The securities have complex features and
investing in the securities will involve risks not associated with an investment in conventional debt securities. You should carefully
consider the risk factors set forth below as well as the other information contained in this pricing supplement and the accompanying
prospectus supplement and prospectus, including the documents they incorporate by reference. As described in more detail below,
the value of the securities may vary considerably before the stated maturity date due to events that are difficult to predict and
are beyond our control. You should reach an investment decision only after you have carefully considered with your advisors the
appropriateness of an investment in the securities in light of your particular circumstances.
Risks Relating To The Terms And Structure
Of The Securities
If The Securities Are Not Automatically
Called Prior To Stated Maturity, You May Lose Some Or All Of The Original Offering Price Of Your Securities At Stated Maturity.
We will not repay you a fixed amount on
the securities at stated maturity. If the securities are not automatically called prior to stated maturity, you will receive a
maturity payment amount that will be equal to or less than the original offering price per security, depending on the ending level
of the lowest performing Index on the final calculation day.
If the ending level of the lowest performing
Index on the final calculation day is less than its downside threshold level, the maturity payment amount will be reduced by an
amount equal to the decline in the level of the lowest performing Index from its starting level (expressed as a percentage of its
starting level). The downside threshold level for each Index is 60% of its starting level. For example, if the securities are not
automatically called and the lowest performing Index on the final calculation day has declined by 40.1% from its starting level
to its ending level, you will not receive any benefit of the contingent downside protection feature and you will lose 40.1% of
the original offering price per security. As a result, you will not receive any protection if the level of the lowest performing
Index on the final calculation day declines significantly and you may lose some, and possibly all, of the original offering price
per security at stated maturity, even if the level of the lowest performing Index is greater than or equal to its starting level
or its downside threshold level at certain times during the term of the securities.
Even if the ending level of the lowest performing
Index on the final calculation day is greater than its downside threshold level, the maturity payment amount will not exceed the
original offering price, and your yield on the securities, taking into account any contingent coupon payments you may have received
during the term of the securities, may be less than the yield you would earn if you bought a traditional interest-bearing debt
security of Bank of Montreal or another issuer with a similar credit rating.
The Securities Do Not Provide For Fixed Payments Of
Interest And You May Receive No Coupon Payments On One Or More Quarterly Contingent Coupon Payment Dates, Or Even Throughout The
Entire Term Of The Securities.
On each quarterly contingent coupon payment
date you will receive a contingent coupon payment if, and only if, the closing level of the lowest performing Index on the
related calculation day is greater than or equal to its coupon threshold level. If the closing level of the lowest performing Index
on any calculation day is less than its coupon threshold level, you will not receive any contingent coupon payment on the related
contingent coupon payment date, and if the closing level of the lowest performing Index is less than its coupon threshold level
on each calculation day over the term of the securities, you will not receive any contingent coupon payments over the entire term
of the securities.
The Securities Are Subject To The Full Risks Of Each
Index And Will Be Negatively Affected If Any Index Performs Poorly, Even If The Other Indices Perform Favorably.
You are subject to the full risks of each Index. If any
Index performs poorly, you will be negatively affected, even if the other Indices perform favorably. The securities are not linked
to a basket composed of the Indices, where the better performance of one or more Indices could offset the poor performance of the
others. Instead, you are subject to the full risks of whichever Index is the lowest performing Index on each calculation day. As
a result, the securities are riskier than an alternative investment linked to only one of the Indices or linked to a basket composed
of each Index. You should not invest in the securities unless you understand and are willing to accept the full downside risks
of each Index.
Your Return On The Securities Will Depend Solely On
The Performance Of The Index That Is The Lowest Performing Index On Each Calculation Day, And You Will Not Benefit In Any Way From
The Performance Of The Better Performing Indices.
Your return on the securities will depend solely on the performance
of the Index that is the lowest performing Index on each calculation day. Although each Index must close above its respective coupon threshold
level on the relevant calculation day in order for you to receive a quarterly contingent coupon payment and close above its respective
downside threshold level on the final calculation day in order for you to be repaid the original offering price of your securities at
maturity, you will not benefit in any way from the performance of the better performing Indices. The securities may underperform an alternative
investment linked to a basket composed of the Indices, since in such case the performance of the better performing Indices would be blended
with the performance of the lowest performing Index, resulting in a better return than the return of the lowest performing Index alone.
You May Be Fully Exposed To The Decline
In The Lowest Performing Index On The Final Calculation Day From Its Starting Level, But Will Not Participate In Any Positive Performance
Of Any Index.
Even though you will be fully exposed to
a decline in the level of the lowest performing Index on the final calculation day if its ending level is below its downside threshold
level, you will not participate in any increase in the level of any Index over the term of the securities. Your maximum possible
return on the securities will be limited to the sum of the contingent coupon payments you receive, if any. Consequently, your return
on the securities may be significantly less than the return you could achieve on an alternative investment that provides for participation
in an increase in the level of any or each Index.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
Higher Contingent Coupon Rates Are Associated
With Greater Risk.
The securities offer contingent coupon payments
at a higher rate, if paid, than the fixed rate we would pay on conventional debt securities of the same maturity. These higher
potential contingent coupon payments are associated with greater levels of expected risk as of the pricing date as compared to
conventional debt securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that you may lose a substantial portion, and possibly all, of the original offering price per
security at maturity. The volatility of the Indices and the correlation among the Indices are important factors affecting this
risk. Volatility is a measurement of the size and frequency of daily fluctuations in the level of an Index, typically observed
over a specified period of time. Volatility can be measured in a variety of ways, including on a historical basis or on an expected
basis as implied by option prices in the market. Correlation is a measurement of the extent to which the levels of the Indices
tend to fluctuate at the same time, in the same direction and in similar magnitudes. Greater expected volatility of the Indices
or lower expected correlation among the Indices as of the pricing date may result in a higher contingent coupon rate, but it also
represents a greater expected likelihood as of the pricing date that the closing level of at least one Index will be less than
its coupon threshold level on one or more calculation days, such that you will not receive one or more, or any, contingent coupon
payments during the term of the securities, and that the closing level of at least one Index will be less than its downside threshold
level on the final calculation day such that you will lose a substantial portion, and possibly all, of the original offering price
per security at maturity. In general, the higher the contingent coupon rate is relative to the fixed rate we would pay on conventional
debt securities, the greater the expected risk that you will not receive one or more, or any, contingent coupon payments during
the term of the securities and that you will lose a substantial portion, and possibly all, of the original offering price per security
at maturity.
You Will Be Subject To Reinvestment Risk.
If your securities are automatically called,
the term of the securities may be reduced to as short as approximately six months. There is no guarantee that you would be able
to reinvest the proceeds from an investment in the securities at a comparable return for a similar level of risk in the event the
securities are automatically called prior to maturity.
Risks Relating To An Investment In Bank
Of Montreal’s Structured Debt Securities, Including The Securities
The Securities Are Subject To The Credit
Risk Of Bank Of Montreal.
The securities are our obligations, and
are not, either directly or indirectly, an obligation of any third party. Any amounts payable under the securities are subject
to our creditworthiness, and you will have no ability to pursue the issuers of any securities included in any Index for payment.
As a result, our actual and perceived creditworthiness may affect the value of the securities and, in the event we were to default
on our obligations under the securities, you may not receive any amounts owed to you under the terms of the securities.
The Estimated Value Of The Securities On The Pricing Date,
Based On Our Proprietary Pricing Models, Is Less Than The Original Offering Price.
Our initial estimated value of the securities is only an estimate,
and is based on a number of factors. The original offering price of the securities exceeds our initial estimated value, because costs
associated with offering, structuring and hedging the securities are included in the original offering price, but are not included in
the estimated value. These costs include the underwriting discount and selling concessions, the profits that we and our affiliates, and/or
the agent and its affiliates, expect to realize for assuming the risks in hedging our obligations under the securities, and the estimated
cost of hedging these obligations.
The Terms Of The Securities Were Not Determined By Reference
To The Credit Spreads For Our Conventional Fixed-Rate Debt.
To determine the terms of the securities, 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 securities
are less favorable to you than if we had used a higher funding rate.
The Estimated Value Of The Securities Is Not An Indication
Of The Price, If Any, At Which WFS Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary Market.
Our initial estimated value of the securities as of the date
of this pricing supplement was derived using our internal pricing models. This value is based on market conditions and other relevant
factors, which include volatility and correlation of the Indices, dividend rates and interest rates. Different pricing models and assumptions,
including those used by the agent, its affiliates or other market participants, could provide values for the securities 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 securities could
change dramatically due to changes in market conditions, our creditworthiness, and the other factors set forth in this pricing supplement.
These changes are likely to impact the price, if any, at which WFS or its affiliates or any other party (including us or our affiliates)
would be willing to purchase the securities from you in any secondary market transactions. Our initial estimated value does not represent
a minimum price at which WFS or any other party (including us or our affiliates) would be willing to buy your securities in any secondary
market at any time.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
WFS has advised us that if it, WFA or any
of their affiliates makes a secondary market in the securities at any time, the secondary market price offered by it, WFA or any
of their affiliates will be affected by changes in market conditions and other factors described in the next risk factor. WFS has
advised us that if it, WFA or any of their affiliates makes a secondary market in the securities at any time up to the issue date
or during the 5-month period following the issue date, the secondary market price offered by it, WFA or any of their affiliates
will be increased by an amount reflecting a portion of the costs associated with selling, structuring and hedging the securities
that are included in their original offering price. Because this portion of the costs is not fully deducted upon issuance, WFS
has advised us that any secondary market price it, WFA or any of their affiliates offers during this period will be higher than
it otherwise would be after this period, as any secondary market price offered after this period will reflect the full deduction
of the costs as described above. WFS has advised us that the amount of this increase in the secondary market price will decline
steadily to zero over this 5-month period. WFS has advised us that, if you hold the securities through an account at WFS, WFA or
any of their affiliates, WFS expects that this increase will also be reflected in the value indicated for the securities on your
brokerage account statement. If you hold your securities through an account at a broker-dealer other than WFS, WFA or any of their
affiliates, the value of the securities on your brokerage account statement may be different than if you held your securities at
WFS, WFA or any of their affiliates.
Risks Relating To The Value Of The Securities
And Any Secondary Market
The Value Of The Securities Prior To
Stated Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
The value of the securities prior to stated
maturity will be affected by the then-current level of each Index, interest rates at that time and a number of other factors, some
of which are interrelated in complex ways. The effect of any one factor may be offset or magnified by the effect of another factor.
The following factors, which we refer to as the “derivative component factors,” are expected to affect the value
of the securities. When we refer to the “value” of your security, we mean the value you could receive for your
security if you are able to sell it in the open market before the stated maturity date.
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Performance of the Indices. The
value of the securities prior to maturity will depend substantially on the then-current level of each Index. The price at which
you may be able to sell the securities before stated maturity may be at a discount, which could be substantial, from their original
offering price, if the level of the lowest performing Index at that time is less than, equal to or not sufficiently above its starting
level, its coupon threshold level or its downside threshold level.
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Interest Rates. The value of the
securities may be affected by changes in the interest rates in the U.S. markets.
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Volatility Of The Indices. Volatility
is the term used to describe the size and frequency of market fluctuations. The value of the securities may be affected if the
volatility of the Indices changes.
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Correlation Among The Indices.
Correlation refers to the extent to which the levels of the Indices tend to fluctuate at the same time, in the same direction and
in similar magnitudes. The correlation among the Indices may be positive, zero or negative. The value of the securities is
likely to decrease if the correlation among the Indices decreases.
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Time Remaining To Maturity. The
value of the securities at any given time prior to maturity will likely be different from that which would be expected based on
the then-current levels of the Indices. This difference will most likely reflect a discount due to expectations and uncertainty
concerning the levels of the Indices during the period of time still remaining to the stated maturity date.
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Dividend Yields On Securities Included
In The Indices. The value of the securities may be affected by the dividend yields on securities included in the Indices.
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In addition to the derivative component
factors, the value of the securities will be affected by actual or anticipated changes in our creditworthiness. The value of the
securities will also be limited by the automatic call feature because if the securities are automatically called, you will not
receive the contingent coupon payments that would have accrued, if any, had the securities been called on a later calculation day
or held until the stated maturity date. You should understand that the impact of one of the factors specified above, such as a
change in interest rates, may offset some or all of any change in the value of the securities attributable to another factor, such
as a change in the level of any or all of the Indices. Because numerous factors are expected to affect the value of the securities,
changes in the level of the Indices may not result in a comparable change in the value of the securities.
The Securities Will Not Be Listed On
Any Securities Exchange And We Do Not Expect A Trading Market For The Securities To Develop.
The securities will not be listed or displayed
on any securities exchange or any automated quotation system. Although the agent and/or its affiliates may purchase the securities
from holders, they are not obligated to do so and are not required to make a market for the securities. There can be no assurance
that a secondary market will develop. Because we do not expect that any market makers will participate in a secondary market for
the securities, the price at which you may be able to sell your securities is likely to depend on the price, if any, at which the
agent is willing to buy your securities.
If a secondary market does exist, it may be limited.
Accordingly, there may be a limited number of buyers if you decide to sell your securities prior to stated maturity. This may
affect the price you receive upon such sale. Consequently, you should be willing to hold the securities to stated maturity.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
Risks Relating To The Indices
You Will Be Subject To Risks Resulting
From The Relationship Between The Indices.
It is preferable from your perspective for
the Indices to be correlated with each other so that their levels will tend to increase or decrease at similar times and by similar
magnitudes. By investing in the securities, you assume the risk that the Indices will not exhibit this relationship. The less correlated
the Indices, the more likely it is that any one of the Indices will be performing poorly at any time over the term of the securities.
All that is necessary for the securities to perform poorly is for one of the Indices to perform poorly; the performance of the
better performing Indices is not relevant to your return on the securities. It is impossible to predict what the relationship between
the Indices will be over the term of the securities. Each Index represents a different equity market. The Dow Jones Industrial
Average® represents the 30 blue-chip stocks that are generally regarded as leaders in their respective industries.
The Russell 2000® Index represents the small capitalization segment of the United States equity market and the NASDAQ-100
Index® represents the represents the non-financial, large capitalization segments of the United States and certain
foreign equity markets. These different equity markets may not perform similarly over the term of the securities.
Levels Of The Indices Should Not Be Taken
As An Indication Of The Future Performance Of The Indices During The Term Of The Securities.
The trading prices of the securities included
in the Indices will determine the levels of the Indices and, therefore, whether the securities will be automatically called prior
to stated maturity, the amount payable to you at maturity and whether contingent coupon payments will be made. As a result, it
is impossible to predict whether the closing levels of the Indices will fall or rise compared to their respective starting levels.
Trading prices of the securities included in the Indices will be influenced by complex and interrelated political, economic, financial
and other factors that can affect the markets in which those securities are traded and the values of those securities themselves.
Accordingly, any historical levels of the Indices do not provide an indication of the future performance of the Indices.
Changes That Affect The Indices May Adversely
Affect The Value Of The Securities And The Amount You Will Receive At Stated Maturity.
The policies of an index sponsor concerning
the calculation of the relevant Index and the addition, deletion or substitution of securities comprising that Index and the manner
in which an index sponsor takes account of certain changes affecting those securities may affect the level of that Index and, therefore,
may affect the value of the securities, the likelihood of the occurrence of an automatic call, the amount payable at maturity and
whether contingent coupon payments will be made. An index sponsor may discontinue or suspend calculation or dissemination of the
relevant Index or materially alter the methodology by which it calculates that Index. Any of those actions could adversely affect
the value of the securities.
We Cannot Control Actions By Any Of The
Unaffiliated Companies Whose Securities Are Included In The Indices.
Actions by any company whose securities
are included in an Index may have an adverse effect on the price of its security, the closing level of that Index on any calculation
day, the ending level of that Index and the value of the securities. Neither we nor WFS are affiliated with any of the companies
included in any Index. These unaffiliated companies will not be involved in the offering of the securities and will have no obligations
with respect to the securities, including any obligation to take our or your interests into consideration for any reason. These
companies will not receive any of the proceeds of the offering of the securities and will not be responsible for, and will not
have participated in, the determination of the timing of, prices for, or quantities of, the securities to be issued. These companies
will not be involved with the administration, marketing or trading of the securities and will have no obligations with respect
to any amounts to be paid to you on the securities.
We And Our Affiliates Have No Affiliation
With Any Index Sponsor And Have Not Independently Verified Their Public Disclosure Of Information.
We and our affiliates are not affiliated
in any way with any index sponsor and have no ability to control or predict their actions, including any errors in or discontinuation
of disclosure regarding the methods or policies relating to the calculation of the applicable Index. We have derived the information
about the index sponsors and the Indices contained in this pricing supplement from publicly available information, without independent
verification. You, as an investor in the securities, should make your own investigation into each Index and the index sponsors.
The index sponsors are not involved in the offering of the securities made hereby in any way and have no obligation to consider
your interests as an owner of the securities in taking any actions that might affect the value of the securities.
An Investment In The Securities Is Subject
To Risks Associated With Investing In Stocks With A Small Market Capitalization.
The stocks that constitute the Russell 2000®
Index are issued by companies with relatively small market capitalization. These companies often have greater stock price volatility,
lower trading volume and less liquidity than large capitalization companies. As a result, the Russell 2000® Index
may be more volatile than that of an equity index that does not track solely small capitalization stocks. Stock prices of small
capitalization companies are also generally more vulnerable than those of large capitalization companies to adverse business and
economic developments, and the stocks of small capitalization companies may be thinly traded, and be less attractive to many investors
if they do not pay dividends. In addition, small capitalization companies are typically less well-established and less stable financially
than large capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of those
individuals. Small capitalization companies tend to have lower revenues, less diverse product lines, smaller shares of their target
markets, fewer financial resources and fewer competitive strengths than large capitalization companies. These companies may also
be more susceptible to adverse developments related to their products or services.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
An Investment In The Securities Is Subject
To Risks Associated With Foreign Securities Markets.
The NASDAQ-100 Index® (“NDX”) 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 NDX 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. 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.
A Contingent Coupon Payment Date, A Call
Settlement Date And The Stated Maturity Date May Be Postponed If A Calculation Day Is Postponed.
A calculation day (including the final calculation day)
with respect to an Index will be postponed if the applicable originally scheduled calculation day is not a trading day with respect
to any Index or if the calculation agent determines that a market disruption event has occurred or is continuing with respect
to that Index on that calculation day. If such a postponement occurs with respect to a calculation day other than the final calculation
day, then the related contingent coupon payment date or call settlement date, as applicable, will be postponed. If such a postponement
occurs with respect to the final calculation day, the stated maturity date will be the later of (i) the initial stated maturity
date and (ii) three business days after the last final calculation day as postponed.
Risks Relating To Conflicts Of Interest
Our Economic Interests And Those Of Any
Dealer Participating In The Offering Are Potentially Adverse To Your Interests.
You should be aware of the following ways
in which our economic interests and those of WFS or any other dealer participating in the distribution of the securities, which
we refer to as a “participating dealer,” are potentially adverse to your interests as an investor in the securities.
In engaging in certain of the activities described below, our affiliates or any participating dealer or its affiliates may take
actions that may adversely affect the value of and your return on the securities, and in so doing they will have no obligation
to consider your interests as an investor in the securities. Our affiliates or any participating dealer or its affiliates may realize
a profit from these activities even if investors do not receive a favorable investment return on the securities.
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The calculation agent is our affiliate
and may be required to make discretionary judgments that affect the return you receive on the securities. BMOCM, which
is our affiliate, will be the calculation agent for the securities. As calculation agent, BMOCM will determine the closing level
of each Index on each calculation day, the ending level of each Index, whether the securities are automatically called and whether
you receive a contingent coupon payment on a contingent coupon payment date and may be required to make other determinations that
affect the return you receive on the securities. In making these determinations, the calculation agent may be required to make
discretionary judgments, including determining whether a market disruption event has occurred with respect to any Index on a scheduled
calculation day, which may result in postponement of that calculation day with respect to that Index; determining the closing level
of an Index if a calculation day is postponed with respect to that Index to the last day to which it may be postponed and a market
disruption event occurs with respect to that Index on that day; if an Index is discontinued, selecting a successor equity index
or, if no successor equity index is available, determining the closing level of that Index on any calculation day and the ending
level of that Index; and determining whether to adjust the closing level of an Index on a calculation day in the event of certain
changes in or modifications to that Index. In making these discretionary judgments, the fact that BMOCM is our affiliate may cause
it to have economic interests that are adverse to your interests as an investor in the securities, and BMOCM’s determinations
as calculation agent may adversely affect your return on the securities.
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The estimated value of the securities
was calculated by our affiliate and is therefore not an independent third-party valuation. BMOCM calculated the estimated
value of the securities set forth on the cover page of this pricing supplement, which involved discretionary judgments by BMOCM.
Accordingly, the estimated value of the securities set forth on the cover page of this pricing supplement is not an independent
third-party valuation.
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Research reports by our affiliates or any participating
dealer or its affiliates may be inconsistent with an investment in the securities and may adversely affect the levels of the Indices.
Our affiliates or any participating dealer in the offering of the securities or its affiliates may, at present or in the future,
publish research reports on the Indices or the companies whose securities are included in an Index. This research is modified from time
to time without notice and may, at present or in the future, express opinions or provide recommendations that are inconsistent with purchasing
or holding the securities. Any research reports on the Indices or the companies whose securities are included in an Index could adversely
affect the level of the applicable Index and, therefore, could adversely affect the value of and your return on the securities. You are
encouraged to derive information concerning the Indices from multiple sources and should not rely on the views expressed by us or our
affiliates or any participating dealer or its affiliates. In addition, any research reports on the Indices or the companies whose securities
are included in an Index published on or prior to the pricing date could have resulted in an increase in the levels of the Indices on
the pricing date, which could adversely affect investors in the securities by increasing the level at which each Index must close on each
calculation day (including the final calculation day) in order for investors in the securities to receive a favorable return.
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
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Business activities of our affiliates
or any participating dealer or its affiliates with the companies whose securities are included in an Index may adversely affect
the level of that Index. Our affiliates or any participating dealer or its affiliates may, at present or in the future,
engage in business with the companies whose securities are included in an Index, including making loans to those companies (including
exercising creditors’ remedies with respect to those loans), making equity investments in those companies or providing investment
banking, asset management or other advisory services to those companies. These business activities could adversely affect the level
of that Index and, therefore, adversely affect the value of and your return on the securities. In addition, in the course of these
business activities, our affiliates or any participating dealer or its affiliates may acquire non-public information about one
or more of the companies whose securities are included in an Index. If our affiliates or any participating dealer or its affiliates
do acquire such non-public information, we and they are not obligated to disclose such non-public information to you.
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Hedging activities by our affiliates
or any participating dealer or its affiliates may adversely affect the levels of the Indices. We expect to hedge our obligations
under the securities through one or more hedge counterparties, which may include our affiliates or any participating dealer or
its affiliates. Pursuant to such hedging activities, our hedge counterparties may acquire securities included in an Index or listed
or over-the-counter derivative or synthetic instruments related to the Indices or such securities. Depending on, among other things,
future market conditions, the aggregate amount and the composition of such positions are likely to vary over time. To the extent
that our hedge counterparties have a long hedge position in any of the securities included in an Index, or derivative or synthetic
instruments related to the Indices or such securities, they may liquidate a portion of such holdings at or about the time of a
calculation day or at or about the time of a change in the securities included in the Indices. These hedging activities could potentially
adversely affect the levels of the Indices and, therefore, adversely affect the value of and your return on the securities.
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Trading activities by our affiliates
or any participating dealer or its affiliates may adversely affect the levels of the Indices. Our affiliates or any participating
dealer or its affiliates may engage in trading in the securities included in an Index and other instruments relating to the Indices
or such securities on a regular basis as part of their general broker-dealer and other businesses. Any of these trading activities
could potentially adversely affect the levels of the Indices and, therefore, could adversely affect the value of and your return
on the securities.
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A participating dealer or its affiliates may realize
hedging profits projected by its proprietary pricing models in addition to any selling concession and/or fee, creating a further incentive
for the participating dealer to sell the securities to you. If any participating dealer or any of its affiliates conducts hedging
activities for us in connection with the securities, that participating dealer or its affiliates will expect to realize a projected profit
from such hedging activities. If a participating dealer receives a concession and/or fee for the sale of the securities to you, this projected
hedging profit will be in addition to the concession and/or fee, creating a further incentive for the participating dealer to sell the
securities to you.
|
Risks Relating To Tax Matters
The Tax Consequences Of An Investment
In The Securities 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 securities, and the Internal Revenue Service or a court may not agree with the tax treatment described in this pricing supplement.
The Internal Revenue Service has issued
a notice indicating that it and the Treasury Department are actively considering whether, among other issues, a holder should be
required to accrue interest over the term of an instrument such as “prepaid forward contracts” and other similar instruments
even though that holder will not receive any payments with respect to the securities until maturity and whether all or part of
the gain a holder may recognize upon sale or maturity of an instrument such as the securities could be treated as ordinary income.
Any Treasury Regulations or other guidance promulgated after consideration of these issues could apply on a retroactive basis.
Please read carefully the section entitled
“Supplemental U.S. Federal Income Tax Considerations” in this pricing supplement. You should consult your tax advisor
about your own tax situation.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
If the securities are automatically called:
If the securities are automatically called
prior to stated maturity, you will receive the original offering price of your securities plus a final contingent coupon payment
on the call settlement date. In the event the securities are automatically called, your total return on the securities will equal
any contingent coupon payments received prior to the call settlement date and the contingent coupon payment received on the call
settlement date.
If the securities are not automatically
called:
If the securities are not automatically called prior
to stated maturity, the following table illustrates, for a range of hypothetical performance factors of the lowest performing
Index on the final calculation day, the hypothetical maturity payment amount payable at stated maturity per security (excluding
the final contingent coupon payment, if any). The performance factor of the lowest performing Index on the final calculation day
is its ending level expressed as a percentage of its starting level (i.e., its ending level divided by its starting level).
Hypothetical performance factor of
lowest performing Index on final
calculation day
|
Hypothetical maturity payment
amount per security
|
175.00%
|
$1,000.00
|
160.00%
|
$1,000.00
|
150.00%
|
$1,000.00
|
140.00%
|
$1,000.00
|
130.00%
|
$1,000.00
|
120.00%
|
$1,000.00
|
110.00%
|
$1,000.00
|
100.00%
|
$1,000.00
|
90.00%
|
$1,000.00
|
80.00%
|
$1,000.00
|
70.00%
|
$1,000.00
|
60.00%
|
$1,000.00
|
59.00%
|
$590.00
|
50.00%
|
$500.00
|
40.00%
|
$400.00
|
25.00%
|
$250.00
|
The above figures do not take into account
contingent coupon payments, if any, received during the term of the securities. As evidenced above, in no event will you have a
positive rate of return based solely on the maturity payment amount received at maturity; any positive return will be based solely
on the contingent coupon payments, if any, received during the term of the securities.
The above figures are for purposes of illustration only
and may have been rounded for ease of analysis. If the securities are not automatically called prior to stated maturity, the actual
amount you will receive at stated maturity will depend on the actual ending level of the lowest performing Index on the final calculation
day. The performance of the better performing Indices is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
Hypothetical Contingent Coupon Payments
|
Set forth below are three examples that illustrate how to determine
whether a contingent coupon payment will be paid and whether the securities will be automatically called, if applicable, on a quarterly
contingent coupon payment date prior to the stated maturity date. The examples do not reflect any specific quarterly contingent coupon
payment date. The following examples assume that the securities are subject to automatic call on the applicable calculation day. The securities
will not be subject to automatic call until the second quarterly calculation day, which is approximately six months after the issue date.
The following examples reflect the contingent coupon rate of 8.15% per annum and assume the hypothetical starting level, coupon threshold
level and closing levels for each Index indicated in the examples. The terms used for purposes of these hypothetical examples do not represent
any actual starting level or coupon threshold level. The hypothetical starting level of 100.00 for each Index has been chosen for illustrative
purposes only and does not represent the actual starting level for any Index. The actual starting level and coupon threshold level for
each Index are set forth under “Terms of the Securities” above. For historical data regarding the actual closing levels of
the Indices, see the historical information set forth herein. These examples are for purposes of illustration only and the values used
in the examples may have been rounded for ease of analysis.
Example 1. The closing level of
the lowest performing Index on the relevant calculation day is greater than or equal to its coupon threshold level and less than
its starting level. As a result, investors receive a contingent coupon payment on the applicable quarterly contingent coupon payment
date, and the securities are not automatically called.
|
Dow Jones
Industrial
Average®
|
Russell 2000®
Index
|
NASDAQ-100
Index®
|
Hypothetical starting level:
|
100.00
|
100.00
|
100.00
|
Hypothetical closing level on relevant calculation day:
|
90.00
|
95.00
|
80.00
|
Hypothetical coupon threshold level:
|
75.00
|
75.00
|
75.00
|
Performance factor (closing level on calculation day divided
by starting level):
|
90.00%
|
95.00%
|
80.00%
|
Step 1: Determine which
Index is the lowest performing Index on the relevant calculation day.
In this example, the NASDAQ-100
Index® has the lowest performance factor and is, therefore, the lowest performing Index on the relevant calculation
day.
Step 2: Determine whether
a contingent coupon payment will be paid and whether the securities will be automatically called on the applicable quarterly contingent
coupon payment date.
Since the hypothetical closing level of the lowest performing
Index on the relevant calculation day is greater than or equal to its coupon threshold level, but less than its starting level, you would
receive a contingent coupon payment on the applicable contingent coupon payment date, and the securities would not be automatically called.
The contingent coupon payment would be equal to $20.38 per security, determined as follows: (i) $1,000 multiplied by 8.15% per
annum divided by (ii) 4, rounded to the nearest cent.
Example 2. The closing level of
the lowest performing Index on the relevant calculation day is less than its coupon threshold level. As a result, investors do
not receive a contingent coupon payment on the applicable quarterly contingent coupon payment date, and the securities are not
automatically called.
|
Dow Jones
Industrial
Average®
|
Russell
2000® Index
|
NASDAQ-100
Index®
|
Hypothetical starting level:
|
100.00
|
100.00
|
100.00
|
Hypothetical closing level on relevant calculation day:
|
105.00
|
74.00
|
125.00
|
Hypothetical coupon threshold level:
|
75.00
|
75.00
|
75.00
|
Performance factor (closing level on calculation day
divided by starting level):
|
105.00%
|
74.00%
|
125.00%
|
Step 1: Determine which
Index is the lowest performing Index on the relevant calculation day.
In this example, the Russell 2000®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the relevant calculation day.
Step 2: Determine whether
a contingent coupon payment will be paid and whether the securities will be automatically called on the applicable quarterly contingent
coupon payment date.
Since the hypothetical closing level of the lowest performing Index
on the relevant calculation day is less than its coupon threshold level, you would not receive a contingent coupon payment on the
applicable contingent coupon payment date. In addition, the securities would not be automatically called, even though the closing
levels of the better performing Indices on the relevant calculation day are greater than their starting levels. As this example
illustrates, whether you receive a contingent coupon payment and whether the securities are automatically called on a quarterly
contingent coupon payment date will depend solely on the closing level of the lowest performing Index on the relevant calculation
day. The performance of the better performing Indices is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
Example 3. The closing level of
the lowest performing Index on the relevant calculation day is greater than or equal to its starting level. As a result, the securities
are automatically called on the applicable quarterly contingent coupon payment date for the original offering price plus a final
contingent coupon payment.
|
Dow Jones
Industrial
Average®
|
Russell 2000®
Index
|
NASDAQ-100
Index®
|
Hypothetical starting level:
|
100.00
|
100.00
|
100.00
|
Hypothetical closing level on relevant calculation day:
|
115.00
|
105.00
|
130.00
|
Hypothetical coupon threshold level:
|
75.00
|
75.00
|
75.00
|
Performance factor (closing level on calculation day divided
by starting level):
|
115.00%
|
105.00%
|
130.00%
|
Step 1: Determine which
Index is the lowest performing Index on the relevant calculation day.
In this example, the Russell 2000®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the relevant calculation day.
Step 2: Determine whether
a contingent coupon payment will be paid and whether the securities will be automatically called on the applicable quarterly contingent
coupon payment date.
Since the hypothetical closing level of the lowest performing
Index on the relevant calculation day is greater than or equal to its starting level, the securities would be automatically called and
you would receive the original offering price plus a final contingent coupon payment on the applicable contingent coupon payment date,
which is also referred to as the call settlement date. On the call settlement date, you would receive $1,020.38 per security.
If the securities are automatically called prior to
maturity, you will not receive any further payments after the call settlement date.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
Hypothetical Payment at Stated Maturity
|
Set forth below are three examples of calculations of the maturity
payment amount payable at stated maturity, assuming that the securities have not been automatically called prior to stated maturity and
assuming the hypothetical starting level, downside threshold level and ending levels for each Index indicated in the examples. The terms
used for purposes of these hypothetical examples do not represent any actual starting level or downside threshold level. The hypothetical
starting level of 100.00 for each Index has been chosen for illustrative purposes only and does not represent the actual starting level
for any Index. The actual starting level and downside threshold level for each Index is set forth under “Terms of the Securities”
above. For historical data regarding the actual closing levels of the Indices, see the historical information provided herein. These examples
are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
Example 1. The ending level of the
lowest performing Index on the final calculation day is greater than its starting level, the maturity payment amount is equal to
the original offering price of your securities at maturity and you receive a final contingent coupon payment:
|
Dow Jones
Industrial
Average®
|
Russell 2000®
Index
|
NASDAQ-100
Index®
|
Hypothetical starting level:
|
100.00
|
100.00
|
100.00
|
Hypothetical ending level:
|
145.00
|
135.00
|
125.00
|
Hypothetical coupon threshold level:
|
75.00
|
75.00
|
75.00
|
Hypothetical downside threshold level:
|
60.00
|
60.00
|
60.00
|
Performance factor (ending level divided by starting level):
|
145.00%
|
135.00%
|
125.00%
|
Step 1: Determine which
Index is the lowest performing Index on the final calculation day.
In this example, the NASDAQ-100
Index® has the lowest performance factor and is, therefore, the lowest performing Index on the final calculation
day.
Step 2: Determine the
maturity payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level
of the lowest performing Index on the final calculation day is greater than its hypothetical downside threshold level, the maturity
payment amount would equal the original offering price. Although the hypothetical ending level of the lowest performing Index on
the final calculation day is significantly greater than its hypothetical starting level in this scenario, the maturity payment
amount will not exceed the original offering price.
In addition to any contingent
coupon payments received during the term of the securities, on the stated maturity date you would receive $1,000 per security as
well as a final contingent coupon payment.
Example 2. The ending level of the
lowest performing Index on the final calculation day is less than its starting level but greater than its downside threshold level,
the maturity payment amount is equal to the original offering price of your securities at maturity and you receive a final contingent
coupon payment:
|
Dow Jones
Industrial
Average®
|
Russell 2000®
Index
|
NASDAQ-100
Index®
|
Hypothetical starting level:
|
100.00
|
100.00
|
100.00
|
Hypothetical ending level:
|
115.00
|
80.00
|
110.00
|
Hypothetical coupon threshold level:
|
75.00
|
75.00
|
75.00
|
Hypothetical downside threshold level:
|
60.00
|
60.00
|
60.00
|
Performance factor (ending level divided by starting level):
|
115.00%
|
80.00%
|
110.00%
|
Step 1: Determine which
Index is the lowest performing Index on the final calculation day.
In this example, the Russell 2000®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the
maturity payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level
of the lowest performing Index is less than its hypothetical starting level, but not by more than 40%, you would be repaid the
original offering price of your securities at maturity.
In addition to any contingent
coupon payments received during the term of the securities, on the stated maturity date you would receive $1,000 per security as
well as a final contingent coupon payment.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
Example 3. The ending level of
the lowest performing Index on the final calculation day is less than its starting level but greater than its downside threshold level and less than its coupon
threshold level, the maturity payment amount is equal to the original offering price of your securities at maturity; you
DO NOT receive a final contingent coupon payment:
|
Dow Jones
Industrial
Average®
|
Russell 2000®
Index
|
NASDAQ-100
Index®
|
Hypothetical starting level:
|
100.00
|
100.00
|
100.00
|
Hypothetical ending level:
|
105.00
|
70.00
|
102.00
|
Hypothetical coupon threshold level:
|
75.00
|
75.00
|
75.00
|
Hypothetical downside threshold level:
|
60.00
|
60.00
|
60.00
|
Performance factor (ending level divided by starting level):
|
105.00%
|
70.00%
|
102.00%
|
Step 1: Determine which
Index is the lowest performing Index on the final calculation day.
In this example, the Russell 2000®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the
maturity payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level
of the lowest performing Index is less than its hypothetical starting level, but not by more than 40%, you would be repaid the
original offering price of your securities at maturity.
In addition to any contingent coupon payments received
during the term of the securities, on the stated maturity date you would receive $1,000 per security. However, in this case, you
would not receive the final contingent coupon payment, since the closing level of the lowest performing Index is less than the
hypothetical coupon threshold level.
Example 4. The ending level of the
lowest performing Index on the final calculation day is less than its downside threshold level, the maturity payment amount is
less than the original offering price of your securities at maturity and you do not receive a final contingent coupon payment:
|
Dow Jones
Industrial
Average®
|
Russell 2000®
Index
|
NASDAQ-100
Index®
|
Hypothetical starting level:
|
100.00
|
100.00
|
100.00
|
Hypothetical ending level:
|
120.00
|
45.00
|
90.00
|
Hypothetical coupon threshold level:
|
75.00
|
75.00
|
75.00
|
Hypothetical downside threshold level:
|
60.00
|
60.00
|
60.00
|
Performance factor (ending level divided by starting level):
|
120.00%
|
45.00%
|
90.00%
|
Step 1: Determine which
Index is the lowest performing Index on the final calculation day.
In this example, the Russell 2000®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the
maturity payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level
of the lowest performing Index on the final calculation day is less than its hypothetical starting level by more than 40%, you
would lose a portion of the original offering price of your securities and receive the maturity payment amount equal to $450.00
per security, calculated as follows:
= $1,000 × performance factor of the
lowest performing Index on the final calculation day
= $1,000 × 45.00%
= $450.00
In addition to any contingent coupon payments received
during the term of the securities, on the stated maturity date you would receive $450.00 per security, but no final contingent
coupon payment.
These examples illustrate that you will
not participate in any appreciation of any Index, but will be fully exposed to a decrease in the lowest performing Index if the
ending level of the lowest performing Index on the final calculation day is less than its downside threshold level, even if the
ending levels of the other Indices have appreciated or have not declined below their respective downside threshold level.
To the extent that the starting level,
coupon threshold level, downside threshold level and ending level of the lowest performing Index differ from the values assumed
above, the results indicated above would be different.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
Additional Terms of the Securities
|
Bank of Montreal will issue the securities
as part of a series of senior unsecured debt securities, as described in more detail in the prospectus supplement. Information
included in this pricing supplement supersedes information in the prospectus supplement and prospectus to the extent that it is
different from that information.
Certain Definitions
A “trading day,” as to
each Index, means a day, as determined by the calculation agent, on which (i) the relevant stock exchanges with respect to each
security underlying that Index are scheduled to be open for trading for their respective regular trading sessions and (ii) each
related futures or options exchange with respect to that Index is scheduled to be open for trading for its regular trading session.
The “relevant stock exchange”
for any security underlying an Index means the primary exchange or quotation system on which such security is traded, as determined
by the calculation agent.
The “related futures or options
exchange” for an Index means an exchange or quotation system where trading has a material effect (as determined by the
calculation agent) on the overall market for futures or options contracts relating to that Index.
Calculation Agent
BMOCM, our wholly owned subsidiary, will
act as calculation agent for the securities and may appoint agents to assist it in the performance of its duties. Pursuant to a
calculation agent agreement, we may appoint a different calculation agent without your consent and without notifying you.
The calculation agent will determine whether
the securities are automatically called prior to stated maturity, the amount of the payment you receive upon automatic call or
at stated maturity and the contingent coupon payments, if any. In addition, the calculation agent will, among other things:
|
·
|
determine whether a market disruption
event has occurred;
|
|
·
|
determine the closing levels of the Indices
under certain circumstances;
|
|
·
|
determine if adjustments are required
to the closing level of an Index under various circumstances; and
|
|
·
|
if publication of an Index is discontinued,
select a successor equity index (as defined below) or, if no successor equity index is available, determine the closing level of
that Index.
|
All determinations made by the calculation
agent will be at the sole discretion of the calculation agent and, in the absence of manifest error, will be conclusive for all
purposes and binding on us and you. The calculation agent will have no liability for its determinations.
Market Disruption Events
A “market disruption event”
with respect to each Index means any of the following events as determined by the calculation agent in its sole discretion:
|
(A)
|
The occurrence or existence of a material suspension of or limitation imposed on trading by the
relevant stock exchanges or otherwise relating to securities which then comprise 20% or more of the level of that Index or any
successor equity index at any time during the one-hour period that ends at the close of trading on that day, whether by reason
of movements in price exceeding limits permitted by those relevant stock exchanges or otherwise.
|
|
(B)
|
The occurrence or existence of a material suspension of or limitation imposed on trading by any
related futures or options exchange or otherwise in futures or options contracts relating to that Index or any successor equity
index on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on that
day, whether by reason of movements in price exceeding limits permitted by the related futures or options exchange or otherwise.
|
|
(C)
|
The occurrence or existence of any event, other than an early closure, that materially disrupts
or impairs the ability of market participants in general to effect transactions in, or obtain market values for, securities that
then comprise 20% or more of the level of that Index or any successor equity index on their relevant stock exchanges at any time
during the one-hour period that ends at the close of trading on that day.
|
|
(D)
|
The occurrence or existence of any event, other than an early closure, that materially disrupts
or impairs the ability of market participants in general to effect transactions in, or obtain market values for, futures or options
contracts relating to that Index or any successor equity index on any related futures or options exchange at any time during the
one-hour period that ends at the close of trading on that day.
|
|
(E)
|
The closure on any exchange business day of the relevant stock exchanges on which securities that
then comprise 20% or more of the level of such Index or any successor equity index are traded or any related futures or options
exchange with respect to that Index or any successor equity index prior to its scheduled closing time unless the earlier closing
time is announced by the relevant stock exchange or related futures or options exchange, as applicable, at least one hour prior
to the earlier of (1) the actual closing time for the regular trading session on such relevant stock exchange or related futures
or options exchange, as applicable, and (2) the submission deadline for orders to be entered into the relevant stock exchange or
related futures or options exchange, as applicable, system for execution at such actual closing time on that day.
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
|
(F)
|
The relevant stock exchange for any security underlying that Index or successor equity index or
any related futures or options exchange with respect to that Index or successor equity index fails to open for trading during its
regular trading session.
|
For purposes of determining whether a market
disruption event has occurred with respect to an Index:
|
(1)
|
the relevant percentage contribution of a security to the level of that Index or any successor
equity index will be based on a comparison of (x) the portion of the level of such Index attributable to that security and (y)
the overall level of that Index or successor equity index, in each case immediately before the occurrence of the market disruption
event;
|
|
(2)
|
the “close of trading” on any trading day for that Index or any successor equity
index means the scheduled closing time of the relevant stock exchanges with respect to the securities underlying that Index or
successor equity index on such trading day; provided that, if the actual closing time of the regular trading session of any such
relevant stock exchange is earlier than its scheduled closing time on such trading day, then (x) for purposes of clauses (A) and
(C) of the definition of “market disruption event” above, with respect to any security underlying that Index or successor
equity index for which such relevant stock exchange is its relevant stock exchange, the “close of trading” means such
actual closing time and (y) for purposes of clauses (B) and (D) of the definition of “market disruption event” above,
with respect to any futures or options contract relating to that Index or successor equity index, the “close of trading”
means the latest actual closing time of the regular trading session of any of the relevant stock exchanges, but in no event later
than the scheduled closing time of the relevant stock exchanges;
|
|
(3)
|
the “scheduled closing time” of any relevant stock exchange or related futures
or options exchange on any trading day for that Index or any successor equity index means the scheduled weekday closing time of
such relevant stock exchange or related futures or options exchange on such trading day, without regard to after hours or any other
trading outside the regular trading session hours; and
|
|
(4)
|
an “exchange business day” means any trading day for that Index or any successor
equity index on which each relevant stock exchange for the securities underlying that Index or any successor equity index and each
related futures or options exchange with respect to that Index or any successor equity index are open for trading during their
respective regular trading sessions, notwithstanding any such relevant stock exchange or related futures or options exchange closing
prior to its scheduled closing time.
|
If a market disruption event occurs or is
continuing with respect to an Index on any calculation day, then that calculation day for such Index will be postponed to the first
succeeding trading day for that Index on which a market disruption event for such Index has not occurred and is not continuing;
however, if such first succeeding trading day has not occurred as of the eighth trading day for that Index after the originally
scheduled calculation day, that eighth trading day shall be deemed to be the calculation day for such Index. If a calculation day
has been postponed eight trading days for an Index after the originally scheduled calculation day and a market disruption event
occurs or is continuing with respect to such Index on such eighth trading day, the calculation agent will determine the closing
level of that Index on such eighth trading day in accordance with the formula for and method of calculating the closing level of
that Index last in effect prior to commencement of the market disruption event, using the closing price (or, with respect to any
relevant security, if a market disruption event has occurred with respect to such security, its good faith estimate of the value
of such security at the scheduled closing time of the relevant stock exchange for such security or, if earlier, the actual closing
time of the regular trading session of such relevant stock exchange As used herein, “closing price” means, with respect
to any security on any date, the relevant stock exchange traded or quoted price of such security as of the scheduled closing time
of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such
relevant stock exchange. Notwithstanding the postponement of a calculation day for an Index due to a market disruption event with
respect to such Index on such calculation day, the originally scheduled calculation day will remain the calculation day for any
Index not affected by a market disruption event on such day.
Adjustments to an Index
If at any time the method of calculating
an Index or a successor equity index, or the closing level thereof, is changed in a material respect, or if an Index or a successor
equity index is in any other way modified so that such index does not, in the opinion of the calculation agent, fairly represent
the level of such index had those changes or modifications not been made, then the calculation agent will, at the close of business
in New York, New York, on each date that the closing level of such index is to be calculated, make such calculations and adjustments
as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a level of an index comparable
to such Index or successor equity index as if those changes or modifications had not been made, and the calculation agent will
calculate the closing level of such Index or successor equity index with reference to such index, as so adjusted. Accordingly,
if the method of calculating an Index or successor equity index is modified so that the level of such index is a fraction or a
multiple of what it would have been if it had not been modified (e.g., due to a split or reverse split in such equity index),
then the calculation agent will adjust such Index or successor equity index in order to arrive at a level of such index as if it
had not been modified (e.g., as if the split or reverse split had not occurred).
Discontinuance of an Index
If a sponsor or publisher of an Index (each,
an “index sponsor”) discontinues publication of an Index, and such index sponsor or another entity publishes
a successor or substitute equity index that the calculation agent determines, in its sole discretion, to be comparable to such
Index (a “successor equity index”), then, upon the calculation agent’s notification of that determination
to the trustee, and the calculation agent will substitute the successor equity index as calculated by the relevant index sponsor
or any other entity for purposes of calculating the closing level of such Index on any date of determination. Upon any selection
by the calculation agent of a successor equity index, Bank of Montreal or one of its affiliates will cause notice to be given to
holders of the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
In the event that an index sponsor discontinues
publication of an Index prior to, and the discontinuance is continuing on, a calculation day and the calculation agent determines
that no successor equity index is available at such time, the calculation agent will calculate a substitute closing level for such
Index in accordance with the formula for and method of calculating such Index last in effect prior to the discontinuance, but using
only those securities that comprised such Index immediately prior to that discontinuance. If a successor equity index is selected
or the calculation agent calculates a level as a substitute for such Index, the successor equity index or level will be used as
a substitute for such Index for all purposes, including the purpose of determining whether a market disruption event exists.
If on a calculation day an index sponsor
fails to calculate and announce the level of an Index, the calculation agent will calculate a substitute closing level of such
Index in accordance with the formula for and method of calculating such Index last in effect prior to the failure, but using only
those securities that comprised such Index immediately prior to that failure; provided that, if a market disruption event
occurs or is continuing on such day with respect to such Index, then the provisions set forth above under “—Market
Disruption Events” shall apply in lieu of the foregoing.
Notwithstanding these alternative arrangements,
discontinuance of the publication of, or the failure by the relevant index sponsor to calculate and announce the level of, an Index
may adversely affect the value of the securities.
Events of Default and Acceleration
If an event of default with respect to the
securities has occurred and is continuing, the amount payable to a holder of a security upon any acceleration permitted by the
securities, with respect to each security, will be equal to the maturity payment amount, calculated as provided herein, plus a
portion of a final contingent coupon payment, if any. The maturity payment amount and any final contingent coupon payment will
be calculated as though the date of acceleration were the final calculation day. The final contingent coupon payment, if any, will
be prorated from and including the immediately preceding contingent coupon payment date to but excluding the date of acceleration.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
The
Dow Jones Industrial Average®
|
The Dow Jones Industrial Average®
is a price-weighted average of 30 blue-chip stocks that are generally regarded as leaders in their respective industries.
In addition, information about the Dow Jones
Industrial Average® may be obtained from other sources including, but not limited to Dow Jones Industrial Average®
sponsor’s website (including information regarding the Dow Jones Industrial Average®’s sector weightings).
We are not incorporating by reference into this pricing supplement the website or any material it includes. Neither we nor the
agent makes any representation that such publicly available information regarding the Dow Jones Industrial Average®
is accurate or complete.
Historical Information
We obtained the closing levels of the Dow
Jones Industrial Average® in the graph below from Bloomberg Financial Markets, without independent verification.
The following graph sets forth daily closing levels of the Dow
Jones Industrial Average® for the period from January 1, 2016 to March 30, 2021. The closing level on March 30, 2021 was
33,066.96. The historical performance of the Dow Jones Industrial Average® should not be taken as an indication of the
future performance of the Dow Jones Industrial Average® during the term of the securities.
Dow Jones Industrial Average®
Daily Closing Level
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
The Dow Jones Industrial Average®
The Dow Jones Industrial Average®
is a price-weighted index, which means an underlying stock’s weight in the Dow Jones Industrial Average® is
based on its price per share rather than the total market capitalization of the issuer. The Dow Jones Industrial Average®
is designed to provide an indication of the composite performance of 30 common stocks of corporations representing a broad cross-section
of U.S. industry. The corporations represented in the Dow Jones Industrial Average® tend to be regarded as market
leaders in their respective industries and their stocks are typically widely held by individuals and institutional investors.
The Index is maintained by an Averages Committee
comprised of three representatives of S&P Dow Jones Indices and two representatives of The Wall Street Journal. Generally,
composition changes occur only after mergers, corporate acquisitions or other dramatic shifts in a component's core business. When
such an event necessitates that one component be replaced, the entire Dow Jones Industrial Average® is reviewed.
As a result, when changes are made they typically involve more than one component. While there are no rules for component selection,
a stock typically is added only if it has an excellent reputation, demonstrates sustained growth, is of interest to a large number
of investors and accurately represents the sector(s) covered by the average.
Changes in the composition of the Dow Jones
Industrial Average® are made entirely by the Averages Committee without consultation with the corporations represented
in the Dow Jones Industrial Average®, any stock exchange, any official agency or us. Unlike most other indices,
which are reconstituted according to a fixed review schedule, constituents of the Dow Jones Industrial Average®
are reviewed on an as-needed basis. Changes to the common stocks included in the Dow Jones Industrial Average® tend
to be made infrequently, and the underlying stocks of the Dow Jones Industrial Average® may be changed at any time
for any reason. The companies currently represented in the Dow Jones Industrial Average® are incorporated in the
United States and its territories and their stocks are listed on the New York Stock Exchange and Nasdaq.
In addition to the daily governance of indices
and maintenance of index methodologies, at least once within any 12-month period, the index methodology is reviewed to help ensure
that the Dow Jones Industrial Average® continues to achieve the stated objectives, and that the data and methodology
remain effective. In certain instances, S&P Dow Jones Indices may publish a consultation inviting comments from external parties.
The Dow Jones Industrial Average®
initially consisted of 12 common stocks and was first published in the WSJ in 1896. The Dow Jones Industrial Average®
was increased to include 20 common stocks in 1916 and to 30 common stocks in 1928. The number of common stocks in the Dow Jones
Industrial Average® has remained at 30 since 1928, and, in an effort to maintain continuity, the constituent corporations
represented in the Dow Jones Industrial Average® have been changed on a relatively infrequent basis.
Computation of the Dow Jones Industrial
Average®
The level of the Dow Jones Industrial Average®
is the sum of the primary exchange prices of each of the 30 component stocks included in the Dow Jones Industrial Average®,
divided by a divisor that is designed to provide a meaningful continuity in the level of the Dow Jones Industrial Average®.
Because the Dow Jones Industrial Average® is price-weighted, stock splits or changes in the component stocks could
result in distortions in the index level. In order to prevent these distortions related to extrinsic factors, the divisor is periodically
changed in accordance with a mathematical formula that reflects adjusted proportions within the Dow Jones Industrial Average®.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
License Agreement
S&P® is a registered trademark
of Standard & Poor’s Financial Services LLC (“S&P”) and Dow Jones® is a registered trademark
of Dow Jones Trademark Holdings LLC (“Dow Jones”). These trademarks have been licensed for use by S&P Dow Jones
Indices LLC. “DJIA®” is a trademark of Dow Jones. The trademark has been sublicensed for certain purposes
by us. The Index is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by us.
The securities are not sponsored, endorsed, sold or
promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P or any of their respective affiliates (collectively, “S&P
Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the holders of
the securities or any member of the public regarding the advisability of investing in securities generally or in the securities
particularly or the ability of the Index to track general market performance. S&P Dow Jones Indices’ only relationship
to us with respect to the Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P
Dow Jones Indices and/or its third party licensors. The Index is determined, composed and calculated by S&P Dow Jones Indices
without regard to us or the securities. S&P Dow Jones Indices have no obligation to take our needs or the needs of us or holders
of the securities into consideration in determining, composing or calculating the Index. S&P Dow Jones Indices are not responsible
for and have not participated in the determination of the prices, and amount of the securities or the timing of the issuance or
sale of the securities or in the determination or calculation of the equation by which the securities are to be converted
into cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading
of the securities. There is no assurance that investment products based on the Index will accurately track index performance or
provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion
of a security or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such
security or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its
affiliates may independently issue and/or sponsor financial products unrelated to the securities currently being issued by us,
but which may be similar to and competitive with the securities. In addition, CME Group Inc. and its affiliates may trade financial
products which are linked to the performance of the Index. It is possible that this trading activity will affect the value of the
securities.
S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS
OF THE Dow Jones Industrial
Average® OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION
(INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY
FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS
ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY US, HOLDERS OF
THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE Dow Jones Industrial Average® OR WITH RESPECT
TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE
LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS,
TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT,
TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P
DOW JONES INDICES AND US, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
The Russell 2000® Index is
an equity index that is intended to track the performance of the small capitalization segment of the U.S. equity market.
In addition, information about the Russell
2000® Index may be obtained from other sources including, but not limited to, the Russell 2000® Index
sponsor’s website (including information regarding the Russell 2000® Index’s sector weightings). We
are not incorporating by reference into this pricing supplement the website or any material it includes. Neither we nor the agent
makes any representation that such publicly available information regarding the Russell 2000® Index is accurate
or complete.
Historical Information
We obtained the closing levels of the Russell
2000® Index in the graph below from Bloomberg Financial Markets, without independent verification.
The following graph sets forth daily closing levels of the Russell
2000® Index for the period from January 1, 2016 to March 30, 2021. The closing level on March 30, 2021 was 2,195.796. The
historical performance of the Russell 2000® Index should not be taken as an indication of the future performance of the
Russell 2000® Index during the term of the securities.
Russell 2000® Index Daily
Closing Level
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
The Russell 2000® Index
The Russell 2000® Index was
developed by Russell Investments (“Russell”) before FTSE International Limited (“FTSE”) and Russell combined
in 2015 to create FTSE Russell, which is wholly owned by London Stock Exchange Group. Russell began dissemination of the Russell
2000® Index (Bloomberg L.P. index symbol “RTY”) on January 1, 1984. The Russell 2000® Index
was set to 135 as of the close of business on December 31, 1986. FTSE Russell calculates and publishes the Russell 2000®
Index. The Russell 2000® Index is designed to track the performance of the small capitalization segment of
the U.S. equity market. As a subset of the Russell 3000® Index, the Russell 2000® Index consists
of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 3000® Index measures
the performance of the largest 3,000 U.S. companies. The Russell 2000® Index is determined, comprised, and calculated
by FTSE Russell without regard to the securities.
Selection of Stocks Comprising the Russell
2000® Index
All companies eligible for inclusion in the
Russell 2000® Index must be classified as a U.S. company under FTSE Russell’s country-assignment methodology.
If a company is incorporated, has a stated headquarters location, and trades on a standard exchange in the same country (American
Depositary Receipts and American Depositary Shares are not eligible), then the company is assigned to its country of incorporation.
If any of the three factors are not the same, FTSE Russell defines three Home Country Indicators (“HCIs”): country
of incorporation, country of headquarters, and country of the most liquid exchange (as defined by a two-year average daily dollar
trading volume) (“ADDTV”) from all exchanges within a country. Using the HCIs, FTSE Russell compares the primary location
of the company’s assets with the three HCIs. If the primary location of its assets matches any of the HCIs, then the company
is assigned to the primary location of its assets. If there is insufficient information to determine the country in which the company’s
assets are primarily located, FTSE Russell will use the primary location of the company’s revenue for the same cross-comparison
and assigns the company to the appropriate country in a similar fashion. FTSE Russell uses the average of two years of assets or
revenues data to reduce potential turnover. If conclusive country details cannot be derived from assets or revenues data, FTSE
Russell will assign the company to the country in which its headquarters are located unless the country is a Benefit Driven Incorporation
“BDI” country. If the country in which its headquarters are located is a BDI, it will be assigned to the country of
its most liquid stock exchange. BDI countries include: Anguilla, Antigua and Barbuda, Aruba, Bahamas, Barbados, Belize, Bermuda,
Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey, Isle
of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten, and Turks and Caicos Islands. For any companies
incorporated or headquartered in a U.S. territory, including countries such as Puerto Rico, Guam, and U.S. Virgin Islands, a U.S.
HCI is assigned. “N shares” of companies controlled by entities or individuals based in mainland China are not eligible
for inclusion in the Russell 2000® Index.
All securities eligible for inclusion in the
Russell 2000® Index must trade on a major U.S. exchange. Stocks must have a closing price at or above $1.00 on their
primary exchange on the “rank day” in May of each year (timetable is announced each spring) to be eligible for inclusion
during annual reconstitution. However, in order to reduce unnecessary turnover, if an existing member’s closing price is
less than $1.00 on the last day of May, it will be considered eligible if the average of the daily closing prices (from its primary
exchange) during the month of May is equal to or greater than $1.00. FTSE Russell adds initial public offerings (IPOs) each quarter
to ensure that new additions to the institutional investing opportunity set are reflected in representative indexes. A stock added
during the quarterly IPO process is considered a new index addition, and therefore must have a closing price on its primary exchange
at or above $1.00 on the last day of the eligibility period in order to qualify for index inclusion. If an existing index member
does not trade on the rank day, it must price at $1.00 or above on another eligible U.S. exchange to remain eligible.
Royalty trusts, limited liability companies,
closed-end investment companies (companies that are required to report Acquired Fund Fees and Expenses, as defined by the SEC,
including business development companies, are not eligible), blank check companies, special-purpose acquisition companies, exchange
traded funds, mutual funds and limited partnerships are ineligible for inclusion. Preferred and convertible preferred stock, redeemable
shares, participating preferred stock, warrants, rights, installment receipts and trust receipts are not eligible for inclusion
in the Russell 2000® Index.
Annual reconstitution is a process by which
the Russell 2000® Index is completely rebuilt. On the rank day of May, all eligible securities are ranked by their
total market capitalization. The largest 4,000 become the Russell 3000E Index, and the other FTSE Russell indexes are determined
from that set of securities. Reconstitution of the Russell 2000® Index occurs on the last Friday in June or, when
the last Friday in June is the 29th or 30th, reconstitution occurs on the prior Friday. In addition, FTSE Russell adds initial
public offerings to the Russell 2000® Index on a quarterly basis based on total market capitalization ranking within
the market-adjusted capitalization breaks established during the most recent reconstitution.
After membership is determined, a security’s
shares are adjusted to include only those shares available to the public. This is often referred to as “free float.”
The purpose of the adjustment is to exclude from market calculations the capitalization that is not available for purchase and
is not part of the investable opportunity set.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
License Agreement
“Russell 2000®”
and “Russell 3000®” are trademarks of FTSE Russell and have been licensed for use by us.
The securities are not sponsored,
endorsed, sold or promoted by FTSE Russell. FTSE Russell makes no representation or warranty, express or implied, to the owners
of the securities or any member of the public regarding the advisability of investing in securities generally or in the securities
particularly or the ability of the Russell 2000® Index to track general stock market performance or a segment of
the same. FTSE Russell's publication of the Russell 2000® Index in no way suggests or implies an opinion by FTSE
Russell as to the advisability of investment in any or all of the securities upon which the Russell 2000® Index
is based. FTSE Russell's only relationship to the Issuer is the licensing of certain trademarks and trade names of FTSE Russell
and of the Russell 2000® Index which is determined, composed and calculated by FTSE Russell without regard to the
Issuer or the securities. FTSE Russell is not responsible for and has not reviewed the securities nor any associated literature
or publications and FTSE Russell makes no representation or warranty express or implied as to their accuracy or completeness, or
otherwise. FTSE Russell reserves the right, at any time and without notice, to alter, amend, terminate or in any way change the
Russell 2000® Index. FTSE Russell has no obligation or liability in connection with the administration, marketing
or trading of the securities.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY
AND/OR THE COMPLETENESS OF THE RTY OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS,
OR INTERRUPTIONS THEREIN. FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, INVESTORS,
OWNERS OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RTY OR ANY DATA INCLUDED THEREIN. FTSE RUSSELL MAKES
NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE
OR USE WITH RESPECT TO THE RTY OR ANY DATA INCLUDED HEREIN WITHOUT LIMITING ANY OF THE FOREGOING. IN NO EVENT SHALL FTSE RUSSELL
HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF
THE POSSIBILITY OF SUCH DAMAGES.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
The NASDAQ-100 Index® is
a modified market capitalization-weighted index of the 100 largest non-financial companies listed on The NASDAQ Stock Market.
In addition, information about the NASDAQ-100
Index® may be obtained from other sources including, but not limited to, the NASDAQ-100 Index® sponsor’s
website (including information regarding the NASDAQ-100 Index®’s sector weightings). We are not incorporating
by reference into this pricing supplement the website or any material it includes. Neither we nor the agent makes any representation
that such publicly available information regarding the Index is accurate or complete.
Historical Information
We obtained the closing levels of the NASDAQ-100
Index® in the graph below from Bloomberg Financial Markets, without independent verification.
The following graph sets forth daily closing levels of the NASDAQ-100
Index® for the period from January 1, 2016 to March 30, 2021. The closing level on March 30, 2021 was 12,896.53. The historical
performance of the NASDAQ-100 Index® should not be taken as an indication of the future performance of the NASDAQ-100 Index®
during the term of the securities.
NASDAQ-100 Index® Daily
Closing Level
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
The NASDAQ-100 Index®
The NASDAQ-100 Index®
(“NDX”) is a modified market capitalization-weighted index of the 100 largest stocks of both U.S. and non-U.S. non-financial
companies listed on The NASDAQ Stock Market. It does not contain securities of financial companies, including investment companies.
The NDX, 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, Inc. (“NASDAQ”) publishes
the NDX. Current information regarding the market value of the NDX is available from NASDAQ, as well as numerous market information
services.
The share weights of the component
securities of the NDX 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 NDX is directly
proportional to the value of its share weight.
Index Calculation
At any moment in time, the level
of the NDX 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 NDX. 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 NDX, 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 (unless the security was dually listed on another
U.S. market prior to January 1, 2004 and has continuously maintained that listing);
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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 NDX, 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 security must have traded for at least three full calendar months,
not including the month of initial listing, on an “eligible exchange,” as determined under the index rules.
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Continued Eligibility Criteria
In addition,
to be eligible for continued inclusion in the NDX 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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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
|
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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 NDX 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 NDX 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 without regard to the securities.
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 NDX and that are ranked in the top 100 eligible securities (based on market capitalization)
are retained in the NDX. 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 NDX 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 NDX
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 to become ineligible for continued inclusion in the NDX, the security will be replaced
with the largest market capitalization security meeting the eligibility criteria listed above and not currently included in the
NDX.
Index Maintenance
In addition to the Ranking Review,
the securities in the NDX are monitored every day by NASDAQ 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 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 NDX 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 adjusts the divisor to ensure
that there is no discontinuity in the level of the NDX that might otherwise be caused by any of those changes. All changes will
be announced in advance.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
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Index Rebalancing
The Index is rebalanced on a quarterly basis
in March, June, September and December in accordance with NASDAQ’s rules. Rebalance changes become effective after the close
of trading on the third Friday in March, June, September and December. A special rebalance may be conducted at any time based on
specified weighting restrictions if it is determined to be necessary to maintain the integrity of the underlying index.
License Agreement
The securities 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 securities. The Corporations make no representation or warranty, express or implied to the owners of the securities
or any member of the public regarding the advisability of investing in securities generally or in the securities particularly,
or the ability of the NDX 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 securities. NASDAQ has no obligation to take the needs of the Licensee or the owners of the securities into consideration
in determining, composing or calculating the NASDAQ-100 Index®. The Corporations are not responsible for and have
no participated in the determination of the timing of, prices at, or quantities of the securities to be issued or in the determination
or calculation of the equation by which the securities is to be converted into cash. The Corporations have no liability in connection
with the administration, marketing or trading of the securities.
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 SECURITIES, 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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
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Benefit Plan Investor Considerations
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A fiduciary of a pension, profit-sharing
or other employee benefit plan subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”
and, each such plan, an “ERISA Plan”) should consider the fiduciary standards of ERISA in the context of the
ERISA Plan’s particular circumstances before authorizing an investment in the securities. Among other factors, the fiduciary
should consider whether the investment would satisfy the prudence and diversification requirements of ERISA and would be consistent
with the documents and instruments governing the ERISA Plan, and whether the investment would involve a prohibited transaction
under Section 406 of ERISA or Section 4975 of the Internal Revenue Code of 1986, as amended (the “Code”).
Section 406 of ERISA and Section 4975
of the Code prohibit ERISA Plans, individual retirement accounts and Keogh plans subject to Section 4975 of the Code and entities
such as collective investment funds, partnerships or separate accounts whose underlying assets are deemed to include “plan
assets” of such ERISA Plans, accounts or plans (collectively, “Plans”), from engaging in certain transactions
involving “plan assets” with persons who are “parties in interest” under ERISA or “disqualified
persons” under the Code (in either case referred to herein as “parties in interest”) with respect
to such Plans. As a result of our business, we and our current and future affiliates may be parties in interest with respect to
many Plans. Where the Bank of Montreal or our affiliate is or becomes a party in interest with respect to a Plan, the purchase
and holding of the securities by or on behalf of the Plan could be a prohibited transaction under Section 406 of ERISA and/or Section
4975 of the Code and result in civil penalties or other liabilities under ERISA or an excise tax under Section 4975 of the Code
unless such acquisition and holding is pursuant to and in accordance with applicable statutory, regulatory or administrative relief.
In this regard, Section 408(b)(17)
of ERISA and Section 4975(d)(20) of the Code provide an exemption for the purchase and sale of securities and related lending
transactions where neither Bank of Montreal nor any of its affiliates have or exercise any discretionary authority or control or
render any investment advice with respect to the assets of the Plan involved in the transaction and the Plan pays no more and receives
no less than “adequate consideration” in connection with the transaction (the “Service Provider Exemption”).
Moreover, the United States Department of Labor has issued five prohibited transaction class exemptions, or “PTCEs”,
that may provide exemptive relief if required for direct or indirect prohibited transactions that may arise from the purchase or
holding of the securities. Those exemptions are:
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PTCE 84-14, an exemption for certain transactions determined or effected
by independent qualified professional asset managers;
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PTCE 90-1, an exemption for certain transactions involving insurance
company pooled separate accounts;
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PTCE 91-38, an exemption for certain transactions involving bank collective
investment funds;
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PTCE 95-60, an exemption for transactions involving certain insurance
company general accounts; and
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PTCE 96-23, an exemption for plan asset transactions managed by in-house
asset managers.
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Accordingly, the securities may not be purchased
or held by any Plan or any person investing “plan assets” of any plan, unless in each case the purchaser or
holder is eligible for exemptive relief under one or more of the PTCEs listed above or under the Service Provider Exemption or
there is some other basis on which the purchase and holding of the securities will not constitute a non-exempt prohibited transaction
under Section 406 of ERISA or Section 4975 of the Code. Each purchaser or holder of the securities or any interest therein will
therefore be deemed to have represented by such purchase and holding that it either (1) is not a Plan and is not purchasing
the securities on behalf of or with “plan assets” of any Plan or (2) its purchase and holding of the securities
will not result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code.
Certain employee benefit plans and arrangements
including those that are governmental plans (as defined in section 3(32) of ERISA), church plans (as defined in Section 3(33)
of ERISA) and non-U.S. plans (as described in Section 4(b)(4) of ERISA) (collectively, “Non-ERISA Arrangements”)
are not subject to the prohibited transaction rules of Section 406 of ERISA or Section 4975 of the Code, but may be subject to
similar rules under applicable laws or regulations (“Similar Laws”). As such, any purchaser or holder of the
securities or any interest in the securities which is, or is investing the assets of, a non-ERISA arrangement will be deemed to
have represented by its purchase and holding of the securities that such purchase and holding will not violate the provisions of
any Similar Laws.
Due to the complexity of these rules and
the penalties that may be imposed upon persons involved in non-exempt prohibited transactions, it is important that fiduciaries
or other persons considering purchasing the securities on behalf of or with “plan assets” of any Plan or non-ERISA
arrangement consult with their counsel regarding the availability of exemptive relief under any of the PTCEs listed above, the
Service Provider Exemption or any other applicable exemption, or the potential consequences of any purchase or holding under Similar
Laws, as applicable. If you are an insurance company or the fiduciary of a pension plan or an employee benefit plan, and propose
to invest in the securities, you should consult your legal counsel.
None of us, the agent or our respective
affiliates is undertaking to provide impartial investment advice, or to give advice in a fiduciary capacity, in connection with
the acquisition or holding of securities by any Plan or Non-ERISA Arrangement. Each purchaser and holder of the securities has
exclusive responsibility for ensuring that its purchase, holding and subsequent disposition of the securities do not violate the
fiduciary or prohibited transaction rules of ERISA, the Code or any Similar Laws. The sale of securities to any Plan or Non-ERISA
Arrangement is in no respect a representation by Bank of Montreal, the agent or any of our respective affiliates that such an investment
is appropriate for, or meets all applicable legal requirements with respect to investments by, Plans or Non-ERISA Arrangements.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Dow Jones Industrial Average®, Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2026
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