SEC Form FWP filed by Bank Of Montreal

Registration Statement No.333-285508
Filed Pursuant to Rule 433

Subject to Completion, dated March 20, 2026
Pricing Supplement to the Prospectus dated March 25, 2025,
the Prospectus Supplement dated March 25, 2025 and the Product Supplement dated March 25, 2025

US$ [ ]
Senior Medium-Term Notes, Series K
Autocallable Barrier Notes with Contingent Coupons due March 31, 2031
Linked to the MerQube US Large-Cap Vol Advantage Index

Terms of the Notes:¹

¹Expected. See “Key Terms of the Notes” below for additional details.

Specific Terms of the Notes:

¹ The total “Agent’s Commission” and “Proceeds to Bank of Montreal” to be specified above will reflect the aggregate amounts at the time Bank of Montreal establishes its hedge positions on or prior to the Pricing Date, which may be variable and fluctuate depending on market conditions at such times. Certain dealers who purchased the notes for sale to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions. The public offering price for investors purchasing the notes in these accounts may be between $884.72 and $1,000 per $1,000 in principal amount. We or one of our affiliates may also pay a referral fee to certain dealers in connection with the distribution of the notes.

Investing in the notes involves risks, including those described in the “Selected Risk Considerations” section beginning on page P-5 hereof, the “Additional Risk Factors Relating to the Notes” section beginning on page PS-6 of the product supplement, and the “Risk Factors” section beginning on page S-1 of the prospectus supplement and on page 8 of the prospectus.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these notes or passed upon the accuracy of this document, the product supplement, the prospectus supplement or the prospectus. Any representation to the contrary is a criminal offense. The notes will be our unsecured obligations and will not be savings accounts or deposits that are insured by the United States Federal Deposit Insurance Corporation, the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency or instrumentality or other entity.

On the date hereof, based on the terms set forth above, the estimated initial value of the notes is $884.72 per $1,000 in principal amount. The estimated initial value of the notes on the Pricing Date may differ from this value but will not be less than $840.00 per $1,000 in principal amount. However, as discussed in more detail below, the actual value of the notes at any time will reflect many factors and cannot be predicted with accuracy.

BMO CAPITAL MARKETS

Key Terms of the Notes:

¹ Expected and subject to the occurrence of a market disruption event, as described in the accompanying product supplement. If we make any change to the expected Pricing Date and Settlement Date, the Contingent Coupon Payment Dates (and therefore the Observation Dates and potential Call Settlement Dates), the Valuation Date and Maturity Date will be changed so that the stated term of the notes remains approximately the same.

² As determined by the calculation agent and subject to adjustment in certain circumstances. See "General Terms of the Notes - Adjustments to a Reference Asset that Is an Index" in the product supplement for additional information.

Additional Terms of the Notes

You should read this document together with the product supplement dated March 25, 2025, the prospectus supplement dated March 25, 2025 and the prospectus dated March 25, 2025. This document, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours or the agent. You should carefully consider, among other things, the matters set forth in Additional Risk Factors Relating to the Notes in the product supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.

You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):

Product supplement dated March 25, 2025:
https://www.sec.gov/Archives/edgar/data/927971/000121465925004743/b324250424b2.htm

Prospectus supplement dated March 25, 2025 and prospectus dated March 25, 2025:
https://www.sec.gov/Archives/edgar/data/927971/000119312525062081/d840917d424b5.htm

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

We have filed a registration statement (including a prospectus) with the SEC for the offering to which this document relates. Before you invest, you should read the prospectus in that registration statement and the other documents that we have filed with the SEC for more complete information about us and this offering. You may obtain these documents free of charge by visiting the SEC's website at http://www.sec.gov. Alternatively, we will arrange to send to you the prospectus (as supplemented by the prospectus supplement and product supplement) if you request it by calling our agent toll-free at 1-877-369-5412.

Selected Risk Considerations

An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Reference Asset. These risks are explained in more detail in the “Additional Risk Factors Relating to the Notes” section of the product supplement.

Risks Related to the Structure or Features of the Notes

Risks Related to the Reference Asset

It is impossible to predict and list all factors and events that may impact the MQUSLVA and SPX Futures Position, positively or negatively. Conditions in particular markets, as well as overall market and macroeconomic conditions and other events and circumstances, may affect the MQUSLVA, the SPX and the SPX Futures Position in unanticipated ways, which could adversely affect the MQUSLVA performance and, therefore, your return on any investment linked to the MQUSLVA. Certain disruption or extraordinary events may also require the applicable Index Sponsor to adjust or terminate the MQUSLVA , which could adversely affect the MQUSLVA’s performance and the return on any investment linked to the MQUSLVA.

No assurance can be given that the investment strategy on which the MQUSLVA or SPX Futures Position is based will be successful or that the MQUSLVA or SPX Futures Position will outperform any alternative strategy that might be employed in respect of the SPX Futures Position or the SPX.

The MQUSLVA measures the returns accrued from a hypothetical investment in uncollateralized futures contracts (i.e., the sum of the price return and the roll return associated with an investment in the SPX Futures). By contrast, a total return index, in addition to reflecting the price return and the roll return, would also reflect interest that could be earned on funds committed to the trading of the SPX Futures (i.e., the collateral return associated with an investment in the SPX Futures). Therefore, an investment in an instrument linked to the MQUSLVA reflects “excess returns” only and does not reflect “total returns,” and may underperform as compared to a similar investment linked to another total return index linked to SPX Futures.

The publicly available levels of the MQUSLVA for any dates prior to its launch date were calculated using hypothetical back-tested performance. Hypothetical back-tested performance prior to the launch of the MQUSLVA refers to simulated performance data created by applying its calculation methodology to historical or simulated levels of the SPX Futures Position (which itself is based on applying the SPX Futures Position’s calculation methodology to historical or simulated levels of the SPX Futures), SPY and other market measures. Such simulated performance data has been produced by the retroactive application of a back-tested methodology in hindsight, that is, with the benefit of being able to evaluate how the MQUSLVA methodology would have caused the MQUSLVA to perform had it existed during the hypothetical back-test period. It is impossible to predict whether the MQUSLVA will rise or fall. Accordingly, the actual performance of the MQUSLVA may differ significantly from the back-tested information, and if the MQUSLVA is shown to have generally appreciated over the hypothetical back-test period, that may not therefore be an accurate or reliable indication of any fundamental aspect of the MQUSLVA methodology.

Moreover, prior to April 13, 2023, the MQUSLVA applied a different methodology for the calculation of the implied volatility of the SPY, where official settlement prices of Eurodollar futures, which referenced 3-month USD LIBOR rate, were referenced instead of the official settlement prices of SOFR 3-month futures. The calculation of the MQUSLVA that is applied after April 13, 2023 involves different calculations as compared to the prior methodology of the MQUSLVA that referenced the 3-month USD LIBOR rate. Since the levels of the MQUSLVA prior to April 13, 2023 were calculated using a different methodology, the current methodology was not applied to the calculation of such levels and those prior levels do not reflect the levels that would have resulted had the current methodology of the MQUSLVA been applied. Such results are therefore neither an indicator nor a guarantor of future results of the application of the current methodology of the MQUSLVA.
The hypothetical back-tested performance of the MQUSLVA prior to February 11, 2022 cannot fully reflect the actual results that would have occurred had the MQUSLVA actually been calculated during that period and should not be relied upon as an indication of the MQUSLVA’s future performance. In addition, the historical performance of the MQUSLVA prior to April 13, 2023 does not reflect the application of the current methodology of the MQUSLVA and should not be relied upon as an indication of the MQUSLVA’s future performance. A longer history of actual performance could be helpful in providing more reliable information on which to assess the MQUSLVA.

General Risk Factors

Examples of the Hypothetical Payment at Maturity for a $1,000 Investment in the Notes

The following table illustrates the hypothetical payments on a note at maturity, assuming that the notes are not automatically redeemed. The hypothetical payments are based on a $1,000 investment in the note, a hypothetical Initial Level of 100.00, a hypothetical Trigger Level of $60.00 (60.00% of the hypothetical Initial Level), a hypothetical Call Level of 100.00 (100.00% of the hypothetical Initial Level), a range of hypothetical Final Levels and the effect on the payment at maturity.

The hypothetical examples shown below are intended to help you understand the terms of the notes. If the notes are not automatically redeemed, the actual cash amount that you will receive at maturity will depend upon the Final Level of the Reference Asset. If the notes are automatically redeemed prior to maturity, the hypothetical examples below will not be relevant, and you will receive on the applicable Call Settlement Date, for each $1,000 principal amount, the principal amount plus the applicable Contingent Coupon.

As discussed in more detail above, your total return on the notes will also depend on the number of Contingent Coupon Dates on which the Contingent Coupon is payable. It is possible that the only payments on your notes will be the payment, if any, due at maturity. The payment at maturity will not exceed the principal amount, and may be significantly less.

U.S. Federal Tax Information

By purchasing the notes, each holder agrees (in the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat each note as a pre-paid contingent income-bearing derivative contract for U.S. federal income tax purposes. In the opinion of our counsel, Mayer Brown LLP, it would generally be reasonable to treat the notes as pre-paid contingent income-bearing derivative contracts in respect of the Reference Asset for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the notes are uncertain and the Internal Revenue Service could assert that the notes should be taxed in a manner that is different from that described in the preceding sentence. Please see the discussion in the accompanying product supplement under "Supplemental Tax Considerations—Supplemental U.S. Federal Income Tax Considerations—Notes Treated as Investment Units Consisting of a Debt Portion and a Put Option, as Pre-Paid Contingent Income-Bearing Derivative Contracts, or as Pre-Paid Derivative Contracts—Notes Treated as Pre-Paid Contingent Income-Bearing Derivative Contracts," which applies to the notes.

Supplemental Plan of Distribution (Conflicts of Interest)

BMOCM will purchase the notes from us at a purchase price reflecting the commission set forth on the cover hereof. BMOCM has informed us that, as part of its distribution of the notes, it will reoffer the notes to other dealers who will sell them. Each such dealer, or each additional dealer engaged by a dealer to whom BMOCM reoffers the notes, will receive a commission from BMOCM, which will not exceed the commission set forth on the cover page. We or one of our affiliates may also pay a referral fee to certain dealers in connection with the distribution of the notes. 

Certain dealers who purchase the notes for sale to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions. The public offering price for investors purchasing the notes in these accounts may be less than 100% of the principal amount, as set forth on the cover page of this document. Investors that hold their notes in these accounts may be charged fees by the investment advisor or manager of that account based on the amount of assets held in those accounts, including the notes. 

We will deliver the notes 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, as amended (the “Exchange Act”), 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 issue date will be required to specify alternative settlement arrangements to prevent a failed settlement. 

We own, directly or indirectly, all of the outstanding equity securities of BMOCM, the agent for this offering. In accordance with FINRA Rule 5121, BMOCM may not make sales in this offering to any of its discretionary accounts without the prior written approval of the customer. 

We reserve the right to withdraw, cancel or modify the offering of the notes and to reject orders in whole or in part. You may cancel any order for the notes prior to its acceptance. 

You should not construe the offering of the notes as a recommendation of the merits of acquiring an investment linked to the Reference Asset or as to the suitability of an investment in the notes. 

BMOCM may, but is not obligated to, make a market in the notes. BMOCM will determine any secondary market prices that it is prepared to offer in its sole discretion. 

We may use the final pricing supplement relating to the notes in the initial sale of the notes. In addition, BMOCM or another of our affiliates may use the final pricing supplement in market-making transactions in any notes after their initial sale. Unless BMOCM or we inform you otherwise in the confirmation of sale, the final pricing supplement is being used by BMOCM in a market-making transaction.

For a period of approximately three months following issuance of the notes, the price, if any, at which we or our affiliates would be willing to buy the notes from investors, and the value that BMOCM may also publish for the notes through one or more financial information vendors and which could be indicated for the notes on any brokerage account statements, will reflect a temporary upward adjustment from our estimated value of the notes that would otherwise be determined and applicable at that time. This temporary upward adjustment represents a portion of (a) the hedging profit that we or our affiliates expect to realize over the term of the notes and (b) any underwriting discount and the selling concessions paid in connection with this offering. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month period. 

The notes and the related offer to purchase notes and sale of notes under the terms and conditions provided herein do not constitute a public offering in any non-U.S. jurisdiction, and are being made available only to individually identified investors pursuant to a private offering as permitted in the relevant jurisdiction. The notes are not, and will not be, registered with any securities exchange or registry located outside of the United States and have not been registered with any non-U.S. securities or banking regulatory authority. The contents of this document have not been reviewed or approved by any non-U.S. securities or banking regulatory authority. Any person who wishes to acquire the notes from outside the United States should seek the advice or legal counsel as to the relevant requirements to acquire these notes.

British Virgin Islands. The notes have not been, and will not be, registered under the laws and regulations of the British Virgin Islands, nor has any regulatory authority in the British Virgin Islands passed comment upon or approved the accuracy or adequacy of this document. This pricing supplement and the related documents shall not constitute an offer, invitation or solicitation to any member of the public in the British Virgin Islands for the purposes of the Securities and Investment Business Act, 2010, of the British Virgin Islands.

Cayman Islands. Pursuant to the Companies Law (as amended) of the Cayman Islands, no invitation may be made to the public in the Cayman Islands to subscribe for the notes by or on behalf of the issuer unless at the time of such invitation the issuer is listed on the Cayman Islands Stock Exchange. The issuer is not presently listed on the Cayman Islands Stock Exchange and, accordingly, no invitation to the public in the Cayman Islands is to be made by the issuer (or by any dealer on its behalf). No such invitation is made to the public in the Cayman Islands hereby.

Dominican Republic. Nothing in this pricing supplement constitutes an offer of securities for sale in the Dominican Republic. The notes have not been, and will not be, registered with the Superintendence of Securities Market of the Dominican Republic (Superintendencia del Mercado de Valores), under Dominican Securities Market Law No. 249-17 (“Securities Law 249-17”), and the notes may not be offered or sold within the Dominican Republic or to, or for the account or benefit of, Dominican persons (as defined under Securities Law 249-17 and its regulations). Failure to comply with these directives may result in a violation of Securities Law 249-17 and its regulations.

Israel. This pricing supplement is intended solely for investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended. A prospectus has not been prepared or filed, and will not be prepared or filed, in Israel relating to the notes offered hereunder. The notes cannot be resold in Israel other than to investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended.

No action will be taken in Israel that would permit an offering of the notes or the distribution of any offering document or any other material to the public in Israel. In particular, no offering document or other material has been reviewed or approved by the Israel Securities Authority. Any material provided to an offeree in Israel may not be reproduced or used for any other purpose, nor be furnished to any other person other than those to whom copies have been provided directly by us or the selling agents.

Nothing in this pricing supplement or any other offering material relating to the notes, should be considered as the rendering of a recommendation or advice, including investment advice or investment marketing under the Law For Regulation of Investment Advice, Investment Marketing and Investment Portfolio Management, 1995, to purchase any note. The purchase of any note will be based on an investor’s own understanding, for the investor’s own benefit and for the investor’s own account and not with the aim or intention of distributing or offering to other parties. In purchasing the notes, each investor declares that it has the knowledge, expertise and experience in financial and business matters so as to be capable of evaluating the risks and merits of an investment in the notes, without relying on any of the materials provided.

Mexico. The notes have not been registered with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or sold publicly in Mexico. This pricing supplement and the related documents may not be publicly distributed in Mexico. The notes may only be offered in a private offering pursuant to Article 8 of the Securities Market Law.

Switzerland. This pricing supplement is not intended to constitute an offer or solicitation to purchase or invest in any notes. Neither this pricing supplement nor any other offering or marketing material relating to the notes constitutes a prospectus compliant with the requirements of articles 35 et seq. of the Swiss Financial Services Act ("FinSA") for a public offering of the notes in Switzerland and no such prospectus has been or will be prepared for or in connection with the offering of the notes in Switzerland.

Neither this pricing supplement nor any other offering or marketing material relating to the notes has been or will be filed with or approved by a Swiss review body (Prüfstelle). No application has been or is intended to be made to admit the notes to trading on any trading venue (SIX Swiss Exchange or on any other exchange or any multilateral trading facility) in Switzerland. Neither this pricing supplement nor any other offering or marketing material relating to the notes may be publicly distributed or otherwise made publicly available in Switzerland.

The notes may not be publicly offered, directly or indirectly, in Switzerland within the meaning of FinSA except (i) in any circumstances falling within the exemptions to prepare a prospectus listed in article 36 para. 1 FinSA or (ii) where such offer does not qualify as a public offer in Switzerland, provided always that no offer of notes shall require the Issuer or any offeror to publish a prospectus pursuant to article 35 FinSA in respect to such offer and that such offer shall comply with the additional restrictions set out below (if applicable). The Issuer has not authorised and does not authorise any offer of notes which would require the Issuer or any offeror to publish a prospectus pursuant to article 35 FinSA in respect of such offer. For purposes of this provision "public offer" shall have the meaning as such term is understood pursuant to article 3 lit. g and h FinSA and the Swiss Financial Services Ordinance ("FinSO").

The notes do not constitute participations in a collective investment scheme within the meaning of the Swiss Collective Investment Schemes Act. They are not subject to the approval of, or supervision by, the Swiss Financial Market Supervisory Authority ("FINMA"), and investors in the notes will not benefit from protection under CISA or supervision by FINMA.

Prohibition of Offer to Private Clients in Switzerland - No Key Information Document pursuant to article 58 FinSA (Basisinformationsblatt für Finanzinstrumente) or equivalent document under foreign law pursuant to article 59 para. 2 FinSA has been or will be prepared in relation to the notes. Therefore, the following additional restriction applies: Notes qualifying as "debt securities with a derivative character" pursuant to article 86 para. 2 FinSO may not be offered within the meaning of article 58 para. 1 FinSA, and neither this pricing supplement nor any other offering or marketing material relating to such notes may be made available, to any retail client (Privatkunde) within the meaning of FinSA in Switzerland.

The notes may also be sold in the following jurisdictions, provided, in each case, any sales are made in accordance with all applicable laws in such jurisdiction:

Additional Information Relating to the Estimated Initial Value of the Notes

Our estimated initial value of the notes on the date hereof, and that will be set forth on the cover page of the final pricing supplement relating to the notes, equals the sum of the values of the following hypothetical components:

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 estimated initial value of the notes on the Pricing Date will be determined based on the market conditions on the Pricing Date. 

The Reference Asset

All disclosures contained in this pricing supplement regarding the Reference Asset, including, without limitation, their make-up, method of calculation, and changes in their components and their historical closing levels, have been derived from publicly available information prepared by the applicable sponsor. The information reflects the policies of, and is subject to change by, the sponsor. The sponsor owns the copyrights and all rights to the Reference Asset. The sponsor is under no obligation to continue to publish, and may discontinue publication of, the Reference Asset. Neither we nor BMO Capital Markets Corp. accepts any responsibility for the calculation, maintenance or publication of the Reference Asset or any successor.

We encourage you to review recent levels of the Reference Asset prior to making an investment decision with respect to the notes.

The MerQube US Large-Cap Vol Advantage Index (“MQUSLVA”)

The MerQube US Large-Cap Vol Advantage Index (the “MQUSLVA”) attempts to provide a dynamic rules-based exposure to a rolling futures position based on E-mini^® S&P 500^® futures (such position, the “SPX Futures Position”, linked to the S&P 500^® Index, the “SPX”), while targeting a level of implied volatility of 35% (the “Volatility Target”), net of a daily deduction based on a rate of 6% per annum. The MQUSLVA adjusts its exposure to the SPX Futures Position weekly, based on the implied volatility of the State Street^® SPDR^® S&P 500^® ETF Trust (the “SPY”). On each weekly rebalance day (each, an “Index Rebalance Day”), the exposure to the SPX Futures Position (the “Leverage Factor”) is set equal to (a) the Volatility Target divided by (b) the one-week implied volatility of the SPY, subject to a maximum exposure of 500% and a minimum exposure of 0%.

The performance of the SPX Futures Position is excess return and represented by the performance of selected E-Mini^® S&P 500^® futures contracts (the “SPX Futures”). The SPX Futures are excess return, providing exposure to the SPX and embedding a notional financing cost.

The MQUSLVA is sponsored, administered and calculated by MerQube, which collectively refers to MerQube Inc, MerQube UK Limited and any of their respective subsidiaries and affiliates. The MQUSLVA was developed by MerQube in coordination with J.P. Morgan Securities LLC. The MQUSLVA was first calculated on February 11, 2022, and is calculated based on a base date of January 14, 2005. The MQUSLVA is scheduled to be calculated on each day where the primary exchange, on which SPX Futures are listed, is scheduled to open for trading for its regular trading session (such day, an “Index Calculation Day”) and is published on Bloomberg under the ticker “MQUSLVA”.

The SPX Futures Position tracks the official settlement price of a selected futures contract linked to the SPX, subject to a “roll” feature whereby the SPX Futures Position will begin reducing its exposure to the selected futures contract and start allocating that exposure to the next nearby futures contract with a later expiry date. This process of reallocating exposure is referred to as a “roll”.

The full methodology of the MQUSLVA is publicly available online at https://merqube.com/index/MQUSLVA. The foregoing website address is an inactive textual reference only and the contents of such website and the information contained therein are not incorporated into this document.

Calculation of the Level of the MQUSLVA

On each Index Calculation Day that is not an Index Rebalancing Day, the level of the MQUSLVA is calculated by adjusting the TWAP level of the MQUSLVA on the immediately preceding Index Rebalancing Day to reflect (a) the performance of the SPX Futures Position, scaled by the prevailing Leverage Factor (as defined below) determined on the immediately preceding Index Rebalance Day, and (b) the accrual of the 6% per annum daily deduction from the immediately preceding Index Rebalance Day, calculated on the basis of the actual number of calendar days elapsed and a 360 day year (i.e., ACT/360 basis).

On each Index Rebalance Day, a new TWAP level of the MQUSLVA is calculated. The Index Calculation Agent calculates the TWAP level in the same manner as the level of the MQUSLVA is calculated on any non-rebalancing day, provided, however that the performance of the SPX Futures Position is based on the TWAP level as of that day. The Index Calculation Agent will then calculate the level of the MQUSLVA with respect to such day is then based on such TWAP level of the MQUSLVA and the performance of the SPX Futures Position, scaled by the updated Leverage Factor on such day. Expressed as formulas:

On an Index Rebalance Day:

On any Index Calculation Day that is not an Index Rebalance Day:

Where:

	=	the level of the MQUSLVA in respect of Index Calculation Day t;
	=	the TWAP Level (as defined below) of the MQUSLVA in respect of the Index Rebalance Day immediately preceding Index Calculation Day t

	=	the Leverage Factor in respect of the Index Calculation Day t (calculated as described in greater detail below);
	=	the Leverage Factor in respect of the Index Rebalance Day immediately preceding Index Calculation Day t (calculated as described in greater detail below);
	=	the settlement level of the SPX Futures Position in respect of Index Calculation Day t (calculated as described in greater detail below);
	=	the TWAP Level of the SPX Futures Position in respect of Index Calculation Day t (calculated as described in greater detail below);
	=	the TWAP Level of the SPX Futures Position in respect of the Index Rebalance Day immediately preceding Index Calculation Day t (calculated as described in greater detail below);
	=	6.0%; and
	=	the number of calendar days from the Index Rebalance Day immediately preceding Index Calculation Day t, to Index Calculation Day t.

The Leverage Factor resets weekly on each Index Rebalance Day (subject to the occurrence of any market disruption events) and reflects the degree of exposure of the MQUSLVA in the performance of the SPX Futures Position, before the daily decrement is applied. It is calculated based on the implied volatility of the SPY and is subject to a maximum of 500% and a minimum of 0%, as discussed in greater detail below. The Leverage Factor may magnify the MQUSLVA’s exposure to negative performance of the SPX Futures Position or reduce the ability of the MQUSLVA to participate in positive performance of the SPX Futures Position. Similarly, the 6.0% per annum daily deduction will offset any positive performance of the SPX Futures Position and magnify any negative performance of the SPX Futures Position. The Leverage Factor may and the daily deduction will adversely affect the performance of the MQUSLVA.

Additionally, the level of the MQUSLVA is subject to a minimum level of 0 (i.e., the level will never be negative). If the level of the MQUSLVA ever reaches zero, the MQUSLVA will stay at 0 and MerQube’s index committee may, but is not required to, terminate the MQUSLVA.

Calculation of Leverage Factor

The Leverage Factor is calculated once each week on the Index Rebalance Day (typically Friday) based on the quotient of the Volatility Target divided by one-week implied volatility of the SPY, subject to the maximum Leverage Factor of 500% and minimum Leverage Factor of 0%. The implied volatility of the SPY will be calculated based on the value of listed options on SPY as described in greater detail below. Expressed as a formula:

Where:

	=	the Leverage Factor in respect of a particular Index Rebalance Day rb;
	=	the one week implied volatility of the SPY in respect of Index Rebalance Day rb (calculated as described in greater detail below);
	=	35%; and
	=	500%.

Calculation of Implied Volatility

Volatility is a measure of the degree of variation in the value of an asset over a period of time. Implied volatility is a method of estimating the market’s expectation of the future volatility of an asset based on the prices of options contracts on that asset. The Leverage Factor is calculated based on the implied volatility of listed options on the SPY with a one week expiration.

Specifically, the Index Calculation Agent will reference out-of-the-money call and put options on the SPY centered around an at-the-money strike price with a scheduled expiry on the immediately following Index Rebalance Day. These options will include (i) put options with strikes at or below the at-the-money strike price, and (ii) call options with strikes at or above the at-the-money strike price. In addition, the Index Calculation Agent adjusts the price of any American-style options that are selected, to approximate a European option price for such option. The at-the-money strike price refers to the “forward price” of the SPY, which is determined based on the current price of the SPY, any expected dividend payments, and the interest rates derived from official closing prices of SOFR 3-month futures.

Prior to April 13, 2023, the official closing prices of Eurodollar futures, which referenced 3-month USD LIBOR rates, were used to calculate the at-the-money strike price.

These calculations are performed as of each Index Rebalance Day with respect to the end of each minute during the period from and including 2:30 p.m. to but excluding 3:00 p.m. (EST) and the one week implied volatility of the SPY is calculated as the arithmetic average of implied volatility levels for the selected weekly options on the SPY, as described above, at the end of each minute during the period. If options data is not available on an Index Rebalance Day during that period, the Index Calculation Agent may use the most recent time period on that day for which options data was available to perform the relevant calculations, if, in the Index Calculation Agent’s discretion, the data from such period is an accurate reflection of the current level of volatility in the market.

These calculations are performed as of each Index Rebalance Day with respect to the end of each minute during the period from and including 2:30 p.m. to but excluding 3:00 p.m. (EST) and the one week implied volatility of the SPY is calculated as the arithmetic average of implied volatility levels for the selected weekly options on the SPY, as described above, at the end of each minute during the period. If options data is not available on an Index Rebalance Day during that period, the Index Calculation Agent may use the most recent time period on that day for which options data was available to perform the relevant calculations, if, in the Index Calculation Agent’s discretion, the data from such period is an accurate reflection of the current level of volatility in the market.

Further details on the method by which implied volatility is calculated for the MQUSLVA is publicly available, and you should undertake your own investigation into the method by which implied volatility is calculated or any assumptions on which this methodology may be based. The actual volatility of the MQUSLVA may not correspond with the Target Volatility, particularly during (i) periods of excessive volatility or (ii) periods where there is a significant difference between implied and realized volatility. Because the Leverage Factor is calculated on a weekly basis, it may take multiple days for the Leverage Factor to reflect changes based on the implied volatility of the SPY. The MQUSLVA may underperform an alternative investment that more directly tracks the relevant market volatility or employs an alternative method of calculating volatility. There can be no guarantee that the method by which implied volatility is determined will be effective or achieve the intended results. Alternative methods of calculating volatility could produce more effective results.

Calculation of SPX Futures Position

The SPX Futures Position is designed to track the performance of a “rolling” position in a selection of SPX Futures. Generally, the SPX Futures Position provides exposure SPX Futures with the nearest expiry date (the “Near Futures Contract”). However, when each applicable futures contract nears expiry, the SPX Futures Position will, over a five-day period (the “Roll Period”), begin reducing its exposure to the Near Futures Contract and start allocating that exposure to the next nearby futures contract with a later expiry date (the “Later Futures Contract”). The Roll Period generally begins on the sixth trading day on which the CME is scheduled to be open prior to the last trading day for the Near Futures Contract (each such day, a “Rolling Futures Calculation Day”). This process of reallocating exposure is referred to as a “roll” and each roll will occur in equal increments over the five Rolling Futures Calculation Days in the Roll Period, with one-fifth of the portfolio rolling on each Rolling Futures Calculation Day.

The level of the MQUSLVA references two different levels of the SPX Futures Position: (i) the TWAP Level and (ii the SPX Futures Position based on the official settlement price for SPX Futures (the “Settlement Price Level”). The TWAP Level of the SPX Futures Position is calculated in the same manner as the calculation of the settlement level except that all references to the “official settlement price” of any SPX Futures contract on the current Index Calculation Day instead refer to the “TWAP price” of such SPX Futures contract. The TWAP price of any SPX Futures contract on a particular day is calculated as a time weighted average price of that SPX Futures contract determined over a 10-minute period beginning at 3:50 PM EST (in the case of a regular trading session) or 12:50 PM EST (in the case of a half-day trading session). We have included a detailed description of the calculation of the Settlement Price Level below. The TWAP Level is calculated in the same manner, provided, however, that references to official settlement prices on the current Index Calculation Day should instead be read as references to the TWAP as appropriate.

The settlement level of the SPX Futures Position is calculated by multiplying (i) the level of the SPX Futures Position on the immediately preceding Index Calculation Day by (ii) the daily performance of the SPX Futures, which is expressed as a fraction equal to (a) the official settlement price of the SPX Futures on the current Index Calculation Day divided by the official settlement price of the Reference Futures on the immediately preceding Index Calculation Day. Outside the Roll Period, the SPX Futures Position tracks a single SPX Futures contract using a weight of 100%. Expressed as a formula:

Where:

	=	the level of the SPX Futures Position on Index Calculation Day t;
	=	the level of the SPX Futures Position on the Index Calculation Day immediately preceding Index Calculation Day t;
	=	the official settlement price of the Near Futures Contract on Index Calculation Day t; and
	=	the official settlement price of the Near Futures Contract on the Index Calculation Day immediately preceding Index Calculation Day t.

Where:

	=	the level of the SPX Futures Position on Index Calculation Day t;
	=	the level of the SPX Futures Position on the Index Calculation Day immediately preceding Index Calculation Day t;
	=	the official settlement price of the Near Futures Contract on Index Calculation Day t;
	=	the official settlement price of the Near Futures Contract on the Index Calculation Day immediately preceding Index Calculation Day t;

	=	the official settlement price of the Later Futures Contract on Index Calculation Day t; and
	=	the official settlement price of the Later Futures Contract on the Index Calculation Day immediately preceding Index Calculation Day t.

The SPDR^® S&P 500^® ETF Trust (“SPY”)

The SPDR^® S&P 500^® ETF Trust seeks to provide investment results that, before fees and expenses, correspond generally to the performance of the S&P 500^® Index. The SPDR^® S&P 500^® ETF Trust utilizes a “replication” investment approach in attempting to track the performance of the underlying index. The SPDR^® S&P 500^® ETF Trust typically invests in substantially all of the securities which comprise the underlying index in approximately the same proportions as the underlying index. Shares of the SPDR^® S&P 500^® ETF Trust are listed on the NYSE Arca under the symbol “SPY.”

The S&P 500^® Index

The S&P 500^® Index is intended to provide an indication of the pattern of common stock price movement. The calculation of the level of this Reference Asset is based on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943.

S&P calculates this Reference Asset by reference to the prices of the constituent stocks of this Reference Asset without taking account of the value of dividends paid on those stocks. As a result, the return on the notes will not reflect the return you would realize if you actually owned the constituent stocks of the S&P 500^® Index and received the dividends paid on those stocks.

Computation of the S&P 500^® Index

While S&P currently employs the following methodology to calculate the S&P 500^® Index, no assurance can be given that S&P will not modify or change this methodology in a manner that may affect the Payment at Maturity.

Historically, the market value of any component stock of the S&P 500^® Index was calculated as the product of the market price per share and the number of then outstanding shares of such component stock. In March 2005, S&P began shifting the S&P 500^® Index halfway from a market capitalization weighted formula to a float-adjusted formula, before moving the S&P 500^® Index to full float adjustment on September 16, 2005. S&P’s criteria for selecting stocks for the S&P 500^® Index did not change with the shift to float adjustment. However, the adjustment affects each company’s weight in the S&P 500^® Index.

Under float adjustment, the share counts used in calculating the S&P 500^® Index reflect only those shares that are available to investors, not all of a company’s outstanding shares. Float adjustment excludes shares that are closely held by control groups, other publicly traded companies or government agencies.

In September 2012, all shareholdings representing more than 5% of a stock’s outstanding shares, other than holdings by “block owners,” were removed from the float for purposes of calculating the S&P 500^® Index. Generally, these “control holders” will include officers and directors, private equity, venture capital and special equity firms, other publicly traded companies that hold shares for control, strategic partners, holders of restricted shares, ESOPs, employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock, government entities at all levels (other than government retirement/pension funds) and any individual person who controls a 5% or greater stake in a company as reported in regulatory filings. However, holdings by block owners, such as depositary banks, pension funds, mutual funds and ETF providers, 401(k) plans of the company, government retirement/pension funds, investment funds of insurance companies, asset managers and investment funds, independent foundations and savings and investment plans, will ordinarily be considered part of the float.

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

For each stock, an investable weight factor (“IWF”) is calculated by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total shares outstanding less shares held by control holders. This calculation is subject to a 5% minimum threshold for control blocks. For example, if a company’s officers and directors hold 3% of the company’s shares, and no other control group holds 5% of the company’s shares, S&P would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However, if a company’s officers and directors hold 3% of the company’s shares and another control group holds 20% of the company’s shares, S&P would assign an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are considered to be held for control. As of July 31, 2017, companies with multiple share class lines are no longer eligible for inclusion in the S&P 500^® Index. Constituents of the S&P 500^® Index prior to July 31, 2017 with multiple share class lines were grandfathered in and continue to be included in the S&P 500^® Index. If a constituent company of the S&P 500^® Index reorganizes into a multiple share class line structure, that company will remain in the S&P 500^® Index at the discretion of the S&P Index Committee in order to minimize turnover.

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

Index Maintenance

Index maintenance includes monitoring and completing the adjustments for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to company restructuring or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares outstanding and the stock prices of the companies in the S&P 500^® Index, and do not require index divisor adjustments.

To prevent the level of the S&P 500^® Index from changing due to corporate actions, corporate actions which affect the total market value of the S&P 500^® Index require an index divisor adjustment. By adjusting the index divisor for the change in market value, the level of the S&P 500^® Index remains constant and does not reflect the corporate actions of individual companies in the S&P 500^® Index. Index divisor adjustments are made after the close of trading and after the calculation of the S&P 500^® Index closing level.

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

Index Governance

The MQUSLVA is overseen by an index committee that is made up of MerQube staff. In the case of any scenario occurring that is not explicitly covered in the index methodology, the index committee will use its discretion to determine the action to be taken. MerQube and/or the index committee may also make determinations regarding matters such as recalculations and changes in the methodology used to calculate the MQUSLVA or adjustments. These determinations may (but are not required to) be related to market events and developments or the availability of or changes to reference measures used in the calculation of the MQUSLVA. MerQube may also decide to terminate the calculation of the MQUSLVA.

License Agreement

We have entered into a license agreement with MerQube that provides, in exchange for a fee, of the right to use the index described herein which is owned and published by MerQube. MerQube had no obligation and will not have any obligation to consider your interests as an investor in their role in developing the guidelines and policies governing the MQUSLVA or making judgments that may affect the level the MQUSLVA. Investment suitability must be determined individually for each investor, and investments linked to the MQUSLVA may not be suitable for all investors.

MerQube is not the issuer or producer of any investment linked to the MQUSLVA and MerQube has no duties, responsibilities, or obligations to investors in any such investment. The MQUSLVA is calculated using, among other things, market data or other information (“Input Data”) from one or more sources (each a “Data Provider”). MerQube is a registered trademark of MerQube. This trademark has been licensed for certain purposes by us, including in our capacity as the issuer of investments linked to the MQUSLVA. Such investments are not sponsored, endorsed, sold or promoted by MerQube, any Data Provider, or any other third party, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the Input Data, MQUSLVA or any associated data.

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