Registration Statement No.333-237342
Filed Pursuant to Rule 433
Subject to Completion,
dated January 24, 2022
Pricing Supplement to the Prospectus dated April 20, 2020,
the Prospectus Supplement dated May 27, 2021 and the Product Supplement dated June 18, 2021
US$ [ ]
Senior Medium-Term Notes, Series G
Callable Barrier Notes with Contingent Coupons due January 30, 2024
Linked to the Least Performing of the shares of iShares® MSCI Emerging Markets ETF and the NASDAQ 100® Index and the EURO STOXX
50® Index
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The notes are designed for investors who are seeking quarterly 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 some or all of their principal at maturity.
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The notes will pay a Contingent Coupon on each Contingent Coupon Payment Date at the Contingent Interest
Rate of 2.563% per quarter (approximately 10.25% per annum) if the closing level of each of the iShares® MSCI Emerging Markets ETF,
the NASDAQ 100® Index, and the EURO STOXX 50® Index (each, a "Reference Asset" and, collectively, the "Reference
Assets") on the applicable quarterly 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 an Observation Date, the notes will not pay the Contingent Coupon
for that Observation Date.
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Beginning on April 25, 2022, Bank of Montreal may, in its discretion, elect to call the notes in whole,
but not in part, on any Observation 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.
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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 Trigger Level on the Valuation Date (a “Trigger Event”),
as described below.
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If the notes are not subject to an Issuer Call and a Trigger Event has occurred, investors will lose
1% of the principal amount 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 such a case, you will receive a cash amount at maturity that is less than the principal amount, together
with the final Contingent Coupon, if payable.
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Investing in the notes is not equivalent to a hypothetical direct investment in the Reference Assets.
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The notes will not be listed on any securities exchange.
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All payments on the notes are subject to the credit risk of Bank of Montreal.
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The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000.
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Our subsidiary, BMO Capital Markets Corp. (“BMOCM”), is the agent for this offering. See
“Supplemental Plan of Distribution (Conflicts of Interest)” below.
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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”).
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Terms of the Notes:1
Pricing Date:
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January 25, 2022
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Valuation Date:
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January 25, 2024
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Settlement Date:
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January 28, 2022
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Maturity Date:
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January 30, 2024
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1Expected. See “Key Terms of the Notes” below
for additional details.
Specific Terms of the Notes:
Callable
Number
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Reference
Assets
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Ticker
Symbol
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Initial
Level
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Contingent
Interest Rate
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Coupon
Barrier
Level
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Trigger
Level
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CUSIP
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Principal
Amount
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Price to
Public1
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Agent’s
Commission1
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Proceeds to
Bank of
Montreal1
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2102
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The shares of iShares® MSCI Emerging Markets ETF
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EEM
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[ ]
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2.563% per quarter (approximately 10.25% per annum)
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[ ], 70.00% of its Initial Level
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[ ], 70.00% of its Initial Level
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06368GH59
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[ ]
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100%
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Up to 1.75%
[ ]
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At least 98.25%
[ ]
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The NASDAQ 100® Index
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NDX
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[ ]
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[ ], 70.00% of its Initial Level
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[ ], 70.00% of its Initial Level
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The EURO STOXX 50® Index
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SX5E
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[ ]
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[ ], 70.00% of its Initial Level
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[ ], 70.00% of its Initial Level
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1 The total “Agent’s Commission” and “Proceeds
to Bank of Montreal” to be specified above will reflect the aggregate amounts at the time Bank of Montreal establishes its hedge
positions on or prior to the Pricing Date, which may be variable and fluctuate depending on market conditions at such times. Certain
dealers who purchased the notes for sale to certain fee-based advisory accounts may forego some or all of their selling concessions,
fees or commissions. The public offering price for investors purchasing the notes in these accounts may be between $982.50 and $1,000
per $1,000 in principal amount. We or one of our affiliates may also pay a referral fee to certain dealers in connection with the distribution
of the notes.
Investing in the notes involves risks, including
those described in the “Selected Risk Considerations” section beginning on page P-5 hereof, the “Additional Risk Factors
Relating to the Notes” section beginning on page PS-6 of the product supplement, and the “Risk Factors” section beginning
on page S-1 of the prospectus supplement and on page 8 of the prospectus.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of these notes or passed upon the accuracy of this document, the product
supplement, the prospectus supplement or the prospectus. Any representation to the contrary is a criminal offense. The notes will be our
unsecured obligations and will not be savings accounts or deposits that are insured by the United States Federal Deposit Insurance Corporation,
the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency or instrumentality or other entity.
On the date hereof, based on the terms set forth
above, the estimated initial value of the notes is $928.30 per $1,000 in principal amount. The estimated initial value of the notes on
the Pricing Date may differ from this value but will not be less than $880.00 per $1,000 in principal amount. However, as discussed in
more detail below, the actual value of the notes at any time will reflect many factors and cannot be predicted with accuracy.
BMO CAPITAL MARKETS
Key Terms of the Notes:
Reference Assets:
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The shares of iShares® MSCI Emerging Markets ETF (ticker symbol "EEM") and the NASDAQ 100® Index (ticker symbol "NDX") and the EURO STOXX 50® Index (ticker symbol "SX5E"). See "The Reference Assets" below for additional information.
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Underlying Index:
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With respect to iShares® MSCI Emerging Markets ETF, MSCI® Emerging Markets IndexSM
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Contingent Coupons:
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If the closing level of each Reference Asset on an 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:
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2.563% per quarter (approximately 10.25% per annum), if payable. Accordingly, each Contingent Coupon, if payable, will equal $25.63 for each $1,000 in principal amount.
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Contingent Coupon Payment
Dates and Observation Dates:1
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Observation Dates
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Contingent Coupon
Payment Dates
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April 25, 2022
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April 28, 2022
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July 25, 2022
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July 28, 2022
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October 25, 2022
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October 28, 2022
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January 25, 2023
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January 30, 2023
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April 25, 2023
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April 28, 2023
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July 25, 2023
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July 28, 2023
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October 25, 2023
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October 30, 2023
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January 25, 2024
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January 30, 2024
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Issuer Call:
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Beginning on April 25, 2022, Bank of Montreal may, in its discretion, elect to call the notes in whole, but not in part, on any Observation 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 Observation Date.
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Payment upon Issuer Call:
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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 Settlement Date:1
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If Bank of Montreal elects to call the notes, the Contingent Coupon Payment Date immediately following the relevant Observation Date.
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Payment at Maturity:
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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]
This amount will be less than the principal amount
of your notes, and may be zero.
You will also receive the final Contingent Coupon, if payable.
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Trigger Event:2
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A Trigger Event will be deemed to occur if the Final Level of any Reference Asset is less than its Trigger Level on the Valuation Date.
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Least Performing Reference Asset:
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The Reference Asset with the lowest Percentage Change.
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Percentage Change:
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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
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With respect to each Reference Asset, the closing level of that Reference Asset on the Pricing Date.
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Coupon Barrier Level:2
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With respect to each Reference Asset, 70.00% of its Initial Level.
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Trigger Level:2
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With respect to each Reference Asset, 70.00% of its Initial Level.
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Final Level:
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With respect to each Reference Asset, the closing level of that Reference Asset on the Valuation Date.
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Pricing Date:1
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January 25, 2022
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Settlement Date:1
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January 28, 2022
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Valuation Date:1
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January 25, 2024
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Maturity Date:1
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January 30, 2024
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Calculation Agent:
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BMOCM
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Selling Agent:
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BMOCM
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1 Expected and subject to the occurrence of a market disruption
event, as described in the accompanying product supplement. If we make any change to the expected Pricing Date and Settlement Date, the
Contingent Coupon Payment Dates (and therefore the Observation Dates and potential Call Settlement Dates), the Valuation Date and Maturity
Date will be changed so that the stated term of the notes remains approximately the same.
2As determined by the calculation agent and subject to adjustment
in certain circumstances. See “General Terms of the Notes — Anti-dilution Adjustments to a Reference Asset that Is an Equity
Security (Including Any ETF)” and “— Adjustments to a Reference Asset that Is an ETF” in the product supplement
with respect to iShares® MSCI Emerging Markets ETF and “General Terms of the Notes — Adjustments to a Reference Asset
that Is an Index” in the product supplement with respect to the NASDAQ 100® Index and the EURO STOXX 50® Index for additional
information.
Additional Terms of the Notes
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):
Product supplement dated June 18, 2021:
https://www.sec.gov/Archives/edgar/data/927971/000121465921006735/d621210424b2.htm
Prospectus supplement dated May 27, 2021:
https://www.sec.gov/Archives/edgar/data/927971/000121465921006002/g526210424b5.htm
Prospectus dated April 20, 2020:
https://www.sec.gov/Archives/edgar/data/927971/000119312520112240/d903160d424b2.htm
Our Central Index Key, or CIK, on the SEC website
is 927971. As used in this document, "we", "us" or "our" refers to Bank of Montreal.
We have filed a registration statement (including
a prospectus) with the SEC for the offering to which this document relates. Before you invest, you should read the prospectus in that
registration statement and the other documents that we have filed with the SEC for more complete information about us and this offering.
You may obtain these documents free of charge by visiting the SEC's website at http://www.sec.gov. Alternatively, we will arrange to send
to you the prospectus (as supplemented by the prospectus supplement and product supplement) if you request it by calling our agent toll-free
at 1-877-369-5412.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Reference 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
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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 Trigger Level, a Trigger Event will occur, and you will
lose 1% of the principal amount for each 1% that the Final Level of the Least Performing Reference Asset is less than its Initial Level.
In such a case, you will receive at maturity a cash payment that is less than the principal amount of the notes and may be zero. Accordingly,
you could lose your entire investment in the notes.
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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 an Observation Date is less than its Coupon Barrier Level, we will
not pay you the Contingent Coupon applicable to that Observation Date. If the closing level of a Reference Asset is less than its Coupon
Barrier Level on each of the 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.
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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.
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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.
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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 Observation Date exceeds or is equal to 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.
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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 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 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.
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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.
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A higher Contingent Interest Rate or lower Trigger 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 Trigger 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 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 Trigger 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 Trigger 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 or all of your initial investment.
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Risks Related to Reference Assets
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Owning the notes is not the same as owning shares of any Reference Asset, making a hypothetical direct investment in any Reference
Asset or owning a security directly linked to the Reference Assets. — The return on your notes will not reflect the return you
would realize if you actually owned shares of any Reference Asset, made a hypothetical direct investment in any Reference Asset or the
underlying securities of any Reference Asset, or owned 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.
In addition, any dividends or other distributions paid on a Reference Asset will not be reflected in the amount payable on the notes.
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You will not have any shareholder rights and will have no right to receive any shares of any Reference Asset (or any company included
in a Reference Asset) at maturity. — Investing in your notes will not make you a holder of any shares of any Reference Asset
or any securities held by or 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 any Reference Asset or such underlying
securities.
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No delivery of shares of the Reference Assets. — The notes will be payable only in cash. You should not invest in the
notes if you seek to have the shares of a Reference Asset delivered to you at maturity.
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Changes that affect an Underlying Index will affect the market value of the notes and the amount you will receive at maturity.
— With respect to a Reference Asset that is an ETF, the policies of the applicable index sponsor concerning the calculation
of the applicable Underlying Index, additions, deletions or substitutions of the components of the applicable Underlying Index and the
manner in which changes affecting those components, such as stock dividends, reorganizations or mergers, may be reflected in the applicable
Reference Asset and, therefore, could affect the share price of the Reference Asset, the amounts payable on the notes and the market value
of the notes prior to maturity. The amount payable on the notes and their market value could also be affected if the applicable index
sponsor changes these policies, for example, by changing the manner in which it calculates the applicable Underlying Index, or if the
applicable index sponsor discontinues or suspends the calculation or publication of the applicable Underlying Index.
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We have no affiliation with any index sponsor and will not be responsible for any index sponsor's actions. — The sponsors
of any Reference Asset or Underlying Index, as applicable, 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 of
any Reference Asset or any Underlying Index.
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Adjustments to a Reference Asset that is an ETF could adversely affect the notes. — The sponsor and advisor of each
ETF Reference Asset is responsible for calculating and maintaining that Reference Asset. The sponsor and advisor of each ETF Reference
Asset can add, delete or substitute the stocks comprising that Reference Asset or make other methodological changes that could change
the share price of the applicable Reference Asset at any time. If one or more of these events occurs, the calculation of the amount payable
at maturity may be adjusted to reflect such event or events. Consequently, any of these actions could adversely affect the amount payable
at maturity and/or the market value of the notes.
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Changes that affect a Reference Asset that is an index could adversely affect the notes. — The policies of the sponsor
of each index Reference Asset with respect to the applicable Reference Asset concerning the calculation of the applicable Reference Asset,
additions, deletions or substitutions of the components of the applicable Reference Asset and the manner in which changes affecting those
components, such as stock dividends, reorganizations or mergers, may be reflected in the applicable Reference Asset and, therefore, could
affect the level of the applicable Reference Asset, the amount payable on the notes at maturity and the market value of the notes prior
to maturity. The amount payable on the notes and their market value could also be affected if an index sponsor changes these policies,
for example, by changing the manner in which it calculates the applicable Reference Asset, or if an index sponsor discontinues or suspends
the calculation or publication of the applicable Reference Asset. If an index sponsor discontinues publication of a Reference Asset, the
calculation agent may select a successor index (and make any corresponding adjustments to the applicable Initial Level, Coupon Barrier
Level and Trigger Level) which will be used as a substitute for the relevant Reference Asset for all purposes with respect to the notes.
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We and our affiliates do not have any affiliation with any applicable investment advisor or any Reference Asset Issuer and are
not responsible for their public disclosure of information. — The investment advisor of each ETF Reference Asset advises the
issuer of the applicable Reference Asset (each, a “Reference Asset Issuer” and, collectively, the “Reference Asset Issuers”)
on various matters, including matters relating to the policies, maintenance and calculation of the applicable Reference Asset. We and
our affiliates are not affiliated with the investment advisor of any Reference Asset or any Reference Asset Issuer in any way and have
no ability to control or predict their actions, including any errors in or discontinuance of disclosure regarding the methods or policies
relating to a Reference Asset. No investment advisor of a Reference Asset nor any Reference Asset Issuer is involved in the offerings
of the notes in any way and has no obligation to consider your interests as an owner of the notes in taking any actions relating to a
Reference Asset that might affect the value of the notes. Neither we nor any of our affiliates has independently verified the adequacy
or accuracy of the information about any investment advisor or any Reference Asset Issuer contained in any public disclosure of information.
You, as an investor in the notes, should make your own investigation into any Reference Asset Issuers.
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The correlation between the performance of an ETF Reference Asset and the performance of the applicable Underlying Index may be
imperfect. — The performance of each ETF Reference Asset is linked principally to the performance of the applicable Underlying
Index. However, because of the potential discrepancies identified in more detail in the product supplement, the return on an ETF Reference
Asset may correlate imperfectly with the return on the applicable Underlying Index.
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Any Reference Asset that is an ETF is subject to management risks. — Any Reference Asset that is an ETF is subject to
management risk, which is the risk that the applicable investment advisor’s investment strategy, the implementation of which is
subject to a number of constraints, may not produce the intended results. For example, the applicable investment advisor may invest a
portion of a Reference Asset Issuer’s assets in securities not included in the relevant industry or sector but which the applicable
investment advisor believes will help the applicable Reference Asset track the relevant industry or sector.
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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 held by or 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.
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Risks Relating to iShares® MSCI Emerging Markets ETF
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The iShares® MSCI Emerging Markets ETF, and therefore an investment in the notes, is subject to foreign currency exchange rate
risk. — The share price of the iShares® MSCI Emerging Markets ETF will fluctuate based upon its net asset value, which will
in turn depend in part upon changes in the value of the currencies in which the stocks held by the iShares® MSCI Emerging Markets
ETF are traded. Accordingly, investors in the notes will be exposed to currency exchange rate risk with respect to each of these currencies.
An investor’s net exposure will depend on the extent to which these currencies strengthen or weaken against the U.S. dollar. If
the dollar strengthens against these currencies, the net asset value of the iShares® MSCI Emerging Markets ETF will be adversely affected
and the price of its shares may decrease.
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The iShares® MSCI Emerging Markets ETF, and therefore an investment in the notes, is subject to risks associated with foreign
securities markets. — The Underlying Index of the iShares® MSCI Emerging Markets ETF 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 Underlying Index of the iShares® MSCI Emerging Markets ETF 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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The iShares® MSCI Emerging Markets ETF, and therefore an investment in the notes, is subject to risks associated with emerging
markets. — The Underlying Index of the iShares® MSCI Emerging Markets ETF consists of stocks issued by companies in countries
with emerging markets. Countries with emerging markets may have relatively unstable governments, may present the risks of nationalization
of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property
rights than more developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly
vulnerable to changes in local or global trade conditions (due to economic dependence upon commodity prices and international trade),
and may suffer from extreme and volatile debt burdens, currency devaluations or inflation rates. Local securities markets may trade a
small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation
of holdings difficult or impossible at times.
The shares tracked by the Underlying Index of the iShares® MSCI Emerging Markets ETF may be listed on a foreign stock exchange. A
foreign stock exchange may impose trading limitations intended to prevent extreme fluctuations in individual security prices and may suspend
trading in certain circumstances. These actions could limit variations in the levels of the of the iShares® MSCI Emerging Markets
ETF, which could, in turn, adversely affect the value of, and amount payable on, the notes.
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Risks Relating to the NASDAQ 100® Index
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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 EURO STOXX 50® Index
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An investment in the notes is subject to risks associated with foreign securities markets. — The EURO STOXX 50®
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 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 SEC, 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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An investment in the notes is subject to foreign currency exchange rate risk. — The value of the EURO STOXX 50® Index
will fluctuate based in part upon changes in the value of the currencies in which the relevant stocks are traded. Accordingly, investors
in the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the stocks represented by
the EURO STOXX 50® Index are traded. An investor’s net exposure will depend on the extent to which these currencies strengthen
or weaken against the U.S. dollar.
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General Risk Factors
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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.
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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 shares of any Reference Asset that is an ETF or the securities held by or 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.
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Our initial estimated value of the notes will be 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 will exceed 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. The
initial estimated value of the notes may be as low as the amount indicated on the cover page hereof.
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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, and our estimated value as determined on the
Pricing Date will be, 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.
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The terms of the notes are not determined by reference to the credit spreads for our conventional fixed-rate debt. —
To determine the terms of the notes, we will use an internal funding rate that represents a discount from the credit spreads for our conventional
fixed-rate debt. As a result, the terms of the notes are less favorable to you than if we had used a higher funding rate.
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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.
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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.
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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 any Reference Assets that are ETFs or securities held by or included in the Reference
Assets, futures or options relating to the Reference Assets or securities held by or included in the Reference Assets or other derivative
instruments with return liked or related to changes in the performance on the Reference Assets or securities held by or included in the
Reference Assets. We or our affiliates may also trade in any Reference Assets that are ETFS, such securities, 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.
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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.
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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.
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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 Trigger Level of $70.00 (70.00% 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
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Hypothetical Final Level of the
Least Performing Reference Asset
Expressed as a Percentage of its
Initial Level
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Payment at Maturity (Excluding
Coupons)
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$200.00
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200.00%
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$1,000.00
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$180.00
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180.00%
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$1,000.00
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$160.00
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160.00%
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$1,000.00
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$140.00
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140.00%
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$1,000.00
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$120.00
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120.00%
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$1,000.00
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$100.00
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100.00%
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$1,000.00
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$90.00
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90.00%
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$1,000.00
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$80.00
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80.00%
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$1,000.00
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$70.00
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70.00%
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$1,000.00
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$69.99
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69.99%
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$699.90
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$60.00
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60.00%
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$600.00
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$40.00
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40.00%
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$400.00
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$20.00
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20.00%
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$200.00
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$0.00
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0.00%
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$0.00
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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. However, the U.S. federal income tax consequences
of your investment in the notes are uncertain and the Internal Revenue Service could assert that the notes should be taxed in a manner
that is different from that described in the preceding sentence. Please see the discussion (including the opinion of our counsel Mayer
Brown LLP) in the product supplement dated June 18, 2021 under “Supplemental Tax Considerations—Supplemental U.S. Federal
Income Tax Considerations,” which applies to the notes.
Supplemental Plan of Distribution (Conflicts of Interest)
BMOCM will purchase the notes from us at a purchase
price reflecting the commission set forth on the cover hereof. BMOCM has informed us that, as part of its distribution of the notes, it
will reoffer the notes to other dealers who will sell them. Each such dealer, or each additional dealer engaged by a dealer to whom BMOCM
reoffers the notes, will receive a commission from BMOCM, which will not exceed the commission set forth on the cover page. We or one
of our affiliates may also pay a referral fee to certain dealers in connection with the distribution of the notes.
Certain dealers who purchase the notes for sale
to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions. The public offering price
for investors purchasing the notes in these accounts may be less than 100% of the principal amount, as set forth on the cover page of
this document. Investors that hold their notes in these accounts may be charged fees by the investment advisor or manager of that account
based on the amount of assets held in those accounts, including the notes.
We will deliver the notes on a date that is greater
than two business days 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 two business days, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than two business days prior to the issue date will
be required to specify alternative settlement arrangements to prevent a failed settlement.
We own, directly or indirectly, all of the outstanding
equity securities of BMOCM, the agent for this offering. In accordance with FINRA Rule 5121, BMOCM may not make sales in this offering
to any of its discretionary accounts without the prior written approval of the customer.
We reserve the right to withdraw, cancel or modify
the offering of the notes and to reject orders in whole or in part. You may cancel any order for the notes prior to its acceptance.
You should not construe the offering of the notes
as a recommendation of the merits of acquiring an investment linked to the Reference 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 the final pricing supplement relating
to the notes in the initial sale of the notes. In addition, BMOCM or another of our affiliates may use the final pricing supplement in
market-making transactions in any notes after their initial sale. Unless BMOCM or we inform you otherwise in the confirmation of sale,
the final pricing supplement is being used by BMOCM in a market-making transaction.
For a period of approximately three months following
issuance of the notes, the price, if any, at which we or our affiliates would be willing to buy the notes from investors, and the value
that BMOCM may also publish for the notes through one or more financial information vendors and which could be indicated for the notes
on any brokerage account statements, will reflect a temporary upward adjustment from our estimated value of the notes that would otherwise
be determined and applicable at that time. This temporary upward adjustment represents a portion of (a) the hedging profit that we or
our affiliates expect to realize over the term of the notes and (b) any underwriting discount and the selling concessions paid in connection
with this offering. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
period.
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. The notes may not be distributed
to retail investors in Switzerland. This pricing supplement shall not be dispatched, copied to or otherwise made available to any person
in Switzerland, and the notes may not be offered for sale to any person in Switzerland, except in accordance with Swiss law.
The notes are not offered, sold or advertised, directly
or indirectly, in, into or from Switzerland on the basis of a public offering and will not be listed on the SIX Swiss Exchange or any
other offering or regulated trading facility in Switzerland. Accordingly, neither this pricing supplement or any other marketing material
constitute a prospectus as defined in article 652a or article 1156 of the Swiss Code of Obligations or a listing prospectus as defined
in article 32 of the Listing Rules of the SIX Swiss Exchange or any other regulated trading facility in Switzerland. Any sales or resales
of the notes may only be undertaken on a private basis to selected individual investors in compliance with Swiss law. By accepting this
pricing supplement or by purchasing the notes, investors are deemed to have acknowledged and agreed to abide by these restrictions.
Additional Information Relating to the Estimated Initial Value of
the Notes
Our estimated initial value of the notes on the
date hereof, and that will be set forth on the cover page of the final pricing supplement relating to the notes, equals the sum of the
values of the following hypothetical components:
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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 will be 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
BMOCM accepts any responsibility for the calculation, maintenance or publication of and Reference Asset or any successor.
Information provided to or filed with the SEC under
the Exchange Act and the Investment Company Act of 1940 relating to any Reference Asset that is an ETF may be obtained through the SEC’s
website at http://www.sec.gov.
We encourage you to review recent levels of the
Reference Assets prior to making an investment decision with respect to the notes.
iShares® MSCI Emerging Markets ETF
The iShares® MSCI Emerging Markets ETF is an
investment portfolio maintained and managed by iShares, Inc. and advised by BlackRock Fund Advisors. iShares is a registered investment
company that consists of numerous separate investment portfolios, including the iShares® MSCI Emerging Markets ETF. The iShares®
MSCI Emerging Markets ETF seeks investment results that correspond generally to the price and yield performance, before fees and expenses,
of the MSCI® Emerging Markets Index℠. Information about the iShares® MSCI Emerging
Markets ETF filed with the SEC can be found by reference to its SEC file numbers: 033-97598 and 811-09102 or its CIK Code: 0000930667.
Shares of the iShares® MSCI Emerging Markets ETF are listed on the NYSE Arca under ticker symbol "EEM."
The MSCI Emerging Markets Index
All information in this document regarding the MSCI
Emerging Markets Index, including, without limitation, its make-up, method of calculation and changes in its components, is derived from
publicly available information. Such information reflects the policies of, and is subject to change by, MSCI Inc. (“MSCI”).
Neither we nor any of our affiliates has undertaken any independent review or due diligence of such information. MSCI owns the copyright
and all other rights to the MSCI Emerging Markets Index. MSCI has no obligation to continue to publish, and may discontinue publication
of, the MSCI Emerging Markets Index.
The MSCI Emerging Markets Index is published by
MSCI and is intended to capture the large and mid cap representation across selected emerging markets countries and to capture approximately
85% of the free-float adjusted market capitalization in each selected emerging markets country. The MSCI Emerging Markets Index currently
consists of the following 26 emerging market country indices: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece,
Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan,
Thailand, Turkey and United Arab Emirates. The MSCI Emerging Markets Index has a base date of December 31, 1987 and an initial value of
100.
MSCI Global Investable Market Indices
The MSCI Emerging Markets Index is an MSCI Global
Investable Market Index
Constructing the MSCI Global Investable Market
Indices.
MSCI undertakes an index construction process, which
involves:
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defining the equity universe;
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determining the market investable equity universe for each market;
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determining market capitalization size segments for each market;
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applying index continuity rules for the MSCI Standard Index;
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creating style segments within each size segment within each market; and
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classifying securities under the Global Industry Classification Standard (the “GICS”).
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Defining the Equity Universe.
The equity universe is defined by:
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Identifying Eligible Equity Securities: the equity universe initially looks at securities listed in any of the countries in the MSCI
Global Index Series, which will be classified as either Developed Markets (“DM”) or Emerging Markets (“EM”). All
listed equity securities, or listed securities that exhibit characteristics of equity securities, except mutual funds, exchange traded
funds, equity derivatives, limited partnerships, and most investment trusts, are eligible for inclusion in the equity universe. Real Estate
Investment Trusts (“REITs”) in some countries and certain income trusts in Canada are also eligible for inclusion.
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Classifying Eligible Securities into the Appropriate Country: each company and its securities (i.e., share classes) are classified
in only one country.
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Determining the Market Investable Equity Universes.
A market investable equity universe for a market
is derived by (i) identifying eligible listings for each security in the equity universe; and (ii) applying investability screens to individual
companies and securities in the equity universe that are classified in that market. A market is generally equivalent to a single country.
A security may have a listing in the country where
it is classified (a “local listing”) and/or in a different country (a “foreign listing”). A security may be represented
by either a local listing or a foreign listing (including a depositary receipt) in the global investable equity universe. A security may
be represented by a foreign listing only if the security is classified in a country that meets the foreign listing materiality requirement
(as described below), and the security’s foreign listing is traded on an eligible stock exchange of a developed market country if
the security is classified in a developed market country or, if the security is classified in an emerging market country, an eligible
stock exchange of a developed market country or an emerging market country.
In order for a country to meet the foreign listing
materiality requirement, MSCI determines all securities represented by a foreign listing that would be included in the country’s
MSCI Country Investable Market Index if foreign listings were eligible from that country. The aggregate free-float adjusted market capitalization
for all such securities should represent at least (i) 5% of the free float-adjusted market capitalization of the relevant MSCI Country
Investable Market Index and (ii) 0.05% of the free-float adjusted market capitalization of the MSCI ACWI Investable Market Index. If a
country does not meet the foreign listing materiality requirement, then securities in that country may not be represented by a foreign
listing in the global investable equity universe.
The investability screens used to determine the
investable equity universe in each market are as follows:
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Equity Universe Minimum Size Requirement: this investability screen is applied at the company level. In order to be included
in a market investable equity universe, a company must have the required minimum full market capitalization.
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Equity Universe Minimum Free Float-Adjusted Market Capitalization Requirement: this investability screen is applied at the
individual security level. To be eligible for inclusion in a market investable equity universe, a security must have a free float-adjusted
market capitalization equal to or higher than 50% of the equity universe minimum size requirement.
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DM and EM Minimum Liquidity Requirement: this investability screen is applied at the individual security level. To be eligible
for inclusion in a market investable equity universe, a security must have at least one eligible listing with adequate liquidity. The
twelve-month and three-month Annual Traded Value Ratio (“ATVR”), a measure that screens out extreme daily trading volumes
and takes into account the free float-adjusted market capitalization size of securities, together with the three-month frequency of trading
are used to measure liquidity A minimum liquidity level of 20% of three- and twelve-month ATVR and 90% of three-month frequency of trading
over the last four consecutive quarters are required for inclusion of a security in a market investable equity universe of a DM, and a
minimum liquidity level of 15% of three- and twelve-month ATVR and 80% of three-month frequency of trading over the last four consecutive
quarters are required for inclusion of a security in a market investable equity universe of an EM.
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Global Minimum Foreign Inclusion Factor Requirement: this investability screen is applied at the individual security level.
To be eligible for inclusion in a market investable equity universe, a security’s Foreign Inclusion Factor (“FIF”) must
reach a certain threshold. The FIF of a security is defined as the proportion of shares outstanding that is available for purchase in
the public equity markets by international investors. This proportion accounts for the available free float of and/or the foreign ownership
limits applicable to a specific security (or company). In general, a security must have an FIF equal to or larger than 0.15 to be eligible
for inclusion in a market investable equity universe.
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Minimum Length of Trading Requirement: this investability screen is applied at the individual security level. For an initial
public offering (“IPO”) to be eligible for inclusion in a market investable equity universe, the new issue must have started
trading at least three months before the implementation of a semi−annual index review (as described below). This requirement is
applicable to small new issues in all markets. Large IPOs are not subject to the minimum length of trading requirement and may be included
in a market investable equity universe and the Standard Index outside of a Quarterly or Semi−Annual Index Review.
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Minimum Foreign Room Requirement: this investability screen is applied at the individual security level. For a security that
is subject to a foreign ownership limit to be eligible for inclusion in a market investable equity universe, the proportion of shares
still available to foreign investors relative to the maximum allowed (referred to as “foreign room”) must be at least 15%.This
investability screen is applied at the individual security level. For a security that is subject to a foreign ownership limit to be eligible
for inclusion in a market investable equity universe, the proportion of shares still available to foreign investors relative to the maximum
allowed (referred to as “foreign room”) must be at least 15%.
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Defining Market Capitalization Size Segments
for Each Market. Once a market investable equity universe is defined, it is segmented into the following size−based indices:
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Investable Market Index (Large + Mid + Small);
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Standard Index (Large + Mid);
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Creating the size segment indices in each market involves the following steps:
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defining the market coverage target range for each size segment;
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determining the global minimum size range for each size segment;
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determining the market size−segment cutoffs and associated segment number of companies;
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assigning companies to the size segments; and
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applying final size−segment investability requirements.
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Index Continuity Rules for the Standard Indices.
In order to achieve index continuity, as well as
to provide some basic level of diversification within a market index, and notwithstanding the effect of other index construction rules
described in this section, a minimum number of five constituents will be maintained for a DM Standard Index and a minimum number of three
constituents will be maintained for an EM Standard Index.
Classifying Securities under the Global Industry
Classification Standard.
All securities in the global investable equity universe
are assigned to the industry that best describes their business activities. To this end, MSCI has designed, in conjunction with S&P
Dow Jones Indices, the GICS. The GICS currently consists of 11 Sectors, 24 Industry Groups, 69 Industries and 158 Sub-Industries. Under
the GICS, each company is assigned to one Sub−Industry according to its principal business activity. Therefore, a company can belong
to only one grouping at each of the four levels of the GICS.
Calculation Methodology for the MSCI® Emerging
Markets Index℠.
The performance of the underlying index is a free-float
weighted average of the U.S. dollar values of its component securities.
Prices used to calculate the component securities
are the official exchange closing prices or prices accepted as such in the relevant market. In the case of a market closure, or if a security
does not trade on a specific day or during a specific period, MSCI carries forward the previous day’s price (or latest available
closing price). In the event of a market outage resulting in any component security price to be unavailable, MSCI will generally use the
last reported price for such component security for the purpose of performance calculation unless MSCI determines that another price is
more appropriate based on the circumstances. Closing prices are converted into U.S. dollars, as applicable, using the closing exchange
rates calculated by WM/Reuters at 4:00PM London Time.
Index Maintenance
The MSCI Global Investable Market Indices are maintained
with the objective of reflecting the evolution of the underlying equity markets and segments on a timely basis, while seeking to achieve
index continuity, continuous investability of constituents and replicability of the indices, and index stability and low index turnover.
In particular, index maintenance involves:
Semi−Annual Index Reviews (“SAIRs”) in May
and November of the Size Segment and Global Value and Growth Indices which include:
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updating the indices on the basis of a fully refreshed equity universe;
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taking buffer rules into consideration for migration of securities across size and style segments; and
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updating FIFs and Number of Shares (“NOS”).
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Quarterly Index Reviews in February and August of the Size
Segment Indices aimed at:
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including significant new eligible securities (such as IPOs that were not eligible for earlier inclusion) in the index;
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allowing for significant moves of companies within the Size Segment Indices, using wider buffers than in the SAIR; and
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reflecting the impact of significant market events on FIFs and updating NOS.
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Ongoing Event−Related Changes: changes of this type
are generally implemented in the indices as they occur. Significantly large IPOs are included in the indices after the close of the company’s
tenth day of trading.
MSCI’s semi-annual index review is designed
to systematically reassess the component securities of the index. During each semi-annual index review, the universe of component securities
is updated and the global minimum size range for the index is recalculated.Then, the following index maintenance activities, among others,
are undertaken: the eligible equity securities are reviewed, minimum size requirements are reevaluated, and size-segment requirements
are reassessed. The results of the semi-annual index reviews are announced at least two weeks in advance of their effective implementation
date as of the close of the last business day of May and November.
MSCI’s quarterly index review process is designed
to ensure that the country indices continue to be an accurate reflection of evolving equity markets. This goal is achieved by timely reflecting
significant market driven changes that were not captured in each index at the time of their actual occurrence and that should not wait
until the semi-annual index review due to their importance. These quarterly index reviews may result in additions and deletions of component
securities from a country index (or a security being removed from one country listing and represented by a different country listing)
and changes in FIFs and in NOS.
These guidelines and the policies implementing the
guidelines are the responsibility of, and, ultimately, subject to adjustment by, MSCI.
Neither we nor any of our affiliates, including
BMOCM, accepts any responsibility for the calculation, maintenance, or publication of, or for any error, omission, or disruption in the
MSCI® Emerging Markets Index℠, or any successor to the index. MSCI does not guarantee the
accuracy or the completeness of the MSCI® Emerging Markets Index, or any data included in the index. MSCI assumes no liability for
any errors, omissions, or disruption in the calculation and dissemination of the MSCI® Emerging Markets Index. MSCI disclaims all
responsibility for any errors or omissions in the calculation and dissemination of the MSCI® Emerging Markets Index, or the manner
in which the index is applied in determining the amount payable on the notes at maturity.
The NASDAQ 100® Index
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 OMX Group, Inc. publishes the NASDAQ 100® Index. Current information
regarding the market value of the NASDAQ 100® Index is available from NASDAQ OMX Group, Inc. (“NASDAQ OMX”) 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:
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the security’s U.S. listing must be exclusively on the NASDAQ Global Select Market or the NASDAQ Global Market;
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the security must be issued by a non-financial company;
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the security may not be issued by an issuer currently in bankruptcy proceedings;
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the security must generally be a common stock, ordinary share, American Depositary Receipt, 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);
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the security must have a three-month average daily trading volume of at least 200,000 shares;
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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;
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the issuer of the security may not have entered into a definitive agreement or other arrangement which would likely result in the
security no longer being eligible;
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the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn; and
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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).
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Continued Eligibility Criteria
In addition, to be eligible for continued inclusion
in the NASDAQ 100® Index the following criteria apply:
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the security’s U.S. listing must be exclusively on the NASDAQ Global Select Market or the NASDAQ Global Market;
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the security must be issued by a non-financial company;
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the security may not be issued by an issuer currently in bankruptcy proceedings;
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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;
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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;
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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;
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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
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the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn.
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These eligibility criteria may be revised from time to time by NASDAQ
OMX 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.
Index Maintenance
In addition to the Ranking Review, the securities
in the NASDAQ 100® Index are monitored every day by NASDAQ OMX 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 OMX 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 OMX 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 OMX’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 OMX 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 OMX 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 OMX 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 OMX 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 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.
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