at any time on any Exchange Business Day, then both the Intraday Indicative Note Value and the Closing Indicative Note Value of the notes on that day, and for the remainder of the term of the notes, will be $0 (a total loss of value).

The Intraday Indicative Note Value is meant to approximate the value of the notes at a particular time. There are three elements of the formula: the Intraday Long Index Amount, the Financing Level and the Intraday Index Performance Factor (using, instead of the Closing Index Level for the date of determination, the intraday Index level at the time of determination), as described immediately above. Because the intraday Index level and the Intraday Long Index Amount are variable, the Intraday Indicative Note Value translates the change in the Index level from the previous Exchange Business Day, as measured at the time of measurement, into an approximation of the expected value of the notes. The Intraday Indicative Note Value uses an intraday Index level for its calculation; therefore, a variation in the intraday level of the Index from the previous Exchange Business Day’s Closing Index Level may cause a significant variation between the Closing Indicative Note Value and the Intraday Indicative Note Value on any date of determination. The Intraday Indicative Note Value also does not reflect intraday changes in the leverage; it is based on the constant Daily Leverage Factor of 4. Consequently, the Intraday Indicative Note Value may vary significantly from the previous or next Exchange Business Day’s Closing Indicative Note Value or the price of the notes purchased intraday. See “Risk Factors—The notes are subject to intraday purchase risk” and “—The leverage of the notes is reset daily, and the effective leverage of the notes during any given day may be greater than or less than 4.0.” The Intraday Indicative Note Value may be useful as an approximation of what price an investor in the notes would receive if the notes were to be redeemed or if they matured, each at the time of measurement. The Intraday Indicative Note Value may be helpful to an investor in the notes when comparing it against the notes’ trading price on the NYSE and the most recently published level of the Index.

The Intraday Indicative Note Value calculation will be provided for reference purposes only. It is not intended as a price or quotation, or as an offer to solicitation for the purpose, sale, or termination of your notes, nor will it reflect hedging or other transactional costs, credit considerations, market liquidity or bid-offer spreads. The levels of the Index provided by the Index Sponsor will not necessarily reflect the depth and liquidity of the Index constituents. For this reason and others, the actual trading price of the notes may be different from their indicative value. For additional information, please see “Risk Factors—The Intraday Indicative Note Value and the Closing Indicative Note Value are not the same as the closing price or any other trading price of the notes in the secondary market” in this pricing supplement.

The calculation of the Intraday Indicative Note Value shall not constitute a recommendation or solicitation to conclude a transaction at the level stated, and should not be treated as giving investment advice.

The publication of the Intraday Indicative Note Value of the notes by ICE Data may occasionally be subject to delay or postponement. If the intraday Index value is delayed, then the Intraday Indicative Note Value of the notes will also be delayed. The actual trading price of the notes may be different from their Intraday Indicative Note Value. The Intraday Indicative Note Value of the notes published at least every 15 seconds from 9:30 a.m. to 6:00 p.m., New York City time, will be based on the intraday values of the Index, and may not be equal to the payment at maturity, call or redemption.

The indicative value calculations will have been prepared as of a particular date and time and will therefore not reflect subsequent changes in market values or prices or in any other factors relevant to their determination.

If you want to sell your notes but are unable to satisfy the Minimum Redemption Amount, you may attempt to sell your notes into the secondary market at any time, subject to the risks described under “Risk Factors—Risks Relating to Liquidity and the Secondary Market—There is no assurance that your notes will continue to be listed on a securities exchange, and they may not have an active trading market” and “—The value of the notes in the secondary market may be influenced by many unpredictable factors.” Also, the price you may receive for the notes in the secondary market may differ from, and may be significantly less than, the Redemption Amount.

Neither the Index Sponsor nor any of its affiliates are affiliated with Bank of Montreal or BMOCM and do not approve, endorse, review or recommend Bank of Montreal, BMOCM or the notes.

The Intraday Indicative Note Values of the notes calculated by ICE Data are derived from sources deemed reliable, but ICE Data and its affiliates and suppliers do not guarantee the correctness or completeness of the notes, their values or other information furnished in connection with the notes. ICE Data and its affiliates make no warranty, express or implied, as to results to be obtained by BMOCM, Bank of Montreal, the holders of the notes, or any other person or entity from the use of the notes, or any date or values included therein or in connection therewith. ICE Data and its affiliates make no express or implied warranties, and expressly disclaim all warranties of merchantability or fitness for a particular purpose with respect to the notes, or any data or values included therein or in connection therewith.

We have derived all information contained in this pricing supplement regarding the Index, including, without limitation, its make-up, performance, method of calculation and changes in its constituents, from publicly available sources. Such information reflects the policies of and is subject to change by the Index Sponsor. We have not undertaken any independent review or due diligence of such information. The Index Sponsor has no obligation to continue to publish, and may discontinue the publication of, the Index. The description of the Index is summarized from its governing methodology, which is available on the website maintained by the Index Sponsor. Neither the methodology nor any other information included on any website maintained by the Index Sponsor is included or incorporated by reference into this pricing supplement.

The Index is an equity index that is intended to provide an indication of the pattern of common stock price movement in the large capitalization segment of the United States equity market. The Index is a total return index, in which dividends paid on the applicable securities are included in the level of the Index.

While S&P currently employs the following methodology to calculate the Index, no assurance can be given that S&P will not modify or change this methodology in a manner that may affect the payments on the notes.

Historically, the market value of any component stock of the Index was calculated as the product of the market price per share and the number of then outstanding shares of such component stock. In March 2005, S&P began shifting the Index halfway from a market capitalization weighted formula to a float-adjusted formula, before moving the Index to full float adjustment on September 16, 2005. S&P’s criteria for selecting stocks for the Index did not change with the shift to float adjustment. However, the adjustment affects each company’s weight in the Index.

Under float adjustment, the share counts used in calculating the Index reflect only those shares that are available to investors, not all of a company’s outstanding shares. Float adjustment excludes shares that are closely held by control groups, other publicly traded companies or government agencies.

In September 2012, all shareholdings representing more than 5% of a stock’s outstanding shares, other than holdings by “block owners,” were removed from the float for purposes of calculating the Index. Generally, these “control holders” will include officers and directors, private equity, venture capital and special equity firms, other publicly traded companies that hold shares for control, strategic partners, holders of restricted shares, ESOPs, employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock, government entities at all levels (other than government retirement/pension funds) and any individual person who controls a 5% or greater stake in a company as reported in regulatory filings. However, holdings by block owners, such as depositary banks, pension funds, mutual funds and ETF providers, 401(k) plans of the company, government retirement/pension funds, investment funds of insurance companies, asset managers and investment funds, independent foundations and savings and investment plans, will ordinarily be considered part of the float.

Treasury stock, stock options, equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held in a trust to allow investors in countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares are normally part of the float unless those shares form a control block.

For each stock, an investable weight factor (“IWF”) is calculated by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total shares outstanding less shares held by control holders. This calculation is subject to a 5% minimum threshold for control blocks. For example, if a company’s officers and directors hold 3% of the company’s shares, and no other control group holds 5% of the company’s shares, S&P would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However, if a company’s officers and directors hold 3% of the company’s shares and another control group holds 20% of the company’s shares, S&P would assign an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are considered to be held for control.

As of July 31, 2017, companies with multiple share class lines are no longer eligible for inclusion in the Index. Constituents of the Index prior to July 31, 2017 with multiple share class lines were grandfathered in and continue to be included in the Index. If a constituent company of the Index reorganizes into a multiple share class line structure, that company will remain in the Index at the discretion of the S&P Index Committee in order to minimize turnover.

The Index is calculated using a base-weighted aggregate methodology. The calculation of the Index begins with the price return calculation of the S&P 500^® Index (the "price return index"). The level of the price return index reflects the total market value of all 500 component stocks relative to the base period of the years 1941 through 1943. An indexed number is used to represent the results of this calculation in order to make the level easier to use and track over time. The actual total market value of the component stocks during the base period of the years 1941 through 1943 has been set to an indexed level of 10. This is often indicated by the notation 1941-43 = 10. In practice, the daily calculation of the price return index is computed by dividing the total market value of the component stocks by the “index divisor.” By itself, the index divisor is an arbitrary number. However, in the context of the calculation of the price return index, it serves as a link to the original base period level of the price return index. The index divisor keeps the price return index comparable over time and is the manipulation point for all adjustments to the Index, which is index maintenance.

Once the price return index has been calculated, the level of the Index (i.e., the total return calculation of the S&P 500^® Index) is calculated. First, the total daily dividend for each stock in the Index is calculated by multiplying the per share dividend by the number of shares included in the Index. Then the Index dividend is calculated by aggregating the total daily dividends for each of the stocks in the Index (which may be zero for some stocks) and dividing by the divisor for that day. Next the daily total return of the Index is calculated as a fraction minus 1, the numerator of which is the sum of the Index level plus the Index dividend and the denominator of which is the Index level on the previous day. Finally, the level of the Index for that day is calculated as the product of the level of the Index on the previous day times the sum of 1 plus the daily total return of the Index for that day.

Index maintenance includes monitoring and completing the adjustments for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to company restructuring or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares outstanding and the stock prices of the companies in the Index, and do not require index divisor adjustments. When a company pays an ordinary cash dividend, the Index does not make any adjustments to the price or shares of the stock. As a result, there are no divisor adjustments to the Index.

To prevent the level of the Index from changing due to corporate actions, corporate actions which affect the total market value of the Index require an index divisor adjustment. By adjusting the index divisor for the change in market value, the level of the Index remains constant and does not reflect the corporate actions of individual companies in the Index. Index divisor adjustments are made after the close of trading and after the calculation of the closing level of the Index.

Changes in a company’s total shares outstanding of 5% or more due to public offerings are made as soon as reasonably possible. Other changes of 5% or more (for example, due to tender offers, Dutch auctions, voluntary exchange offers, company stock repurchases, private placements, acquisitions of private companies or non-index companies that do not trade on a major exchange, redemptions, exercise of options, warrants, conversion of preferred stock, notes, debt, equity participations, at-the-market stock offerings or other recapitalizations) are made weekly, and are generally announced on Fridays for implementation after the close of trading the following Friday (one week later). If a 5% or more share change causes a company’s IWF to change by five percentage points or more, the IWF is updated at the same time as the share change. IWF changes resulting from partial tender offers are considered on a case-by-case basis.

S&P^®, S&P 500^®, US 500 and The 500 are trademarks of Standard & Poor's Financial Services LLC and Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"). These trademarks have been licensed for use by S&P and sublicensed for certain purposes by the Issuer. The S&P 500^® Index (the "Index") is a product of S&P and/or its affiliates and has been licensed for use by the Issuer. The notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, Standard & Poor’s Financial Services LLC or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the holders of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the Index to track general market performance. S&P Dow Jones Indices’ only relationship to the Issuer with respect to the Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The Index is determined, composed and calculated by S&P Dow Jones Indices without regard to the Issuer or the notes. S&P Dow Jones Indices have no obligation to take our needs or the needs of the Issuer or holders of the notes into consideration in determining, composing or calculating the Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of the notes or the timing of the issuance or sale of the notes or in the determination or calculation of the equation by which the notes are to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of the notes. There is no assurance that investment products based on the Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion of a security or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the notes currently being issued by the Issuer, but which may be similar to and competitive with the notes. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the Index. It is possible that this trading activity will affect the value of the notes.

S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY THE ISSUER, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND THE ISSUER, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

This section contains historical closing levels of the Index from January 1, 2014 to January 9, 2024.

The following is a general description of certain tax considerations relating to the notes. It does not purport to be a complete analysis of all tax considerations relating to the notes. Prospective purchasers of the notes should consult their tax advisors as to the consequences under the tax laws of the country of which they are resident for tax purposes and the tax laws of Canada and the U.S. of acquiring, holding and disposing of the notes and receiving payments under the notes. This summary is based upon the law as in effect on the date of this pricing supplement and is subject to any change in law that may take effect after such date.

For a summary of Canadian tax considerations relevant to an investment in the notes, please see the sections entitled “Canadian Taxation” in the accompanying prospectus and the section entitled “Certain Income Tax Consequences—Certain Canadian Income Tax Considerations” in the accompanying prospectus supplement.

Having regard to the terms of the notes and tax counsel’s understanding of the Canada Revenue Agency’s administrative policy, amounts paid or credited or deemed to be paid or credited on a note as, on account of or in lieu of payment of, or in satisfaction of, interest should not be considered to be Participating Debt Interest and therefore should not be subject to withholding tax (but see “Risk Factors”).

By purchasing the notes, each holder agrees (in the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat each note as a pre-paid cash-settled derivative contract for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the notes are uncertain and the Internal Revenue Service could assert that the notes should be taxed in a manner that is different from that described in the preceding sentence. Please see the discussion (including the opinion of our special U.S. tax counsel, Ashurst LLP) in the product supplement under “Supplemental Tax Considerations—U.S. Federal Income Tax Considerations,” which applies to the notes, except that the following disclosure supplements the discussion in the product supplement.

Under Section 871(m) of the Code, withholding on “dividend equivalent” payments (as discussed in the product supplement), if any, generally will apply to instruments that are issued as of the date of this pricing supplement if such instruments are “delta-one” instruments. However, regulations issued under Section 871(m) provide that delta-one instruments that reference a “qualified index” generally are not subject to withholding under Section 871(m). In general, a qualified index is a diverse, passive, and widely used index that satisfies, as of the applicable determination date, the requirements prescribed by the Section 871(m) regulations. The determination as to whether an instrument references a qualified index is based on whether the index is a qualified index on the first business day of the calendar year in which the instrument is issued. If an index is a qualified index as of such day, then, subject to the discussion below, instruments that reference such qualified index and that are issued during the calendar year will be treated as referencing a qualified index during their term.

Based on applicable requirements of the regulations issued under Section 871(m), we intend to take the position that the Index should be treated as a qualified index for 2024. Accordingly, we believe that, subject to the discussion below, non-U.S. holders should not be subject to Section 871(m) withholding tax, or any other U.S. federal income tax, with respect to notes that reference the Index and that are issued during 2024. A note will not be treated as referencing a qualified index if, in connection with the note, a holder or a related party holds a related short position in one or more of the component securities in the qualified index (other than a short position in the entire index, or a “de minimis” short position with respect to index components that have a value of 5% or less of the value of the long positions in the qualified index). A holder may be required, including by custodians and other withholding agents, to make representations regarding the nature of any other positions entered into by the holder and related parties with respect to components of the Index. A holder that enters, or has entered, into other transactions in respect to components of the Index should consult its own tax advisor regarding the application of Section 871(m) to the notes and such other transactions.

In addition, it is possible that the Index will not be a qualified index in a future year of determination. A note that is issued, or deemed issued for tax purposes, in such future year may be subject to the Section 871(m) withholding tax. A note could be deemed to be reissued for tax purposes if we or an affiliate acquire and then sell notes in the secondary market. Furthermore, it is possible that the notes could be deemed to be reissued for tax purposes each time the Index rebalances or is adjusted. Moreover, notes that are not subject to Section 871(m) withholding tax are expected to have the same CUSIP or ISIN number as notes that are subject to Section 871(m) withholding tax, and accordingly withholding agents may not be able to distinguish among notes that are subject to withholding and those that are not. As a result, if we issue (or are deemed to issue) notes in the future that are subject to Section 871(m), withholding agents may withhold on all notes, regardless of whether particular notes are not subject to Section 871(m) withholding tax.

The terms and conditions set forth in a Distribution Agreement between Bank of Montreal and the Agents party thereto, including BMOCM, govern the sale and purchase of the notes.

On the Initial Trade Date, we sold an aggregate of $4,000,000 principal amount of the notes through BMOCM and through one or more dealers purchasing as principal through BMOCM for $25 per note. We received proceeds equal to 100% of the offering price of those notes. After giving effect to the $18,750,000 in principal amount of the notes that we will issue on January 11, 2024, an aggregate of $50,000,000 in principal amount of the notes will be outstanding.

Additional notes may be offered and sold after the date of this document from time to time through BMOCM and one or more dealers at a price that is higher or lower than the stated principal amount, based on the Closing Indicative Note Value at that time. Sales of the notes after the Initial Trade Date will be made at market prices prevailing at the time of sale, at prices related to market prices or at negotiated prices. We will receive proceeds equal to 100% of the price that the notes are sold to the public, less any commissions paid to BMOCM or any other dealer. In addition, BMOCM may receive a portion of the Daily Investor Fee. We may not sell the full amount of notes offered by this pricing supplement, and may discontinue sales of the notes at any time.

We may deliver notes against payment therefor on a date that is greater than two business days following the date of sale of any notes. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in two business days, unless parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to transact in notes that are to be issued more than two business days after the related trade date will be required to specify alternative settlement arrangements to prevent a failed settlement.

BMOCM and any other agent and dealer in the initial and any subsequent distribution are expected to charge normal commissions for the purchase of the notes.

Broker-dealers may make a market in the notes, although none of them are obligated to do so and any of them may stop doing so at any time without notice. This prospectus (such term includes this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus) may be used by such dealers and our affiliates in connection with market-making transactions. In these transactions, dealers may resell a note covered by this prospectus that they acquire from us, BMOCM or other holders after the original offering and sale of the notes, or they may sell any notes covered by this prospectus in short sale transactions. This prospectus will be deemed to cover any short sales of notes by market participants who cover their short positions with notes borrowed or acquired from us or our affiliates in the manner described above.

Broker-dealers and other market participants are cautioned that some of their activities, including covering short sales with notes borrowed from us or one of our affiliates, may result in their being deemed participants in the distribution of the notes in a manner that would render them statutory underwriters and subject them to the prospectus delivery and liability provisions of the Securities Act of 1933 (the “Securities Act”). A determination of whether a particular market participant is an underwriter must take into account all the facts and circumstances pertaining to the activities of the participant in the particular case, and the example mentioned above should not be considered a complete description of all the activities that would lead to designation as an underwriter and subject a market participant to the prospectus delivery and liability provisions of the Securities Act.

BMOCM or another FINRA member will provide certain services relating to the distribution of the notes and may be paid a fee for its services equal to all, or a portion of, the Daily Investor Fee. BMOCM may also pay fees to other dealers pursuant to one or more separate agreements. Any portion of the Daily Investor Fee paid to BMOCM or such other FINRA member will be paid on a periodic basis over the term of the notes. Although BMOCM will not receive any discounts in connection with such sales, BMOCM is expected to charge normal commissions for the purchase of any such notes.

BMOCM will act as our agent in connection with any redemptions at the investor’s option, and the Redemption Fee Amount applicable to any such redemptions will be paid to us. Additionally, it is possible that BMOCM and its affiliates may profit from expected hedging activities related to this offering, even if the value of the notes declines.

The notes are not intended for purchase by any investor that is not a United States person, as that term is defined for U.S. federal income tax purposes, and no dealer may make offers of the notes to any such investor.

We may use this pricing supplement in the initial sale of the notes. In addition, BMOCM or another of our affiliates may use this pricing supplement in market-making transactions in the notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale or in a notice delivered at the same time as the confirmation of sale, this pricing supplement is being used in a market-making transaction.

We may, at our sole discretion, “reopen” or reissue the notes. We will issue the notes initially in an amount having the aggregate offering price specified on the cover page of this pricing supplement. However, we may issue additional notes in amounts that exceed the amount on the cover at any time, without your consent and without notifying you. The notes do not limit our ability to incur other indebtedness or to issue other securities. Also, we are not subject to financial or similar restrictions by the terms of the notes. For more information, please refer to “Description of the Notes We May Offer—General” in the accompanying prospectus supplement and “Description of Debt Securities We May Offer—General” in the accompanying prospectus.

These further issuances, if any, will be consolidated to form a single class with the originally issued notes and will have the same CUSIP number and will trade interchangeably with the notes immediately upon settlement. Any additional issuances will increase the aggregate principal amount of the outstanding notes of the class, plus the aggregate principal amount of any notes bearing the same CUSIP number that are issued pursuant to any future issuances of notes bearing the same CUSIP number. The price of any additional offering will be determined at the time of pricing of that offering.

In the opinion of Osler, Hoskin & Harcourt LLP, the issue and sale of the notes has been duly authorized by all necessary corporate action of the Bank in conformity with the senior indenture, and when the notes have been duly completed in accordance with the senior indenture, the notes will have been validly executed, authenticated, issued and delivered, to the extent that validity of the notes is a matter governed by the laws of the Province of Ontario and the federal laws of Canada applicable therein and will be valid obligations of the Bank, subject to the following limitations (i) the enforceability of the senior indenture may be limited by the Canada Deposit Insurance Corporation Act (Canada), the Winding-up and Restructuring Act (Canada) and bankruptcy, insolvency, reorganization, receivership, moratorium, arrangement or winding-up laws or other similar laws affecting the enforcement of creditors’ rights generally; (ii) the enforceability of the senior indenture may be limited by equitable principles, including the principle that equitable remedies such as specific performance and injunction may only be granted in the discretion of a court of competent jurisdiction; (iii) pursuant to the Currency Act (Canada) a judgment by a Canadian court must be awarded in Canadian currency and that such judgment may be based on a rate of exchange in existence on a day other than the day of payment; and (iv) the enforceability of the senior indenture will be subject to the limitations contained in the Limitations Act, 2002 (Ontario), and such counsel expresses no opinion as to whether a court may find any provision of the senior indenture to be unenforceable as an attempt to vary or exclude a limitation period under that Act. This opinion is given as of the date hereof and is limited to the laws of the Provinces of Ontario and the federal laws of Canada applicable therein. In addition, this opinion is subject to certain assumptions about (i) the trustee's authorization, execution and delivery of the senior indenture, (ii) the genuineness of signatures and (iii) certain other matters, all as stated in the letter of such counsel dated May 26, 2022, which has been filed as Exhibit 5.3 to Bank of Montreal’s Form 6-K filed with the SEC and dated May 26, 2022.

In the opinion of Ashurst LLP, when the notes have been duly completed in accordance with the senior indenture, and the notes have been issued and sold as contemplated by the prospectus supplement and the prospectus, the notes will be valid, binding and enforceable obligations of the Bank, entitled to the benefits of the senior indenture, subject to applicable bankruptcy, insolvency, fraudulent transfer, reorganization, moratorium and similar laws of general applicability relating to or affecting creditors’ rights and subject to general principles of equity, public policy considerations and the discretion of the court before which any suit or proceeding may be brought. This opinion is given as of the date hereof and is limited to the laws of the State of New York. This opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the senior indenture and the genuineness of signatures and to such counsel’s reliance on the Bank and other sources as to certain factual matters, all as stated in the legal opinion dated May 26, 2022, which has been filed as Exhibit 5.4 to the Bank’s Form 6-K dated May 26, 2022.

The undersigned acknowledges that in addition to any other requirements specified in the pricing supplement relating to the notes being satisfied, the notes will not be redeemed unless (i) this notice of redemption is delivered to BMO Capital Markets Corp. (“BMO Capital Markets”) by 2:00 p.m. (New York City time) on the Index Business Day prior to the applicable Redemption Calculation Date; (ii) the confirmation, as completed and signed by the undersigned is delivered to BMO Capital Markets by 5:00 p.m. (New York City time) on the same day the notice of redemption is delivered; (iii) the undersigned has booked a delivery vs. payment (“DVP”) trade on the applicable Redemption Calculation Date, facing BMO Capital Markets DTC 5257 and (iv) the undersigned instructs DTC to deliver the DVP trade to BMO Capital Markets as booked for settlement via DTC at or prior to 10:00 a.m. (New York City time) on the applicable Redemption Date.

The undersigned further acknowledges that the undersigned has read the section “Risk Factors — You will not know the Redemption Amount at the time you elect to request that we redeem your notes” in the pricing supplement relating to the notes and the undersigned understands that it will be exposed to market risk during the Redemption Measurement Period.

*Subject to adjustment as described in the pricing supplement relating to the notes.

The holder of $[ ] MAX S&P 500^® 4X Leveraged ETNs due November 30, 2043, CUSIP No. 063679567 (the “notes”) hereby irrevocably elects to receive a cash payment on the Redemption Date* of [holder to specify] with respect to the number of notes indicated below, as of the date hereof, the redemption right as described in the pricing supplement relating to the notes (the “Prospectus”). Terms not defined herein have the meanings given to such terms in the Prospectus.

The undersigned certifies to you that it will (i) book a DVP trade on the applicable Redemption Calculation Date with respect to the number of notes specified below at a price per note equal to the Redemption Amount, facing BMO Capital Markets DTC 5257 and (ii) deliver the trade as booked for settlement via DTC at or prior to 10:00 a.m. (New York City time) on the applicable Redemption Date.

The undersigned acknowledges that in addition to any other requirements specified in the Prospectus being satisfied, the notes will not be redeemed unless (i) this confirmation is delivered to BMO Capital Markets by 5:00 p.m. (New York City time) on the same day the notice of redemption is delivered; (ii) the undersigned has booked a DVP trade on the applicable Redemption Measurement Calculation, facing BMO Capital Markets DTC 5257; and (iii) the undersigned will deliver the DVP trade to BMO Capital Markets as booked for settlement via DTC at or prior to 10:00 a.m. (New York City time) on the applicable Redemption Date.

(At least 25,000 notes must be redeemed at one time (except as specified in the pricing supplement) to receive a cash payment on any Redemption Date.)

* Subject to adjustment as described in the pricing supplement relating to the notes.

SUMMARY	PS-1
RISK FACTORS	PS-10
HYPOTHETICAL EXAMPLES	PS-20
INTRADAY VALUE OF THE INDEX AND THE NOTES	PS-36
THE INDEX	PS-38
SUPPLEMENTAL TAX CONSIDERATIONS	PS-42
SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)	PS-44
VALIDITY OF THE NOTES	PS-46
NOTICE OF EARLY REDEMPTION	A-1
BROKER’S CONFIRMATION OF REDEMPTION	B-1

A	B	C	D	E
Index Level	% Change in Index Level	Hypothetical Price for 4x Notes C=$25(1+4B)	Hypothetical Notional Exposure for 4x Notes D=$25(1+B)4	Effective Leverage Amount of 4x Notes E=D/C
120.00	20%	$45.00	$120.00	2.67
115.00	15%	$40.00	$115.00	2.88
110.00	10%	$35.00	$110.00	3.14
105.00	5%	$30.00	$105.00	3.50
104.00	4%	$29.00	$104.00	3.59
103.00	3%	$28.00	$103.00	3.68
102.00	2%	$27.00	$102.00	3.78
101.00	1%	$26.00	$101.00	3.88
100.00	0%	$25.00	$100.00	4.00
99.00	-1%	$24.00	$99.00	4.13
98.00	-2%	$23.00	$98.00	4.26
97.00	-3%	$22.00	$97.00	4.41
96.00	-4%	$21.00	$96.00	4.57
95.00	-5%	$20.00	$95.00	4.75
85.00	-15%	$10.00	$85.00	8.50
80.00	-20%	$5.00	$80.00	16.00

Day	Index Level	Daily Index Performance	Index Performance Factor	Daily Investor Fee	Fee Accrual	Daily Financing Charge	Long Index Amount	Financing Level	Indicative Note Value	Note Return
A	B	C	D	E	F	G	H	I	J	K
			Current Index Level / Previous Index Level	Previous Indicative Note Value * Fee Rate/365	Total of E	Previous Indicative Note Value * Daily Financing Factor * Daily Financing Rate/365	Previous Indicative Note Value * Daily Leverage Factor * D	Previous Indicative Note Value * Daily Financing Factor + E + G	H – I	(Current Indicative Note Value - Previous Indicative Note Value)/ Previous Indicative Note Value
0	100.00				$0.0000		$100.00	$75.00	$25.00
1	103.00	3.0%	1.03	$0.0007	$0.0007	$0.02158	$103.0000	$75.0222	$27.9778	11.91%
2	99.91	-3.0%	0.97	$0.0007	$0.0014	$0.02415	$108.5538	$83.9582	$24.5956	-12.09%
3	102.91	3.0%	1.03	$0.0006	$0.0020	$0.02123	$101.3337	$73.8086	$27.5252	11.91%
4	99.82	-3.0%	0.97	$0.0007	$0.0027	$0.02375	$106.7977	$82.6000	$24.1977	-12.09%
5	102.81	3.0%	1.03	$0.0006	$0.0034	$0.02088	$99.6944	$72.6145	$27.0799	11.91%
6	99.73	-3.0%	0.97	$0.0007	$0.0041	$0.02337	$105.0700	$81.2637	$23.8062	-12.09%
7	102.72	3.0%	1.03	$0.0006	$0.0047	$0.02055	$98.0816	$71.4398	$26.6418	11.91%
8	99.64	-3.0%	0.97	$0.0007	$0.0054	$0.02299	$103.3702	$79.9491	$23.4211	-12.09%
9	102.63	3.0%	1.03	$0.0006	$0.0060	$0.02021	$96.4950	$70.2841	$26.2108	11.91%
10	99.55	-3.0%	0.97	$0.0007	$0.0067	$0.02262	$101.6980	$78.6557	$23.0422	-12.09%
11	102.54	3.0%	1.03	$0.0006	$0.0073	$0.01989	$94.9339	$69.1471	$25.7868	11.91%
12	99.46	-3.0%	0.97	$0.0007	$0.0079	$0.02225	$100.0528	$77.3833	$22.6695	-12.09%
13	102.45	3.0%	1.03	$0.0006	$0.0085	$0.01956	$93.3982	$68.0285	$25.3696	11.91%
14	99.37	-3.0%	0.97	$0.0007	$0.0092	$0.02189	$98.4342	$76.1315	$22.3027	-12.09%
15	102.35	3.0%	1.03	$0.0006	$0.0098	$0.01925	$91.8872	$66.9280	$24.9592	11.91%
16	99.28	-3.0%	0.97	$0.0006	$0.0104	$0.02154	$96.8418	$74.8999	$21.9419	-12.09%
17	102.26	3.0%	1.03	$0.0006	$0.0110	$0.01894	$90.4007	$65.8453	$24.5555	11.91%
18	99.19	-3.0%	0.97	$0.0006	$0.0116	$0.02119	$95.2751	$73.6882	$21.5870	-12.09%
19	102.17	3.0%	1.03	$0.0006	$0.0122	$0.01863	$88.9383	$64.7801	$24.1582	11.91%
20	99.10	-3.0%	0.97	$0.0006	$0.0128	$0.02085	$93.7339	$72.4961	$21.2377	-12.09%
21	102.08	3.0%	1.03	$0.0006	$0.0134	$0.01833	$87.4995	$63.7321	$23.7674	11.91%
22	99.01	-3.0%	0.97	$0.0006	$0.0140	$0.02051	$92.2175	$71.3233	$20.8942	-12.09%

Day	Index Level	Daily Index Performance	Index Performance Factor	Daily Investor Fee	Fee Accrual	Daily Financing Charge	Long Index Amount	Financing Level	Indicative Note Value	Note Return
A	B	C	D	E	F	G	H	I	J	K
			Current Index Level / Previous Index Level	Previous Indicative Note Value * Fee Rate/365	Total of E	Previous Indicative Note Value * Daily Financing Factor * Daily Financing Rate/365	Previous Indicative Note Value * Daily Leverage Factor * D	Previous Indicative Note Value * Daily Financing Factor + E + G	H – I	(Current Indicative Note Value - Previous Indicative Note Value)/ Previous Indicative Note Value
0	100.00				$0.0000		$100.00	$75.00	$25.00
1	97.00	-3.0%	0.97	$0.0007	$0.0007	$0.02158	$97.0000	$75.0222	$21.9778	-12.09%
2	94.09	-3.0%	0.97	$0.0006	$0.0012	$0.01897	$85.2738	$65.9529	$19.3209	-12.09%
3	91.27	-3.0%	0.97	$0.0005	$0.0017	$0.01667	$74.9651	$57.9799	$16.9852	-12.09%
4	88.53	-3.0%	0.97	$0.0004	$0.0022	$0.01466	$65.9026	$50.9708	$14.9319	-12.09%
5	85.87	-3.0%	0.97	$0.0004	$0.0026	$0.01289	$57.9357	$44.8089	$13.1268	-12.09%
6	83.30	-3.0%	0.97	$0.0003	$0.0029	$0.01133	$50.9319	$39.3920	$11.5399	-12.09%
7	80.80	-3.0%	0.97	$0.0003	$0.0032	$0.00996	$44.7748	$34.6300	$10.1449	-12.09%
8	78.37	-3.0%	0.97	$0.0003	$0.0035	$0.00876	$39.3620	$30.4436	$8.9185	-12.09%
9	76.02	-3.0%	0.97	$0.0002	$0.0037	$0.00770	$34.6036	$26.7633	$7.8403	-12.09%
10	73.74	-3.0%	0.97	$0.0002	$0.0039	$0.00677	$30.4204	$23.5279	$6.8925	-12.09%
11	71.53	-3.0%	0.97	$0.0002	$0.0041	$0.00595	$26.7429	$20.6836	$6.0593	-12.09%
12	69.38	-3.0%	0.97	$0.0002	$0.0042	$0.00523	$23.5100	$18.1832	$5.3268	-12.09%
13	67.30	-3.0%	0.97	$0.0001	$0.0044	$0.00460	$20.6679	$15.9851	$4.6828	-12.09%
14	65.28	-3.0%	0.97	$0.0001	$0.0045	$0.00404	$18.1694	$14.0526	$4.1167	-12.09%
15	63.33	-3.0%	0.97	$0.0001	$0.0046	$0.00355	$15.9729	$12.3538	$3.6191	-12.09%
16	61.43	-3.0%	0.97	$0.0001	$0.0047	$0.00312	$14.0419	$10.8604	$3.1816	-12.09%
17	59.58	-3.0%	0.97	$0.0001	$0.0048	$0.00275	$12.3444	$9.5475	$2.7969	-12.09%
18	57.80	-3.0%	0.97	$0.0001	$0.0049	$0.00241	$10.8521	$8.3933	$2.4588	-12.09%
19	56.06	-3.0%	0.97	$0.0001	$0.0049	$0.00212	$9.5402	$7.3786	$2.1616	-12.09%
20	54.38	-3.0%	0.97	$0.0001	$0.0050	$0.00187	$8.3869	$6.4866	$1.9003	-12.09%
21	52.75	-3.0%	0.97	$0.0000	$0.0050	$0.00164	$7.3730	$5.7025	$1.6705	-12.09%
22	51.17	-3.0%	0.97	$0.0000	$0.0051	$0.00144	$6.4817	$5.0131	$1.4686	-12.09%

Day	Index Level	Daily Index Performance	Index Performance Factor	Daily Investor Fee	Fee Accrual	Daily Financing Charge	Long Index Amount	Financing Level	Indicative Note Value	Note Return
A	B	C	D	E	F	G	H	I	J	K
			Current Index Level / Previous Index Level	Previous Indicative Note Value * Fee Rate/365	Total of E	Previous Indicative Note Value * Daily Financing Factor * Daily Financing Rate/365	Previous Indicative Note Value * Daily Leverage Factor * D	Previous Indicative Note Value * Daily Financing Factor + E + G	H – I	(Current Indicative Note Value - Previous Indicative Note Value)/ Previous Indicative Note Value
0	100.00				$0.0000		$100.00	$75.00	$25.00
1	101.00	1.0%	1.01	$0.0007	$0.0007	$0.02158	$101.0000	$75.0222	$25.9778	3.91%
2	102.01	1.0%	1.01	$0.0007	$0.0013	$0.02242	$104.9502	$77.9564	$26.9938	3.91%
3	103.03	1.0%	1.01	$0.0007	$0.0020	$0.02330	$109.0549	$81.0054	$28.0495	3.91%
4	104.06	1.0%	1.01	$0.0007	$0.0028	$0.02421	$113.3202	$84.1736	$29.1466	3.91%
5	105.10	1.0%	1.01	$0.0008	$0.0035	$0.02515	$117.7522	$87.4657	$30.2865	3.91%
6	106.15	1.0%	1.01	$0.0008	$0.0043	$0.02614	$122.3576	$90.8865	$31.4711	3.91%
7	107.21	1.0%	1.01	$0.0008	$0.0051	$0.02716	$127.1431	$94.4412	$32.7019	3.91%
8	108.29	1.0%	1.01	$0.0009	$0.0060	$0.02822	$132.1158	$98.1349	$33.9809	3.91%
9	109.37	1.0%	1.01	$0.0009	$0.0069	$0.02933	$137.2830	$101.9730	$35.3100	3.91%
10	110.46	1.0%	1.01	$0.0009	$0.0078	$0.03047	$142.6523	$105.9613	$36.6910	3.91%
11	111.57	1.0%	1.01	$0.0010	$0.0087	$0.03166	$148.2315	$110.1055	$38.1260	3.91%
12	112.68	1.0%	1.01	$0.0010	$0.0097	$0.03290	$154.0290	$114.4119	$39.6171	3.91%
13	113.81	1.0%	1.01	$0.0010	$0.0108	$0.03419	$160.0532	$118.8866	$41.1666	3.91%
14	114.95	1.0%	1.01	$0.0011	$0.0118	$0.03553	$166.3131	$123.5364	$42.7767	3.91%
15	116.10	1.0%	1.01	$0.0011	$0.0129	$0.03692	$172.8177	$128.3680	$44.4497	3.91%
16	117.26	1.0%	1.01	$0.0012	$0.0141	$0.03836	$179.5768	$133.3886	$46.1882	3.91%
17	118.43	1.0%	1.01	$0.0012	$0.0153	$0.03986	$186.6002	$138.6056	$47.9946	3.91%
18	119.61	1.0%	1.01	$0.0012	$0.0166	$0.04142	$193.8983	$144.0266	$49.8718	3.91%
19	120.81	1.0%	1.01	$0.0013	$0.0178	$0.04304	$201.4819	$149.6596	$51.8223	3.91%
20	122.02	1.0%	1.01	$0.0013	$0.0192	$0.04472	$209.3620	$155.5129	$53.8491	3.91%
21	123.24	1.0%	1.01	$0.0014	$0.0206	$0.04647	$217.5504	$161.5952	$55.9552	3.91%
22	124.47	1.0%	1.01	$0.0015	$0.0221	$0.04829	$226.0590	$167.9153	$58.1437	3.91%

Assumptions
Fee Rate	0.95% per annum
Daily Leverage Factor	4
Daily Financing Factor	3
Daily Financing Rate	10.50%
Principal Amount	$25.00
Initial Index Level	100
Note Return	-16.42%
Cumulative Index Return	-0.99%

		Index Volatility
One Year Index Performance	Four Times (4x) One Year Index Performance	0%	5%	10%	15%	20%	25%	30%	35%	40%	45%	50%	55%	60%	65%	70%
-75%	-300%	-99.61%	-99.62%	-99.63%	-99.66%	-99.69%	-99.73%	-99.77%	-99.81%	-99.85%	-99.88%	-99.91%	-99.94%	-99.95%	-99.97%	-99.98%
-70%	-280%	-99.19%	-99.20%	-99.24%	-99.29%	-99.36%	-99.44%	-99.53%	-99.61%	-99.69%	-99.76%	-99.82%	-99.87%	-99.91%	-99.94%	-99.96%
-65%	-260%	-98.50%	-98.52%	-98.59%	-98.69%	-98.82%	-98.97%	-99.13%	-99.28%	-99.43%	-99.55%	-99.67%	-99.76%	-99.83%	-99.88%	-99.92%
-60%	-240%	-97.44%	-97.48%	-97.59%	-97.76%	-97.99%	-98.24%	-98.51%	-98.77%	-99.02%	-99.24%	-99.43%	-99.58%	-99.70%	-99.80%	-99.86%
-55%	-220%	-95.90%	-95.96%	-96.14%	-96.42%	-96.77%	-97.18%	-97.61%	-98.03%	-98.43%	-98.78%	-99.09%	-99.33%	-99.53%	-99.67%	-99.78%
-50%	-200%	-93.75%	-93.84%	-94.11%	-94.54%	-95.08%	-95.70%	-96.36%	-97.00%	-97.61%	-98.15%	-98.61%	-98.98%	-99.28%	-99.50%	-99.67%
-45%	-180%	-90.85%	-90.99%	-91.38%	-92.00%	-92.80%	-93.71%	-94.67%	-95.61%	-96.50%	-97.28%	-97.96%	-98.51%	-98.94%	-99.27%	-99.52%
-40%	-160%	-87.04%	-87.23%	-87.79%	-88.68%	-89.81%	-91.09%	-92.45%	-93.79%	-95.04%	-96.15%	-97.11%	-97.89%	-98.51%	-98.97%	-99.31%
-35%	-140%	-82.15%	-82.42%	-83.19%	-84.40%	-85.96%	-87.73%	-89.60%	-91.44%	-93.17%	-94.70%	-96.02%	-97.09%	-97.94%	-98.59%	-99.06%
-30%	-120%	-75.99%	-76.35%	-77.39%	-79.02%	-81.11%	-83.50%	-86.01%	-88.49%	-90.81%	-92.88%	-94.64%	-96.09%	-97.23%	-98.10%	-98.73%
-25%	-100%	-68.36%	-68.83%	-70.20%	-72.36%	-75.11%	-78.25%	-81.56%	-84.83%	-87.89%	-90.61%	-92.94%	-94.85%	-96.35%	-97.49%	-98.33%
-20%	-80%	-59.04%	-59.65%	-61.43%	-64.21%	-67.78%	-71.85%	-76.13%	-80.36%	-84.32%	-87.85%	-90.86%	-93.33%	-95.28%	-96.75%	-97.83%
-15%	-60%	-47.80%	-48.58%	-50.84%	-54.39%	-58.94%	-64.12%	-69.58%	-74.97%	-80.01%	-84.51%	-88.35%	-91.50%	-93.98%	-95.86%	-97.24%
-10%	-40%	-34.39%	-35.37%	-38.21%	-42.68%	-48.39%	-54.91%	-61.77%	-68.54%	-74.88%	-80.53%	-85.36%	-89.32%	-92.43%	-94.80%	-96.53%
-5%	-20%	-18.55%	-19.76%	-23.29%	-28.84%	-35.93%	-44.02%	-52.53%	-60.94%	-68.81%	-75.83%	-81.83%	-86.74%	-90.61%	-93.54%	-95.69%
0%	0%	0.00%	-1.49%	-5.82%	-12.63%	-21.34%	-31.27%	-41.73%	-52.05%	-61.71%	-70.33%	-77.69%	-83.72%	-88.47%	-92.07%	-94.71%
5%	20%	21.55%	19.74%	14.47%	6.20%	-4.38%	-16.46%	-29.17%	-41.72%	-53.46%	-63.93%	-72.88%	-80.21%	-85.98%	-90.37%	-93.57%
10%	40%	46.41%	44.23%	37.88%	27.92%	15.17%	0.63%	-14.68%	-29.80%	-43.94%	-56.56%	-67.33%	-76.16%	-83.12%	-88.40%	-92.26%
15%	60%	74.90%	72.30%	64.72%	52.81%	37.58%	20.21%	1.92%	-16.13%	-33.03%	-48.11%	-60.97%	-71.52%	-79.83%	-86.14%	-90.75%
20%	80%	107.36%	104.27%	95.28%	81.17%	63.12%	42.52%	20.84%	-0.57%	-20.60%	-38.47%	-53.73%	-66.23%	-76.09%	-83.56%	-89.04%
25%	100%	144.14%	140.51%	129.92%	113.31%	92.05%	67.80%	42.27%	17.07%	-6.52%	-27.56%	-45.52%	-60.24%	-71.84%	-80.65%	-87.09%
30%	120%	185.61%	181.36%	168.98%	149.54%	124.67%	96.30%	66.44%	36.95%	9.36%	-15.26%	-36.27%	-53.49%	-67.06%	-77.36%	-84.90%
35%	140%	232.15%	227.21%	212.81%	190.21%	161.28%	128.28%	93.56%	59.27%	27.18%	-1.45%	-25.89%	-45.91%	-61.69%	-73.67%	-82.44%
40%	160%	284.16%	278.44%	261.79%	235.65%	202.19%	164.03%	123.87%	84.21%	47.09%	13.98%	-14.28%	-37.44%	-55.70%	-69.55%	-79.69%
45%	180%	342.05%	335.47%	316.31%	286.23%	247.73%	203.82%	157.60%	111.97%	69.26%	31.16%	-1.37%	-28.02%	-49.02%	-64.96%	-76.63%
50%	200%	406.25%	398.71%	376.77%	342.32%	298.23%	247.94%	195.02%	142.75%	93.84%	50.21%	12.96%	-17.56%	-41.62%	-59.87%	-73.24%
55%	220%	477.20%	468.61%	443.59%	404.31%	354.04%	296.70%	236.36%	176.77%	121.01%	71.26%	28.79%	-6.01%	-33.43%	-54.25%	-69.49%
60%	240%	555.36%	545.60%	517.19%	472.60%	415.52%	350.42%	281.91%	214.25%	150.93%	94.45%	46.23%	6.72%	-24.42%	-48.06%	-65.35%
65%	260%	641.20%	630.17%	598.04%	547.60%	483.05%	409.42%	331.93%	255.41%	183.80%	119.92%	65.38%	20.70%	-14.52%	-41.25%	-60.82%
70%	280%	735.21%	722.78%	686.57%	629.74%	557.00%	474.03%	386.72%	300.49%	219.80%	147.82%	86.36%	36.00%	-3.68%	-33.80%	-55.85%
75%	300%	837.89%	823.93%	783.27%	719.45%	637.77%	544.60%	446.55%	349.72%	259.11%	178.28%	109.27%	52.72%	8.16%	-25.66%	-50.42%
		Numbers in red font highlight scenarios where the notes are expected to perform negatively. Shaded areas represent those scenarios where the notes will outperform (i.e., return more than) the Index performance times the Daily Leverage Factor; conversely, areas not shaded represent those scenarios where the notes will underperform (i.e., return less than) the Index performance times the Daily Leverage Factor. Please note that the table above is not a representation as to the notes' actual returns, which may be materially different than the scenarios shown above, as a result of a variety of factors, including the decay effects described above, as well as the Daily Financing Charge and the Daily Investor Fee.

Day	Index Level	% Change of Index Level from Day 0	Closing Indicative Note Value ($)	% Change of Closing Indicative Note Value from Day 0
0	100.00		100.00
1	101.00	1.0%	104.00	4.00%
2	100.00	0.0%	99.88	-0.12%
3	99.00	-1.0%	95.89	-4.11%
4	100.00	0.0%	99.76	-0.24%
5	101.00	1.0%	103.75	3.75%
6	100.00	0.0%	99.64	-0.36%
7	99.00	-1.0%	95.66	-4.34%
8	100.00	0.0%	99.52	-0.48%
9	101.00	1.0%	103.50	3.50%
10	100.00	0.0%	99.40	-0.60%

	Very truly yours,
	[NAME OF DTC PARTICIPANT HOLDER]

	Name:
	Title:
	Telephone:
	Fax:
	E-mail:

Number of notes surrendered for redemption: ________

DTC # (and any relevant sub-account): ________

Contact Name: ________

Telephone: ________

Fax: ________

E-mail: ________