Registration Statement No.333-264388
Filed Pursuant to Rule 424(b)(2)
Pricing Supplement dated June 20, 2024 to the Prospectus dated May 26, 2022,
the Prospectus Supplement dated May 26, 2022 and the Product Supplement dated July 22, 2022
US$1,000,000
Senior Medium-Term Notes, Series I
Callable Buffer Notes with Contingent Coupons due June 25, 2026
Linked to the Least Performing of the NASDAQ-100 Index® and the Russell 2000® Index and the S&P 500® Index
| · | The notes are designed for investors who are seeking monthly contingent periodic interest payments (as
described in more detail below), as well as a return of principal if the notes are redeemed prior to maturity. Investors should be willing
to have their notes redeemed prior to maturity, be willing to forego any potential to participate in any increase in the level of the
Reference Assets and be willing to lose a significant portion of their principal at maturity. |
| · | The notes will pay a Contingent Coupon on each Contingent Coupon Payment Date at the Contingent Interest
Rate of 0.679% per month (approximately 8.15% per annum) if the closing level of each of the NASDAQ-100 Index®, the Russell 2000®
Index, and the S&P 500® Index (each, a "Reference Asset" and, collectively, the "Reference Assets") on the
applicable monthly Coupon Observation Date is greater than or equal to its Coupon Barrier Level. However, if the closing level of any
Reference Asset is less than its Coupon Barrier Level on Coupon Observation Date, the notes will not pay the Contingent Coupon for that
Coupon Observation Date. |
| · | Beginning on June 20, 2025, Bank of Montreal may, in its discretion, elect to call the notes in whole,
but not in part, on any Call Date (an "Issuer Call"). If Bank of Montreal elects to call the notes, investors will receive their
principal amount plus any Contingent Coupon otherwise due on the Contingent Coupon Payment Date following the Issuer Call (the "Call
Settlement Date"). After the notes are redeemed pursuant to an Issuer Call, investors will not receive any additional payments in
respect of the notes. |
| · | The notes do not guarantee any return of principal at maturity. Instead, if the notes are not redeemed
pursuant to an Issuer Call, the payment at maturity will be based on the Final Level of each Reference Asset and whether the Final Level
of any Reference Asset has declined from its Initial Level to below its Buffer Level on the Valuation Date (a “Trigger Event”),
as described below. |
| · | If the notes are not subject to an Issuer Call and a Trigger Event has occurred, you will receive a cash
amount at maturity that is less than the principal amount. Specifically, the value of any cash amount that you receive will decrease 1%
for each 1% decrease in the level of the Least Performing Reference Asset (as defined below) from its Initial Level to its Final Level
in excess of 20.00%. |
| · | Investing in the notes is not equivalent to a hypothetical direct investment in the Reference Assets. |
| · | The notes will not be listed on any securities exchange. |
| · | All payments on the notes are subject to the credit risk of Bank of Montreal. |
| · | The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000. |
| · | Our subsidiary, BMO Capital Markets Corp. (“BMOCM”), is the agent for this offering. See
“Supplemental Plan of Distribution (Conflicts of Interest)” below. |
| · | The notes will not be subject to conversion into our common shares or the common shares of any of our
affiliates under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act (the “CDIC Act”). |
Terms of the Notes:
Pricing Date: |
June 20, 2024 |
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Valuation Date: |
June 22, 2026 |
Settlement Date: |
June 25, 2024 |
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Maturity Date: |
June 25, 2026 |
Specific Terms of the Notes:
Callable
Number |
Reference
Assets |
Ticker
Symbol |
Initial
Level |
Contingent
Interest Rate |
Coupon
Barrier
Level* |
Buffer
Level* |
CUSIP |
Principal
Amount |
Price to
Public1 |
Agent’s
Commission1 |
Proceeds to
Bank of
Montreal1 |
3612 |
The NASDAQ-100 Index® |
NDX |
19,752.30 |
0.679% per month (approximately 8.15% per annum)
|
15,801.84, 80.00% of its Initial Level |
15,801.84, 80.00% of its Initial Level |
06376AU81 |
$1,000,000.00 |
100% |
0.70%
$7,000.00
|
99.30%
$993,000.00
|
The Russell 2000® Index |
RTY |
2,017.391 |
1,613.913, 80.00% of its Initial Level |
1,613.913, 80.00% of its Initial Level |
The S&P 500® Index |
SPX |
5,473.17 |
4,378.54, 80.00% of its Initial Level |
4,378.54, 80.00% of its Initial Level |
1 The total “Agent’s Commission” and “Proceeds
to Bank of Montreal” specified above reflect the aggregate amounts at the time Bank of Montreal established its hedge positions
on or prior to the Pricing Date, which may have been variable and fluctuated depending on market conditions at such times. Certain dealers
who purchased the notes for sale to certain fee-based advisory accounts may have foregone some or all of their selling concessions, fees
or commissions. The public offering price for investors purchasing the notes in these accounts was between $993.00 and $1,000 per $1,000
in principal amount.
* Rounded to two decimal places with respect to NDX and SPX and rounded
to three decimal places with respect to RTY.
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 $981.72 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:
Reference Assets: |
The NASDAQ-100 Index® (ticker symbol "NDX") and the Russell 2000® Index (ticker symbol "RTY") and the S&P 500® Index (ticker symbol "SPX") . See "The Reference Assets" below for additional information. |
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Contingent Coupons: |
If the closing level of each Reference Asset on a Coupon Observation Date is greater than or equal to its Coupon Barrier Level, a Contingent Coupon will be paid on the corresponding Contingent Coupon Payment Date at the Contingent Interest Rate, subject to the Issuer Call feature. |
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Contingent Interest Rate: |
0.679% per month (approximately 8.15% per annum), if payable. Accordingly, each Contingent Coupon, if payable, will equal $6.79 for each $1,000 in principal amount. |
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Coupon Observation Dates:1 |
Three trading days prior to each scheduled Contingent Coupon Payment Date. |
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Contingent Coupon Payment
Dates:1 |
Interest, if payable, will be paid on the 25th day of each month (or, if such day is not a business day, the next following business day), beginning on July 25, 2024 and ending on the Maturity Date, subject to the Issuer Call feature. |
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Issuer Call: |
Beginning on June 20, 2025, Bank of Montreal may, in its discretion, elect to call the notes in whole, but not in part, on any Call Date. After the notes are redeemed pursuant to the Issuer Call, investors will not receive any additional payments in respect of the notes. If Bank of Montreal elects to call the notes, the Bank of Montreal will deliver notice to the trustee on or before the applicable Call Date. |
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Payment upon Issuer Call: |
If Bank of Montreal elects to call the notes, investors will receive their principal amount plus any Contingent Coupon otherwise due on the Call Settlement Date. |
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Call Dates:1 |
Beginning on June 20, 2025, each Coupon Observation Date scheduled to occur in June, September, December, and March |
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Call Settlement Date:1 |
If Bank of Montreal elects to call the notes, the Contingent Coupon Payment Date immediately following the relevant Call Date. |
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Payment at Maturity: |
If the notes are not subject to an Issuer Call, the payment at maturity
for the notes is based on the performance of the Reference Assets.
You will receive $1,000 for each $1,000 in principal amount of the note,
unless a Trigger Event has occurred.
If a Trigger Event has occurred, you will receive at maturity, for each
$1,000 in principal amount of your notes, a cash amount equal to:
$1,000 + [$1,000 x (Percentage Change of the Least
Performing Reference Asset + Buffer Percentage)]
This amount will be less than the principal amount
of your notes, and may be significantly less. Specifically, you will lose 1% of the principal amount for each 1% decrease in the level
of the Least Performing Reference Asset from its Initial Level to its Final Level in excess of 20.00%.
You will also receive the final Contingent Coupon, if payable. |
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Trigger Event:2 |
A Trigger Event will be deemed to occur if the Final Level of any Reference Asset is less than its Buffer Level on the Valuation Date. |
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Least Performing Reference Asset: |
The Reference Asset with the lowest Percentage Change. |
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Percentage Change: |
With respect to each Reference Asset, the quotient, expressed as a percentage,
of the following formula:
(Final Level - Initial Level)
Initial Level |
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Initial Level:2 |
As set forth on the cover hereof. |
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Coupon Barrier Level:2 |
15,801.84 with respect to NDX, 1,613.913 with respect to RTY, and 4,378.54 with respect to SPX, each of which is 80.00% of the respective Initial Level (rounded to two decimal places with respect to NDX and SPX and rounded to three decimal places with respect to RTY). |
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Buffer Level:2 |
15,801.84 with respect to NDX, 1,613.913 with respect to RTY, and 4,378.54 with respect to SPX, each of which is 80.00% of the respective Initial Level (rounded to two decimal places with respect to NDX and SPX and rounded to three decimal places with respect to RTY). |
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Buffer Percentage:2 |
20.00% Accordingly, you will receive the principal amount of your notes at maturity only if the level of the Least Performing Reference Asset does not decrease by more than 20.00% over the term of the notes. If the Final Level of the Least Performing Reference Asset is less than its Buffer Level, you will receive less than the principal amount of your notes at maturity and you could lose up to 80.00% of the principal amount of your notes. |
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Final Level: |
With respect to each Reference Asset, the closing level of that Reference Asset on the Valuation Date. |
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Pricing Date: |
June 20, 2024 |
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Settlement Date: |
June 25, 2024 |
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Valuation Date:1 |
June 22, 2026 |
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Maturity Date:1 |
June 25, 2026 |
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Calculation Agent: |
BMOCM |
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Selling Agent: |
BMOCM |
1 Subject to the occurrence of a market disruption event,
as described in the accompanying product supplement.
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 July 22, 2022, the prospectus supplement dated May 26, 2022 and the prospectus dated May 26, 2022. 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 July 22, 2022:
https://www.sec.gov/Archives/edgar/data/927971/000121465922009102/r712220424b2.htm
Prospectus supplement dated May 26, 2022 and prospectus dated
May 26, 2022:
https://www.sec.gov/Archives/edgar/data/0000927971/000119312522160519/d269549d424b5.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.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Reference Assets. 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
| · | Your investment in the notes may result in a loss. — The notes do not guarantee any return of principal. If the notes
are not subject to an Issuer Call, the payment at maturity will be based on the Final Level of each Reference Asset and whether a Trigger
Event has occurred. If the Final Level of any Reference Asset is less than its Buffer Level, a Trigger Event will occur and you will receive
at maturity a cash payment that is less than the principal amount of the notes and may be significantly less. Accordingly, you could
lose a significant portion of your investment in the notes. |
| · | You may not receive any Contingent Coupons with respect to your notes. — We will not necessarily make periodic interest
payments on the notes. If the closing level of any Reference Asset on a Coupon Observation Date is less than its Coupon Barrier Level,
we will not pay you the Contingent Coupon applicable to that Coupon Observation Date. If the closing level of a Reference Asset is less
than its Coupon Barrier Level on each of the Coupon Observation Dates, we will not pay you any Contingent Coupons during the term of the
notes, and you will not receive a positive return on the notes. Generally, this non-payment of any Contingent Coupons will coincide with
a greater risk of principal loss on your notes. |
| · | We may elect to call the notes, and the notes are subject to reinvestment risk. — We may elect to call the notes at our
discretion prior to the Maturity Date. If we elect to call your notes early, you will not receive any additional Contingent Coupons on
the notes, and you may not be able to reinvest your proceeds in an investment with returns that are comparable to the notes. Further,
our right to call the notes may also adversely impact your ability to sell your notes in the secondary market. It is more likely that
we will elect to call the notes prior to maturity when the expected amounts payable on the notes are greater than the amount that would
be payable on other instruments issued by us of comparable maturity, terms and credit rating trading in the market. The greater likelihood
of us calling the notes in that environment increases the risk that you will not be able to reinvest the proceeds from the called notes
in an equivalent investment with similar potential returns. To the extent you are able to reinvest such proceeds in an investment comparable
to the notes, you may incur transaction costs such as dealer discounts and hedging costs built into the price of the new securities. We
are less likely to call the notes prior to maturity when the expected amounts payable on the notes are less than the amounts that would
be payable on other comparable instruments issued by us, which includes when a Reference Asset is performing unfavorably to you. Therefore,
the notes are more likely to remain outstanding when the expected amount payable on the notes is less than what would be payable on other
comparable instruments and when your risk of not receiving any positive return on your initial investment is relatively higher. |
| · | Your return on the notes is limited to the Contingent Coupons, if any, regardless of any increase in the level of any Reference
Asset. — You will not receive a payment at maturity with a value greater than your principal amount plus the final Contingent
Coupon, if payable. In addition, if the notes are subject to an Issuer Call, you will not receive a payment greater than the principal
amount plus any applicable Contingent Coupon. Accordingly, your maximum return on the applicable notes is limited to the potential return
represented by the Contingent Coupons. |
| · | Whether you receive any Contingent Coupons and your payment at maturity may be determined solely by reference to the least performing
Reference Asset, even if any other Reference Assets perform better. - We will only make each Contingent Coupon payment on the notes
if the closing level of each Reference Asset on the applicable Coupon Observation Date exceeds the applicable Coupon Barrier, even if
the levels of any other Reference Assets have increased significantly. Similarly, if a Trigger Event occurs with respect to any Reference
Asset and the Final Level of any Reference Asset is less than its Initial Level, your payment at maturity will be determined by reference
to the performance of the Least Performing Reference Asset. Even if the levels of any other Reference Assets have increased over the term
of the notes, or have experienced a decline that is less than that of the Least Performing Reference Asset, your return at maturity will
only be determined by reference to the performance of the Least Performing Reference Asset if a Trigger Event occurs. |
| · | The payments on the notes will be determined by reference to each Reference Asset individually, not to a basket, and the payments
on the notes will be based on the performance of the least performing Reference Asset. — Whether each Contingent Coupon is
payable, and the payment at maturity if a Trigger Event occurs, will be determined only by reference to the performance of the least performing
Reference Asset as of the applicable Coupon Observation Date and/or Valuation Date, regardless of the performance of any other Reference
Assets. The notes are not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components.
For example, in the case of notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket
components reflected as the basket return. As a result, a decrease of the level of one basket component could be mitigated by the increase
of the level of the other basket components, as scaled by the weighting of that basket component. However, in the case of the notes, the
individual performance of each Reference Asset will not be combined, and the performance of one Reference Asset will not be mitigated
by any positive performance of any other Reference Assets. Instead, your receipt of Contingent Coupon payments on the notes will depend
on the level of each Reference Asset on each Coupon Observation Date, and your return at maturity will depend solely on the Final Level
of the Least Performing Reference Asset if a Trigger Event occurs. |
| · | Your return on the notes may be lower than the return on a conventional debt security of comparable maturity. — The
return that you will receive on your notes, which could be negative, may be less than the return you could earn on other investments.
The notes do not provide for fixed interest payments and you may not receive any Contingent Coupons over the term of the notes. Even if
you do receive one or more Contingent Coupons and your return on the notes is positive, your return may be less than the return you would
earn if you bought a conventional senior interest bearing debt security of ours with the same maturity or if you invested directly in
the Reference Assets. Your investment may not reflect the full opportunity cost to you when you take into account factors that affect
the time value of money. |
| · | A higher Contingent Interest Rate or lower Buffer Levels or Coupon Barrier Levels may reflect greater expected volatility of the
Reference Assets, and greater expected volatility generally indicates an increased risk of loss at maturity. — The economic
terms for the notes, including the Contingent Interest Rate, Coupon Barrier Levels and Buffer Levels, are based, in part, on the expected
volatility of the Reference Assets at the time the terms of the notes are set. “Volatility” refers to the frequency and magnitude
of changes in the level of a Reference Asset. The greater the expected volatility of the Reference Assets as of the Pricing Date, the
greater the expectation is as of that date that the closing level of a Reference Asset could be less than its Coupon Barrier Level on
any Coupon Observation Date and that a Trigger Event could occur and, as a consequence, indicates an increased risk of not receiving a
Contingent Coupon and an increased risk of loss, respectively. All things being equal, this greater expected volatility will generally
be reflected in a higher Contingent Interest Rate than the yield payable on our conventional debt securities with a similar maturity or
on otherwise comparable securities, and/or a lower Buffer Levels and/or Coupon Barrier Levels than those terms on otherwise comparable
securities. Therefore, a relatively higher Contingent Interest Rate may indicate an increased risk of loss. Further, relatively lower
Buffer Levels and/or Coupon Barriers may not necessarily indicate that the notes have a greater likelihood of a return of principal at
maturity and/or paying Contingent Coupons. You should be willing to accept the downside market risk of the Reference Assets and the potential
to lose a significant portion of your initial investment. |
Risks Related to the Reference Assets
| · | Owning the notes is not the same as a hypothetical direct investment in the Reference Assets or a security directly linked to the
Reference Assets. — The return on your notes will not reflect the return you would realize if you made a hypothetical direct
investment in the Reference Assets or the underlying securities of the Reference Assets or a security directly linked to the performance
of the Reference Assets or the underlying securities of the Reference Assets and held that investment for a similar period. Your notes
may trade quite differently from the Reference Assets. Changes in the level of a Reference Asset may not result in comparable changes
in the market value of your notes. Even if the levels of the Reference Assets increase during the term of the notes, the market value
of the notes prior to maturity may not increase to the same extent. It is also possible for the market value of the notes to decrease
while the levels of the Reference Assets increase. |
| · | You will not have any shareholder rights and will have no right to receive any shares of any company included in a Reference Asset
at maturity. — Investing in your notes will not make you a holder of any securities included in the Reference Assets. Neither
you nor any other holder or owner of the notes will have any voting rights, any right to receive dividends or other distributions, or
any other rights with respect to such underlying securities. |
| · | We have no affiliation with any index sponsor and will not be responsible for any index sponsor's actions. — The sponsors
of the Reference Assets are not our affiliates and will not be involved in the offering of the notes in any way. Consequently, we have
no control over the actions of any index sponsor, including any actions of the type that would require the calculation agent to adjust
the payment to you at maturity. The index sponsors have no obligation of any sort with respect to the notes. Thus, the index sponsors
have no obligation to take your interests into consideration for any reason, including in taking any actions that might affect the value
of the notes. None of our proceeds from the issuance of the notes will be delivered to any index sponsor. |
| · | You must rely on your own evaluation of the merits of an investment linked to the Reference Assets. — In the ordinary
course of their businesses, our affiliates from time to time may express views on expected movements in the levels of the Reference Assets
or the prices of the securities included in the Reference Assets. One or more of our affiliates have published, and in the future may
publish, research reports that express views on the Reference Assets or these securities. However, these views are subject to change from
time to time. Moreover, other professionals who deal in the markets relating to the Reference Assets at any time may have significantly
different views from those of our affiliates. You are encouraged to derive information concerning the Reference Assets from multiple sources,
and you should not rely on the views expressed by our affiliates. Neither the offering of the notes nor any views which our affiliates
from time to time may express in the ordinary course of their businesses constitutes a recommendation as to the merits of an investment
in the notes. |
Risks Relating to the NASDAQ-100 Index®
| · | An investment in the notes is subject to risks associated with foreign securities markets. — The NASDAQ-100 Index®
tracks the value of certain foreign equity securities. You should be aware that investments in securities linked to the value of foreign
equity securities involve particular risks. The foreign securities markets comprising the NASDAQ-100 Index® may have less liquidity
and may be more volatile than U.S. or other securities markets and market developments may affect foreign markets differently from U.S.
or other securities markets. Direct or indirect government intervention to stabilize these foreign securities markets, as well as cross-shareholdings
in foreign companies, may affect trading prices and volumes in these markets. Also, there is generally less publicly available information
about foreign companies than about those U.S. companies that are subject to the reporting requirements of the U.S. Securities and Exchange
Commission, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements that differ from
those applicable to U.S. reporting companies.
Prices of securities in foreign countries are subject to political, economic, financial and social factors that apply in those geographical
regions. These factors, which could negatively affect those securities markets, include the possibility of recent or future changes in
a foreign government’s economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other
laws or restrictions applicable to foreign companies or investments in foreign equity securities and the possibility of fluctuations in
the rate of exchange between currencies, the possibility of outbreaks of hostility and political instability and the possibility of natural
disaster or adverse public health developments in the region. Moreover, foreign economies may differ favorably or unfavorably from the
U.S. economy in important respects such as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
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Risks Relating to the Russell 2000® Index
| · | An investment in the notes is subject to risks associated in investing in stocks with a small market capitalization. —
The Russell 2000® Index consists of stocks issued by companies with relatively small market capitalizations. These companies often
have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies. As a result, the level
of the Russell 2000® Index may be more volatile than that of a market measure that does not track solely small-capitalization stocks.
Stock prices of small-capitalization companies are also generally more vulnerable than those of large-capitalization companies to adverse
business and economic developments, and the stocks of small-capitalization companies may be thinly traded, and be less attractive to many
investors if they do not pay dividends. In addition, small capitalization companies are typically less well-established and less stable
financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss
of those individuals. Small capitalization companies tend to have lower revenues, less diverse product lines, smaller shares of their
target markets, fewer financial resources and fewer competitive strengths than large-capitalization companies. These companies may also
be more susceptible to adverse developments related to their products or services. |
General Risk Factors
| · | Your investment is subject to the credit risk of Bank of Montreal. — Our credit ratings and credit spreads may adversely
affect the market value of the notes. Investors are dependent on our ability to pay any amounts due on the notes, and therefore investors
are subject to our credit risk and to changes in the market’s view of our creditworthiness. Any decline in our credit ratings or
increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of the notes. |
| · | Potential conflicts. — We and our affiliates play a variety of roles in connection with the issuance of the notes, including
acting as calculation agent. In performing these duties, the economic interests of the calculation agent and other affiliates of ours
are potentially adverse to your interests as an investor in the notes. We or one or more of our affiliates may also engage in trading
of securities included in a Reference Asset on a regular basis as part of our general broker-dealer and other businesses, for proprietary
accounts, for other accounts under management or to facilitate transactions for our customers. Any of these activities could adversely
affect the level of the Reference Assets and, therefore, the market value of, and the payments on, the notes. We or one or more of our
affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to changes
in the performance of the Reference Assets. By introducing competing products into the marketplace in this manner, we or one or more of
our affiliates could adversely affect the market value of the notes. |
| · | Our initial estimated value of the notes is lower than the price to public. — Our initial estimated value of the notes
is only an estimate, and is based on a number of factors. The price to public of the notes exceeds our initial estimated value, because
costs associated with offering, structuring and hedging the notes are included in the price to public, but are not included in the estimated
value. These costs include any underwriting discount and selling concessions, the profits that we and our affiliates expect to realize
for assuming the risks in hedging our obligations under the notes and the estimated cost of hedging these obligations. |
| · | Our initial estimated value does not represent any future value of the notes, and may also differ from the estimated value of any
other party. — Our initial estimated value of the notes as of the date hereof is derived using our internal pricing models.
This value is based on market conditions and other relevant factors, which include volatility of the Reference Assets, dividend rates
and interest rates. Different pricing models and assumptions 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 set forth herein and in the product supplement. These changes
are likely to impact the price, if any, at which we or BMOCM 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 or our affiliates would be willing to buy your notes in any
secondary market at any time. |
| · | The terms of the notes were not determined by reference to the credit spreads for our conventional fixed-rate debt. —
To determine the terms of the notes, we used 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. |
| · | Certain costs are likely to adversely affect the value of the notes. — Absent any changes in market conditions, any
secondary market prices of the notes will likely be lower than the price to public. This is because any secondary market prices will likely
take into account our then-current market credit spreads, and because any secondary market prices are likely to exclude all or a portion
of any underwriting discount and selling concessions, and the hedging profits and estimated hedging costs that are included in the price
to public of the notes and that may be reflected on your account statements. In addition, any such price is also likely to reflect a discount
to account for costs associated with establishing or unwinding any related hedge transaction, such as dealer discounts, mark-ups and other
transaction costs. As a result, the price, if any, at which BMOCM or any other party may be willing to purchase the notes from you in
secondary market transactions, if at all, will likely be lower than the price to public. Any sale that you make prior to the Maturity
Date could result in a substantial loss to you. |
| · | Lack of liquidity. — The notes will not be listed on any securities exchange. BMOCM may offer to purchase the notes
in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which
you may be able to trade the notes is likely to depend on the price, if any, at which BMOCM is willing to buy the notes. |
| · | Hedging and trading activities. — We or any of our affiliates have carried out or may carry out hedging activities related
to the notes, including purchasing or selling shares of securities included in the Reference Assets, futures or options relating to the
Reference Assets or securities included in the Reference Assets or other derivative instruments with returns linked or related to changes
in the performance on the Reference Assets or securities included in the Reference Assets. We or our affiliates may also trade in the
securities included in the Reference Assets or instruments related to the Reference Assets or such securities from time to time. Any of
these hedging or trading activities on or prior to the Pricing Date and during the term of the notes could adversely affect the payments
on the notes. |
| · | Many economic and market factors will influence the value of the notes. — In addition to the levels of the Reference
Assets and interest rates on any trading day, the value of the notes will be affected by a number of economic and market factors that
may either offset or magnify each other, and which are described in more detail in the product supplement. |
| · | Significant aspects of the tax treatment of the notes are uncertain. — The tax treatment of the notes is uncertain. We
do not plan to request a ruling from the Internal Revenue Service or from any Canadian authorities regarding the tax treatment of the
notes, and the Internal Revenue Service or a court may not agree with the tax treatment described herein.
The Internal Revenue Service has released a notice that may affect the taxation of holders of “prepaid forward contracts”
and similar instruments. According to the notice, the Internal Revenue Service and the U.S. Treasury are actively considering whether
the holder of such instruments should be required to accrue ordinary income on a current basis. While it is not clear whether the notes
would be viewed as similar to such instruments, it is possible that any future guidance could materially and adversely affect the tax
consequences of an investment in the notes, possibly with retroactive effect.
Please read carefully the section entitled "U.S. Federal Tax Information" herein, the section entitled "Supplemental Tax
Considerations–Supplemental U.S. Federal Income Tax Considerations" in the accompanying product supplement, the section entitled
"United States Federal Income Taxation" in the accompanying prospectus and the section entitled "Certain Income Tax Consequences"
in the accompanying prospectus supplement. You should consult your tax advisor about your own tax situation. |
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 subject to an Issuer Call. The hypothetical payments are based on a $1,000
investment in the note, a hypothetical Initial Level of 100.00, a hypothetical Buffer Level of 80.00 (80.00% 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 subject to an Issuer Call, the actual cash amount that you will receive
at maturity will depend upon the Final Level of the Least Performing Reference Asset. If the notes are subject to an Issuer Call 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 any 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.
Hypothetical Final Level of the
Least Performing Reference Asset |
Hypothetical Final Level of the
Least Performing Reference Asset
Expressed as a Percentage of its
Initial Level |
Payment at Maturity (Excluding
Coupons) |
200.00 |
200.00% |
$1,000.00 |
180.00 |
180.00% |
$1,000.00 |
160.00 |
160.00% |
$1,000.00 |
140.00 |
140.00% |
$1,000.00 |
120.00 |
120.00% |
$1,000.00 |
100.00 |
100.00% |
$1,000.00 |
90.00 |
90.00% |
$1,000.00 |
80.00 |
80.00% |
$1,000.00 |
79.99 |
79.99% |
$999.90 |
60.00 |
60.00% |
$800.00 |
40.00 |
40.00% |
$600.00 |
20.00 |
20.00% |
$400.00 |
0.00 |
0.00% |
$200.00 |
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
Assets 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 an Investment Unit Consisting of a Debt Portion and a Put Option, as a Pre-Paid
Contingent Income-Bearing Derivative Contract, or as a Pre-Paid Derivative Contract—Notes Treated as a Pre-Paid Contingent Income-Bearing
Derivative Contract," which applies to the notes, except the following disclosure which supplements, and to the extent inconsistent
supersedes, the discussion in the product supplement.
Under current Internal Revenue Service guidance,
withholding on "dividend equivalent" payments (as discussed in the product supplement), if any, will not apply to notes that
are issued as of the date of this pricing supplement unless such notes are "delta-one" instruments. Based on our determination
that the notes are not delta-one instruments, non-United States holders (as defined in the product supplement) should not generally be
subject to withholding on dividend equivalent payments, if any, under 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.
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.
You should not construe the offering of the notes
as a recommendation of the merits of acquiring an investment linked to the Reference Assets 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 this pricing supplement in the initial
sale of the notes. In addition, BMOCM or another of our affiliates may use this pricing supplement in market-making transactions in any
notes after their initial sale. Unless BMOCM or we inform you otherwise in the confirmation of sale, this 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 that is set forth on the cover hereof, equals the sum of the values of the following hypothetical components:
| · | a fixed-income debt component with the same tenor as the notes, valued using our internal funding rate for structured notes; and |
| · | 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 estimated initial value of the notes on the Pricing Date was determined based on the market conditions on the Pricing
Date.
The Reference Assets
All disclosures contained in this pricing supplement
regarding the Reference Assets, 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 sponsors. The information
reflects the policies of, and is subject to change by, the sponsors. The sponsors own the copyrights and all rights to the Reference Assets.
The sponsors are under no obligation to continue to publish, and may discontinue publication of, the Reference Assets. Neither we nor
BMO Capital Markets Corp. accepts any responsibility for the calculation, maintenance or publication of any Reference Asset or any successor.
We encourage you to review recent levels of the Reference Assets prior to making an investment decision with respect to the notes.
The NASDAQ-100 Index® (“NDX”)
The NASDAQ-100 Index® is a modified market capitalization-weighted
index of 100 of the largest stocks of both U.S. and non-U.S. non-financial companies listed on The NASDAQ Stock Market based on market
capitalization. It does not contain securities of financial companies, including investment companies. The NASDAQ-100 Index® which
includes companies across a variety of major industry groups, was launched on January 31, 1985, with a base index value of 250.00. On
January 1, 1994, the base index value was reset to 125.00. The NASDAQ-100 Index® composition is reviewed on an annual basis in December.
Nasdaq, Inc. publishes the NASDAQ-100 Index®. Current information regarding the market value of the Nasdaq-100 Index® is available
from Nasdaq, Inc. as well as numerous market information services.
The share weights of the component securities of
the Nasdaq-100 Index® at any time are based upon the total shares outstanding in each of those securities and are additionally subject,
in certain cases, to rebalancing. Accordingly, each underlying stock’s influence on the level of the NASDAQ-100 Index® is directly
proportional to the value of its share weight.
Index Calculation
At any moment in time, the level of the NASDAQ-100
Index® equals the aggregate value of the then-current share weights of each of the component securities, which are based on the total
shares outstanding of each such component security, multiplied by each such security’s respective last sale price on The NASDAQ
Stock Market (which may be the official closing price published by The NASDAQ Stock Market), and divided by a scaling factor (the “divisor”),
which becomes the basis for the reported level of the NASDAQ-100 Index®. The divisor serves the purpose of scaling such aggregate
value to a lower order of magnitude, which is more desirable for reporting purposes.
Underlying Stock Eligibility Criteria and Annual Ranking Review
Initial Eligibility Criteria
To be eligible for initial inclusion in the NASDAQ-100
Index®, a security must be listed on The NASDAQ Stock Market and meet the following criteria:
| · | the security’s U.S. listing must be exclusively on the NASDAQ Global Select Market or the NASDAQ Global Market; |
| · | the security must be issued by a non-financial company (any industry other than financials) according to the Industry Classification
Benchmark (ICB); |
| · | the security may not be issued by an issuer currently in bankruptcy proceedings; |
| · | the security must generally be a common stocks, ordinary shares, American Depositary Receipts (ADRs), or tracking stock (closed-end
funds, convertible debentures, exchange traded funds, limited liability companies, limited partnership interests, preferred stocks, rights,
shares or units of beneficial interests, warrants, units and other derivative securities are not included in the NASDAQ-100 Index®,
nor are the securities of investment companies). Companies organized as Real Estate Investment Trusts (“REITs”) are not eligible
for index inclusion. If the security is a depositary receipt representing a security of a non-U.S. issuer, then references to the "issuer"
are references to the underlying security and the total shares outstanding (“TSO”) is the actual depositary shares outstanding
as reported by the depositary banks; |
| · | the security must have a three-month average daily trading volume of at least 200,000 shares; |
| · | if the security is issued by an issuer organized under the laws of a jurisdiction outside the United States, it must have listed options
on a recognized market in the United States or be eligible for listed-options trading on a recognized options market in the United States; |
| · | the issuer of the security may not have entered into a definitive agreement or other arrangement that would make it ineligible for
index inclusion and where the transaction is imminent as determined by the Index Management Committee; |
| · | the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn; and |
| · | the issuer of the security must have “seasoned” on the NASDAQ Stock Market or another recognized market (generally, a
company is considered to be seasoned if it has been listed on a market for at least three full months, excluding the first month of initial
listing). |
Continued Eligibility Criteria
In addition, to be eligible for continued inclusion
in the NASDAQ-100 Index® the following criteria apply:
| · | the security’s U.S. listing must be exclusively on the NASDAQ Global Select Market or the NASDAQ Global Market; |
| · | the security must be issued by a non-financial company; |
| · | the security may not be issued by an issuer currently in bankruptcy proceedings; |
| · | the security must have an average daily trading volume of at least 200,000 shares in the previous three-month trading period as measured
annually during the ranking review process described below; |
| · | if the issuer of the security is organized under the laws of a jurisdiction outside the United States, then such security must have
listed options on a recognized market in the United States or be eligible for listed-options trading on a recognized options market in
the United States, as measured annually during the ranking review process; |
| · | the issuer of the security may not have entered into a definitive agreement or other arrangement that would likely result in the security
no longer being eligible; |
| · | the security must have an adjusted market capitalization equal to or exceeding 0.10% of the aggregate adjusted market capitalization
of the NASDAQ-100 Index® at each month-end. In the event that a company does not meet this criterion for two consecutive month-ends,
it will be removed from the NASDAQ-100 Index® effective after the close of trading on the third Friday of the following month; and |
| · | the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn. |
These eligibility criteria may be revised from time to time by Nasdaq,
Inc. without regard to the notes.
Annual Ranking Review
The component securities are evaluated on an annual
basis (the “Ranking Review”), except under extraordinary circumstances, which may result in an interim evaluation, as follows.
Securities that meet the applicable eligibility criteria are ranked by market value. Eligible securities that are already in the NASDAQ-100
Index® and that are ranked in the top 100 eligible securities (based on market capitalization) are retained in the NASDAQ-100 Index®.
A security that is ranked 101 to 125 is also retained, provided that such security was ranked in the top 100 eligible securities as of
the previous Ranking Review or was added to the NASDAQ-100 Index® subsequent to the previous Ranking Review. Securities not meeting
such criteria are replaced. The replacement securities chosen are those eligible securities not currently in the NASDAQ-100 Index®
that have the largest market capitalization. The data used in the ranking includes end of October market data and is updated for total
shares outstanding submitted in a publicly filed SEC document via EDGAR through the end of November.
Replacements are made effective after the close
of trading on the third Friday in December. Moreover, if at any time during the year other than the Ranking Review, a component security
is determined by NASDAQ OMX to become ineligible for continued inclusion in the NASDAQ-100 Index®, the security will be replaced with
the largest market capitalization security meeting the eligibility criteria listed above and not currently included in the NASDAQ-100
Index®. Issuers that are added as a result of a spin-off are not replaced until after they have been included in a reconstitution.
Index Maintenance
In addition to the Ranking Review, the securities
NASDAQ-100 Index® are monitored every day by Nasdaq, Inc. with respect to changes in total shares outstanding arising from corporate
events, such as stock dividends, stock splits and certain spin-offs and rights issuances. Nasdaq, Inc. has adopted the following quarterly
scheduled weight adjustment procedures with respect to those changes. If the change in total shares outstanding arising from a corporate
action is greater than or equal to 10%, that change will be made to the NASDAQ-100 Index® as soon as practical, normally within ten
days of such corporate action. Otherwise, if the change in total shares outstanding is less than 10%, then all such changes are accumulated
and made effective at one time on a quarterly basis after the close of trading on the third Friday in each of March, June, September and
December.
In either case, the share weights for those component
securities are adjusted by the same percentage amount by which the total shares outstanding have changed in those securities. Ordinarily,
whenever there is a change in the share weights, a change in a component security, or a change to the price of a component security due
to spin-off, rights issuances or special cash dividends, Nasdaq, Inc. adjusts the divisor to ensure that there is no discontinuity in
the level of the NASDAQ-100 Index® that might otherwise be caused by any of those changes. All changes will be announced in advance.
Index Rebalancing
Under the methodology employed, on a quarterly basis
coinciding with Nasdaq, Inc.’s quarterly scheduled weight adjustment procedures, the component securities are categorized as either
“Large Stocks” or “Small Stocks” depending on whether their current percentage weights (after taking into account
scheduled weight adjustments due to stock repurchases, secondary offerings or other corporate actions) are greater than, or less than
or equal to, the average percentage weight in the NASDAQ-100 Index® (i.e., as a 100-stock index, the average percentage weight in
the NASDAQ-100 Index® is 1%).
This quarterly examination will result in an index
rebalancing if it is determined that: (1) the current weight of the single largest market capitalization component security is greater
than 24% or (2) the “collective weight” of those component securities, the individual current weights of which are in excess
of 4.5%, when added together, exceed 48%. In addition, Nasdaq, Inc. may conduct a special rebalancing at any time if it is determined
to be necessary to maintain the integrity of the NASDAQ-100 Index®.
If either one or both of these weight distribution
requirements are met upon quarterly review, or Nasdaq, Inc. determines that a special rebalancing is required, a weight rebalancing will
be performed. First, relating to weight distribution requirement (1) above, if the current weight of the single largest component security
exceeds 24%, then the weights of all Large Stocks will be scaled down proportionately towards 1% by enough of an amount for the adjusted
weight of the single largest component security to be set to 20%. Second, relating to weight distribution requirement (2) above, for those
component securities whose individual current weights or adjusted weights in accordance with the preceding step are in excess of 4.5%,
if their “collective weight” exceeds 48%, then the weights of all Large Stocks will be scaled down proportionately towards
1% by just enough amount for the “collective weight,” so adjusted, to be set to 40%.
The aggregate weight reduction among the Large Stocks
resulting from either or both of the above rescalings will then be redistributed to the Small Stocks in the following iterative manner.
In the first iteration, the weight of the largest Small Stock will be scaled upwards by a factor which sets it equal to the average Index
weight of 1.0%. The weights of each of the smaller remaining Small Stocks will be scaled up by the same factor, reduced in relation to
each stock’s relative ranking among the Small Stocks, such that the smaller the component security in the ranking, the less the
scale-up of its weight. This is intended to reduce the market impact of the weight rebalancing on the smallest component securities in
the NASDAQ-100 Index®.
In the second iteration, the weight of the second
largest Small Stock, already adjusted in the first iteration, will be scaled upwards by a factor which sets it equal to the average index
weight of 1%. The weights of each of the smaller remaining Small Stocks will be scaled up by this same factor, reduced in relation to
each stock’s relative ranking among the Small Stocks, such that, once again, the smaller the component stock in the ranking, the
less the scale-up of its weight.
Additional iterations will be performed until the
accumulated increase in weight among the Small Stocks exactly equals the aggregate weight reduction among the Large Stocks from rebalancing
in accordance with weight distribution requirement (1) and/or weight distribution requirement (2).
Then, to complete the rebalancing procedure, once
the final percent weights of each of the component securities are set, the share weights will be determined anew based upon the last sale
prices and aggregate capitalization of the NASDAQ-100 Index® at the close of trading on the last day in February, May, August and
November. Changes to the share weights will be made effective after the close of trading on the third Friday in March, June, September
and December, and an adjustment to the divisor will be made to ensure continuity of the NASDAQ-100 Index®.
Ordinarily, new rebalanced weights will be determined
by applying the above procedures to the current share weights. However, Nasdaq, Inc. may from time to time determine rebalanced weights,
if necessary, by instead applying the above procedure to the actual current market capitalization of the component securities. In those
instances, Nasdaq, Inc. would announce the different basis for rebalancing prior to its implementation.
License Agreement
The notes are not sponsored, endorsed, sold or promoted
by Nasdaq, Inc. or its affiliates (NASDAQ, with its affiliates, are referred to as the “Corporations”). The Corporations have
not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the notes. The
Corporations make no representation or warranty, express or implied to the owners of the notes or any member of the public regarding the
advisability of investing in securities generally or in the notes particularly, or the ability of the NASDAQ-100 Index® to track general
stock market performance. The Corporations' only relationship to the Issuer (“Licensee”) is in the licensing of the Nasdaq®,
the NASDAQ-100 Index®, and certain trade names of the Corporations and the use of the NASDAQ-100 Index® which is determined, composed
and calculated by NASDAQ without regard to Licensee or the notes. NASDAQ has no obligation to take the needs of the Licensee or the owners
of the notes into consideration in determining, composing or calculating the NASDAQ-100 Index®. The Corporations are not responsible
for and have not 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 to be converted into cash. The Corporations have no liability in connection with
the administration, marketing or trading of the notes.
THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY
AND/OR UNINTERRUPTED CALCULATION OF NASDAQ-100 Index® OR ANY DATA INCLUDED THEREIN, THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR
IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NASDAQ-100 Index®
OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY
OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE NASDAQ-100 Index® OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY
OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT,
OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
The Russell 2000® Index (“RTY”)
The Russell 2000® Index was developed by Russell
Investments (“Russell”) before FTSE International Limited (“FTSE”) and Russell combined in 2015 to create FTSE
Russell, which is wholly owned by London Stock Exchange Group. Russell began dissemination of the Russell 2000® Index (Bloomberg L.P.
index symbol “RTY”) on January 1, 1984. The Russell 2000® Index was set to 135 as of the close of business on December
31, 1986. FTSE Russell calculates and publishes the Russell 2000® Index. The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. The Russell 2000® Index is a subset of the Russell 3000® Index
representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities
based on a combination of their market cap and current index membership. The Russell 3000® Index measures the performance of the largest
3,000 U.S. companies. The Russell 2000® Index is determined, comprised, and calculated by FTSE Russell without regard to the notes.
Selection of Stocks Comprising the Russell
2000® Index
All companies eligible for inclusion in the Russell
2000® Index must be classified as a U.S. company under FTSE Russell’s country-assignment methodology. If a company is incorporated,
has a stated headquarters location, and trades on a standard exchange in the same country (American Depositary Receipts and American Depositary
Shares are not eligible), then the company is assigned to its country of incorporation. If any of the three factors are not the same,
FTSE Russell defines three Home Country Indicators (“HCIs”): country of incorporation, country of headquarters, and country
of the most liquid exchange as defined by a two-year average daily dollar trading volume (“ADDTV”) from all exchanges within
a country. Using the HCIs, FTSE Russell cross-compares the primary location of the company’s assets with the three HCIs. If the
primary location of its assets matches any of the HCIs, then the company is assigned to its primary asset location. If there is insufficient
information to determine located company’s primary location of assets, FTSE Russell will use the primary location of the company’s
revenue for the same cross-comparison and assigns the company to the appropriate country in a similar fashion. FTSE Russell uses an average
of two years of assets or revenues data for analysis to reduce potential turnover. If conclusive country details cannot be derived from
assets or revenues data, FTSE Russell will assign the company to the country in which its headquarters are located unless the country
is a Benefit Driven Incorporation (BDI) country. If the country in which its headquarters are located is a BDI, the company is assigned
to the country of its most liquid stock exchange. BDI countries include: Anguilla, Antigua and Barbuda, Aruba, Bahamas, Barbados, Belize,
Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey,
Isle of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten, and Turks and Caicos Islands. For any companies
incorporated or headquartered in a U.S. territory, including countries such as Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI
is assigned. “N-Shares” of companies controlled by entities in mainland China are not eligible for inclusion in the Russell
2000® Index.
All securities eligible for inclusion in the Russell
2000® Index must trade on an eligible U.S. exchange. Stocks must have a closing price at or above $1.00 (on its primary exchange)
on rank day in May of each year (timetable is announced each spring) to be eligible for inclusion during annual reconstitution. However,
in order to reduce unnecessary turnover, if an existing member’s closing price is less than $1.00 on rank day of May, it will be
considered eligible if the average of the daily closing prices (from its primary exchange) during the 30 days prior to the rank date is
equal to or greater than $1.00. FTSE Russell adds initial public offerings (IPOs) each quarter to ensure that new additions to the institutional
investing opportunity set are reflected in representative indexes. A stock added during the quarterly IPO process is considered a new
index addition, and therefore must have a closing price on its primary exchange at or above $1.00 on the last day of the eligibility period
in order to qualify for index inclusion. If an existing index member does not trade on the rank day, it must price at $1.00 or above on
another eligible U.S. exchange to remain eligible.
Royalty trusts, U.S. limited liability companies,
closed-end investment companies (companies that are required to report Acquired Fund Fees and Expenses, as defined by the SEC, including
business development companies, are not eligible for inclusion), blank check companies, special-purpose acquisition companies (SPACs),
Exchange Traded Funds (ETFs), mutual funds and limited partnerships are ineligible for inclusion. Preferred and convertible preferred
stock, redeemable shares, participating preferred stock, warrants, rights, depositary receipts, installment receipts and trust receipts
are not eligible for inclusion in the Russell 2000® Index.
Annual reconstitution is a process by which the
Russell 2000® Index is completely rebuilt. On the rank day in May of each year, all eligible securities are ranked by their total
market capitalization. The largest 4,000 become the Russell 3000E Index, and the other FTSE Russell indexes are determined from that set
of securities. If there are not 4, 000 eligible securities in the U.S. market, the entire eligible set is include. Reconstitution of the
Russell 2000® Index occurs on the last Friday in June or, when the last Friday in June is the 29th or 30th, reconstitution occurs
on the prior Friday. In addition, FTSE Russell adds initial public offerings to the Russell 2000® Index on a quarterly basis based
on total market capitalization ranking within the market-adjusted capitalization breaks established during the most recent reconstitution.
After membership is determined, a security’s
shares are adjusted to include only those shares available to the public. This is often referred to as “free float.” The purpose
of the adjustment is to exclude from market calculations the capitalization that is not available for purchase and is not part of the
investable opportunity set.
License Agreement
“Russell 2000®” and “Russell
3000®” are trademarks of FTSE Russell and have been licensed for use by us.
The notes are not sponsored, endorsed, sold or promoted
by FTSE Russell. FTSE Russell makes no representation or warranty, express or implied, to the owners of the notes or any member of the
public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the Russell 2000®
Index to track general stock market performance or a segment of the same. FTSE Russell's publication of the Russell 2000® Index in
no way suggests or implies an opinion by FTSE Russell as to the advisability of investment in any or all of the securities upon which
the Russell 2000® Index is based. FTSE Russell's only relationship to the Issuer is the licensing of certain trademarks and trade
names of FTSE Russell and of the Russell 2000® Index which is determined, composed and calculated by FTSE Russell without regard to
the Issuer or the notes. FTSE Russell is not responsible for and has not reviewed the notes nor any associated literature or publications
and FTSE Russell makes no representation or warranty express or implied as to their accuracy or completeness, or otherwise. FTSE Russell
reserves the right, at any time and without notice, to alter, amend, terminate or in any way change the Russell 2000® Index. FTSE
Russell has no obligation or liability in connection with the administration, marketing or trading of the notes.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY AND/OR
THE COMPLETENESS OF THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS,
OMISSIONS, OR INTERRUPTIONS THEREIN. FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, INVESTORS,
OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED THEREIN. FTSE RUSSELL
MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE
OR USE WITH RESPECT TO THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED HEREIN WITHOUT LIMITING ANY OF THE FOREGOING. IN NO EVENT SHALL
FTSE RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED
OF THE POSSIBILITY OF SUCH DAMAGES.
The S&P 500® Index (“SPX”)
The S&P 500® Index measures the performance
of the large-cap segment of the U.S. market. The S&P 500® Index includes 500 leading companies and covers approximately 80% of
available market capitalization. The calculation of the level of the S&P 500® Index 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 the S&P 500® Index by
reference to the prices of the constituent stocks of the S&P 500® Index 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.
License Agreement
We and S&P Dow Jones Indices LLC (“S&P”)
have entered 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 the S&P 500® Index, in connection with certain securities, including the notes. The S&P 500® Index
is owned and published by S&P.
The license agreement between S&P and us provides
that the following language must be set forth in this pricing supplement:
The notes are not sponsored, endorsed, sold or promoted
by S&P Dow Jones Indices LLC, Dow Jones, Standard and Poor’s Financial Services LLC or any of their respective affiliates (collectively,
“S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the holders
of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes particularly
or the ability of the S&P 500® Index to track general market performance. S&P Dow Jones Indices’ only relationship to
us with respect to the S&P 500® Index is the licensing of the Index and certain trademarks, service marks and/or trade names of
S&P Dow Jones Indices and/or its third party licensors. The S&P 500® Index is determined, composed and calculated by S&P
Dow Jones Indices without regard to us or the notes. S&P Dow Jones Indices have no obligation to take our needs or the needs of holders
of the notes into consideration in determining, composing or calculating the S&P 500® Index. S&P Dow Jones Indices are not
responsible for and have not participated in the determination of the prices, and amount of the notes or the timing of the issuance or
sale of the notes or in the determination or calculation of the equation by which the notes are to be converted into cash. S&P Dow
Jones Indices have no obligation or liability in connection with the administration, marketing or trading of the notes. There is no assurance
that investment products based on the S&P 500® Index will accurately track index performance or provide positive investment returns.
S&P Dow Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion of a security or futures contract within an
index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security or futures contract, nor is it considered
to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial
products unrelated to the notes currently being issued by us, but which may be similar to and competitive with the notes. In addition,
CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the S&P 500® Index. It is
possible that this trading activity will affect the value of the notes.
S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY,
ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P 500® INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING
BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES
SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS
OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO
RESULTS TO BE OBTAINED BY US, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500® INDEX OR WITH RESPECT
TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR
ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST
TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE.
THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND US, OTHER THAN THE LICENSORS
OF S&P DOW JONES INDICES.
S&P® is a registered trademark of Standard
& Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. These trademarks
have been licensed for use by Bank of Montreal. “Standard & Poor’s®”, “S&P 500®” and “S&P®”
are trademarks of S&P. The notes are not sponsored, endorsed, sold or promoted by S&P and S&P makes no representation regarding
the advisability of investing in the notes.
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 in conformity with the Senior 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 and issued and, to the extent validity of the notes is a matter governed by the laws of the Province of Ontario,
or the laws of Canada applicable therein, and will be valid obligations of the Bank, subject to the following limitations (i) the enforceability
of the Senior Indenture may be limited by the Canada Deposit Insurance Corporation Act (Canada), the Winding-up and Restructuring Act
(Canada) and bankruptcy, insolvency, reorganization, receivership, moratorium, arrangement or winding-up laws or other similar laws affecting
the enforcement of creditors’ rights generally; (ii) the enforceability of the Senior Indenture may be limited by equitable principles,
including the principle that equitable remedies such as specific performance and injunction may only be granted in the discretion of a
court of competent jurisdiction; (iii) pursuant to the Currency Act (Canada) a judgment by a Canadian court must be awarded in Canadian
currency and that such judgment may be based on a rate of exchange in existence on a day other than the day of payment; and (iv) the enforceability
of the Senior Indenture will be subject to the limitations contained in the Limitations Act, 2002 (Ontario), and such counsel expresses
no opinion as to whether a court may find any provision of the Senior Debt 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 thereto. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the Indenture and the genuineness of signatures and certain factual matters, all as stated in
the letter of such counsel dated May 26, 2022, which has been filed as Exhibit 5.3 to Bank of Montreal’s Form 6-K filed with the
SEC and dated May 26, 2022.
In the opinion of Mayer Brown LLP, when this pricing
supplement has been attached to, and duly notated on, the master note that represents the notes, and the notes have been issued and sold
as contemplated herein, the notes will be valid, binding and enforceable obligations of Bank of Montreal, entitled to the benefits of
the Senior Indenture, 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). This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as
this opinion involves matters governed by the laws of the Province of Ontario, or the laws of Canada applicable therein, Mayer Brown LLP
has assumed, without independent inquiry or investigation, the validity of the matters opined on by Osler, Hoskin & Harcourt LLP,
Canadian legal counsel for the issuer, in its opinion expressed above. This opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the Senior Indenture and the genuineness of signatures and to such counsel’s reliance on
the Bank of Montreal and other sources as to certain factual matters, all as stated in the legal opinion of Mayer Brown LLP dated May
26, 2022, which has been filed with the SEC as an exhibit to a report on Form 6-K by the Bank of Montreal on May 26, 2022.
19
Exhibit 107.1
The pricing supplement to which this Exhibit is attached
is a final prospectus for the related offering. The maximum aggregate offering price of that offering is $1,000,000.
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