Registration Statement No.333-237342
Filed Pursuant to Rule 424(b)(2)
Pricing Supplement dated January 25, 2022 to the Prospectus dated
April 20, 2020,
the Prospectus Supplement dated May 27, 2021 and the Product Supplement dated June 18, 2021
US$168,000
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:
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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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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$48.22
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2.563% per quarter (approximately 10.25% per annum)
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$33.75, 70.00% of its Initial Level
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$33.75, 70.00% of its Initial Level
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06368GH59
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$168,000.00
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100%
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1.75%
$2,940.00
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98.25%
$165,060.00
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The NASDAQ 100® Index
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NDX
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14,149.12
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9,904.38, 70.00% of its Initial Level
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9,904.38, 70.00% of its Initial Level
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The EURO STOXX 50® Index
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SX5E
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4,078.26
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2,854.78, 70.00% of its Initial Level
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2,854.78, 70.00% of its Initial Level
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1 The total “Agent’s Commission” and “Proceeds
to Bank of Montreal” specified above reflect the aggregate amounts at the time Bank of Montreal established its hedge positions
on or prior to the Pricing Date, which may have been variable and fluctuated depending on market conditions at such times. Certain dealers
who purchased the notes for sale to certain fee-based advisory accounts may have foregone some or all of their selling concessions, fees
or commissions. The public offering price for investors purchasing the notes in these accounts was between $982.50 and $1,000 per $1,000
in principal amount.
* Rounded to two decimal places.
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 $937.59 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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As set forth on the cover hereof.
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Coupon Barrier Level:2
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$33.75 with respect to EEM, 9,904.38 with respect to NDX, and 2,854.78 with respect to SX5E, each of which is 70.00% of the respective Initial Level (rounded to two decimal places).
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Trigger Level:2
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$33.75 with respect to EEM, 9,904.38 with respect to NDX, and 2,854.78 with respect to SX5E, each of which is 70.00% of the respective Initial Level (rounded to two decimal places).
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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:
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January 25, 2022
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Settlement Date:
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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 Subject to the occurrence of a market disruption event, as described
in the accompanying product supplement.
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.
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 is lower than the price to public. — Our initial estimated value of the notes
is only an estimate, and is based on a number of factors. The price to public of the notes exceeds our initial estimated value, because
costs associated with offering, structuring and hedging the notes are included in the price to public, but are not included in the estimated
value. These costs include any underwriting discount and selling concessions, the profits that we and our affiliates expect to realize
for assuming the risks in hedging our obligations under the notes and the estimated cost of hedging these obligations.
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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 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 were not determined by reference to the credit spreads for our conventional fixed-rate debt. —
To determine the terms of the notes, we used an internal funding rate that represents a discount from the credit spreads for our conventional
fixed-rate debt. As a result, the terms of the notes are less favorable to you than if we had used a higher funding rate.
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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.
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.
You should not construe the offering of the notes as a recommendation
of the merits of acquiring an investment linked to the Reference Assets or as to the suitability of an investment in the notes.
BMOCM may, but is not obligated to, make a market in the notes.
BMOCM will determine any secondary market prices that it is prepared to offer in its sole discretion.
We may use this pricing supplement in the initial sale of the
notes. In addition, BMOCM or another of our affiliates may use this pricing supplement in market-making transactions in any notes after
their initial sale. Unless BMOCM or we inform you otherwise in the confirmation of sale, this pricing supplement is being used by BMOCM
in a market-making transaction.
For a period of approximately three months following issuance
of the notes, the price, if any, at which we or our affiliates would be willing to buy the notes from investors, and the value that BMOCM
may also publish for the notes through one or more financial information vendors and which could be indicated for the notes on any brokerage
account statements, will reflect a temporary upward adjustment from our estimated value of the notes that would otherwise be determined
and applicable at that time. This temporary upward adjustment represents a portion of (a) the hedging profit that we or our affiliates
expect to realize over the term of the notes and (b) any underwriting discount and the selling concessions paid in connection with this
offering. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month period.
The notes and the related offer to purchase notes and sale of
notes under the terms and conditions provided herein do not constitute a public offering in any non-U.S. jurisdiction, and are being made
available only to individually identified investors pursuant to a private offering as permitted in the relevant jurisdiction. The notes
are not, and will not be, registered with any securities exchange or registry located outside of the United States and have not been registered
with any non-U.S. securities or banking regulatory authority. The contents of this document have not been reviewed or approved by any
non-U.S. securities or banking regulatory authority. Any person who wishes to acquire the notes from outside the United States should
seek the advice or legal counsel as to the relevant requirements to acquire these notes.
British Virgin Islands. The notes have not been, and will
not be, registered under the laws and regulations of the British Virgin Islands, nor has any regulatory authority in the British Virgin
Islands passed comment upon or approved the accuracy or adequacy of this document. This pricing supplement and the related documents shall
not constitute an offer, invitation or solicitation to any member of the public in the British Virgin Islands for the purposes of the
Securities and Investment Business Act, 2010, of the British Virgin Islands.
Cayman Islands. Pursuant to the Companies Law (as amended)
of the Cayman Islands, no invitation may be made to the public in the Cayman Islands to subscribe for the notes by or on behalf of the
issuer unless at the time of such invitation the issuer is listed on the Cayman Islands Stock Exchange. The issuer is not presently listed
on the Cayman Islands Stock Exchange and, accordingly, no invitation to the public in the Cayman Islands is to be made by the issuer (or
by any dealer on its behalf). No such invitation is made to the public in the Cayman Islands hereby.
Dominican Republic. Nothing in this pricing supplement
constitutes an offer of securities for sale in the Dominican Republic. The notes have not been, and will not be, registered with the Superintendence
of Securities Market of the Dominican Republic (Superintendencia del Mercado de Valores), under Dominican Securities Market Law No. 249-17
(“Securities Law 249-17”), and the notes may not be offered or sold within the Dominican Republic or to, or for the account
or benefit of, Dominican persons (as defined under Securities Law 249-17 and its regulations). Failure to comply with these directives
may result in a violation of Securities Law 249-17 and its regulations.
Israel. This pricing supplement is intended solely for
investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended. A prospectus has not been prepared or filed,
and will not be prepared or filed, in Israel relating to the notes offered hereunder. The notes cannot be resold in Israel other than
to investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended.
No action will be taken in Israel that would permit an offering
of the notes or the distribution of any offering document or any other material to the public in Israel. In particular, no offering document
or other material has been reviewed or approved by the Israel Securities Authority. Any material provided to an offeree in Israel may
not be reproduced or used for any other purpose, nor be furnished to any other person other than those to whom copies have been provided
directly by us or the selling agents.
Nothing in this pricing supplement or any other offering material
relating to the notes, should be considered as the rendering of a recommendation or advice, including investment advice or investment
marketing under the Law For Regulation of Investment Advice, Investment Marketing and Investment Portfolio Management, 1995, to purchase
any note. The purchase of any note will be based on an investor’s own understanding, for the investor’s own benefit and for
the investor’s own account and not with the aim or intention of distributing or offering to other parties. In purchasing the notes,
each investor declares that it has the knowledge, expertise and experience in financial and business matters so as to be capable of evaluating
the risks and merits of an investment in the notes, without relying on any of the materials provided.
Mexico. The notes have not been registered
with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or
sold publicly in Mexico. This pricing supplement and the related documents may not be publicly distributed in Mexico. The notes
may only be offered in a private offering pursuant to Article 8 of the Securities Market Law.
Switzerland. 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 that
is set forth on the cover hereof, equals the sum of the values of the following hypothetical components:
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a fixed-income debt component with the same tenor as the notes, valued using our internal funding rate for structured notes; and
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one or more derivative transactions relating to the economic terms of the notes.
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The internal funding rate used in the determination of the initial
estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The value of these derivative
transactions is derived from our internal pricing models. These models are based on factors such as the traded market prices of comparable
derivative instruments and on other inputs, which include volatility, dividend rates, interest rates and other factors. As a result, the
estimated initial value of the notes on the Pricing Date was determined based on the market conditions on the Pricing Date.
The Reference Assets
All disclosures contained in this pricing supplement regarding
the Reference Assets, including, without limitation, their make-up, method of calculation, and changes in their components and their historical
closing levels, have been derived from publicly available information prepared by the applicable sponsors. The information reflects the
policies of, and is subject to change by, the sponsors. The sponsors own the copyrights and all rights to the Reference Assets. The sponsors
are under no obligation to continue to publish, and may discontinue publication of, the Reference Assets. Neither we nor 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.
Validity of the Notes
In the opinion of Osler, Hoskin & Harcourt LLP, the issue
and sale of the notes has been duly authorized by all necessary corporate action of the Bank in conformity with the Senior Indenture,
and when this pricing supplement has been attached to, and duly notated on, the master note that represents the notes, the notes will
have been validly executed and issued and, to the extent validity of the notes is a matter governed by the laws of the Province of Ontario,
or the laws of Canada applicable therein, and will be valid obligations of the Bank, subject to the following limitations (i) the enforceability
of the Senior Indenture may be limited by the Canada Deposit Insurance Corporation Act (Canada), the Winding-up and Restructuring Act
(Canada) and bankruptcy, insolvency, reorganization, receivership, moratorium, arrangement or winding-up laws or other similar laws affecting
the enforcement of creditors’ rights generally; (ii) the enforceability of the Senior Indenture may be limited by equitable principles,
including the principle that equitable remedies such as specific performance and injunction may only be granted in the discretion of a
court of competent jurisdiction; (iii) pursuant to the Currency Act (Canada) a judgment by a Canadian court must be awarded in Canadian
currency and that such judgment may be based on a rate of exchange in existence on a day other than the day of payment; and (iv) the enforceability
of the Senior Indenture will be subject to the limitations contained in the Limitations Act, 2002 (Ontario), and such counsel expresses
no opinion as to whether a court may find any provision of the Senior Debt Indenture to be unenforceable as an attempt to vary or exclude
a limitation period under that Act. This opinion is given as of the date hereof and is limited to the laws of the Provinces of Ontario
and the federal laws of Canada applicable thereto. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the Indenture and the genuineness of signatures and certain factual matters, all as stated in
the letter of such counsel dated May 27, 2021, which has been filed as Exhibit 5.3 to Bank of Montreal’s Form 6-K filed with the
SEC and dated May 27, 2021.
In the opinion of Mayer Brown LLP, when this pricing supplement
has been attached to, and duly notated on, the master note that represents the notes, and the notes have been issued and sold as contemplated
herein, the notes will be valid, binding and enforceable obligations of Bank of Montreal, entitled to the benefits of the Senior Indenture,
subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness
and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of
bad faith). This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this opinion involves
matters governed by the laws of the Province of Ontario, or the laws of Canada applicable therein, Mayer Brown LLP has assumed, without
independent inquiry or investigation, the validity of the matters opined on by Osler, Hoskin & Harcourt LLP, Canadian legal counsel
for the issuer, in its opinion expressed above. This opinion is subject to customary assumptions about the trustee’s authorization,
execution and delivery of the Senior Indenture and the genuineness of signatures and to such counsel’s reliance on the Bank of Montreal
and other sources as to certain factual matters, all as stated in the legal opinion of Mayer Brown LLP dated May 27, 2021, which has been
filed with the SEC as an exhibit to a report on Form 6-K by the Bank of Montreal on May 27, 2021.
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