# EDGAR Filing Document

**Accession Number:** 0000927971
**File Stem:** 0001214659-25-015786
**Filing Date:** 2025-11
**Character Count:** 118135
**Document Hash:** 9b977c14122e7c436f2b26ef65f52b4c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001214659-25-015786.hdr.sgml**: 20251103

**ACCESSION NUMBER**: 0001214659-25-015786

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 22

**FILED AS OF DATE**: 20251103

**DATE AS OF CHANGE**: 20251103

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BANK OF MONTREAL /CAN/
- **CENTRAL INDEX KEY:** 0000927971
- **STANDARD INDUSTRIAL CLASSIFICATION:** COMMERCIAL BANKS, NEC [6029]
- **ORGANIZATION NAME:** 02 Finance
- **EIN:** 000000000
- **STATE OF INCORPORATION:** A6
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-285508
- **FILM NUMBER:** 251445086

**BUSINESS ADDRESS:**
- **STREET 1:** 1 FIRST CANADIAN PLACE
- **CITY:** TORONTO
- **STATE:** A6
- **ZIP:** M5X 1A1
- **BUSINESS PHONE:** 000-000-0000

**MAIL ADDRESS:**
- **STREET 1:** 1 FIRST CANADIAN PLACE
- **CITY:** TORONTO
- **STATE:** A6
- **ZIP:** M5X 1A1

**Filed Pursuant to Rule 424(b)(2)<br> Registration Statement No. 333-285508**<br> **(To Product Supplement No. EQUITY LIRN-1 dated August 1,<br> 2025, Prospectus Supplement dated March 25, 2025<br> and Prospectus dated March 25, 2025)**<br>

---

| | | |
|:---|:---|:---|
| 2,057,354 Units<br> $10 principal amount per unit<br> CUSIP No. 063929210<br>| Pricing Date<br> Settlement Date<br> Maturity Date | October 30, 2025<br> November 6, 2025<br> April 28, 2028 |
| ![](bmologosm.jpg) |  |  |

---

**Capped Leveraged Index Return Notes<sup>®</sup> Linked to an International Basket of Three ETFs and One Index** 

▪ Maturity of approximately 2.5 years

▪ 1.5-to-1 upside exposure to increases in the Basket, subject
to a capped return of 51.80%

▪ 1-to-1 downside exposure to decreases in the Basket, with up to 100% of your principal at risk

▪ The Basket is unequally weighted and is comprised of the
MSCI Emerging Markets Index<sup>SM</sup>, the KraneShares CSI China Internet ETF, the iShares<sup>®</sup> MSCI Brazil ETF and the
iShares<sup>®</sup> MSCI Mexico ETF (the "Basket Components"). The MSCI Emerging Markets Index<sup>SM</sup> was given
an initial weight of 60.00%, the KraneShares CSI China Internet ETF was given an initial weight of 17.50%, the iShares<sup>®</sup>
MSCI Brazil ETF was given an initial weight of 15.50% and the iShares<sup>®</sup> MSCI Mexico ETF was given an initial weight of 7.00%.

▪ All payments occur at maturity and are subject to the credit risk of Bank of Montreal

▪ No periodic interest payments

▪ In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.05 per unit. See "Structuring
the Notes"

▪ Limited secondary market liquidity, with no exchange listing

▪ The notes are the unsecured obligations of Bank of Montreal. The notes are not insured by the Federal
Deposit Insurance Corporation, the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency.

**The notes are being issued by Bank of Montreal ("BMO"). There are important differences between the notes and a conventional debt security, including different investment risks and certain additional costs. See "Risk Factors" and "Additional Risk Factors" beginning on page TS-7 of this term sheet and beginning on page PS-6 of product supplement EQUITY LIRN-1.**

**The estimated initial value of the notes determined by us as of the pricing date, which we refer to as the initial estimated value, is $9.71 per unit, which is less than the public offering price listed below. However, as discussed in more detail in this term sheet, the actual value of the notes at any time will reflect many factors and cannot be predicted with accuracy.** See "Summary" on the following page, "Risk Factors" beginning on page TS-7 of this term sheet and "Structuring the Notes" below for additional information.

**The notes are not bail-inable notes and are not 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.**

**_________________________**

None of the Securities and Exchange Commission (the "SEC"), any state securities commission, or any other regulatory body has approved or disapproved of these notes or determined if this Note Prospectus (as defined below) is truthful or complete. Any representation to the contrary is a criminal offense.

**_________________________**

---

| | | |
|:---|:---|:---|
|  | <u>Per Unit</u> | <u>Total</u> |
| Public offering price | $10.00 | $20573540.00 |
| Underwriting discount | $0.20 | $411470.80 |
| Proceeds, before expenses, to BMO | $9.80 | $20162069.20 |

---

**The notes:**

---

| | | |
|:---|:---|:---|
| **Are Not FDIC Insured** | **Are Not Bank Guaranteed** | **May Lose Value** |

---

**BofA Securities**

October 30, 2025

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

Summary

The Capped Leveraged Index Return Notes<sup>®</sup> Linked to an International Basket of Three ETFs and One Index, due April 28, 2028 (the "notes") are our senior unsecured debt securities. The notes are not insured by the Canada Deposit Insurance Corporation or the Federal Deposit Insurance Corporation, or secured by collateral. The notes rank equally with all of our other unsecured senior debt from time to time outstanding. **Any payments due on the notes, including any repayment of principal, are subject to our credit risk.**

The notes provide you a leveraged return, subject to a cap, if the Ending Value of the Market Measure, which is the basket described below, is greater than the Starting Value. If the Ending Value is equal to the Starting Value, you will receive the principal amount of your notes. If the Ending Value is less than the Starting Value, you will lose some or all of the principal amount of your notes. Any payments on the notes will be calculated based on the $10 principal amount per unit and will depend on the performance of the Basket, subject to our credit risk. See "Terms of the Notes" below.

The Basket is unequally weighted and is comprised of the MSCI Emerging Markets Index<sup>SM</sup>, the KraneShares CSI China Internet ETF, the iShares<sup>®</sup> MSCI Brazil ETF and the iShares<sup>®</sup> MSCI Mexico ETF (each a "Basket Component"). On the pricing date, the MSCI Emerging Markets Index<sup>SM</sup> was given an initial weight of 60.00%, the KraneShares CSI China Internet ETF was given an initial weight of 17.50%, the iShares<sup>®</sup> MSCI Brazil ETF was given an initial weight of 15.50% and the iShares<sup>®</sup> MSCI Mexico ETF was given an initial weight of 7.00%.

Our initial estimated value of the notes equals the sum of the values of the following hypothetical components:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a fixed-income debt component with the same tenor as the notes, valued using our internal funding rate
for structured notes; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· one or more derivative transactions relating to the economic terms of the notes.

The internal funding rate used in the determination of the initial estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The value of these derivative transactions is derived from our internal pricing models. These models are based on factors such as the traded market prices of comparable derivative instruments and on other inputs, which include volatility, dividend rates, interest rates and other factors. As a result, the initial estimated value of the notes is based on market conditions at the time it is calculated.

The economic terms of the notes (including the Capped Value) are based on our internal funding rate described above. Our internal funding rate is typically lower than the rate we would pay when we issue conventional fixed or floating rate debt securities. This difference in funding rate, as well as the underwriting discount and the hedging related charge described below, will reduce the economic terms of the notes to you and the initial estimated value of the notes on the pricing date. Due to these factors, the public offering price you pay to purchase the notes is greater than the initial estimated value of the notes.

For more information about the initial estimated value and the structuring of the notes, see "Risk Factors" and "Structuring the Notes" below.

Capped Leveraged Index Return Notes<sup>®</sup> TS-2

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

---

| | | |
|:---|:---|:---|
| Terms of the Notes | Terms of the Notes | Redemption Amount Determination |
| **Issuer:** | Bank of Montreal ("BMO") | On the maturity date, you will receive a cash payment per unit determined as follows: |
| **Principal Amount:** | $10.00 per unit | ![](o1031257424b2_ts3chart.jpg) |
| **Term:** | Approximately 2.5 years | ![](o1031257424b2_ts3chart.jpg) |
| **Market Measure:** | An unequally weighted basket (the "**Basket**") comprised of the MSCI Emerging Markets Index<sup>SM</sup> (Bloomberg symbol: "MXEF") (sometimes referred to herein as the "**Index**"), the KraneShares CSI China Internet ETF (Bloomberg symbol: "KWEB"), the iShares<sup>®</sup> MSCI Brazil ETF (Bloomberg symbol: "EWZ") and the iShares<sup>®</sup> MSCI Mexico ETF (Bloomberg symbol: "EWW"). Each of the KraneShares CSI China Internet ETF, the iShares<sup>®</sup> MSCI Brazil ETF and the iShares<sup>®</sup> MSCI Mexico ETF are sometimes referred to collectively herein as the "**Underlying Funds**." The Index and the Underlying Funds are each referred to as a "**Basket Component**." | ![](o1031257424b2_ts3chart.jpg) |
| **Starting Value:** | 100.00 | ![](o1031257424b2_ts3chart.jpg) |
| **Ending Value:** | The average of the values of the Basket on each calculation day occurring during the Maturity Valuation Period, calculated as specified in "The Basket" below and "Description of the LIRNs—Basket Market Measures" beginning on page PS-35 of product supplement EQUITY LIRN-1. The scheduled calculation days are subject to postponement in the event of Market Disruption Events, as described on page PS-37 of product supplement EQUITY LIRN-1. | ![](o1031257424b2_ts3chart.jpg) |
| **Price Multiplier:** | With respect to each ETF, 1, subject to adjustment for certain events relating to that ETF, as described beginning on page PS-30 of product supplement EQUITY LIRN-1 | ![](o1031257424b2_ts3chart.jpg) |
| **Threshold Value:** | 100.00 (100.00% of the Starting Value) | ![](o1031257424b2_ts3chart.jpg) |
| **Participation Rate:** | 150% | ![](o1031257424b2_ts3chart.jpg) |
| **Capped Value:** | $15.18 per unit, which represents a return of 51.80% over the principal amount. | ![](o1031257424b2_ts3chart.jpg) |
| **Maturity Valuation <br> Period:** | April 19, 2028, April 20, 2028, April 21, 2028, April 24, 2028 and April 25, 2028 | ![](o1031257424b2_ts3chart.jpg) |
| **Fees and Charges:** | The underwriting discount of $0.20 per unit listed on the cover page and the hedging related charge of $0.05 per unit described in "Structuring the Notes" below. | ![](o1031257424b2_ts3chart.jpg) |
| **Joint Calculation <br> Agents:** | BMO Capital Markets Corp. ("BMOCM") and BofA Securities, Inc. ("BofAS"), acting jointly. | ![](o1031257424b2_ts3chart.jpg) |

---

Capped Leveraged Index Return Notes<sup>®</sup> TS-3

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

The terms and risks of the notes are contained in this term sheet and in the following:

▪ Product supplement EQUITY LIRN-1 dated August 1, 2025:<br> [https://www.sec.gov/Archives/edgar/data/927971/000121465925011343/j729253424b2.htm](https://www.sec.gov/Archives/edgar/data/927971/000121465925011343/j729253424b2.htm)

▪ Prospectus Supplement and Prospectus dated March 25, 2025:<br> [https://www.sec.gov/Archives/edgar/data/927971/000119312525062081/d840917d424b5.htm](https://www.sec.gov/Archives/edgar/data/927971/000119312525062081/d840917d424b5.htm)

These documents (together, the "Note Prospectus") have been filed as part of a registration statement with the SEC, which may, without cost, be accessed on the SEC website as indicated above or obtained from Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S") or BofAS by calling toll-free at 1-800-294-1322. Before you invest, you should read the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus. Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement EQUITY LIRN-1. When we refer to "we," "us" or "our" in this term sheet, we refer only to Bank of Montreal.

"Leveraged Index Return Notes<sup>®</sup>" and "LIRNs<sup>®</sup>" are the registered service marks of Bank of America Corporation, the parent company of MLPF&S and BofAS.

Investor Considerations

**You may wish to consider an investment in the notes if:**

▪ You anticipate that the value of the Basket will increase moderately from the Starting Value to the Ending Value.

▪ You are willing to risk a loss of principal and return if the value of the Basket decreases from the Starting Value to the Ending
Value.

▪ You accept that the return on the notes will be capped.

▪ You are willing to forgo the interest payments that are paid on conventional interest bearing debt securities.

▪ You are willing to forgo dividends or other benefits of owning the shares of the Underlying Funds or the securities included in or
held by the Basket Components.

▪ You are willing to accept a limited market or no market for sales prior to maturity, and understand that the market prices for the
notes, if any, will be affected by various factors, including our actual and perceived creditworthiness, our internal funding rate and
fees and charges on the notes.

▪ You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.

**The notes may not be an appropriate investment for you if:**

▪ You believe that the value of the Basket will decrease from the Starting Value to the Ending Value or that it will not increase sufficiently
over the term of the notes to provide you with your desired return.

▪ You seek principal repayment or preservation of capital.

▪ You seek an uncapped return on your investment.

▪ You seek interest payments or other current income on your investment.

▪ You want to receive dividends or other distributions paid on the shares of the Underlying Funds or the securities included in or held
by the Basket Components.

▪ You seek an investment for which there will be a liquid secondary market.

▪ You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.

We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.

Capped Leveraged Index Return Notes<sup>®</sup> TS-4

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

Hypothetical Payout Profile and Examples of Payments at Maturity

---

| | |
|:---|:---|
| **Capped Leveraged Index Return Notes**<sup>®</sup><br> <sup>![](o1031257424b2_ts5chart.jpg)</sup>  | This graph reflects the returns on the notes, based on the Participation Rate of 150%, the Threshold Value of 100% of the Starting Value and the Capped Value of $15.18 per unit. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the Underlying Funds or the securities included in the Index, excluding dividends.<br>This graph has been prepared for purposes of illustration only.<br>|

---

The following table and examples are for purposes of illustration only. They are based on **hypothetical** values and show **hypothetical** returns on the notes. They illustrate the calculation of the Redemption Amount and total rate of return based on the Starting Value of 100.00, the Threshold Value of 100.00, the Participation Rate of 150%, the Capped Value of $15.18 per unit and a range of hypothetical Ending Values. **The actual amount you receive and the resulting total rate of return will depend on the actual Ending Value, and whether you hold the notes to maturity.** The following examples do not take into account any tax consequences from investing in the notes.

For recent hypothetical historical values of the Basket, see "The Basket" section below. For recent actual values of the Basket Components, see "The Basket Components" section below. The Ending Value will not include any income generated by dividends paid on the Basket Components or the securities included in or held by the Basket Components, which you would otherwise be entitled to receive if you invested in the Underlying Funds or the securities included in the Index directly. In addition, all payments on the notes are subject to issuer credit risk.

---

| | | | |
|:---|:---|:---|:---|
| **Ending Value** | **Percentage Change from the<br> Starting Value to the Ending<br> Value** | **Redemption Amount per<br> Unit** | **Total Rate of Return on the<br> Notes** |
| 0.00 | -100.00% | $0.00 | -100.00% |
| 50.00 | -50.00% | $5.00 | -50.00% |
| 60.00 | -40.00% | $6.00 | -40.00% |
| 70.00 | -30.00% | $7.00 | -30.00% |
| 80.00 | -20.00% | $8.00 | -20.00% |
| 90.00 | -10.00% | $9.00 | -10.00% |
| 95.00 | -5.00% | $9.50 | -5.00% |
| 100.00<sup>(1)(2)</sup> | 0.00% | $10.00 | 0.00% |
| 105.00 | 5.00% | $10.75 | 7.50% |
| 110.00 | 10.00% | $11.50 | 15.00% |
| 120.00 | 20.00% | $13.00 | 30.00% |
| 130.00 | 30.00% | $14.50 | 45.00% |
| 134.54 | 34.54% | $15.18<sup>(3)</sup> | 51.80% |
| 140.00 | 40.00% | $15.18 | 51.80% |
| 150.00 | 50.00% | $15.18 | 51.80% |
| 160.00 | 60.00% | $15.18 | 51.80% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) This is the Threshold Value.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) The Starting Value was set to 100.00 on the pricing date.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3) The Redemption Amount per unit cannot exceed the Capped Value.

Capped Leveraged Index Return Notes<sup>®</sup> TS-5

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

**Redemption Amount Calculation Examples**

---

| | |
|:---|:---|
| **Example 1** | **Example 1** |
| The Ending Value is 50.00, or 50.00% of the Starting Value: | The Ending Value is 50.00, or 50.00% of the Starting Value: |
| Starting Value: 100.00 | Starting Value: 100.00 |
| Threshold Value: 100.00 | Threshold Value: 100.00 |
| Ending Value: 50.00 | Ending Value: 50.00 |
| ![](o1031257424b2_ts6achart.jpg) | **= $5.00** Redemption Amount per unit |
| **Example 2** | **Example 2** |
| The Ending Value is 105.00, or 105.00% of the Starting Value: | The Ending Value is 105.00, or 105.00% of the Starting Value: |
| Starting Value: 100.00 | Starting Value: 100.00 |
| Ending Value: 105.00 | Ending Value: 105.00 |
| &nbsp;&nbsp;![](o1031257424b2_ts6bchart.jpg) | **= $10.75** Redemption Amount per unit |
| **Example 3** | **Example 3** |
| The Ending Value is 140.00, or 140.00% of the Starting Value: | The Ending Value is 140.00, or 140.00% of the Starting Value: |
| Starting Value: 100.00 | Starting Value: 100.00 |
| Ending Value: 140.00 | Ending Value: 140.00 |
| ![](o1031257424b2_ts6cchart.jpg) | **= $16.00, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $15.18 per unit** |

---

Capped Leveraged Index Return Notes<sup>®</sup> TS-6

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

Risk Factors

*There are important differences between the notes and a conventional debt security. An investment in the notes involves significant risks, including those listed below. You should carefully review the more detailed explanation of risks relating to the notes in the "Risk Factors" sections beginning on page PS-6 of product supplement EQUITY LIRN-1, page S-2 of the prospectus supplement, and page 9 of the prospectus identified above. We also urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.* 

**<u>Structure-related Risks</u>**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Depending on the performance of the Basket as measured shortly before the maturity date, your investment may result in a loss; there
is no guaranteed return of principal.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ The notes do not pay interest, and any return on the notes may be less than the yield you could earn by owning a conventional fixed
or floating rate debt security of comparable maturity.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Any positive return on your investment is limited to the return represented by the Capped Value and may be less than a comparable
investment directly in shares of the Underlying Funds or the securities included in or held by the Basket Components.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect
the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire investment.

**<u>Valuation and Market-related Risks</u>**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Our initial estimated value of the notes is only an estimate, and is based on a number of factors. The public offering price of the
notes may exceed our initial estimated value, because costs associated with offering, structuring and hedging the notes are included in
the public offering price, but are not included in the estimated value. These costs will include any underwriting discount and selling
concessions and the cost of hedging our obligations under the notes through one or more hedge counterparties (which may be one or more
of our affiliates or an agent or its affiliates). Such hedging cost includes our or our hedge counterparty's expected cost of providing
such hedge, as well as the profit we or our hedge counterparty expect to realize in consideration for assuming the risks inherent in providing
such hedge.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ To determine the terms of the notes, we use an internal funding rate that represents a discount from the credit spreads for our conventional
fixed-rate debt. As a result, the terms of the notes are less favorable to you than if we had used a higher funding rate.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Our initial estimated value of the notes is derived using our internal pricing models. This value is based on market conditions and
other relevant factors, which include volatility of the Basket Components, dividend rates and interest rates. Different pricing models
and assumptions, including those used by the agent, its affiliates or other market participants, could provide values for the notes that
are greater than or less than our initial estimated value. In addition, market conditions and other relevant factors after the pricing
date are expected to change, possibly rapidly, and our assumptions may prove to be incorrect. After the pricing date, the value of the
notes could change dramatically due to changes in market conditions, our creditworthiness, and the other factors discussed in the next
risk factor. These changes are likely to impact the price, if any, at which we, BofAS or any of our respective affiliates would be willing
to purchase the notes from you in any secondary market transactions. Our initial estimated value does not represent a minimum price at
which we, BofAS or any of our respective affiliates or any other party would be willing to buy your notes in any secondary market at any
time.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ A trading market is not expected to develop for the notes. None of us, MLPF&S, BofAS or any of our respective affiliates is obligated
to make a market for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any
price in any secondary market.

**<u>Conflict-related Risks</u>**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trading in shares
of the Underlying Funds or the securities included in or held by the Basket Components), and any hedging and trading activities we, MLPF&S,
BofAS or our respective affiliates engage in for our clients' accounts, may adversely affect the market value of and return on the
notes and may create conflicts of interest with you.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ There may be potential conflicts of interest involving the calculation agents, one of which is our affiliate and one of which is BofAS.
We have the right to appoint and remove the calculation agents.

**<u>Market Measure-related Risks</u>**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ The sponsor and/or advisor, as applicable, of a Basket Component may adjust such Basket Component in a way that affects the value
of such Basket Component, and these entities have no obligation to consider your interests.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ The sponsors of the indices underlying the Underlying Funds may adjust such indices in a way that affects their levels, and have no
obligation to consider your interests.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Increases in the values of one or more of the Basket Components may be offset by decreases in the values of one or more of the other
Basket Components.

Capped Leveraged Index Return Notes<sup>®</sup> TS-7

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Because the Basket Components are unequally weighted, increases in the values of the lower-weighted Basket Components may be offset
by even small decreases in the values of the more heavily weighted Basket Components.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ You will have no rights of a holder of the shares of the Underlying Funds or the securities included in or held by the Basket Components,
and you will not be entitled to receive securities or dividends or other distributions by the issuers of those securities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ While we, MLPF&S, BofAS or our respective affiliates may from time to time own shares of the Underlying Funds or the securities
included in or held by the Basket Components, we, MLPF&S, BofAS and our respective affiliates do not control any Underlying Fund or
any company included in or held by the Basket Components, and have not verified any disclosures made by any Underlying Fund or any such
company.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ There are liquidity and management risks associated with the Underlying Funds.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ The performance of the Underlying Funds may not correlate with the performance of the securities held by the Underlying Funds as well
as the net asset value per share of the Underlying Funds, especially during periods of market volatility when the liquidity and the market
price of shares of the Underlying Funds and/or the securities held by the Underlying Funds may be adversely affected, sometimes materially.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ The Redemption Amount will not be adjusted for all corporate events that could affect the Underlying Funds. See "Description
of the LIRNs—Anti-Dilution and Discontinuance Adjustments Relating to Underlying Funds" in product supplement EQUITY LIRN-1.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Your return on the notes may be affected by factors affecting the international securities markets, specifically changes in the countries
represented by the Basket Components.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ The securities included in or held by each Basket Component are traded in a currency other than U.S. dollars and, for purposes of
calculating the value of each Basket Component, are converted into U.S. dollars. Therefore, the value of each Basket Component will depend
in part on the relevant exchange rates.

**<u>Tax-related Risks</u>**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ The U.S. federal income tax consequences of an investment in the notes are unclear. There is no direct legal authority regarding the
proper U.S. federal income tax treatment of the notes and we do not plan to request a ruling from the Internal Revenue Service (the "IRS")
with respect to the notes. Consequently, significant aspects of the tax treatment of the notes are uncertain, and the IRS or a court might
not agree with our intended treatment of them, as described in "United States Federal Income Tax Considerations" below. If
the IRS were successful in asserting an alternative treatment of the notes, the tax consequences of the ownership and disposition of the
notes, including the timing and character of income recognized by U.S. investors, and the withholding tax consequences to non-U.S. investors,
might be materially and adversely affected. Even if the treatment of the notes is respected, a note may be treated as a "constructive
ownership transaction," with potentially adverse consequences described below under "United States Federal Income Tax Considerations."
Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal income tax treatment of the
notes, possibly retroactively.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ You should review carefully the sections of this term sheet and the accompanying product supplement entitled "United States
Federal Income Tax Considerations" and consult your tax advisor regarding the U.S. federal income tax consequences of an investment
in the notes, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

Additional Risk Factors

**The notes are subject to risks relating to emerging markets.**

The equity securities composing the Basket Components have been issued by companies in countries based in emerging markets. Emerging markets pose further risks in addition to the risks associated with investing in foreign equity markets generally. Countries with emerging markets may have relatively unstable financial markets and governments; may present the risks of nationalization of businesses; may impose restrictions on currency conversion, exports or foreign ownership and prohibitions on the repatriation of assets; may pose a greater likelihood of regulation by the national, provincial and local governments of the emerging market countries, including the imposition of currency exchange laws and taxes; and may have less protection of property rights, less access to legal recourse and less comprehensive financial reporting and auditing requirements than more developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries may differ unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance of payment positions. The currencies of emerging markets may also be less liquid and more volatile than those of developed markets and may be affected by political and economic developments in different ways than developed markets. The foregoing factors may adversely affect the performance of companies based in emerging markets.

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**The equity securities composing the KraneShares CSI China Internet ETF are concentrated in the internet sector.**

All or substantially all of the equity securities composing the KraneShares CSI China Internet ETF are issued by companies whose primary line of business is directly associated with the internet sector. As a result, the value of the notes may be subject to greater volatility and may be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers. Internet companies are subject to intense competition, the risk of product obsolescence, changes in consumer preferences and legal, regulatory and political changes. They are also especially at risk of hacking and other cybersecurity events. In addition, it can be difficult to determine what qualifies as an internet company.

Other Terms of the Notes

**Market Measure Business Day**

The following definition supersedes and replaces the definition of "Market Measure Business Day" set forth in product supplement EQUITY LIRN-1.

A "Market Measure Business Day" with respect to each ETF means a day on which the New York Stock Exchange is open for trading.

A "Market Measure Business Day" with respect to the Index means a day on which:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(A) each of the London Stock Exchange, the Stock Exchange of Hong Kong,
the São Paulo Stock Exchange, the Korea Exchange and the Shanghai Stock Exchange (or any successor to the foregoing) are open for
trading; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(B) the Index or any successor thereto is calculated and published.

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The Basket

The Basket is designed to allow investors to participate in the percentage changes in the values of the Basket Components from the Starting Value to the Ending Value of the Basket. The Basket Components are described in the section "The Basket Components" below. Each Basket Component was assigned an initial weight on the pricing date, as set forth in the table below.

For more information on the calculation of the value of the Basket, please see the section entitled "Description of the LIRNs—Basket Market Measures" beginning on page PS-35 of product supplement EQUITY LIRN-1.

On the pricing date, for each Basket Component, the Initial Component Weight, the closing level or Closing Market Price, as applicable, the Component Ratio and the initial contribution to the Basket value were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Basket Component** | **Bloomberg <br> Symbol** | **Initial <br> Component <br> Weight** | **Closing Level or <br> Closing Market <br> Price<sup>(1)</sup>** | **Component Ratio<sup>(2)</sup>** | **Initial Basket <br> Value <br> Contribution** |
| **MSCI Emerging Markets Index<sup>SM</sup>** | **MXEF** | **60.00%** | **1411.65** | **0.04250345** | **60.00** |
| **KraneShares CSI China Internet ETF** | **KWEB** | **17.50%** | **$40.22** | **0.43510691** | **17.50** |
| **iShares<sup>®</sup> MSCI Brazil ETF** | **EWZ** | **15.50%** | **$31.05** | **0.49919485** | **15.50** |
| **iShares<sup>®</sup> MSCI Mexico ETF** | **EWW** | **7.00%** | **$66.73** | **0.10490034** | **7.00** |
|  |  |  |  | **Starting Value** | **100.00** |

---

&nbsp;&nbsp;&nbsp;&nbsp;(1) These were the closing levels or Closing Market Prices, as applicable,
of the Basket Components on the pricing date.

&nbsp;&nbsp;&nbsp;&nbsp;(2) Each Component Ratio equals the Initial Component Weight of the relevant
Basket Component (as a percentage) multiplied by 100, and then divided by the closing level or Closing Market Price, as applicable, of
that Basket Component on the pricing date and rounded to eight decimal places.

The Ending Value of the basket will be equal to the average of the values of the Basket on each calculation day occurring during the Maturity Valuation Period. The calculation agent will calculate the value of the Basket for a calculation day by summing the products of the closing level or the Closing Market Price, as applicable, of each Basket Component on the relevant calculation day (multiplied by its Price Multiplier on that day, if applicable) and the Component Ratio for that Basket Component. If a Market Disruption Event occurs with respect to a Basket Component on any scheduled calculation day, the closing level or the Closing Market Price, as applicable, of that Basket Component will be determined as more fully described in the section entitled "Description of the LIRNs—Basket Market Measures—Observation Level or Ending Value of the Basket" on page PS-37 of product supplement EQUITY LIRN -1.

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Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

***While actual historical information on the Basket did not exist before the pricing date, the following graph sets forth the hypothetical historical daily performance of the Basket from January 1, 2015 through the pricing date. The graph is based upon actual daily historical values of the Basket Components, hypothetical Component Ratios based on the closing level or Closing Market Price, as applicable, of the Basket Components as of January 1, 2015, and a Basket value of 100.00 as of that date. This hypothetical historical data on the Basket is not necessarily indicative of the future performance of the Basket or what the value of the notes may be. Any hypothetical historical upward or downward trend in the value of the Basket during any period set forth below is not an indication that the value of the Basket is more or less likely to increase or decrease at any time over the term of the notes.***

**Hypothetical Historical Performance of the Basket**

![](o1031257424b2_ts11chart.jpg)

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Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

The Basket Components

Before investing in the notes, you should consult publicly available sources for the prices and trading patterns of the Basket Components.

**The MSCI Emerging Markets Index<sup>SM</sup>**

We obtained all information contained in this term sheet regarding the MSCI Emerging Markets Index<sup>SM</sup>, including, without limitation, its make-up, method of calculation and changes in its components, from publicly available information. That information reflects the policies of, and is subject to change by, MSCI Inc. ("MSCI"), the index sponsor. MSCI has no obligation to continue to publish, and may discontinue publication of, the MSCI Emerging Markets Index<sup>SM</sup> at any time. The consequences of the index sponsor discontinuing publication of the MSCI Emerging Markets Index<sup>SM</sup> are discussed in the section entitled "Description of the LIRNs—Discontinuance of an Index" in product supplement EQUITY LIRN-1. Neither we nor any agent has independently verified the accuracy or completeness of any information with respect to the MSCI Emerging Markets Index<sup>SM</sup> in connection with the offer and sale of the notes.

In addition, information about the MSCI Emerging Markets Index<sup>SM</sup> may be obtained from other sources including, but not limited to, MSCI's website. We are not incorporating by reference into this term sheet the website or any material it includes. Neither we nor any agent makes any representation that such publicly available information regarding the MSCI Emerging Markets Index<sup>SM</sup> is accurate or complete.

The MSCI Emerging Markets Index<sup>SM</sup> is a free float-adjusted market capitalization index compiled by MSCI that is designed to measure equity market performance in the global emerging markets. As of the date of this term sheet, the following emerging market country indices are included in the MSCI Emerging Markets Index<sup>SM</sup>: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Kuwait, Malaysia, Mexico, Peru, the Philippines, Poland, Qatar, Saudi Arabia, South Africa, South Korea, Taiwan, Thailand, Turkey and the United Arab Emirates. MSCI is under no obligation to continue to include these country indices. The component country indices included within the MSCI Emerging Markets Index<sup>SM</sup> are a sampling of equity securities across industry groups in such country's equity markets. The MSCI Emerging Markets Index<sup>SM</sup> is calculated in U.S. dollars, is an MSCI International Index and is part of the MSCI Global Investable Market Indices, the methodology of which is discussed below. For purposes of the below methodology, all of the country indices included in the MSCI Emerging Markets Index<sup>SM</sup> are classified as emerging market indices. In addition, the MSCI Emerging Markets Index<sup>SM</sup> is considered a "standard" index, which means it consists of eligible large- and mid-capitalization stocks, as determined by MSCI. The U.S. dollar price return version of the MSCI Emerging Markets Index<sup>SM</sup> is reported by Bloomberg L.P. under the ticker symbol "MXEF."

For purposes of this section, the MSCI Emerging Markets Index<sup>SM</sup> Index is a "MSCI Index" and one of the "MSCI Indices."

**The MSCI Indices**

**Constructing the MSCI Indices**

The MSCI Indices are constructed and maintained at an individual market level. MSCI undertakes an index construction process, which involves: (i) defining the equity universe for each market; (ii) determining the market investable equity universe for each market; (iii) determining market capitalization size segments for each market; (iv) applying index continuity rules for the Standard Index; and (v) classifying securities under the Global Industry Classification Standard (the "**GICS**<sup>®</sup>").

*Defining the Equity Universe*

&nbsp;&nbsp;&nbsp;&nbsp;(i) Identifying Eligible Equity Securities: All listed equity securities, including real estate investment
trusts ()"**REITs**") and certain income trusts in Canada, are eligible for inclusion in the equity universe. Preferred
shares that exhibit characteristics of equity securities and stapled securities each of the underlying components of which exhibit characteristics
of equity securities are also eligible for inclusion in the equity universe. Limited partnerships, limited liability companies and business
trusts, which are listed in the United States and are not structured to be taxed as limited partnerships, are likewise eligible for inclusion
in the equity universe. Conversely, mutual funds, exchange-traded funds ()"**ETFs** "), equity derivatives and most investment
trusts are not eligible for inclusion in the equity universe.

&nbsp;&nbsp;&nbsp;&nbsp;(ii) Country Classification of Eligible Securities: The equity universe initially looks at securities listed
in any of the countries in the MSCI Global Index Series, which will be classified into market categories, including Developed Markets
(" **DM**") and Emerging Markets ()"**EM** "). Each company and its securities (i.e., share classes) are classified
in one and only one country, which allows for a distinctive sorting of each company by its respective country.

*Determining the Market Investable Equity Universes* 

A market investable equity universe for a market is derived by (i) identifying eligible listings for each security in the equity universe; and (ii) applying investability screens to individual companies and securities in the equity universe that are classified in that market. A market is equivalent to a single country, except in DM Europe, where all DM countries in Europe are aggregated into a single market for index construction purposes. Subsequently, individual DM Europe country indices within the MSCI Europe Index are derived from the constituents of the MSCI Europe Index under the global investable market indices methodology.

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The global investable equity universe is the aggregation of all market investable equity universes.

&nbsp;&nbsp;&nbsp;&nbsp;(i) Identifying Eligible Listings: A security may have a listing that trades in the country where it is classified
(a "**local listing**") and/or a listing that trades in a different country (a "**foreign listing** "). A
security may be represented by either a local listing or a foreign listing (including a depositary receipt) in the global investable equity
universe as determined by MSCI. A security may be represented by a foreign listing only if the security is classified in a country that
meets certain foreign listing materiality requirements, and the security's foreign listing is traded on an eligible stock exchange
of a DM country if the security is classified in a DM country or, if the security is classified in an EM country, an eligible stock exchange
of a DM country or an EM country.

&nbsp;&nbsp;&nbsp;&nbsp;(ii) Applying Investability Screens: Some of the investability requirements are applied at the individual security
level and some at the overall company level, represented by the aggregation of individual securities of the company. As such, the inclusion
or exclusion of one security does not imply the automatic inclusion or exclusion of other securities of the same company.

The investability screens used to determine the investable equity universe in each market are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Equity Universe Minimum Size Requirement: This investability screen is applied at the company level. In
order to be included in a market investable equity universe, a company must have the required minimum full market capitalization. A company
will meet this requirement if its cumulative free float-adjusted market capitalization is within the top 99% of the equity universe sorted
in descending order by full market capitalization.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Equity Universe Minimum Free Float-Adjusted Market Capitalization Requirement: This investability screen
is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have
a free float-adjusted market capitalization equal to or higher than 50% of the equity universe minimum size requirement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) DM and EM Minimum Liquidity Requirement: This investability screen is applied at the individual security
level. To be eligible for inclusion in a market investable equity universe, a security must have adequate liquidity as measured by the
annualized traded value ratio ()"**ATVR**") and the frequency of trading. In addition to the ATVR and frequency of trading
requirements, securities in the MSCI China equity universe will not be eligible for inclusion in the market investable equity universe
if the securities are suspended on the price cutoff date of the index review or have been suspended for 50 consecutive business days or
more in the past 12 months.

Only one listing per security may be included in the market investable equity universe. In instances when a security has two or more eligible listings that meet the above liquidity requirements, then the following priority rules are used to determine which listing will be used for potential inclusion of the security in the market investable equity universe: (i) local listing; (ii) foreign listing in the same geographical region; and (iii) foreign listing in a different geographical region.

Due to liquidity concerns relating to securities trading at very high stock prices, a security with a stock price above $10,000 will fail the liquidity screening and will not be included in any market investable equity universe. This limitation applies only for securities that are not currently constituents of the MSCI Global Investable Market Indices. Current constituents of the MSCI Global Investable Market Indices will remain in their respective indices even if their stock price passes $10,000.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Global Minimum Foreign Inclusion Factor Requirement: This investability screen is applied at the individual
security level. To be eligible for inclusion in a market investable equity universe, a security's foreign inclusion factor ()"**FIF** ")
must reach a certain threshold. The FIF of a security is defined as the proportion of shares outstanding that is available for purchase
in the public equity markets by international investors. This proportion accounts for the available free float of and/or the foreign ownership
limits applicable to a specific security (or company). In general, a security must have an FIF equal to or larger than 0.15 to be eligible
for inclusion in a market investable equity universe. Exceptions to this general rule are made only in the limited cases where the exclusion
of securities of a very large company would compromise the Standard Index's ability to fully and fairly represent the characteristics
of the underlying market.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) Minimum Length of Trading Requirement: This investability screen is applied at the individual security
level. For an initial public offering ()"**IPO**") to be eligible for inclusion in a market investable equity universe,
the new issue must have started trading at least three months before the implementation of a semi-annual index review. This requirement
is applicable to small new issues in all markets. Large IPOs and large primary / secondary offerings of non-index constituents are not
subject to the minimum length of trading requirement and may be included in a market investable equity universe and the Standard Index
outside of a quarterly or semi-annual index review.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Minimum Foreign Room Requirement: This investability screen is applied at the individual security level.
For a security that is subject to a foreign ownership limit to be eligible for inclusion in a market investable equity universe, the proportion
of shares still available to foreign investors relative to the maximum allowed must be at least 15%.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) Financial Reporting Requirement: This investability screen is applied at the company level. Companies
classified to the United States must file a Form 10-K/10-Q to be eligible for inclusion in the United States investable equity universe.

*Defining Market Capitalization Size Segments for Each Market* 

Once a market investable equity universe is defined, it is segmented into the following size–based indices (the "**Size Segment Indices**"), with the following free float-adjusted market capitalization market coverage target ranges:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Investable Market Index (Large + Mid + Small): 99% +1% or -0.5%

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Standard Index (Large + Mid): 85% ± 5%

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Large Cap Index: 70% ± 5%

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Mid Cap Index: The Mid Cap Index market coverage in each market is derived as the difference between the
market coverage of the Standard Index and the Large Cap Index in that market.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Small Cap Index: The Small Cap Index market coverage in each market is derived as the difference between
the free float-adjusted market capitalization coverage of the Investable Market Index and the Standard Index in that market.

Creating the Size Segment Indices in each market involves the following steps: (i) defining the market coverage target range for each size segment; (ii) determining the global minimum size range for each size segment; (iii) determining the market size segment cutoffs and associated segment number of companies; (iv) assigning companies to the size segments; and (v) applying final size-segment investability requirements (which includes minimum free-float market capitalization requirements, minimum foreign room requirements, and exclusions for securities that exhibit extreme price increases).

*Index Continuity Rules for the Standard Indices* 

In order to achieve index continuity, as well as provide some basic level of diversification within a market index, notwithstanding the effect of other index construction rules, a minimum number of five constituents will be maintained for a DM Standard Index and a minimum number of three constituents will be maintained for an EM Standard Index.

If after the application of the index construction methodology a Standard Index contains fewer than five securities in a DM or three securities in an EM, then the largest securities by free float-adjusted market capitalization among the securities included in the market investable equity universe are added to the Standard Index in order to reach five constituents in that DM or three in that EM. At subsequent index reviews, if the minimum number of securities described above is not met, then after the market investable equity universe is identified, the securities are ranked by free float-adjusted market capitalization, however, in order to increase stability the free float-adjusted market capitalization of the existing index constituents (prior to review) is multiplied by 1.5, and securities are added until the desired minimum number of securities is reached.

*Classifying Securities under the Global Industry Classification Standard* 

All securities in the global investable equity universe are assigned to the industry that best describes their business activities. To this end, MSCI has designed, in conjunction with S&P Dow Jones Indices, the GICS<sup>®</sup>. The GICS<sup>®</sup> entails four levels of classification: (i) sector; (ii) industry groups; (iii) industries; and (iv) sub–industries. Under the GICS<sup>®</sup>, each company is assigned uniquely to one sub–industry according to its principal business activity. Therefore, a company can belong to only one industry grouping at each of the four levels of the GICS<sup>®</sup>. The GICS<sup>®</sup> classification of each security is used by MSCI to construct additional indices.

*Constructing and Calculating the Individual Indices*

After companies are allocated to their respective size segments and securities are reviewed for complying with the final size segment requirements, the final list of constituents for each Market Size Segment Index is determined. The MSCI Investable Market Indices are composed of the MSCI Standard Indices and the MSCI Small Cap Indices. The MSCI Standard Indices are further subdivided into the MSCI Large Cap and the MSCI Mid Cap Indices. Two or more Market Indices can be combined to form Composite Indices. Market Indices can be grouped either on the basis of market classification definition, geographical regions, economic regions or other criteria.

**Calculation of the MSCI Indices**

The MSCI Indices are calculated using the Laspeyres' concept of a weighted arithmetic average together with the concept of chain-linking. As a general principle, today's index level is obtained by applying the change in the market performance to the previous period index levels.

**Maintenance of the MSCI Indices** 

In order to maintain the representativeness of the MSCI Indices, MSCI may make structural changes to the MSCI Indices as a whole by adding or deleting component country indices. In particular, MSCI may add additional component country indices to the MSCI Indices or subtract one or more of its current component country indices prior to the maturity of the securities. Currently, such changes in the MSCI Indices may generally only be made on four dates throughout the year: after the close of the last business day of each February, May, August and November.

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Each component country index is maintained with the objective of reflecting the evolution of the underlying equity markets and segments on a timely basis, while seeking to achieve index continuity, continuous investability of constituents and replicability of such index, and index stability and low index turnover. The maintenance of the component country indices is reflected in the MSCI Indices.

In particular, index maintenance involves quarterly index reviews in February, May, August and November, which include: updating the indices on the basis of a fully refreshed equity universe; taking buffer rules into consideration for migration of securities across size and style segments; and updating FIFs and number of shares ("**NOS**").

*Corporate Events*

In addition, ongoing event-related changes to the MSCI Indices are made as the result of mergers, acquisitions, spin-offs, suspensions, delistings, bankruptcies, reorganizations and other similar corporate events. They can also result from capital reorganizations in the form of rights issues, bonus issues, public placements and other similar corporate actions that take place on a continuing basis. Changes resulting from corporate events involve many aspects, including additions, deletions, changes in NOS, changes in industry classification and changes in foreign inclusion factors and/or domestic inclusion factors as a result of updated free float estimates. These changes generally are reflected in the MSCI Indices at the time of the event. In addition, changes in NOS are consistently coordinated with changes in foreign inclusion factors and/or domestic inclusion factors to attempt to accurately reflect the investability of the underlying securities. Changes resulting from corporate events that could not be implemented on or near the effective dates and where no price adjustment factor is necessary, such as private placements and secondary offerings, are implemented at the following regularly scheduled index review. IPOs that are significant in size and meet the MSCI inclusion criteria may be considered for early inclusion in the Standard Index. If the decision is made to include an IPO early, the inclusion is effective after the close of the security's tenth day of trading.

Further information about the MSCI corporate events methodology may be obtained from other sources including, but not limited to, the MSCI Indices sponsor's website. We are not incorporating by reference into this term sheet the website or any material it includes. Neither we nor any agent makes any representation that such publicly available information regarding the MSCI Indices is accurate or complete.

***The following graph shows the daily historical performance of the MSCI Emerging Markets Index<sup>SM</sup> in the period from January 1, 2015 through the pricing date. We obtained this historical data from Bloomberg Finance L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg Finance L.P. On the pricing date, the closing level of the MSCI Emerging Markets Index<sup>SM</sup> was 1,411.65.***

**Historical Performance of the MSCI Emerging Markets Index<sup>SM</sup>**

![](o1031257424b2_ts15chart.jpg)

***This historical data on this Basket Component is not necessarily indicative of the future performance of this Basket Component or what the value of the notes may be. Any historical upward or downward trend in the level of this Basket Component during any period set forth above is not an indication that the level of this Basket Component is more or less likely to increase or decrease at any time over the term of the notes.***

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**License Agreement**

We and MSCI have entered into or expect to enter into a non-exclusive license agreement providing for the license to us, and certain of our affiliates, in exchange for a fee, of the right to use indices owned and published by MSCI in connection with some securities, including the notes. The license agreement provides or is expected to provide that the following language must be stated in this term sheet.

THE NOTES ARE NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MSCI INC. ("MSCI"), ANY AFFILIATE OF MSCI OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX. THE MSCI INDEXES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY BANK OF MONTREAL AND ITS AFFILIATES. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF THE NOTES OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN FINANCIAL SECURITIES GENERALLY OR IN THE NOTES PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDEXES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THE NOTES OR THE ISSUER OR OWNER OF THE NOTES. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE ISSUERS OR OWNERS OF THE NOTES INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE MSCI INDEXES. NEITHER MSCI, ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THE NOTES TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH THE NOTES ARE REDEEMABLE FOR CASH. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, THE MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION OR LIABILITY TO THE OWNERS OF THE NOTES IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THE NOTES.

ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE MSCI INDEXES FROM SOURCES WHICH MSCI CONSIDERS RELIABLE, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO MAKING OR COMPILING ANY MSCI INDEX WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE, LICENSEE'S CUSTOMERS OR COUNTERPARTIES, ISSUERS OF THE NOTES, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND MSCI, ANY OF ITS AFFILIATES AND ANY OTHER PARTY INVOLVED IN, OR RELATED TO MAKING OR COMPILING ANY MSCI INDEX HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO ANY MSCI INDEX AND ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL MSCI, ANY OF ITS AFFILIATES OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

No purchaser, seller or holder of the notes, or any other person or entity, should use or refer to any MSCI trade name, trade mark or service mark rights to sponsor, endorse, market or promote the notes without first contacting MSCI to determine whether MSCI's permission is required. Under no circumstances may any person or entity claim affiliation with MSCI without the prior written permission of MSCI.

Capped Leveraged Index Return Notes<sup>®</sup> TS-16

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

**The Underlying Funds**

Included below is a brief description of each ETF. This information has been obtained from publicly available sources, without independent verification.

The sponsor of each ETF is required to file information specified by the SEC periodically. Information provided to or filed with the SEC under the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended can be located by reference to the applicable ETF's SEC file numbers (as set forth below) and can be inspected through the SEC's website at www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. None of such publicly available information is incorporated by reference into this term sheet.

This term sheet relates only to the notes offered hereby and does not relate to any ETF. We have derived all disclosures contained in this term sheet regarding the Underlying Funds from the publicly available documents described in the preceding paragraph, without independent investigation. In connection with the offering of the notes, neither we nor any agent has participated in the preparation of such documents or made any due diligence inquiry with respect to any ETF. Neither we nor any agent has independently verified the accuracy or completeness of any information with respect to any ETF in connection with the offer and sale of the notes. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described in the preceding paragraph) that would affect the trading price of an ETF have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning an ETF could affect any payments on the notes and therefore the trading prices of the notes.

We and/or our affiliates may presently or from time to time engage in business with an ETF. In the course of such business, we and/or our affiliates may acquire non-public information with respect to an ETF, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or more of our affiliates may publish research reports with respect to an ETF. The statements in the preceding two sentences are not intended to affect the rights of investors in the notes under the securities laws.

Capped Leveraged Index Return Notes<sup>®</sup> TS-17

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

***KraneShares CSI China Internet ETF***

The KraneShares CSI China Internet ETF is issued by KraneShare Trust, a registered investment company. The KraneShares CSI China Internet ETF seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of the CSI Overseas China Internet Index, an equity index that consists of China based companies whose primary business or businesses are focused on internet and internet-related technology. The KraneShares CSI China Internet ETF's SEC file numbers are 333-180870 and 811-22698. The KraneShares CSI China Internet ETF is listed on the NYSE Arca, Inc. under the ticker symbol "KWEB." For more information about the CSI Overseas China Internet Index, see "—The CSI Overseas China Internet Index" below.

**The CSI Overseas China Internet Index**

We obtained all information contained in this term sheet regarding the CSI Overseas China Internet Index, including, without limitation, its make-up, method of calculation, and changes in its components, from publicly available information. That information reflects the policies of, and is subject to change by, China Securities Index Company Limited ("CSI"), the index sponsor. CSI has no obligation to continue to publish, and may discontinue publication of, the CSI Overseas China Internet Index at any time. Neither we nor any agent has independently verified the accuracy or completeness of any information with respect to the CSI Overseas China Internet Index in connection with the offer and sale of the notes.

In addition, information about the CSI Overseas China Internet Index may be obtained from other sources including, but not limited to, CSI's website. We are not incorporating by reference into this term sheet the website or any material it includes. Neither we nor any agent makes any representation that such publicly available information regarding the CSI Overseas China Internet Index is accurate or complete.

The CSI Overseas China Internet Index is reported by Bloomberg L.P. in U.S. dollars under the ticker symbol "H11137."

**General**

The CSI Overseas China Internet Index is a modified free float-adjusted market capitalization-weighted total return index that is designed to measure the equity market performance of Hong Kong- and overseas-listed China-based companies whose primary business or businesses are in the internet and internet-related sectors. CSI defines the China-based companies as those that satisfy one of the three criteria: (i) are incorporated in mainland China; (ii) have its operation center in mainland China; or (iii) derive at least 50% of its revenue from mainland China**.**

*Eligibility Criteria*

Hong Kong-listed securities of China-based companies should satisfy the following conditions:

&nbsp;&nbsp;&nbsp;&nbsp;· Securities are common stock or REITs primary or secondary listed on the Hong Kong Stock Exchange (main board or the Growth Enterprise
Market); and

&nbsp;&nbsp;&nbsp;&nbsp;· The listing date is more than 3 months in the most recent year unless the daily average total market value since listing is ranked
top 10 in all the Hong Kong-listed securities;

*provided* that Hong Kong-listed securities of China-based companies that meet any of the following conditions will be excluded from the eligible universe:

&nbsp;&nbsp;&nbsp;&nbsp;· Securities that are included on the Hong Kong Securities and Futures Commission high shareholding concentration notices, unless the
company has issued the announcement entitled "Resolving of High Shareholding Concentration" to state that the high shareholding
concentration issue has been resolved for 12 months;

&nbsp;&nbsp;&nbsp;&nbsp;· Securities whose average daily closing price in the most recent year is less than 0.1 HKD;

&nbsp;&nbsp;&nbsp;&nbsp;· Securities whose average daily closing price in the most recent year is less than 0.5 HKD and earnings per share in the most recent
annual report is negative;

&nbsp;&nbsp;&nbsp;&nbsp;· Securities whose cumulative daily average market capitalization coverage in the most recent three months is beyond 90%, after having
ranked the securities by the daily average turnover ratio (which is the daily trading value divided by total market capitalization) in
descending order and calculated the cumulative daily average market capitalization coverage for each security; or

&nbsp;&nbsp;&nbsp;&nbsp;· Securities considered by an index advisory committee of CSI as inappropriate.

Other markets-listed securities of China-based companies should be listed and traded for more than 3 months unless the market value of its IPO exceeds 30 billion USD.

All securities whose average daily trading value in the past year is less than 3 million USD or average daily market capitalization in the past year is less than 2 billion USD are removed from the eligible universe.

Capped Leveraged Index Return Notes<sup>®</sup> TS-18

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

*Constituent Selection*

From the eligible universe, securities are chosen for inclusion in the CSI Overseas China Internet Index if they are assigned to one of the following categories, as determined by CSI:

&nbsp;&nbsp;&nbsp;&nbsp;· Internet Software & Services (companies developing and marketing internet software and/or providing internet services);

&nbsp;&nbsp;&nbsp;&nbsp;· Home Entertainment Software (manufacturers of home entertainment software and educational software primarily for home use);

&nbsp;&nbsp;&nbsp;&nbsp;· Internet Retail (companies providing retail services primarily on the internet);

&nbsp;&nbsp;&nbsp;&nbsp;· Internet Service (companies providing commercial services primarily through the internet); or

&nbsp;&nbsp;&nbsp;&nbsp;· Mobile Internet (companies developing and marketing mobile internet software or providing mobile Internet services).

When two or more eligible listings of the same company are eligible for inclusion, the Hong Kong-listed security will have the priority to be selected.

*Index Calculation*

The CSI Overseas China Internet Index is a modified free float-adjusted market capitalization-weighted total return index. On any given day, the value of the CSI Overseas China Internet Index is the total U.S. dollar adjusted market capitalization *divided by* its divisor and *multiplied by* its base value, where the number of shares of each component is adjusted based on its free float and a weight factor. The real-time calculation of the CSI Overseas China Internet Index is based on the real-time price date published by the stock exchanges during trading hours through their quotation system.

*Free Float.* The free float of a constituent is the shares outstanding and tradable in the security market. CSI defines the free float of a constituent as is its total shares *minus* the non-free float shares. The non-free float shares include (1) shares held by founders of the company or their families, and by senior executives, including senior managers, directors and supervisors; (2) shares held by the government or its subsidiaries; (3) shares held by strategic investors for long-term strategic interest; or (4) shares held by employee share plans. Shares that fall within one of these categories are only deemed to be non-free float shares if they are held by a shareholder or shareholders acting in concert that hold 5% or more of the total shares. Restricted shares subject to a lock-up period are deemed to be non-free float shares. The identification and calculation of free float by CSI is based on objective information, including but not limited to prospectuses and listing notices, periodic reports and temporary reports. CSI tracks the changes of free-float shares and adjusts free-float changes resulting from shareholder's behavior or the end of lock-up periods semiannually on the trading day following the second Friday of each June and December.

*Free Float Adjusted Shares.* The number of free float adjusted shares is calculated by adjusting the total number of shares of a constituent based upon its free float ratio. The free float ratio equals total number of shares of a constituent classified as free float *divided by* the total number of shares of that constituent.

*Weight Factor.* The weight factor is a value between 0 and 1, so that the weight of each constituent is capped at 10% and the total weight of the top five constituents is capped at 40%. A constituent's weight will be adjusted to the cap if its initial weight reaches its cap, and the remaining constituents are allocated the remaining weight according to the free float adjusted market capitalization ratio.

*Exchange Rate.* Exchange rates are sourced from the data providers as designated by CSI from time to time. The real-time exchange rate is used to calculate the CSI Overseas China Internet Index in U.S. dollars.

*Divisor*. The purpose of the index divisor is to maintain the continuity of an index level following a change to the constituents, a capital change in the constituents or an index constituent's market value changes due to non-trading factors**.**

*Index Rebalancing and Adjustment*

The CSI Overseas China Internet Index is adjusted and rebalanced semi-annually during the last ten days of May and November of each year. The index reconstitution and free float share adjustments are implemented after the market close on the second Friday of June and December.

*Index Weights*. The weight of each constituent is rebalanced monthly and the rebalance will be effective as of the next trading day after the second Friday of each month.

*Suspension.* During the periodical adjustment, if an index constituent has been suspended for more than 25 trading days and has not resumed trading as of the deadline for data used for constituents' periodical adjustment, it may be classified as a priority deletion security.

For suspended companies that are not currently constituents of the CSI Overseas China Internet Index, CSI determines their treatment as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· Securities that are under suspension on the disclosure date of periodical adjustment results and without clear expectation about trading
resumption, or even if there is a clear expectation about trading resumption but the earliest expected resumption date is on or after
the effective date of the index periodical adjustment, will not be able to be selected as candidate new additions in principle.

&nbsp;&nbsp;&nbsp;&nbsp;· Securities that have been consecutively suspended for more than 25 trading days during the data period used for constituents'
periodical adjustment are eligible for inclusion in the index only if they have resumed trading for at least 3 months.

&nbsp;&nbsp;&nbsp;&nbsp;· For new additions suspended between the disclosure date of periodical adjustment results and the effective date of the periodical
adjustment, CSI will decide whether to adjust the addition or not.

Capped Leveraged Index Return Notes<sup>®</sup> TS-19

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

*Corporate Action Related Changes*

In the case of exceptional corporate events, CSI will review the CSI Overseas China Internet Index and make necessary ongoing adjustments between index reviews in order to maintain the representativeness of the index and ensure it is investable. These corporate events include IPOs, mergers and acquisitions, spin-offs, suspensions, delistings, bankruptcies, as well as any corporate events that cause changes in security prices or number of shares, such as cash or stock dividends, stock splits or reverse stock splits, rights issues, secondary offerings and so on.

*Index Governance*

CSI, as the administrator of the CSI Overseas China Internet Index, is responsible for determining index methodology, calculation, maintenance and publication according to the methodology. The CSI may make necessary amendments to index methodology based on periodical internal review, market environment examination, opinions of the index advisory committee, market feedback and external complaints. The index oversight committee is responsible for overseeing the changes to the index methodology.

***The following graph shows the daily historical performance of the KraneShares CSI China Internet ETF *on its primary exchange in the period from January 1, 2015 through the pricing date. We obtained this historical data from Bloomberg Finance L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg Finance L.P. On the pricing date, the Closing Market Price of the KraneShares CSI China Internet ETF was $40.22 The graph below may have been adjusted to reflect certain actions, such as stock splits and reverse stock splits*.***

**Historical Performance of the KraneShares CSI China Internet ETF**

![](o1031257424b2_ts20chart.jpg)

 ****

***This historical data on this Basket Component is not necessarily indicative of the future performance of this Basket Component or what the value of the notes may be. Any historical upward or downward trend in the price per share of this Basket Component during any period set forth above is not an indication that the price per share of this Basket Component is more or less likely to increase or decrease at any time over the term of the notes.***

Capped Leveraged Index Return Notes<sup>®</sup> TS-20

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

 ****

***The iShares<sup>®</sup> MSCI Brazil ETF***

The iShares<sup>®</sup> MSCI Brazil ETF is issued by iShares<sup>®</sup>, Inc., a registered investment company. The iShares<sup>®</sup> MSCI Brazil ETF seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Brazil 25/50 Index, an equity index that is designed to measure the performance of the large- and mid-capitalization segments of the equity market in Brazil. The iShares<sup>®</sup> MSCI Mexico ETF's SEC file numbers are 033-97598 and 811-09102. The iShares<sup>®</sup> MSCI Brazil ETF is listed on the NYSE Arca, Inc. under the ticker symbol "EWZ." For more information about the MSCI Brazil 25/50 Index, see "—The MSCI Brazil 25/50 Index" below.

**The MSCI Brazil 25/50 Index**

We obtained all information contained in this term sheet regarding the MSCI Brazil 25/50 Index, including, without limitation, its make-up, method of calculation and changes in its components, from publicly available information. That information reflects the policies of, and is subject to change by, MSCI Inc. ("MSCI"), the index sponsor. MSCI has no obligation to continue to publish, and may discontinue publication of, the MSCI Brazil 25/50 Index at any time. Neither we nor any agent has independently verified the accuracy or completeness of any information with respect to the MSCI Brazil 25/50 Index in connection with the offer and sale of notes.

In addition, information about the MSCI Brazil 25/50 Index may be obtained from other sources including, but not limited to, the MSCI's website. We are not incorporating by reference into this term sheet the website or any material it includes. Neither we nor any agent makes any representation that such publicly available information regarding the MSCI Brazil 25/50 Index Indices is accurate or complete.

For purposes of this section, the MSCI Brazil 25/50 Index is a "MSCI 25/50 Index" and one of the "MSCI 25/50 Indices."

**The MSCI 25/50 Indices**

**Objectives and Guiding Principles Underlying the MSCI 25/50 Indices**

Under current regulations, a fund needs to satisfy certain tests, such as those relating to asset diversification and sources of income, for qualification as a RIC. More specifically, one requirement of a RIC is that, at the end of each quarter of a RIC's tax year, no more than 25% of the value of the RIC's assets may be invested in a single issuer and the sum of the weights of all issuers representing more than 5% of the fund should not exceed 50% of the fund's total assets. The MSCI 25/50 Indices take into account these investment limits, aiming to offer a benchmarking alternative for RIC-compliant funds.

The following principles have guided MSCI in designing a methodology for constructing the MSCI 25/50 Indices from underlying non-constrained indices.

*Reflecting the 25% and 50% concentration constraints.* Reflecting the 25% and 50% concentration constraints is the primary consideration in terms of both index construction and index maintenance. Ensuring timely and on-going reflection of the constraints requires an MSCI 25/50 Index to be rebalanced periodically. The MSCI 25/50 Indices are rebalanced in February, May, August and November.

*Minimizing tracking error to the parent index.* Minimizing the tracking error between an MSCI 25/50 Index and the relevant parent index, while keeping the index turnover to a reasonable level, is another important objective. MSCI seeks to achieve this by rebalancing each MSCI 25/50 Index using an optimization process that aims to minimize the constituent weight differences between that MSCI 25/50 Index and the relevant parent index.

**Constructing and Rebalancing the MSCI 25/50 Indices**

The MSCI 25/50 Indices methodology follows a portfolio optimization framework. The "**Barra Optimizer**" is utilized to perform the optimization function, which is aimed at minimizing index turnover, tracking error and extreme deviation from the relevant parent index. The Barra Optimizer is an algorithm designed to facilitate the portfolio construction process.

*Constraint targets.* Each MSCI 25/50 Index is subject to the following constraints:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· no issuer may exceed 25% of index weight; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· all issuers with weight above 5% may not exceed 50% of the index weight.

*Minimizing tracking error from the relevant parent index.* The MSCI 25/50 Indices methodology aims at minimizing the tracking error from the relevant pro forma parent index. The tracking error of an MSCI 25/50 Index versus the relevant parent index is measured as the sum of the squared weight differences between the constituent weights of that MSCI 25/50 Index and the relevant parent index.

Capped Leveraged Index Return Notes<sup>®</sup> TS-21

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

*Minimizing transaction cost.* A transaction cost is applied as a proxy for index turnover on rebalancing from the current MSCI 25/50 Index to the relevant pro forma MSCI 25/50 Index.

*Minimum weight of constituents.* The minimum weight of any MSCI 25/50 Index constituent is equal to the weight of the smallest constituent in the relevant pro forma parent index.

*Maximum weight of constituents.* In order to avoid excess weight allocation to the smaller securities relative to their market cap weight, the maximum weight of any MSCI 25/50 Index constituent is capped at four times its weight in the relevant pro forma parent index. The constraint is relaxed in steps of one in case of infeasibilities. For certain narrow parent indices, the standard maximum weight constraint parameters might lead to an infeasible solution. In such cases, MSCI may apply relaxed constraints relative to the standard set of constraints.

**Buffer Rules**

A buffer of 10% of the value of each constraint is used in order to reduce the risk of non-compliance due to short-term market movements between two quarterly rebalancings. As a result, at the point of constructing or rebalancing an MSCI 25/50 Index, the weight of any single issuer cannot exceed 22.5% of the index weight and all issuers with weight above 4.5% cannot exceed 45% of the index weight.

**Maintenance Rules**

*Quarterly index reviews*. The MSCI 25/50 Indices are rebalanced quarterly and the changes resulting from the rebalancing are made as of the close of the last business day of each February, May, August and November, to coincide with the quarterly index reviews of their parent indices.

The MSCI 25/50 Indices are in general rebalanced nine business days before the effective date. The changes resulting from the rebalancing are announced on the same day.

In case a pro forma MSCI 25/50 Index violates the 25/50 constraints between the announcement date and the effective date, the previously announced results will be discarded and a newly rebalanced MSCI 25/50 Index will be announced.

There is no index rebalancing due to non-compliance between quarterly index reviews.

At each rebalancing, a constraint factor is calculated for each constituent of an MSCI 25/50 Index. The constraint factor is defined as the weight in the relevant MSCI 25/50 Index at the time of the rebalancing divided by the weight in the relevant parent index. The constraint factor as well as the constituents of the relevant MSCI 25/50 Index remain constant between index reviews except in case of corporate events.

*Ongoing Event Related Changes.* The addition of a newly eligible security in a parent index—for example, an early inclusion of a large initial public offering, or a security migrating to that parent index from another size segment—will result in the inclusion of that security in the relevant MSCI 25/50 Index and consequently trigger the full rebalancing of that MSCI 25/50 Index.

In the event of a merger or an acquisition where an index constituent acquires another index constituent or merges with another index constituent, the remaining company is maintained in the relevant MSCI 25/50 Index with a constraint factor calculated as the weighted average of the constraint factors before the corporate event.

If a spun-off security of an index constituent is added to a parent index, it will be added to the relevant MSCI 25/50 Index with the same constraint factor as the parent security.

The deletion of a constituent from a parent index following a corporate event triggers its deletion from the relevant MSCI 25/50 Index without rebalancing of that MSCI 25/50 Index.

**Issuer Concentration Issues**

A minimum of 15 issuers in the relevant parent index is required at any point in time for the relevant MSCI 25/50 Index to be rebalanced as described above. In the event the number of issuers drops below 15 but remains above 11 following a corporate event or a regular index review, MSCI will apply the following adjustments:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Number
of issuers drops to 14: the buffer mentioned above will be reduced from 10% to 9%. Thus, the weight of any single issuer cannot exceed
22.75% of the index weight and all issuers with weight above 4.55% cannot exceed 45.5% of the index weight.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Number of issuers drops to 13: the buffer mentioned above will be reduced from
10% to 4%. Thus, the weight of any single issuer cannot exceed 24% of the index weight and all issuers with weight above 4.8% cannot exceed
48% of the index weight.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Number
of issuers drops to 12: the buffer mentioned above will be reduced from 10% to 0%. Thus, the weight of any single issuer cannot exceed
25% of the index weight and all issuers with weight above 5% cannot exceed 50% of the index weight.

Capped Leveraged Index Return Notes<sup>®</sup> TS-22

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

An MSCI 25/50 Index will need to be discontinued if the number of issuers drops below 12 as mathematically no solution can satisfy the 25% and 50% constraints. MSCI will however temporarily maintain the relevant MSCI 25/50 Index for a minimum of two months before discontinuation by adding the necessary number of securities to that MSCI 25/50 Index. The index discontinuation will coincide with one of the subsequent regular index reviews. The securities to be added will be chosen in the following order of priority:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Securities
deleted from that MSCI 25/50 Index, *provided* they exhibit required liquidity and were not deleted due to financial difficulties,
etc.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Eligible securities of relevant size not included in the relevant parent index
(e.g *.*, largest small cap size-segment securities).

In the event that no securities are eligible for temporary addition to the relevant MSCI 25/50 Index, MSCI will provide an index, as close as possible to the 25/50 constraints, for a minimum of two months before discontinuation. The index discontinuation will coincide with one of the subsequent regular index reviews.

**Index Calculation and Corporate Events**

Please see "—The MSCI Indices" above for information relating to the calculation of the MSCI 25/50 Indices, subject to the weight limits, buffer rules and issuer concentration issues described above, and the treatment of corporate events, subject to the maintenance rules described above. For these purposes, each MSCI 25/50 Index is deemed to be one of the MSCI Indices described in that section.

***The following graph shows the daily historical performance of the iShares<sup>®</sup> MSCI Brazil ETF on its primary exchange in the period from January 1, 2015 through the pricing date. We obtained this historical data from Bloomberg Finance L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg Finance L.P. On the pricing date, the Closing Market Price of the iShares<sup>®</sup> MSCI Brazil ETF was $31.05. The graph below may have been adjusted to reflect certain actions, such as stock splits and reverse stock splits.***

**Historical Performance of the iShares<sup>®</sup> MSCI Brazil ETF**

![](o1031257424b2_ts23chart.jpg)

 ****

***This historical data on this Basket Component is not necessarily indicative of the future performance of this Basket Component or what the value of the notes may be. Any historical upward or downward trend in the price per share of this Basket Component during any period set forth above is not an indication that the price per share of this Basket Component is more or less likely to increase or decrease at any time over the term of the notes.*** 

Capped Leveraged Index Return Notes<sup>®</sup> TS-23

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

***The iShares<sup>®</sup> MSCI Mexico ETF***

The iShares<sup>®</sup> MSCI Mexico ETF is issued by iShares<sup>®</sup>, Inc., a registered investment company. The iShares<sup>®</sup> MSCI Mexico ETF seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Mexico IMI 25/50 Index, an equity index that is designed to measure the performance of the large- mid- and small-capitalization segments of the equity market in Mexico. The iShares<sup>®</sup> MSCI Mexico ETF's SEC file numbers are 033-97598 and 811-09102. The iShares<sup>®</sup> MSCI Mexico ETF is listed on the NYSE Arca, Inc. under the ticker symbol "EWW." For more information about the MSCI Mexico IMI 25/50 Index, see "—MSCI Mexico IMI 25/50 Index" below.

**The MSCI Mexico IMI 25/50 Index**

We obtained all information contained in this term sheet regarding the MSCI Mexico IMI 25/50 Index, including, without limitation, its make-up, method of calculation and changes in its components, from publicly available information. That information reflects the policies of, and is subject to change by, MSCI Inc. ("MSCI"), the index sponsor. MSCI has no obligation to continue to publish, and may discontinue publication of, the MSCI Brazil 25/50 Index at any time. Neither we nor any agent has independently verified the accuracy or completeness of any information with respect to the MSCI Brazil 25/50 Index in connection with the offer and sale of notes.

In addition, information about the MSCI Mexico IMI 25/50 Index may be obtained from other sources including, but not limited to, the MSCI's website. We are not incorporating by reference into this term sheet the website or any material it includes. Neither we nor any agent makes any representation that such publicly available information regarding the MSCI Brazil 25/50 Index Indices is accurate or complete.

The MSCI Mexico IMI 25/50 Index is an "MSCI 25/50 Index" and one of the "MSCI 25/50 Indices." For a description of the MSCI 25/50 Indices, see "—The MSCI 25/50 Indices" above.

***The following graph shows the daily historical performance of the iShares<sup>®</sup> MSCI Mexico ETF on its primary exchange in the period from January 1, 2015 through the pricing date. We obtained this historical data from Bloomberg Finance L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg Finance L.P. On the pricing date, the Closing Market Price of the iShares<sup>®</sup> MSCI Mexico ETF was $66.73. The graph below may have been adjusted to reflect certain actions, such as stock splits and reverse stock splits.***

**Historical Performance of the iShares<sup>®</sup> MSCI Mexico ETF**

![](o1031257424b2_ts24chart.jpg)

***This historical data on this Basket Component is not necessarily indicative of the future performance of this Basket Component or what the value of the notes may be. Any historical upward or downward trend in the price per share of this Basket Component during any period set forth above is not an indication that the price per share of this Basket Component is more or less likely to increase or decrease at any time over the term of the notes.***

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Capped Leveraged Index Return Notes<sup>®</sup> TS-24

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

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Supplement to the Plan of Distribution

Under our distribution agreement with BofAS, BofAS will purchase the notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated underwriting discount.

BofAS has informed us of the information in the following paragraph. MLPF&S will purchase the notes from BofAS for resale, and will receive a selling concession in connection with the sale of the notes in an amount up to the full amount of underwriting discount set forth on the cover of this term sheet.

We will pay a fee to LFT Securities, LLC for providing certain electronic platform services with respect to this offering, which reduces the economic terms of the notes to you. An affiliate of BofAS has an ownership interest in LFT Securities, LLC.

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

The notes will not be listed on any securities exchange. In the original offering of the notes, the notes will be sold in minimum investment amounts of 100 units. If you place an order to purchase the notes, you are consenting to MLPF&S and/or one of its affiliates acting as a principal in effecting the transaction for your account.

BofAS has advised us that MLPF&S and BofAS may repurchase and resell the notes, with repurchases and resales being made at prices related to then-prevailing market prices or at negotiated prices determined by reference to their pricing models at their discretion, and these prices will include MLPF&S's and BofAS's trading commissions and mark-ups or mark-downs. MLPF&S and BofAS may act as principal or agent in these market-making transactions; however, neither is obligated to engage in any such transactions. BofAS has advised us that at MLPF&S's and BofAS's discretion, for a short, undetermined initial period after the issuance of the notes, MLPF&S and BofAS may offer to buy the notes in the secondary market at a price that may exceed the initial estimated value of the notes. Any price offered by MLPF&S or BofAS for the notes is expected to be based on then-prevailing market conditions and other considerations, including the performance of the Basket and the remaining term of the notes. However, none of us, MLPF&S, BofAS or any of our respective affiliates is obligated to purchase your notes at any price or at any time, and we cannot assure you that we, MLPF&S, BofAS or any of our respective affiliates will purchase your notes at a price that equals or exceeds the initial estimated value of the notes.

BofAS has informed us that, as of the date of this term sheet, it expects that if you hold your notes in a BofAS account, the value of the notes shown on your account statement will be based on BofAS's estimate of the value of the notes if BofAS or another of its affiliates were to make a market in the notes, which it is not obligated to do. That estimate will be based upon the price that BofAS may pay for the notes in light of then-prevailing market conditions and other considerations, as mentioned above, and will include transaction costs. At certain times, this price may be higher than or lower than the initial estimated value of the notes.

The distribution of the Note Prospectus in connection with these offers or sales will be solely for the purpose of providing investors with the description of the terms of the notes that was made available to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized to, rely on the Note Prospectus for information regarding BMO or for any purpose other than that described in the immediately preceding sentence.

Capped Leveraged Index Return Notes<sup>®</sup> TS-25

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

Structuring the Notes

The notes are our debt securities, the return on which is linked to the performance of the Basket. As is the case for all of our debt securities, including our market-linked notes, the economic terms of the notes reflect our actual or perceived creditworthiness at the time of pricing. In addition, because market-linked notes result in increased operational, funding and liability management costs to us, we typically borrow the funds under these notes at a rate that is more favorable to us than the rate which we refer to as our internal funding rate, which is the rate that we might pay for a conventional fixed or floating rate debt security. This generally relatively lower internal funding rate, which is reflected in the economic terms of the notes, along with costs associated with offering, structuring and hedging the notes, results in the initial estimated value of the notes on the pricing date being less than the public offering price.

At maturity, we are required to pay the Redemption Amount to holders of the notes, which will be calculated based on the $10 per unit principal amount and will depend on the performance of the Basket. In order to meet these payment obligations, at the time we issue the notes, we expect to enter into certain hedging arrangements (which may include call options, put options or other derivatives) with BofAS or one of its affiliates. The terms of these hedging arrangements are determined by seeking bids from market participants, which may include MLPF&S, BofAS and/or one of their or our respective affiliates, and take into account a number of factors, including our creditworthiness, interest rate movements, the volatility of the Basket Components, the tenor of the notes and the tenor of the hedging arrangements. The economic terms of the notes and their initial estimated value depend in part on the terms of these hedging arrangements.

BofAS has advised us that the hedging arrangements will include a hedging related charge of approximately $0.05 per unit, reflecting an estimated profit to be credited to BofAS from these transactions. Since hedging entails risk and may be influenced by unpredictable market forces, additional profits and losses from these hedging arrangements may be realized by our affiliates, MLPF&S, BofAS or any other hedge providers. Any profit in connection with such hedging activity will be in addition to any other compensation that the agent, and their or our respective affiliates receive for the sale of notes, which creates an additional incentive to sell the notes to you.

For further information, see "Risk Factors—Valuation- and Market-related Risks" beginning on page PS-8 and "Use of Proceeds and Hedging" on page PS-22 of product supplement EQUITY LIRN-1.

Capped Leveraged Index Return Notes<sup>®</sup> TS-26

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

Summary of Canadian Federal Income Tax Consequences

For a discussion of the material Canadian federal income tax consequences relating to an investment in the notes, please see the section entitled "Canadian Federal Income Tax Summary" in the product supplement EQUITY LIRN-1.

United States Federal Income Tax Considerations

Although there is uncertainty regarding the U.S. federal income tax consequences of an investment in the notes due to the lack of governing authority, in the opinion of our counsel Davis Polk & Wardwell LLP, under current law, and based on current market conditions, it is reasonable to treat a note as a single financial contract that is an "open transaction" for U.S. federal income tax purposes. Assuming this treatment of the notes is respected, the tax consequences are as outlined in the discussion under "United States Federal Income Tax Considerations—Tax Consequences to U.S. Holders—LIRNs Treated as Open Transactions" in the accompanying product supplement.

Even if the treatment of the notes as "open transactions" is respected, a purchase of a note may be treated as entry into a "constructive ownership transaction," within the meaning of Section 1260 of the Code. In that case, all or a portion of any long-term capital gain a U.S. investor would otherwise recognize in respect of a note would be recharacterized as ordinary income to the extent such gain exceeded the "net underlying long-term capital gain." Any long-term capital gain recharacterized as ordinary income under Section 1260 would be treated as accruing at a constant rate over the period the U.S. investor held the notes, and the U.S. investor would be subject to an interest charge in respect of the deemed tax liability on the income treated as accruing in prior tax years. Due to the lack of governing authority there is significant uncertainty as to whether or how these rules will apply to the notes. U.S. investors should read the section entitled "United States Federal Income Tax Considerations—Tax Consequences to U.S. Holders— LIRNs Treated as Open Transactions—Possible Application of Section 1260 of the Code" in the accompanying product supplement for additional information and consult their tax advisors regarding the potential application of the "constructive ownership" rule.

We do not plan to request a ruling from the Internal Revenue Service (the "IRS") regarding the treatment of the notes. If the IRS were successful in asserting an alternative treatment of the notes, the tax consequences of the ownership and disposition of the notes, including the timing and character of income recognized by U.S. investors, and the withholding tax consequences to non-U.S. investors, might be materially and adversely affected. For example, under one alternative characterization the notes may be treated as contingent payment debt instruments, which would require U.S. investors to accrue income periodically based on a "comparable yield" and generally would require non-U.S. investors to certify their non-U.S. status on an IRS Form W-8 to avoid a 30% (or a lower treaty rate) U.S. withholding tax. In addition, the U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of "prepaid forward contracts" and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect.

As discussed in the accompanying product supplement, Section 871(m) of the Code and the Treasury regulations thereunder ("Section 871(m)") generally impose a 30% (or lower treaty rate) withholding tax on "dividend equivalents" paid or deemed paid to non-U.S. investors with respect to certain financial instruments linked to equities that could pay U.S.-source dividends for U.S. federal income tax purposes ("underlying securities"), as defined under the applicable Treasury regulations, or indices that include underlying securities. Section 871(m) generally applies to financial instruments that substantially replicate the economic performance of one or more underlying securities, as determined based on tests set forth in the applicable Treasury regulations. Pursuant to an IRS notice, Section 871(m) will not apply to notes issued before January 1, 2027 that do not have a delta of one with respect to any underlying security. Based on our determination that the notes do not have a delta of one with respect to any underlying security, the notes should not be subject to Section 871(m). Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on a non-U.S. investor's particular circumstances, including whether the non-U.S. investor enters into other transactions with respect to an underlying security. If withholding is required, we will not be required to pay any additional amounts with respect to the amounts so withheld. Non-U.S. investors should consult their tax advisors regarding the potential application of Section 871(m) to the notes.

Both U.S. and non-U.S. investors considering an investment in the notes should read the discussion under "United States Federal Income Tax Considerations" in the accompanying product supplement and consult their tax advisors regarding all aspects of the U.S. federal income and estate tax consequences of an investment in the notes, including possible alternative treatments, and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

Capped Leveraged Index Return Notes<sup>®</sup> TS-27

Capped Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to an International Basket of Three ETFs and One Index, due April 28, 2028</u>

Validity of the Notes

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 of Montreal in conformity with the indenture, and when this pricing supplement has been attached to, and duly notated on, the master note that represents the notes, 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 of Montreal, subject to the following limitations (i) the enforceability of the 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 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 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 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 trustees' authorization, execution and delivery of the indenture, (ii) the genuineness of signatures and (iii) certain other matters, all as stated in the letter of such counsel dated March 25, 2025, which has been filed as Exhibit 5.3 to Bank of Montreal's Form 6-K filed with the SEC and dated March 25, 2025.

In the opinion of Davis Polk & Wardwell LLP, as special United States products counsel to the Bank of Montreal, when the notes offered by this pricing supplement have been issued by the Bank of Montreal pursuant to the indenture, the trustee has made the appropriate entries or notations to the master global note that represents such notes (the "master note"), and such notes have been delivered against payment as contemplated herein, such notes will be valid and binding obligations of the Bank of Montreal, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or regulatory actions or applications giving effect to governmental actions or foreign laws affecting creditors' rights, *provided* that such counsel expresses no opinion as to (i) the enforceability of any waiver of rights under any usury or stay law; or (ii) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as the foregoing opinion involves matters governed by the laws of the Provinces of Ontario and Québec and the federal laws of Canada, you have received, and we understand that you are relying upon, the opinion of Osler, Hoskin & Harcourt LLP, Canadian counsel for the Bank of Montreal, set forth above. In addition, this opinion is subject to customary assumptions about the trustee's authorization, execution and delivery of the indenture and the authentication of the master note and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the opinion of Davis Polk & Wardwell LLP dated March 25, 2025, which has been filed as an exhibit to Bank of Montreal's report on Form 6-K filed with the SEC on March 25, 2025.

Capped Leveraged Index Return Notes<sup>®</sup> TS-28

## Ex-Filing

?xml version='1.0' encoding='ASCII'? Filing Fee Exhibit

**Ex-Filing Fees**

**CALCULATION OF FILING FEE TABLES**

**F-3**

**BANK OF MONTREAL /CAN/**

**Narrative Disclosure**

The maximum aggregate offering price of the securities to which the prospectus relates is $20,573,540.00. The prospectus is a final prospectus for the related offering.

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