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 $985.00 and $1,000 per $1,000 in principal
amount.
* Rounded to two decimal places with respect to SPX and SX5E and rounded to three
decimal places with respect to RTY.
On the date hereof, based on the terms set forth above, the estimated
initial value of the notes is $928.68 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.
You should read this document together with the product supplement
dated June 18, 2021, the prospectus supplement dated May 27, 2021 and the prospectus dated April 20, 2020. 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):
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.
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.
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:
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a fixed-income debt component with the same tenor as the notes, valued using our internal funding rate for structured notes; and
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one or more derivative transactions relating to the economic terms of the notes.
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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 and 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 Russell 2000® Index
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. As a subset of the Russell 3000® Index, the Russell 2000® Index consists
of the smallest 2,000 companies included in the Russell 3000® Index. 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 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 the primary location of its assets. If there is insufficient
information to determine the country in which the company’s assets are primarily located, 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 the average of two years of assets or revenues data 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,
it will be 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 a major U.S. exchange. Stocks must have a closing price at or above $1.00 on their primary exchange on the “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 the last day of May, it will
be considered eligible if the average of the daily closing prices (from its primary exchange) during the month of May 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, 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), blank check companies, special-purpose acquisition companies, exchange traded funds, mutual funds and limited
partnerships are ineligible for inclusion. Preferred and convertible preferred stock, redeemable shares, participating preferred stock,
warrants, rights, 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 of July, 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. 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
The S&P 500® Index is intended to provide an indication
of the pattern of common stock price movement. The calculation of the level of this Reference Asset is based on the relative value of
the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average market value
of the common stocks of 500 similar companies during the base period of the years 1941 through 1943.
S&P calculates this Reference Asset by reference to the prices
of the constituent stocks of this Reference Asset without taking account of the value of dividends paid on those stocks. As a result,
the return on the notes will not reflect the return you would realize if you actually owned the constituent stocks of the S&P 500®
Index and received the dividends paid on those stocks.
Computation of the S&P 500® Index
While S&P currently employs the following methodology to calculate
the S&P 500® Index, no assurance can be given that S&P will not modify or change this methodology in a manner that may affect
the Payment at Maturity.
Historically, the market value of any component stock of the S&P
500® Index was calculated as the product of the market price per share and the number of then outstanding shares of such component
stock. In March 2005, S&P began shifting the S&P 500® Index halfway from a market capitalization weighted formula to a float-adjusted
formula, before moving the S&P 500® Index to full float adjustment on September 16, 2005. S&P’s criteria for selecting
stocks for the S&P 500® Index did not change with the shift to float adjustment. However, the adjustment affects each company’s
weight in the S&P 500® Index.
Under float adjustment, the share counts used in calculating the
S&P 500® Index reflect only those shares that are available to investors, not all of a company’s outstanding shares. Float
adjustment excludes shares that are closely held by control groups, other publicly traded companies or government agencies.
In September 2012, all shareholdings representing more than 5%
of a stock’s outstanding shares, other than holdings by “block owners,” were removed from the float for purposes of
calculating the S&P 500® Index. Generally, these “control holders” will include officers and directors, private equity,
venture capital and special equity firms, other publicly traded companies that hold shares for control, strategic partners, holders of
restricted shares, ESOPs, employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock,
government entities at all levels (other than government retirement/pension funds) and any individual person who controls a 5% or greater
stake in a company as reported in regulatory filings. However, holdings by block owners, such as depositary banks, pension funds, mutual
funds and ETF providers, 401(k) plans of the company, government retirement/pension funds, investment funds of insurance companies, asset
managers and investment funds, independent foundations and savings and investment plans, will ordinarily be considered part of the float.
Treasury stock, stock options, equity participation units, warrants,
preferred stock, convertible stock, and rights are not part of the float. Shares held in a trust to allow investors in countries outside
the country of domicile, such as depositary shares and Canadian exchangeable shares are normally part of the float unless those shares
form a control block.
For each stock, an investable weight factor (“IWF”)
is calculated by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total
shares outstanding less shares held by control holders. This calculation is subject to a 5% minimum threshold for control blocks. For
example, if a company’s officers and directors hold 3% of the company’s shares, and no other control group holds 5% of the
company’s shares, S&P would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However, if a company’s
officers and directors hold 3% of the company’s shares and another control group holds 20% of the company’s shares, S&P
would assign an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are considered to be held for control.
As of July 31, 2017, companies with multiple share class lines are no longer eligible for inclusion in the S&P 500® Index. Constituents
of the S&P 500® Index prior to July 31, 2017 with multiple share class lines were grandfathered in and continue to be included
in the S&P 500® Index. If a constituent company of the S&P 500® Index reorganizes into a multiple share class line structure,
that company will remain in the S&P 500® Index at the discretion of the S&P Index Committee in order to minimize turnover.
The S&P 500® Index is calculated using a base-weighted
aggregate methodology. The level of the S&P 500® Index reflects the total market value of all 500 component stocks relative to
the base period of the years 1941 through 1943. An indexed number is used to represent the results of this calculation in order to make
the level easier to use and track over time. The actual total market value of the component stocks during the base period of the years
1941 through 1943 has been set to an indexed level of 10. This is often indicated by the notation 1941-43 = 10. In practice, the daily
calculation of the S&P 500® Index is computed by dividing the total market value of the component stocks by the “index divisor.”
By itself, the index divisor is an arbitrary number. However, in the context of the calculation of the S&P 500® Index, it serves
as a link to the original base period level of the S&P 500® Index. The index divisor keeps the S&P 500® Index comparable
over time and is the manipulation point for all adjustments to the S&P 500® Index, which is index maintenance.
Index Maintenance
Index maintenance includes monitoring and completing the adjustments
for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to company restructuring
or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares outstanding and the
stock prices of the companies in the S&P 500® Index, and do not require index divisor adjustments.
To prevent the level of the S&P 500® Index from changing
due to corporate actions, corporate actions which affect the total market value of the S&P 500® Index require an index divisor
adjustment. By adjusting the index divisor for the change in market value, the level of the S&P 500® Index remains constant and
does not reflect the corporate actions of individual companies in the S&P 500® Index. Index divisor adjustments are made after
the close of trading and after the calculation of the S&P 500® Index closing level.
Changes in a company’s total shares outstanding of 5% or
more due to public offerings are made as soon as reasonably possible. Other changes of 5% or more (for example, due to tender offers,
Dutch auctions, voluntary exchange offers, company stock repurchases, private placements, acquisitions of private companies or non-index
companies that do not trade on a major exchange, redemptions, exercise of options, warrants, conversion of preferred stock, notes, debt,
equity participations, at-the-market stock offerings or other recapitalizations) are made weekly, and are generally announced on Fridays
for implementation after the close of trading the following Friday (one week later). If a 5% or more share change causes a company’s
IWF to change by five percentage points or more, the IWF is updated at the same time as the share change. IWF changes resulting from partial
tender offers are considered on a case-by-case basis.
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.
The EURO STOXX 50® Index
The EURO STOXX 50® Index was created by STOXX, a joint venture
between Deutsche Börse AG and SIX Group AG. Publication of the EURO STOXX 50® Index began in February 1998, based on an initial
Index level of 1,000 at December 31, 1991. On March 1, 2010, STOXX announced the removal of the “Dow Jones” prefix from all
of its indices, including the EURO STOXX 50® Index. Additional information about the EURO STOXX 50® Index is available on the
STOXX Limited website: stoxx.com. However, information included in that website is not included or incorporated by reference in this pricing
supplement.
EURO STOXX 50® Index Composition and Maintenance
For each of the 19 EURO STOXX regional supersector indices, the
stocks are ranked in terms of free-float market capitalization. The largest stocks are added to the selection list until the coverage
is close to, but still less than, 60% of the free-float market capitalization of the corresponding supersector index. If the next highest-ranked
stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list. All current stocks in the index
are then added to the selection list. All of the stocks on the selection list are then ranked in terms of free-float market capitalization
to produce the final index selection list. The largest 40 stocks on the selection list are selected; the remaining 10 stocks are selected
from the largest remaining current stocks ranked between 41 and 60; if the number of stocks selected is still below 50, then the largest
remaining stocks are selected until there are 50 stocks. In exceptional cases, STOXX’s management board can add stocks to and remove
them from the selection list.
The index stocks are subject to a capped maximum index weight
of 10%, which is applied on a quarterly basis.
The EURO STOXX 50® Index is composed of 50 component stocks
of market sector leaders from within the 19 EURO STOXX® Supersector indices, which represent the Eurozone portion of the STOXX Europe
600® Supersector indices. The index stocks have a high degree of liquidity and represent the largest companies across a wide range
of market sectors.
Composition and Maintenance of the EURO STOXX 50® Index
The composition of the EURO STOXX 50® Index is reviewed annually,
based on the closing stock data on the last trading day in August. Changes in the composition of the EURO STOXX 50® Index are made
to ensure that it includes the 50 market sector leaders from within the EURO STOXX Index.
The free float factors for each component stock used to calculate
the EURO STOXX 50® Index, as described below, are reviewed, calculated, and implemented on a quarterly basis and are fixed until the
next quarterly review.
The EURO STOXX 50® Index is subject to a “fast exit
rule.” The index stocks are monitored for any changes based on the monthly selection list ranking. A stock is deleted from the EURO
STOXX 50® Index if: (a) it ranks 75 or below on the monthly selection list and (b) it has been ranked 75 or below for a consecutive
period of two months in the monthly selection list. The highest-ranked stock that is not already an index stock will replace it. Changes
will be implemented on the close of the fifth trading day of the month, and are effective the next trading day.
The EURO STOXX 50® Index is also subject to a “fast
entry rule.” All stocks on the latest selection lists and initial public offering (IPO) stocks are reviewed for a fast-track addition
on a quarterly basis. A stock is added, if (a) it qualifies for the latest STOXX blue-chip selection list generated end of February, May,
August or November and (b) it ranks within the “lower buffer” on this selection list.
The EURO STOXX 50® Index is also reviewed on an ongoing basis.
Corporate actions (including initial public offerings, mergers and takeovers, spin-offs, delistings, and bankruptcy) that affect the EURO
STOXX 50® Index composition are immediately reviewed. Any changes are announced, implemented, and effective in line with the type
of corporate action and the magnitude of the effect.
Calculation of the EURO STOXX 50® Index
The EURO STOXX 50® Index is calculated with the “Laspeyres
formula,” which measures the aggregate price changes in the index stocks against a fixed base quantity weight. The formula for calculating
the EURO STOXX 50® Index value can be expressed as follows:
Index = free float market capitalization of the index at the
time
divisor of the index at the time
The “free float market capitalization of the index”
is equal to the sum of the products of the closing price, number of shares, free float factor and the weighting cap factor for each component
company as of the time that the EURO STOXX 50® Index is being calculated.
The divisor of the EURO STOXX 50® Index is adjusted to maintain
the continuity of the EURO STOXX 50® Index’s values across changes due to corporate actions, such as the deletion and addition
of stocks, the substitution of stocks, stock dividends, and stock splits.
License Agreement
We have entered into a non-exclusive license agreement with STOXX,
which grants us a license in exchange for a fee to use the EURO STOXX 50® Index in connection with the issuance of certain securities,
including the notes.
STOXX and its licensors (the “Licensors”) have no
relationship with us or BMOCM, other than the licensing of the EURO STOXX 50® Index and the related trademarks for use in connection
with the notes.
STOXX and its Licensors do not:
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sponsor, endorse, sell or promote the notes.
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recommend that any person invest in the notes or any other securities.
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have any responsibility or liability for or make any decisions about the timing, amount or pricing of the notes.
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have any responsibility or liability for the administration, management or marketing of the notes.
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consider the needs of the notes or the owners of the notes in determining, composing or calculating the EURO STOXX 50® Index or
have any obligation to do so.
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STOXX and its Licensors will not have any liability in connection
with the notes. Specifically,
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STOXX and its Licensors do not make any warranty, express or implied, and disclaim any and all warranty about:
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the results to be obtained by the notes, the owner of the notes or any other person in connection with the use of the EURO STOXX 50®
Index and the data included in the EURO STOXX 50® Index;
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the accuracy or completeness of the EURO STOXX 50® Index and its data;
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the merchantability and the fitness for a particular purpose or use of the EURO STOXX 50® Index or its data;
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STOXX and its Licensors will have no liability for any errors, omissions or interruptions in the EURO STOXX 50® Index or its data;
and
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any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX knows that they might occur.
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The licensing agreement among us, BMOCM and STOXX is solely for
the benefit of the parties thereto and not for the benefit of the owner of the notes or any other third parties.