Registration Statement No.333-264388
Filed Pursuant to Rule 424(b)(2)
Pricing Supplement dated September 06, 2024 to the Prospectus dated May 26, 2022,
the Prospectus Supplement dated May 26, 2022 and the Product Supplement dated July 22, 2022
US$2,285,000
Senior Medium-Term Notes, Series I
Callable Barrier Notes with Contingent Coupons due September 13, 2027
Linked to the Least Performing of the Dow Jones Industrial Average® and the Nasdaq-100 Technology Sector Index and the shares of
the Utilities Select Sector SPDR® Fund
| · | The notes are designed for investors who are seeking monthly contingent periodic interest payments (as
described in more detail below), as well as a return of principal if the notes are redeemed prior to maturity. Investors should be willing
to have their notes redeemed prior to maturity, be willing to forego any potential to participate in any increase in the level of the
Reference Assets and be willing to lose some or all of their principal at maturity. |
| · | The notes will pay a Contingent Coupon on each Contingent Coupon Payment Date at the Contingent Interest
Rate of 0.904% per month (approximately 10.85% per annum) if the closing level of each of the Dow Jones Industrial Average®, the Nasdaq-100
Technology Sector Index, and the Utilities Select Sector SPDR® Fund (each, a "Reference Asset" and, collectively, the "Reference
Assets") on the applicable monthly Observation Date is greater than or equal to its Coupon Barrier Level. However, if the closing
level of any Reference Asset is less than its Coupon Barrier Level on an Observation Date, the notes will not pay the Contingent Coupon
for that Observation Date. |
| · | Beginning on September 10, 2025, Bank of Montreal may, in its discretion, elect to call the notes in
whole, but not in part, on any Observation Date (an "Issuer Call"). If Bank of Montreal elects to call the notes, investors
will receive their principal amount plus any Contingent Coupon otherwise due on the Contingent Coupon Payment Date following the Issuer
Call (the "Call Settlement Date"). After the notes are redeemed pursuant to an Issuer Call, investors will not receive any additional
payments in respect of the notes. |
| · | The notes do not guarantee any return of principal at maturity. Instead, if the notes are not redeemed
pursuant to an Issuer Call, the payment at maturity will be based on the Final Level of each Reference Asset and whether the Final Level
of any Reference Asset has declined from its Initial Level to below its Trigger Level on the Valuation Date (a “Trigger Event”),
as described below. |
| · | If the notes are not subject to an Issuer Call and a Trigger Event has occurred, investors will lose
1% of the principal amount for each 1% decrease in the level of the Least Performing Reference Asset (as defined below) from its Initial
Level to its Final Level. In such a case, you will receive a cash amount at maturity that is less than the principal amount. |
| · | Investing in the notes is not equivalent to a hypothetical direct investment in the Reference Assets. |
| · | The notes will not be listed on any securities exchange. |
| · | All payments on the notes are subject to the credit risk of Bank of Montreal. |
| · | The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000. |
| · | Our subsidiary, BMO Capital Markets Corp. (“BMOCM”), is the agent for this offering. See
“Supplemental Plan of Distribution (Conflicts of Interest)” below. |
| · | The notes will not be subject to conversion into our common shares or the common shares of any of our
affiliates under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act (the “CDIC Act”). |
Terms of the Notes:
Pricing Date: |
September 06, 2024 |
|
Valuation Date: |
September 08, 2027 |
Settlement Date: |
September 11, 2024 |
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Maturity Date: |
September 13, 2027 |
Specific Terms of the Notes:
Callable
Number |
Reference
Assets |
Ticker
Symbol |
Initial
Level |
Contingent
Interest Rate |
Coupon
Barrier
Level* |
Trigger
Level* |
CUSIP |
Principal
Amount |
Price to
Public1 |
Agent’s
Commission1 |
Proceeds to
Bank of
Montreal1 |
3943 |
The Dow Jones Industrial Average® |
INDU |
40,345.41 |
0.904% per month (approximately 10.85% per annum)
|
32,276.33, 80.00% of its Initial Level |
28,241.79, 70.00% of its Initial Level |
06376BQ68 |
$2,285,000.00 |
100% |
0.50%
$11,425.00
|
99.50%
$2,273,575.00
|
The Nasdaq-100 Technology Sector Index |
NDXT |
9,618.78 |
7,695.02, 80.00% of its Initial Level |
6,733.15, 70.00% of its Initial Level |
The shares of Utilities Select Sector SPDR® Fund |
XLU |
$75.91 |
$60.73, 80.00% of its Initial Level |
$53.14, 70.00% of its Initial Level |
1 The total “Agent’s Commission” and “Proceeds
to Bank of Montreal” specified above reflect the aggregate amounts at the time Bank of Montreal established its hedge positions
on or prior to the Pricing Date, which may have been variable and fluctuated depending on market conditions at such times. Certain dealers
who purchased the notes for sale to certain fee-based advisory accounts may have foregone some or all of their selling concessions, fees
or commissions. The public offering price for investors purchasing the notes in these accounts was between $995.00 and $1,000 per $1,000
in principal amount. We or one of our affiliates will also pay a referral fee to certain dealers of up to 0.45% of the principal amount
in connection with the distribution of the notes.
* Rounded to two decimal places.
Investing in the notes involves risks, including
those described in the “Selected Risk Considerations” section beginning on page P-5 hereof, the “Additional Risk Factors
Relating to the Notes” section beginning on page PS-6 of the product supplement, and the “Risk Factors” section beginning
on page S-1 of the prospectus supplement and on page 8 of the prospectus.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of these notes or passed upon the accuracy of this document, the product
supplement, the prospectus supplement or the prospectus. Any representation to the contrary is a criminal offense. The notes will be our
unsecured obligations and will not be savings accounts or deposits that are insured by the United States Federal Deposit Insurance Corporation,
the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency or instrumentality or other entity.
On the date hereof, based on the terms set forth
above, the estimated initial value of the notes is $966.86 per $1,000 in principal amount. However, as discussed in more detail below,
the actual value of the notes at any time will reflect many factors and cannot be predicted with accuracy.
BMO CAPITAL MARKETS
Key Terms of the Notes:
Reference Assets: |
The Dow Jones Industrial Average® (ticker symbol "INDU") and the Nasdaq-100 Technology Sector Index (ticker symbol "NDXT") and the shares of Utilities Select Sector SPDR® Fund (ticker symbol "XLU"). See "The Reference Assets" below for additional information. |
|
|
Underlying Index: |
With respect to Utilities Select Sector SPDR® Fund, the Utilities Select Sector Index. |
|
|
Contingent Coupons: |
If the closing level of each Reference Asset on an Observation Date is greater than or equal to its Coupon Barrier Level, a Contingent Coupon will be paid on the corresponding Contingent Coupon Payment Date at the Contingent Interest Rate, subject to the Issuer Call feature. |
|
|
Contingent Interest Rate: |
0.904% per month (approximately 10.85% per annum), if payable. Accordingly, each Contingent Coupon, if payable, will equal $9.04 for each $1,000 in principal amount. |
|
|
Observation Dates:1 |
Three trading days prior to each scheduled Contingent Coupon Payment Date. |
|
|
Contingent Coupon Payment
Dates:1 |
Interest, if payable, will be paid on the 13th day of each month (or, if such day is not a business day, the next following business day), beginning on October 13, 2024 and ending on the Maturity Date, subject to the Issuer Call feature. |
|
|
Issuer Call: |
Beginning on September 10, 2025, Bank of Montreal may, in its discretion, elect to call the notes in whole, but not in part, on any Observation Date. After the notes are redeemed pursuant to the Issuer Call, investors will not receive any additional payments in respect of the notes. If Bank of Montreal elects to call the notes, the Bank of Montreal will deliver notice to the trustee on or before the applicable Observation Date. |
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|
Payment upon Issuer Call: |
If Bank of Montreal elects to call the notes, investors will receive their principal amount plus any Contingent Coupon otherwise due on the Call Settlement Date. |
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|
Call Settlement Date:1 |
If Bank of Montreal elects to call the notes, the Contingent Coupon Payment Date immediately following the relevant Observation Date. |
|
|
Payment at Maturity: |
If the notes are not subject to an Issuer Call, the payment at maturity
for the notes is based on the performance of the Reference Assets.
You will receive $1,000 for each $1,000 in principal amount of the note,
unless a Trigger Event has occurred.
If a Trigger Event has occurred, you will receive at maturity, for each
$1,000 in principal amount of your notes, a cash amount equal to:
$1,000 + [$1,000 x Percentage Change of the Least
Performing Reference Asset]
This amount will be less than the principal amount
of your notes, and may be zero.
You will also receive the final Contingent Coupon, if payable. |
|
|
Trigger Event:2 |
A Trigger Event will be deemed to occur if the Final Level of any Reference Asset is less than its Trigger Level on the Valuation Date. |
|
|
Least Performing Reference Asset: |
The Reference Asset with the lowest Percentage Change. |
|
|
Percentage Change: |
With respect to each Reference Asset, the quotient, expressed as a percentage,
of the following formula:
(Final Level - Initial Level)
Initial Level |
|
|
Initial Level:2 |
As set forth on the cover hereof. |
|
|
Coupon Barrier Level:2 |
32,276.33 with respect to INDU, 7,695.02 with respect to NDXT, and $60.73 with respect to XLU, each of which is 80.00% of the respective Initial Level (rounded to two decimal places). |
|
|
Trigger Level:2 |
28,241.79 with respect to INDU, 6,733.15 with respect to NDXT, and $53.14 with respect to XLU, each of which is 70.00% of the respective Initial Level (rounded to two decimal places). |
|
|
Final Level: |
With respect to each Reference Asset, the closing level of that Reference Asset on the Valuation Date. |
Pricing Date: |
September 06, 2024 |
|
|
Settlement Date: |
September 11, 2024 |
|
|
Valuation Date:1 |
September 08, 2027 |
|
|
Maturity Date:1 |
September 13, 2027 |
|
|
Calculation Agent: |
BMOCM |
|
|
Selling Agent: |
BMOCM |
1 Subject to the occurrence of a market disruption event,
as described in the accompanying product supplement.
2 As determined by the calculation agent and subject to adjustment
in certain circumstances. See “General Terms of the Notes — Anti-dilution Adjustments to a Reference Asset that Is an Equity
Security (Including Any ETF)” and “— Adjustments to a Reference Asset that Is an ETF” in the product supplement
with respect to the Utilities Select Sector SPDR® Fund and "General Terms of the Notes - Adjustments to a Reference Asset that
is an Index" with respect to the Nasdaq-100 Technology Sector Index and the Dow Jones Industrial Average® in the product supplement
for additional information.
Additional Terms of the Notes
You should read this document together with the
product supplement dated July 22, 2022, the prospectus supplement dated May 26, 2022 and the prospectus dated May 26, 2022. This document,
together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements
as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for
implementation, sample structures, fact sheets, brochures or other educational materials of ours or the agent. You should carefully
consider, among other things, the matters set forth in Additional Risk Factors Relating to the Notes in the product supplement, as the
notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and
other advisers before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Product supplement dated July 22, 2022:
https://www.sec.gov/Archives/edgar/data/927971/000121465922009102/r712220424b2.htm
Prospectus supplement dated May 26, 2022 and prospectus dated
May 26, 2022:
https://www.sec.gov/Archives/edgar/data/0000927971/000119312522160519/d269549d424b5.htm
Our Central Index Key, or CIK, on the SEC website
is 927971. As used in this document, "we", "us" or "our" refers to Bank of Montreal.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Reference Assets. These risks are explained in more detail
in the “Additional Risk Factors Relating to the Notes” section of the product supplement.
Risks Related to the Structure or Features of the Notes
| · | Your investment in the notes may result in a loss. — The notes do not guarantee any return of principal. If the notes
are not subject to an Issuer Call, the payment at maturity will be based on the Final Level of each Reference Asset and whether a Trigger
Event has occurred. If the Final Level of any Reference Asset is less than its Trigger Level, a Trigger Event will occur, and you will
lose 1% of the principal amount for each 1% that the Final Level of the Least Performing Reference Asset is less than its Initial Level.
In such a case, you will receive at maturity a cash payment that is less than the principal amount of the notes and may be zero. Accordingly,
you could lose your entire investment in the notes. |
| · | You may not receive any Contingent Coupons with respect to your notes. — We will not necessarily make periodic interest
payments on the notes. If the closing level of any Reference Asset on an Observation Date is less than its Coupon Barrier Level, we will
not pay you the Contingent Coupon applicable to that Observation Date. If the closing level of a Reference Asset is less than its Coupon
Barrier Level on each of the Observation Dates, we will not pay you any Contingent Coupons during the term of the notes, and you will
not receive a positive return on the notes. Generally, this non-payment of any Contingent Coupons will coincide with a greater risk of
principal loss on your notes. |
| · | We may elect to call the notes, and the notes are subject to reinvestment risk. — We may elect to call the notes at our
discretion prior to the Maturity Date. If we elect to call your notes early, you will not receive any additional Contingent Coupons on
the notes, and you may not be able to reinvest your proceeds in an investment with returns that are comparable to the notes. Further,
our right to call the notes may also adversely impact your ability to sell your notes in the secondary market. It is more likely that
we will elect to call the notes prior to maturity when the expected amounts payable on the notes are greater than the amount that would
be payable on other instruments issued by us of comparable maturity, terms and credit rating trading in the market. The greater likelihood
of us calling the notes in that environment increases the risk that you will not be able to reinvest the proceeds from the called notes
in an equivalent investment with similar potential returns. To the extent you are able to reinvest such proceeds in an investment comparable
to the notes, you may incur transaction costs such as dealer discounts and hedging costs built into the price of the new securities. We
are less likely to call the notes prior to maturity when the expected amounts payable on the notes are less than the amounts that would
be payable on other comparable instruments issued by us, which includes when a Reference Asset is performing unfavorably to you. Therefore,
the notes are more likely to remain outstanding when the expected amount payable on the notes is less than what would be payable on other
comparable instruments and when your risk of not receiving any positive return on your initial investment is relatively higher. |
| · | Your return on the notes is limited to the Contingent Coupons, if any, regardless of any increase in the level of any Reference
Asset. — You will not receive a payment at maturity with a value greater than your principal amount plus the final Contingent
Coupon, if payable. In addition, if the notes are subject to an Issuer Call, you will not receive a payment greater than the principal
amount plus any applicable Contingent Coupon. Accordingly, your maximum return on the applicable notes is limited to the potential return
represented by the Contingent Coupons. |
| · | Whether you receive any Contingent Coupons and your payment at maturity may be determined solely by reference to the least performing
Reference Asset, even if any other Reference Assets perform better. - We will only make each Contingent Coupon payment on the notes
if the closing level of each Reference Asset on the applicable Observation Date exceeds the applicable Coupon Barrier, even if the levels
of any other Reference Assets have increased significantly. Similarly, if a Trigger Event occurs with respect to any Reference Asset and
the Final Level of any Reference Asset is less than its Initial Level, your payment at maturity will be determined by reference to the
performance of the Least Performing Reference Asset. Even if the levels of any other Reference Assets have increased over the term of
the notes, or have experienced a decline that is less than that of the Least Performing Reference Asset, your return at maturity will
only be determined by reference to the performance of the Least Performing Reference Asset if a Trigger Event occurs. |
| · | The payments on the notes will be determined by reference to each Reference Asset individually, not to a basket, and the payments
on the notes will be based on the performance of the least performing Reference Asset. — Whether each Contingent Coupon is
payable, and the payment at maturity if a Trigger Event occurs, will be determined only by reference to the performance of the least performing
Reference Asset as of the applicable Observation Date and/or Valuation Date, regardless of the performance of any other Reference Assets.
The notes are not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components.
For example, in the case of notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket
components reflected as the basket return. As a result, a decrease of the level of one basket component could be mitigated by the increase
of the level of the other basket components, as scaled by the weighting of that basket component. However, in the case of the notes, the
individual performance of each Reference Asset will not be combined, and the performance of one Reference Asset will not be mitigated
by any positive performance of any other Reference Assets. Instead, your receipt of Contingent Coupon payments on the notes will depend
on the level of each Reference Asset on each Observation Date, and your return at maturity will depend solely on the Final Level of the
Least Performing Reference Asset if a Trigger Event occurs. |
| · | Your return on the notes may be lower than the return on a conventional debt security of comparable maturity. — The
return that you will receive on your notes, which could be negative, may be less than the return you could earn on other investments.
The notes do not provide for fixed interest payments and you may not receive any Contingent Coupons over the term of the notes. Even if
you do receive one or more Contingent Coupons and your return on the notes is positive, your return may be less than the return you would
earn if you bought a conventional senior interest bearing debt security of ours with the same maturity or if you invested directly in
the Reference Assets. Your investment may not reflect the full opportunity cost to you when you take into account factors that affect
the time value of money. |
| · | A higher Contingent Interest Rate or lower Trigger Levels or Coupon Barrier Levels may reflect greater expected volatility of the
Reference Assets, and greater expected volatility generally indicates an increased risk of loss at maturity. — The economic
terms for the notes, including the Contingent Interest Rate, Coupon Barrier Levels and Trigger Levels, are based, in part, on the expected
volatility of the Reference Assets at the time the terms of the notes are set. “Volatility” refers to the frequency and magnitude
of changes in the level of a Reference Asset. The greater the expected volatility of the Reference Assets as of the Pricing Date, the
greater the expectation is as of that date that the closing level of a Reference Asset could be less than its Coupon Barrier Level on
any Observation Date and that a Trigger Event could occur and, as a consequence, indicates an increased risk of not receiving a Contingent
Coupon and an increased risk of loss, respectively. All things being equal, this greater expected volatility will generally be reflected
in a higher Contingent Interest Rate than the yield payable on our conventional debt securities with a similar maturity or on otherwise
comparable securities, and/or a lower Trigger Levels and/or Coupon Barrier Levels than those terms on otherwise comparable securities.
Therefore, a relatively higher Contingent Interest Rate may indicate an increased risk of loss. Further, relatively lower Trigger Levels
and/or Coupon Barriers may not necessarily indicate that the notes have a greater likelihood of a return of principal at maturity and/or
paying Contingent Coupons. You should be willing to accept the downside market risk of the Reference Assets and the potential to lose
a significant portion or all of your initial investment. |
Risks Related to the Reference Assets
| · | Owning the notes is not the same as owning shares of any Reference Assets, making a hypothetical direct investment in any Reference
Assets or owning a security directly linked to the Reference Assets. — The return on your notes will not reflect the return
you would realize if you actually owned shares of any Reference Assets, made a hypothetical direct investment in any Reference Assets
or the underlying securities of any Reference Assets, or owned a security directly linked to the performance of the Reference Assets or
the underlying securities of the Reference Assets and held that investment for a similar period. Your notes may trade quite differently
from the Reference Assets. Changes in the level of a Reference Asset may not result in comparable changes in the market value of your
notes. Even if the levels of the Reference Assets increase during the term of the notes, the market value of the notes prior to maturity
may not increase to the same extent. It is also possible for the market value of the notes to decrease while the levels of the Reference
Assets increase. In addition, any dividends or other distributions paid on a Reference Asset will not be reflected in the amount payable
on the notes. |
| · | You will not have any shareholder rights and will have no right to receive any shares of any Reference Asset (or any company included
in a Reference Asset) at maturity. — Investing in your notes will not make you a holder of any shares of any Reference Asset
or any securities held by or included in the Reference Assets. Neither you nor any other holder or owner of the notes will have any voting
rights, any right to receive dividends or other distributions, or any other rights with respect to any Reference Asset or such underlying
securities. |
| · | No delivery of shares of the Reference Assets. — The notes will be payable only in cash. You should not invest in the
notes if you seek to have the shares of a Reference Asset delivered to you at maturity. |
| · | Changes that affect an Underlying Index will affect the market value of the notes and the amount you will receive at maturity.
— With respect to a Reference Asset that is an ETF, the policies of the applicable index sponsor concerning the calculation
of the applicable Underlying Index, additions, deletions or substitutions of the components of the applicable Underlying Index and the
manner in which changes affecting those components, such as stock dividends, reorganizations or mergers, may be reflected in the applicable
Reference Asset and, therefore, could affect the share price of the Reference Asset, the amounts payable on the notes and the market value
of the notes prior to maturity. The amount payable on the notes and their market value could also be affected if the applicable index
sponsor changes these policies, for example, by changing the manner in which it calculates the applicable Underlying Index, or if the
applicable index sponsor discontinues or suspends the calculation or publication of the applicable Underlying Index. |
| · | We have no affiliation with any index sponsor and will not be responsible for any index sponsor's actions. — The sponsors
of any Reference Asset or Underlying Index, as applicable, are not our affiliates and will not be involved in the offering of the notes
in any way. Consequently, we have no control over the actions of any index sponsor, including any actions of the type that would require
the calculation agent to adjust the payment to you at maturity. The index sponsors have no obligation of any sort with respect to the
notes. Thus, the index sponsors have no obligation to take your interests into consideration for any reason, including in taking any actions
that might affect the value of the notes. None of our proceeds from the issuance of the notes will be delivered to any index sponsor of
any Reference Asset or any Underlying Index. |
| · | Adjustments to a Reference Asset that is an ETF could adversely affect the notes. — The sponsor and advisor of each
ETF Reference Asset is responsible for calculating and maintaining that Reference Asset. The sponsor and advisor of each ETF Reference
Asset can add, delete or substitute the stocks comprising that Reference Asset or make other methodological changes that could change
the share price of the applicable Reference Asset at any time. If one or more of these events occurs, the calculation of the amount payable
at maturity may be adjusted to reflect such event or events. Consequently, any of these actions could adversely affect the amount payable
at maturity and/or the market value of the notes. |
| · | Changes that affect a Reference Asset that is an index could adversely affect the notes. — The policies of the sponsor
of each index Reference Asset with respect to the applicable Reference Asset concerning the calculation of the applicable Reference Asset,
additions, deletions or substitutions of the components of the applicable Reference Asset and the manner in which changes affecting those
components, such as stock dividends, reorganizations or mergers, may be reflected in the applicable Reference Asset and, therefore, could
affect the level of the applicable Reference Asset, the amount payable on the notes at maturity and the market value of the notes prior
to maturity. The amount payable on the notes and their market value could also be affected if an index sponsor changes these policies,
for example, by changing the manner in which it calculates the applicable Reference Asset, or if an index sponsor discontinues or suspends
the calculation or publication of the applicable Reference Asset. If an index sponsor discontinues publication of a Reference Asset, the
calculation agent may select a successor index (and make any corresponding adjustments to the applicable Initial Level, Coupon Barrier
Level and Trigger Level) which will be used as a substitute for the relevant Reference Asset for all purposes with respect to the notes. |
| · | We and our affiliates do not have any affiliation with any applicable investment advisor or any Reference Asset Issuer and are
not responsible for their public disclosure of information. — The investment advisor of each ETF Reference Asset advises the
issuer of the applicable Reference Asset (each, a “Reference Asset Issuer” and, collectively, the “Reference Asset Issuers”)
on various matters, including matters relating to the policies, maintenance and calculation of the applicable Reference Asset. We and
our affiliates are not affiliated with the investment advisor of any Reference Asset or any Reference Asset Issuer in any way and have
no ability to control or predict their actions, including any errors in or discontinuance of disclosure regarding the methods or policies
relating to a Reference Asset. No investment advisor of a Reference Asset nor any Reference Asset Issuer is involved in the offerings
of the notes in any way and has no obligation to consider your interests as an owner of the notes in taking any actions relating to a
Reference Asset that might affect the value of the notes. Neither we nor any of our affiliates has independently verified the adequacy
or accuracy of the information about any investment advisor or any Reference Asset Issuer contained in any public disclosure of information.
You, as an investor in the notes, should make your own investigation into any Reference Asset Issuers. |
| · | The correlation between the performance of an ETF Reference Asset and the performance of the applicable Underlying Index may be
imperfect. — The performance of each ETF Reference Asset is linked principally to the performance of the applicable Underlying
Index. However, because of the potential discrepancies identified in more detail in the product supplement, the return on an ETF Reference
Asset may correlate imperfectly with the return on the applicable Underlying Index. |
| · | Any Reference Asset that is an ETF is subject to management risks. — Any Reference Asset that is an ETF is subject to
management risk, which is the risk that the applicable investment advisor’s investment strategy, the implementation of which is
subject to a number of constraints, may not produce the intended results. For example, the applicable investment advisor may invest a
portion of a Reference Asset Issuer’s assets in securities not included in the relevant industry or sector but which the applicable
investment advisor believes will help the applicable Reference Asset track the relevant industry or sector. |
| · | You must rely on your own evaluation of the merits of an investment linked to the Reference Assets. — In the ordinary
course of their businesses, our affiliates from time to time may express views on expected movements in the levels of the Reference Assets
or the prices of the securities held by or included in the Reference Assets. One or more of our affiliates have published, and in the
future may publish, research reports that express views on the Reference Assets or these securities. However, these views are subject
to change from time to time. Moreover, other professionals who deal in the markets relating to the Reference Assets at any time may have
significantly different views from those of our affiliates. You are encouraged to derive information concerning the Reference Assets from
multiple sources, and you should not rely on the views expressed by our affiliates. Neither the offering of the notes nor any views which
our affiliates from time to time may express in the ordinary course of their businesses constitutes a recommendation as to the merits
of an investment in the notes. |
Risks Relating to the Nasdaq-100 Technology Sector Index
| · | An investment in the notes is subject to risks relating to companies engaged in the technology sector, — The securities
included in the Nasdaq-100 Technology Sector Index are concentrated in the technology sector. Market or economic factors impacting technology
companies and companies that rely heavily on technological advances could have a major effect on the level of the Nasdaq-100 Technology
Sector Index. The value of stocks of technology companies and companies that rely heavily on technology is particularly vulnerable to
rapid changes in technology product cycles, rapid product obsolescence, government regulation and competition, both in the U.S. and internationally.
Stocks of technology companies and companies that rely heavily on technology tend to be more volatile than the overall market. Technology
companies are heavily dependent on patent and intellectual property rights, the loss or impairment of which may adversely affect profitability.
Additionally, companies in the technology sector may face dramatic and often unpredictable changes in growth rates and competition for
the services of qualified personnel. Any of these factors could reduce the level of the Basket, and adversely impact the payments on the
notes. |
| · | An investment in the notes is subject to risks associated with foreign securities markets. — The Nasdaq-100 Technology
Sector Index tracks the value of certain foreign equity securities. You should be aware that investments in securities linked to the value
of foreign equity securities involve particular risks. The foreign securities markets comprising the Nasdaq-100 Technology Sector Index
may have less liquidity and may be more volatile than U.S. or other securities markets and market developments may affect foreign markets
differently from U.S. or other securities markets. Direct or indirect government intervention to stabilize these foreign securities markets,
as well as cross-shareholdings in foreign companies, may affect trading prices and volumes in these markets. Also, there is generally
less publicly available information about foreign companies than about those U.S. companies that are subject to the reporting requirements
of the U.S. Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial reporting standards
and requirements that differ from those applicable to U.S. reporting companies.
Prices of securities in foreign countries are subject to political, economic, financial and social factors that apply in those geographical
regions. These factors, which could negatively affect those securities markets, include the possibility of recent or future changes in
a foreign government’s economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other
laws or restrictions applicable to foreign companies or investments in foreign equity securities and the possibility of fluctuations in
the rate of exchange between currencies, the possibility of outbreaks of hostility and political instability and the possibility of natural
disaster or adverse public health developments in the region. Moreover, foreign economies may differ favorably or unfavorably from the
U.S. economy in important respects such as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. |
Risks Relating to the Utilities Select Sector SPDR® Fund
| · | An investment in the notes is subject to risks associated with investments in securities with a concentration in the utilities
sector. — All or substantially all of the securities tracked by the Utilities Select Sector SPDR® Fund are stocks of companies
whose primary business is directly associated with the utilities sector. Because the value of the notes is linked to the performance of
the Utilities Select Sector SPDR® Fund , an investment in the notes exposes investors to risks associated with investments in securities
with a concentration in the utilities sector. Utility companies are affected by supply and demand, operating costs, government regulation,
environmental factors, liabilities for environmental damage and general civil liabilities and rate caps or rate changes. Although rate
changes of a regulated utility usually fluctuate in approximate correlation with financing costs, due to political and regulatory factors,
rate changes ordinarily occur only following a delay after the changes in financing costs. This factor will tend to favorably affect a
regulated utility company’s earnings and dividends in times of decreasing costs, but, conversely, will tend to adversely affect
earnings and dividends when costs are rising. The value of regulated utility equity securities may tend to have an inverse relationship
to the movement of interest rates. Certain utility companies have experienced full or partial deregulation in recent years. These utility
companies are frequently more similar to industrial companies in that they are subject to greater competition and have been permitted
by regulators to diversify outside of their original geographic regions and their traditional lines of business. These opportunities may
permit certain utility companies to earn more than their traditional regulated rates of return. Some companies, however, may be forced
to defend their core business and may be less profitable. In addition, natural disasters, terrorist attacks, government intervention or
other factors may render a utility company’s equipment unusable or obsolete and negatively impact profitability. Among the risks
that may affect utility companies are the following: risks of increases in fuel and other operating costs; the high cost of borrowing
to finance capital construction during inflationary periods; restrictions on operations and increased costs and delays associated with
compliance with environmental and nuclear safety regulations; and the difficulties involved in obtaining natural gas for resale or fuel
for generating electricity at reasonable prices. Other risks include those related to the construction and operation of nuclear power
plants, the effects of energy conservation and the effects of regulatory changes. The value of the notes may be subject to greater volatility
and be more adversely affected by a single economic, political or regulatory occurrence affecting the utilities sector than a different
investment linked to securities of a more broadly diversified group of issuers. |
General Risk Factors
| · | Your investment is subject to the credit risk of Bank of Montreal. — Our credit ratings and credit spreads may adversely
affect the market value of the notes. Investors are dependent on our ability to pay any amounts due on the notes, and therefore investors
are subject to our credit risk and to changes in the market’s view of our creditworthiness. Any decline in our credit ratings or
increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of the notes. |
| · | Potential conflicts. — We and our affiliates play a variety of roles in connection with the issuance of the notes, including
acting as calculation agent. In performing these duties, the economic interests of the calculation agent and other affiliates of ours
are potentially adverse to your interests as an investor in the notes. We or one or more of our affiliates may also engage in trading
of shares of any Reference Asset that is an ETF or the securities held by or included in a Reference Asset on a regular basis as part
of our general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions
for our customers. Any of these activities could adversely affect the level of the Reference Assets and, therefore, the market value of,
and the payments on, the notes. We or one or more of our affiliates may also issue or underwrite other securities or financial or derivative
instruments with returns linked or related to changes in the performance of the Reference Assets. By introducing competing products into
the marketplace in this manner, we or one or more of our affiliates could adversely affect the market value of the notes. |
| · | Our initial estimated value of the notes is lower than the price to public. — Our initial estimated value of the notes
is only an estimate, and is based on a number of factors. The price to public of the notes exceeds our initial estimated value, because
costs associated with offering, structuring and hedging the notes are included in the price to public, but are not included in the estimated
value. These costs include any underwriting discount and selling concessions, the profits that we and our affiliates expect to realize
for assuming the risks in hedging our obligations under the notes and the estimated cost of hedging these obligations. |
| · | Our initial estimated value does not represent any future value of the notes, and may also differ from the estimated value of any
other party. — Our initial estimated value of the notes as of the date hereof is derived using our internal pricing models.
This value is based on market conditions and other relevant factors, which include volatility of the Reference Assets, dividend rates
and interest rates. Different pricing models and assumptions could provide values for the notes that are greater than or less than our
initial estimated value. In addition, market conditions and other relevant factors after the Pricing Date are expected to change, possibly
rapidly, and our assumptions may prove to be incorrect. After the Pricing Date, the value of the notes could change dramatically due to
changes in market conditions, our creditworthiness, and the other factors set forth herein and in the product supplement. These changes
are likely to impact the price, if any, at which we BMOCM would be willing to purchase the notes from you in any secondary market transactions.
Our initial estimated value does not represent a minimum price at which we or our affiliates would be willing to buy your notes in any
secondary market at any time. |
| · | The terms of the notes were not determined by reference to the credit spreads for our conventional fixed-rate debt. —
To determine the terms of the notes, we used an internal funding rate that represents a discount from the credit spreads for our conventional
fixed-rate debt. As a result, the terms of the notes are less favorable to you than if we had used a higher funding rate. |
| · | Certain costs are likely to adversely affect the value of the notes. — Absent any changes in market conditions, any secondary
market prices of the notes will likely be lower than the price to public. This is because any secondary market prices will likely take
into account our then-current market credit spreads, and because any secondary market prices are likely to exclude all or a portion of
any underwriting discount and selling concessions, and the hedging profits and estimated hedging costs that are included in the price
to public of the notes and that may be reflected on your account statements. In addition, any such price is also likely to reflect a discount
to account for costs associated with establishing or unwinding any related hedge transaction, such as dealer discounts, mark-ups and other
transaction costs. As a result, the price, if any, at which BMOCM or any other party may be willing to purchase the notes from you in
secondary market transactions, if at all, will likely be lower than the price to public. Any sale that you make prior to the Maturity
Date could result in a substantial loss to you. |
| · | Lack of liquidity. — The notes will not be listed on any securities exchange. BMOCM may offer to purchase the notes in
the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which
you may be able to trade the notes is likely to depend on the price, if any, at which BMOCM is willing to buy the notes. |
| · | Hedging and trading activities. — We or any of our affiliates have carried out or may carry out hedging activities related
to the notes, including purchasing or selling shares of any Reference Assets that are ETFs or securities held by or included in the Reference
Assets, futures or options relating to the Reference Assets or securities held by or included in the Reference Assets or other derivative
instruments with returns linked or related to changes in the performance on the Reference Assets or securities held by or included in
the Reference Assets. We or our affiliates may also trade in any Reference Assets that are ETFS, such securities, or instruments related
to the Reference Assets or such securities from time to time. Any of these hedging or trading activities on or prior to the Pricing Date
and during the term of the notes could adversely affect the payments on the notes. |
| · | Many economic and market factors will influence the value of the notes. — In addition to the levels of the Reference
Assets and interest rates on any trading day, the value of the notes will be affected by a number of economic and market factors that
may either offset or magnify each other, and which are described in more detail in the product supplement. |
| · | Significant aspects of the tax treatment of the notes are uncertain. — The tax treatment of the notes is uncertain. We
do not plan to request a ruling from the Internal Revenue Service or from any Canadian authorities regarding the tax treatment of the
notes, and the Internal Revenue Service or a court may not agree with the tax treatment described herein.
The Internal Revenue Service has released a notice that may affect the taxation of holders of “prepaid forward contracts”
and similar instruments. According to the notice, the Internal Revenue Service and the U.S. Treasury are actively considering whether
the holder of such instruments should be required to accrue ordinary income on a current basis. While it is not clear whether the notes
would be viewed as similar to such instruments, it is possible that any future guidance could materially and adversely affect the tax
consequences of an investment in the notes, possibly with retroactive effect.
Please read carefully the section entitled "U.S. Federal Tax Information" herein, the section entitled "Supplemental Tax
Considerations–Supplemental U.S. Federal Income Tax Considerations" in the accompanying product supplement, the section entitled
"United States Federal Income Taxation" in the accompanying prospectus and the section entitled "Certain Income Tax Consequences"
in the accompanying prospectus supplement. You should consult your tax advisor about your own tax situation. |
Examples of the Hypothetical Payment at Maturity for a $1,000 Investment
in the Notes
The following table illustrates the hypothetical
payments on a note at maturity, assuming that the notes are not subject to an Issuer Call. The hypothetical payments are based on a $1,000
investment in the note, a hypothetical Initial Level of 100.00, a hypothetical Trigger Level of 70.00 (70.00% of the hypothetical Initial
Level), a range of hypothetical Final Levels and the effect on the payment at maturity .
The hypothetical examples shown below are intended
to help you understand the terms of the notes. If the notes are not subject to an Issuer Call, the actual cash amount that you will receive
at maturity will depend upon the Final Level of the Least Performing Reference Asset. If the notes are subject to an Issuer Call prior
to maturity, the hypothetical examples below will not be relevant, and you will receive on the applicable Call Settlement Date, for each
$1,000 principal amount, the principal amount plus any applicable Contingent Coupon.
As discussed in more detail above, your total return
on the notes will also depend on the number of Contingent Coupon Dates on which the Contingent Coupon is payable. It is possible that
the only payments on your notes will be the payment, if any, due at maturity. The payment at maturity will not exceed the principal amount,
and may be significantly less.
Hypothetical Final Level of the
Least Performing Reference Asset |
Hypothetical Final Level of the
Least Performing Reference Asset
Expressed as a Percentage of its
Initial Level |
Payment at Maturity (Excluding
Coupons) |
200.00 |
200.00% |
$1,000.00 |
180.00 |
180.00% |
$1,000.00 |
160.00 |
160.00% |
$1,000.00 |
140.00 |
140.00% |
$1,000.00 |
120.00 |
120.00% |
$1,000.00 |
100.00 |
100.00% |
$1,000.00 |
90.00 |
90.00% |
$1,000.00 |
80.00 |
80.00% |
$1,000.00 |
70.00 |
70.00% |
$1,000.00 |
69.99 |
69.99% |
$699.90 |
60.00 |
60.00% |
$600.00 |
40.00 |
40.00% |
$400.00 |
20.00 |
20.00% |
$200.00 |
0.00 |
0.00% |
$0.00 |
U.S. Federal Tax Information
By purchasing the notes, each holder agrees (in
the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat each note as a pre-paid
contingent income-bearing derivative contract for U.S. federal income tax purposes. In the opinion of our counsel, Mayer Brown LLP, it
would generally be reasonable to treat the notes as pre-paid contingent income-bearing derivative contracts in respect of the Reference
Assets for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the notes are uncertain
and the Internal Revenue Service could assert that the notes should be taxed in a manner that is different from that described in the
preceding sentence. Please see the discussion in the accompanying product supplement under "Supplemental Tax Considerations—Supplemental
U.S. Federal Income Tax Considerations—Notes Treated as an Investment Unit Consisting of a Debt Portion and a Put Option, as a Pre-Paid
Contingent Income-Bearing Derivative Contract, or as a Pre-Paid Derivative Contract—Notes Treated as a Pre-Paid Contingent Income-Bearing
Derivative Contract," which applies to the notes, except the following disclosure which supplements, and to the extent inconsistent
supersedes, the discussion in the product supplement.
Under current Internal Revenue Service guidance,
withholding on "dividend equivalent" payments (as discussed in the product supplement), if any, will not apply to notes that
are issued as of the date of this pricing supplement unless such notes are "delta-one" instruments. Based on our determination
that the notes are not delta-one instruments, non-United States holders (as defined in the product supplement) should not generally be
subject to withholding on dividend equivalent payments, if any, under the notes.
Supplemental Plan of Distribution (Conflicts of Interest)
BMOCM will purchase the notes from us at a purchase
price reflecting the commission set forth on the cover hereof. BMOCM has informed us that, as part of its distribution of the notes, it
will reoffer the notes to other dealers who will sell them. Each such dealer, or each additional dealer engaged by a dealer to whom BMOCM
reoffers the notes, will receive a commission from BMOCM, which will not exceed the commission set forth on the cover page. We or one
of our affiliates will also pay a referral fee to certain dealers of up to 0.450% of the principal amount in connection with the distribution
of the notes.
Certain dealers who purchase the notes for sale
to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions. The public offering price
for investors purchasing the notes in these accounts may be less than 100% of the principal amount, as set forth on the cover page of
this document. Investors that hold their notes in these accounts may be charged fees by the investment advisor or manager of that account
based on the amount of assets held in those accounts, including the notes.
We will deliver the notes on a date that is greater
than one business day following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended (the “Exchange
Act”), trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than one business day prior to the issue date will
be required to specify alternative settlement arrangements to prevent a failed settlement.
We own, directly or indirectly, all of the outstanding
equity securities of BMOCM, the agent for this offering. In accordance with FINRA Rule 5121, BMOCM may not make sales in this offering
to any of its discretionary accounts without the prior written approval of the customer.
You should not construe the offering of the notes
as a recommendation of the merits of acquiring an investment linked to the Reference Assets or as to the suitability of an investment
in the notes.
BMOCM may, but is not obligated to, make a market
in the notes. BMOCM will determine any secondary market prices that it is prepared to offer in its sole discretion.
We may use this pricing supplement in the initial sale of the notes.
In addition, BMOCM or another of our affiliates may use this pricing supplement in market-making transactions in any notes after their
initial sale. Unless BMOCM or we inform you otherwise in the confirmation of sale, this pricing supplement is being used by BMOCM in a
market-making transaction.
For a period of approximately three months following
issuance of the notes, the price, if any, at which we or our affiliates would be willing to buy the notes from investors, and the value
that BMOCM may also publish for the notes through one or more financial information vendors and which could be indicated for the notes
on any brokerage account statements, will reflect a temporary upward adjustment from our estimated value of the notes that would otherwise
be determined and applicable at that time. This temporary upward adjustment represents a portion of (a) the hedging profit that we or
our affiliates expect to realize over the term of the notes and (b) any underwriting discount and the selling concessions paid in connection
with this offering. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
period.
The notes and the related offer to purchase notes
and sale of notes under the terms and conditions provided herein do not constitute a public offering in any non-U.S. jurisdiction, and
are being made available only to individually identified investors pursuant to a private offering as permitted in the relevant jurisdiction.
The notes are not, and will not be, registered with any securities exchange or registry located outside of the United States and have
not been registered with any non-U.S. securities or banking regulatory authority. The contents of this document have not been reviewed
or approved by any non-U.S. securities or banking regulatory authority. Any person who wishes to acquire the notes from outside the United
States should seek the advice or legal counsel as to the relevant requirements to acquire these notes.
British Virgin Islands. The notes have not
been, and will not be, registered under the laws and regulations of the British Virgin Islands, nor has any regulatory authority in the
British Virgin Islands passed comment upon or approved the accuracy or adequacy of this document. This pricing supplement and the related
documents shall not constitute an offer, invitation or solicitation to any member of the public in the British Virgin Islands for the
purposes of the Securities and Investment Business Act, 2010, of the British Virgin Islands.
Cayman Islands. Pursuant to the Companies
Law (as amended) of the Cayman Islands, no invitation may be made to the public in the Cayman Islands to subscribe for the notes by or
on behalf of the issuer unless at the time of such invitation the issuer is listed on the Cayman Islands Stock Exchange. The issuer is
not presently listed on the Cayman Islands Stock Exchange and, accordingly, no invitation to the public in the Cayman Islands is to be
made by the issuer (or by any dealer on its behalf). No such invitation is made to the public in the Cayman Islands hereby.
Dominican Republic. Nothing in this pricing
supplement constitutes an offer of securities for sale in the Dominican Republic. The notes have not been, and will not be, registered
with the Superintendence of Securities Market of the Dominican Republic (Superintendencia del Mercado de Valores), under Dominican Securities
Market Law No. 249-17 (“Securities Law 249-17”), and the notes may not be offered or sold within the Dominican Republic or
to, or for the account or benefit of, Dominican persons (as defined under Securities Law 249-17 and its regulations). Failure to comply
with these directives may result in a violation of Securities Law 249-17 and its regulations.
Israel. This pricing supplement is intended
solely for investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended. A prospectus has not been prepared
or filed, and will not be prepared or filed, in Israel relating to the notes offered hereunder. The notes cannot be resold in Israel other
than to investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended.
No action will be taken in Israel that would permit
an offering of the notes or the distribution of any offering document or any other material to the public in Israel. In particular, no
offering document or other material has been reviewed or approved by the Israel Securities Authority. Any material provided to an offeree
in Israel may not be reproduced or used for any other purpose, nor be furnished to any other person other than those to whom copies have
been provided directly by us or the selling agents.
Nothing in this pricing supplement or any other
offering material relating to the notes, should be considered as the rendering of a recommendation or advice, including investment advice
or investment marketing under the Law For Regulation of Investment Advice, Investment Marketing and Investment Portfolio Management, 1995,
to purchase any note. The purchase of any note will be based on an investor’s own understanding, for the investor’s own benefit
and for the investor’s own account and not with the aim or intention of distributing or offering to other parties. In purchasing
the notes, each investor declares that it has the knowledge, expertise and experience in financial and business matters so as to be capable
of evaluating the risks and merits of an investment in the notes, without relying on any of the materials provided.
Mexico. The notes have not been registered
with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or
sold publicly in Mexico. This pricing supplement and the related documents may not be publicly distributed in Mexico. The notes may only
be offered in a private offering pursuant to Article 8 of the Securities Market Law.
Switzerland. This pricing supplement is not
intended to constitute an offer or solicitation to purchase or invest in any notes. Neither this pricing supplement nor any other offering
or marketing material relating to the notes constitutes a prospectus compliant with the requirements of articles 35 et seq. of the Swiss
Financial Services Act ("FinSA")) for a public offering of the notes in Switzerland and no such prospectus has been or will
be prepared for or in connection with the offering of the notes in Switzerland.
Neither this pricing supplement nor any other offering
or marketing material relating to the notes has been or will be filed with or approved by a Swiss review body (Prüfstelle). No application
has been or is intended to be made to admit the notes to trading on any trading venue (SIX Swiss Exchange or on any other exchange or
any multilateral trading facility) in Switzerland. Neither this pricing supplement nor any other offering or marketing material relating
to the notes may be publicly distributed or otherwise made publicly available in Switzerland.
The notes may not be publicly offered, directly
or indirectly, in Switzerland within the meaning of FinSA except (i) in any circumstances falling within the exemptions to prepare a prospectus
listed in article 36 para. 1 FinSA or (ii) where such offer does not qualify as a public offer in Switzerland, provided always that no
offer of notes shall require the Issuer or any offeror to publish a prospectus pursuant to article 35 FinSA in respect to such offer and
that such offer shall comply with the additional restrictions set out below (if applicable). The Issuer has not authorised and does not
authorise any offer of notes which would require the Issuer or any offeror to publish a prospectus pursuant to article 35 FinSA in respect
of such offer. For purposes of this provision "public offer" shall have the meaning as such term is understood pursuant to article
3 lit. g and h FinSA and the Swiss Financial Services Ordinance ("FinSO").
The notes do not constitute participations in a
collective investment scheme within the meaning of the Swiss Collective Investment Schemes Act. They are not subject to the approval of,
or supervision by, the Swiss Financial Market Supervisory Authority ("FINMA"), and investors in the notes will not benefit from
protection under CISA or supervision by FINMA.
Prohibition of Offer to Private Clients in Switzerland
- No Key Information Document pursuant to article 58 FinSA (Basisinformationsblatt für Finanzinstrumente) or equivalent document
under foreign law pursuant to article 59 para. 2 FinSA has been or will be prepared in relation to the notes. Therefore, the following
additional restriction applies: Notes qualifying as "debt securities with a derivative character" pursuant to article 86 para.
2 FinSO may not be offered within the meaning of article 58 para. 1 FinSA, and neither this pricing supplement nor any other offering
or marketing material relating to such notes may be made available, to any retail client (Privatkunde) within the meaning of FinSA in
Switzerland.
The notes may also be sold in the following jurisdictions,
provided, in each case, any sales are made in accordance with all applicable laws in such jurisdiction:
Additional Information Relating to the Estimated Initial Value of
the Notes
Our estimated initial value of the notes on the
date hereof that is set forth on the cover hereof, equals the sum of the values of the following hypothetical components:
| · | a fixed-income debt component with the same tenor as the notes, valued using our internal funding rate for structured notes; and |
| · | one or more derivative transactions relating to the economic terms of the notes. |
The internal funding rate used in the determination
of the initial estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The value
of these derivative transactions is derived from our internal pricing models. These models are based on factors such as the traded market
prices of comparable derivative instruments and on other inputs, which include volatility, dividend rates, interest rates and other factors.
As a result, the estimated initial value of the notes on the Pricing Date was determined based on the market conditions on the Pricing
Date.
The Reference Assets
We have derived the following information from publicly
available documents. We have not independently verified the accuracy or completeness of the following information. We are not affiliated
with any Reference Asset Issuer or any sponsor of any Reference Asset or Underlying Index and no Reference Asset Issuer or any sponsor
of any Reference Asset or Underlying Index will have any obligations with respect to the notes. This document relates only to the notes
and does not relate to the Reference Assets, shares of the Reference Assets or any securities included in the Underlying Index or Reference
Assets. Neither we nor any of our affiliates participates in the preparation of the publicly available documents described below. Neither
we nor any of our affiliates has made any due diligence inquiry with respect to the Reference Assets in connection with the offering of
the notes. There can be no assurance that all events occurring prior to the date hereof, including events that would affect the accuracy
or completeness of the publicly available documents described below and that would affect the trading levels of the Reference Assets,
have been or will be publicly disclosed. Subsequent disclosure of any events or the disclosure of or failure to disclose material future
events concerning the Reference Assets could affect the levels of the Reference Assets and therefore could affect the payments on the
notes. The information below regarding any Reference Asset or any Underlying Index reflects the policies of, and is subject to change
by, the applicable sponsors. The sponsors of an index, including any Reference Asset or Underlying Index, are under no obligation to continue
to publish, and may discontinue publication of, the index. Neither we nor BMO Capital Markets Corp. accepts any responsibility for the
calculation, maintenance or publication of any index referred to herein.
Information provided to or filed with the SEC under
the Exchange Act and the Investment Company Act of 1940 relating to any Reference Asset that is an ETF may be obtained through the SEC’s
website at http://www.sec.gov.
We encourage you to review recent levels of the
Reference Assets prior to making an investment decision with respect to the notes.
The Dow Jones Industrial Average® (“INDU”)
The INDU is a price-weighted index, which means
an underlying stock’s weight in the INDU is based on its price per share rather than the total market capitalization of the issuer.
The INDU 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 INDU tend to be market leaders in their respective industries and their stocks are
typically widely held by individuals and institutional investors.
The INDU is maintained by an Averages Committee
comprised of three representatives of S&P Dow Jones Indices and two representatives of The Wall Street Journal (“WSJ”).
The Averages Committee was created in March 2010, when Dow Jones Indexes became part of CME Group Index Services, LLC, a joint venture
company owned by CME Group Inc. and by Dow Jones & Company. 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 INDU
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 the company has an excellent reputation, demonstrates sustained growth and is of interest
to a large number of investors.
Changes in the composition of the INDU are made
entirely by the Averages Committee without consultation with the corporations represented in the INDU, any stock exchange, any official
agency or us. Unlike most other indices, which are reconstituted according to a fixed review schedule, constituents of the INDU are reviewed
on an as-needed basis. Changes to the common stocks included in the INDU tend to be made infrequently, and the underlying stocks of the
INDU may be changed at any time for any reason. Constituent changes are typically announced one to five days before they are scheduled
to be implemented. The companies currently represented in the INDU are incorporated and headquartered in the United States and its territories
and their stocks are listed on the New York Stock Exchange and Nasdaq.
The INDU initially consisted of 12 common stocks
and was first published in the WSJ in 1896. The INDU was increased to include 20 common stocks in 1916 and to 30 common stocks in 1928.
The number of common stocks in the INDU has remained at 30 since 1928, and, in an effort to maintain continuity, the constituent corporations
represented in the INDU have been changed on a relatively infrequent basis.
Computation of the INDU
The level of the INDU is the sum of the primary
exchange prices of each of the 30 component stocks included in the INDU, divided by a divisor that is designed to provide a meaningful
continuity in the level of the INDU. Because the INDU 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 INDU. The current divisor of the INDU is published
daily in the WSJ and other publications. In addition, other statistics based on the INDU may be found in a variety of publicly available
sources.
License Agreement
We and S&P Dow Jones Indices LLC (“S&P”)
have entered into a non-exclusive license agreement providing for the license to us and certain of our affiliates, in exchange for a fee,
of the right to use the INDU, in connection with certain securities, including the notes. The INDU is owned and published by S&P.
The license agreement between S&P and us provides
that the following language must be set forth in this pricing supplement:
The notes are not sponsored, endorsed, sold or promoted
by S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, Standard and Poor’s Financial Services LLC or any of their respective
affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express
or implied, to the holders of the notes or any member of the public regarding the advisability of investing in securities generally or
in the notes particularly or the ability of the INDU to track general market performance. S&P Dow Jones Indices’ only relationship
to us with respect to the INDU 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 INDU is determined, composed and calculated by S&P Dow Jones Indices without regard
to us or the notes. S&P Dow Jones Indices have no obligation to take our needs or the needs of holders of the notes into consideration
in determining, composing or calculating the INDU. S&P Dow Jones Indices are not responsible for and have not participated in the
determination of the prices, and amount of the notes or the timing of the issuance or sale of the notes or in the determination or calculation
of the equation by which the notes are to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection
with the administration, marketing or trading of the notes. There is no assurance that investment products based on the INDU will accurately
track index performance or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment
advisors. Inclusion of a security or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell,
or hold such security or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc.
and its affiliates may independently issue and/or sponsor financial products unrelated to the notes currently being issued by us, but
which may be similar to and competitive with the notes. In addition, CME Group Inc. and its affiliates may trade financial products which
are linked to the performance of the INDU. It is possible that this trading activity will affect the value of the notes.
S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY,
ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDU OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO,
ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT
TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES,
AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED
BY US, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDU OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT
LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL,
PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY
HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY
BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND US, OTHER THAN THE LICENSORS OF S&P DOW JONES
INDICES.
S&P® is a registered trademark of Standard
& Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. These trademarks
have been licensed for use by Bank of Montreal. “Dow Jones®”, “DJIA®”, “Dow Jones Industrial Average®”
and “The Dow®” are trademarks of Dow Jones Trademark Holdings LLC. The notes are not sponsored, endorsed, sold or promoted
by S&P Dow Jones Indices and S&P Dow Jones Indices makes no representation regarding the advisability of investing in the notes.
The Nasdaq-100 Technology Sector Index (“NDXT”)
The Nasdaq-100 Technology Sector Index is an equal-weighted,
price-return index designed to measure the performance of the technology companies in the Nasdaq-100 Index®. The Nasdaq-100 Technology
Sector began trading on February 22, 2006 at a base value of 1,000.00. The Nasdaq-100 Technology Sector is calculated and published by
The Nasdaq OMX Group, Inc. Each issuer of a stock in the Nasdaq-100 Technology Sector is classified as a “technology” company
according to the Industry Classification Benchmark ("ICB").
Security Eligibility Criteria
Securities in the Nasdaq-100 Technology Sector Index
must be included in the Nasdaq-100 Index®. A company must be classified as a “technology” company under the ICB to be
eligible for inclusion.
Constituent Weighting
The Nasdaq-100 Technology Sector Index is an equal-weighted
index. It is rebalanced quarterly such that all issuers within the Index are assigned an equal Index market value. For issuers represented
by multiple securities, those issuers’ Index market values are equally apportioned across their respective Index Securities. Index
shares are calculated by dividing each index security's resulting index market value by its last sale price. The Nasdaq-100 Technology
Sector Index is rebalanced by using the last sale prices as of the close of trading on the third Friday in March, June, September and
December.
Index Calculation
The value of the Nasdaq-100 Technology Sector Index
equals the Nasdaq-100 Technology Sector Index market value divided by the Nasdaq-100 Technology Sector Index divisor. The overall Nasdaq-100
Technology Sector Index market value is the aggregate of each Nasdaq-100 Technology Sector stock's market value, adjusted by the Nasdaq-100
Technology Sector Index stock's equal-weighting factor used to assign an equal weight at the previous rebalancing, as may be adjusted
for any corporate actions. A Nasdaq-100 Technology Sector stock's market value is determined by multiplying the last sale price by the
number of shares of the index security included in the NASDAQ-100 Index®.
If an index security does not trade on the relevant
Nasdaq exchange on a given day or the relevant Nasdaq exchange has not opened for trading, the previous index calculation day's closing
price for that index security is used. If there is a disruption in trading for an index security during the trading day, the most recent
last sale price is used until trading resumes.
Index Maintenance
Deletion Policy
If a component of the Nasdaq-100 Technology Sector
is removed from the NASDAQ-100 Index® for any reason, it is also removed from the Nasdaq-100 Technology Sector at the same time.
Replacement Policy
When a component of the NASDAQ-100 Index® that
is classified as Technology according to ICB is removed from the NASDAQ-100 Index®, it is also removed from the Nasdaq-100 Technology
Sector. As such, if the replacement company being added to the NASDAQ-100 Index® is classified as Technology according to ICB, it
is added to the Nasdaq-100 Technology Sector and will assume the weight of the removed company on the index effective date.
When a component of the NASDAQ-100 Index® that
is not classified as Technology according to ICB is removed and the replacement company being added to the NASDAQ-100 Index® is classified
as Technology according to ICB, the replacement company is considered for addition to the Nasdaq-100 Technology Sector at the next quarterly
rebalance.
When a component of the NASDAQ-100 Index® that
is classified as Technology according to ICB is removed from the NASDAQ-100 Index® and the replacement company being added to the
NASDAQ-100 Index® is not classified as Technology according to ICB, the company is removed from the Nasdaq-100 Technology Sector and
the divisor of the Nasdaq-100 Technology Sector is adjusted to ensure index continuity.
Additions Policy
If a security is added to the NASDAQ-100 Index®
for any reason, it may be added to the Nasdaq-100 Technology Sector at the same time.
Corporate Actions
In the interim periods between scheduled index reconstitution
and rebalance events, individual index securities may be the subject to a variety of corporate actions and events that require maintenance
and adjustments to the index.
Index Share Adjustments
Other than as a direct result of corporate actions,
the Nasdaq-100 Technology Sector does not normally experience share adjustments between scheduled index rebalance and reconstitution events.
The NASDAQ-100 Index® (“NDX”)
The NASDAQ-100 Index® is a modified market capitalization-weighted
index of 100 of the largest stocks of both U.S. and non-U.S. non-financial companies listed on The NASDAQ Stock Market based on market
capitalization. It does not contain securities of financial companies, including investment companies. The NASDAQ-100 Index® which
includes companies across a variety of major industry groups, was launched on January 31, 1985, with a base index value of 250.00. On
January 1, 1994, the base index value was reset to 125.00. The NASDAQ-100 Index® composition is reviewed on an annual basis in December.
Nasdaq, Inc. publishes the NASDAQ-100 Index®. Current information regarding the market value of the Nasdaq-100 Index® is available
from Nasdaq, Inc. as well as numerous market information services.
The share weights of the component securities of
the Nasdaq-100 Index® at any time are based upon the total shares outstanding in each of those securities and are additionally subject,
in certain cases, to rebalancing. Accordingly, each underlying stock’s influence on the level of the NASDAQ-100 Index® is directly
proportional to the value of its share weight.
Index Calculation
At any moment in time, the level of the NASDAQ-100
Index® equals the aggregate value of the then-current share weights of each of the component securities, which are based on the total
shares outstanding of each such component security, multiplied by each such security’s respective last sale price on The NASDAQ
Stock Market (which may be the official closing price published by The NASDAQ Stock Market), and divided by a scaling factor (the “divisor”),
which becomes the basis for the reported level of the NASDAQ-100 Index®. The divisor serves the purpose of scaling such aggregate
value to a lower order of magnitude, which is more desirable for reporting purposes.
Underlying Stock Eligibility Criteria and Annual
Ranking Review
Initial Eligibility Criteria
To be eligible for initial inclusion in the NASDAQ-100
Index®, a security must be listed on The NASDAQ Stock Market and meet the following criteria:
| · | the security’s U.S. listing must be exclusively on the NASDAQ Global Select Market or the NASDAQ Global Market; |
| · | the security must be issued by a non-financial company (any industry other than financials) according to the Industry Classification
Benchmark (ICB); |
| · | the security may not be issued by an issuer currently in bankruptcy proceedings; |
| · | the security must generally be a common stocks, ordinary shares, American Depositary Receipts (ADRs), or tracking stock (closed-end
funds, convertible debentures, exchange traded funds, limited liability companies, limited partnership interests, preferred stocks, rights,
shares or units of beneficial interests, warrants, units and other derivative securities are not included in the NASDAQ-100 Index®,
nor are the securities of investment companies). Companies organized as Real Estate Investment Trusts (“REITs”) are not eligible
for index inclusion. If the security is a depositary receipt representing a security of a non-U.S. issuer, then references to the "issuer"
are references to the underlying security and the total shares outstanding (“TSO”) is the actual depositary shares outstanding
as reported by the depositary banks; |
| · | the security must have a three-month average daily trading volume of at least 200,000 shares; |
| · | if the security is issued by an issuer organized under the laws of a jurisdiction outside the United States, it must have listed options
on a recognized market in the United States or be eligible for listed-options trading on a recognized options market in the United States; |
| · | the issuer of the security may not have entered into a definitive agreement or other arrangement that would make it ineligible for
index inclusion and where the transaction is imminent as determined by the Index Management Committee; |
| · | the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn; and |
| · | the issuer of the security must have “seasoned” on the NASDAQ Stock Market or another recognized market (generally, a
company is considered to be seasoned if it has been listed on a market for at least three full months, excluding the first month of initial
listing). |
Continued Eligibility Criteria
In addition, to be eligible for continued inclusion
in the NASDAQ-100 Index® the following criteria apply:
| · | the security’s U.S. listing must be exclusively on the NASDAQ Global Select Market or the NASDAQ Global Market; |
| · | the security must be issued by a non-financial company; |
| · | the security may not be issued by an issuer currently in bankruptcy proceedings; |
| · | the security must have an average daily trading volume of at least 200,000 shares in the previous three-month trading period as measured
annually during the ranking review process described below; |
| · | if the issuer of the security is organized under the laws of a jurisdiction outside the United States, then such security must have
listed options on a recognized market in the United States or be eligible for listed-options trading on a recognized options market in
the United States, as measured annually during the ranking review process; |
| · | the issuer of the security may not have entered into a definitive agreement or other arrangement that would likely result in the security
no longer being eligible; |
| · | the security must have an adjusted market capitalization equal to or exceeding 0.10% of the aggregate adjusted market capitalization
of the NASDAQ-100 Index® at each month-end. In the event that a company does not meet this criterion for two consecutive month-ends,
it will be removed from the NASDAQ-100 Index® effective after the close of trading on the third Friday of the following month; and |
| · | the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn. |
These eligibility criteria may be revised from time to time by Nasdaq,
Inc. without regard to the notes.
Annual Ranking Review
The component securities are evaluated on an annual
basis (the “Ranking Review”), except under extraordinary circumstances, which may result in an interim evaluation, as follows.
Securities that meet the applicable eligibility criteria are ranked by market value. Eligible securities that are already in the NASDAQ-100
Index® and that are ranked in the top 100 eligible securities (based on market capitalization) are retained in the NASDAQ-100 Index®.
A security that is ranked 101 to 125 is also retained, provided that such security was ranked in the top 100 eligible securities as of
the previous Ranking Review or was added to the NASDAQ-100 Index® subsequent to the previous Ranking Review. Securities not meeting
such criteria are replaced. The replacement securities chosen are those eligible securities not currently in the NASDAQ-100 Index®
that have the largest market capitalization. The data used in the ranking includes end of October market data and is updated for total
shares outstanding submitted in a publicly filed SEC document via EDGAR through the end of November.
Replacements are made effective after the close
of trading on the third Friday in December. Moreover, if at any time during the year other than the Ranking Review, a component security
is determined by NASDAQ OMX to become ineligible for continued inclusion in the NASDAQ-100 Index®, the security will be replaced with
the largest market capitalization security meeting the eligibility criteria listed above and not currently included in the NASDAQ-100
Index®. Issuers that are added as a result of a spin-off are not replaced until after they have been included in a reconstitution.
Index Maintenance
In addition to the Ranking Review, the securities
NASDAQ-100 Index® are monitored every day by Nasdaq, Inc. with respect to changes in total shares outstanding arising from corporate
events, such as stock dividends, stock splits and certain spin-offs and rights issuances. Nasdaq, Inc. has adopted the following quarterly
scheduled weight adjustment procedures with respect to those changes. If the change in total shares outstanding arising from a corporate
action is greater than or equal to 10%, that change will be made to the NASDAQ-100 Index® as soon as practical, normally within ten
days of such corporate action. Otherwise, if the change in total shares outstanding is less than 10%, then all such changes are accumulated
and made effective at one time on a quarterly basis after the close of trading on the third Friday in each of March, June, September and
December.
In either case, the share weights for those component
securities are adjusted by the same percentage amount by which the total shares outstanding have changed in those securities. Ordinarily,
whenever there is a change in the share weights, a change in a component security, or a change to the price of a component security due
to spin-off, rights issuances or special cash dividends, Nasdaq, Inc. adjusts the divisor to ensure that there is no discontinuity in
the level of the NASDAQ-100 Index® that might otherwise be caused by any of those changes. All changes will be announced in advance.
Index Rebalancing
Under the methodology employed, on a quarterly basis
coinciding with Nasdaq, Inc.’s quarterly scheduled weight adjustment procedures, the component securities are categorized as either
“Large Stocks” or “Small Stocks” depending on whether their current percentage weights (after taking into account
scheduled weight adjustments due to stock repurchases, secondary offerings or other corporate actions) are greater than, or less than
or equal to, the average percentage weight in the NASDAQ-100 Index® (i.e., as a 100-stock index, the average percentage weight in
the NASDAQ-100 Index® is 1%).
This quarterly examination will result in an index
rebalancing if it is determined that: (1) the current weight of the single largest market capitalization component security is greater
than 24% or (2) the “collective weight” of those component securities, the individual current weights of which are in excess
of 4.5%, when added together, exceed 48%. In addition, Nasdaq, Inc. may conduct a special rebalancing at any time if it is determined
to be necessary to maintain the integrity of the NASDAQ-100 Index®.
If either one or both of these weight distribution
requirements are met upon quarterly review, or Nasdaq, Inc. determines that a special rebalancing is required, a weight rebalancing will
be performed. First, relating to weight distribution requirement (1) above, if the current weight of the single largest component security
exceeds 24%, then the weights of all Large Stocks will be scaled down proportionately towards 1% by enough of an amount for the adjusted
weight of the single largest component security to be set to 20%. Second, relating to weight distribution requirement (2) above, for those
component securities whose individual current weights or adjusted weights in accordance with the preceding step are in excess of 4.5%,
if their “collective weight” exceeds 48%, then the weights of all Large Stocks will be scaled down proportionately towards
1% by just enough amount for the “collective weight,” so adjusted, to be set to 40%.
The aggregate weight reduction among the Large Stocks
resulting from either or both of the above rescalings will then be redistributed to the Small Stocks in the following iterative manner.
In the first iteration, the weight of the largest Small Stock will be scaled upwards by a factor which sets it equal to the average Index
weight of 1.0%. The weights of each of the smaller remaining Small Stocks will be scaled up by the same factor, reduced in relation to
each stock’s relative ranking among the Small Stocks, such that the smaller the component security in the ranking, the less the
scale-up of its weight. This is intended to reduce the market impact of the weight rebalancing on the smallest component securities in
the NASDAQ-100 Index®.
In the second iteration, the weight of the second
largest Small Stock, already adjusted in the first iteration, will be scaled upwards by a factor which sets it equal to the average index
weight of 1%. The weights of each of the smaller remaining Small Stocks will be scaled up by this same factor, reduced in relation to
each stock’s relative ranking among the Small Stocks, such that, once again, the smaller the component stock in the ranking, the
less the scale-up of its weight.
Additional iterations will be performed until the
accumulated increase in weight among the Small Stocks exactly equals the aggregate weight reduction among the Large Stocks from rebalancing
in accordance with weight distribution requirement (1) and/or weight distribution requirement (2).
Then, to complete the rebalancing procedure, once
the final percent weights of each of the component securities are set, the share weights will be determined anew based upon the last sale
prices and aggregate capitalization of the NASDAQ-100 Index® at the close of trading on the last day in February, May, August and
November. Changes to the share weights will be made effective after the close of trading on the third Friday in March, June, September
and December, and an adjustment to the divisor will be made to ensure continuity of the NASDAQ-100 Index®.
Ordinarily, new rebalanced weights will be determined
by applying the above procedures to the current share weights. However, Nasdaq, Inc. may from time to time determine rebalanced weights,
if necessary, by instead applying the above procedure to the actual current market capitalization of the component securities. In those
instances, Nasdaq, Inc. would announce the different basis for rebalancing prior to its implementation.
License Agreement
The notes are not sponsored, endorsed, sold or promoted
by Nasdaq, Inc. or its affiliates (NASDAQ, with its affiliates, are referred to as the “Corporations”). The Corporations have
not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the notes. The
Corporations make no representation or warranty, express or implied to the owners of the notes or any member of the public regarding the
advisability of investing in securities generally or in the notes particularly, or the ability of the Nasdaq-100 Technology Sector Index
to track general stock market performance. The Corporations' only relationship to the Issuer (“Licensee”) is in the licensing
of the Nasdaq®, Nasdaq-100 Technology Sector Index trademarks or service marks, and certain trade names of the Corporations and the
use of the Nasdaq-100 Technology Sector Index which is determined, composed and calculated by NASDAQ without regard to Licensee or the
notes. NASDAQ has no obligation to take the needs of the Licensee or the owners of the notes into consideration in determining, composing
or calculating the NASDAQ-100 Index®. The Corporations are not responsible for and have not participated in the determination of the
timing of, prices at, or quantities of the notes to be issued or in the determination or calculation of the equation by which the notes
are to be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of the notes.
THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY
AND/OR UNINTERRUPTED CALCULATION OF NASDAQ-100 Index® OR ANY DATA INCLUDED THEREIN, THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR
IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NASDAQ-100 Index®
OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY
OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE NASDAQ-100 Index® OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY
OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT,
OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
The Utilities Select Sector SPDR®
Fund (“XLU”)
The Utilities Select Sector SPDR®
Fund (the “XLU”) is an investment portfolio managed by SSgA Funds Management, Inc. (“SSFM”), the investment adviser
to the XLU. The XLU is an exchange-traded fund that trades on the NYSE Arca, Inc. ("NYSE Arca") under the ticker symbol “XLU.”
Information provided to or filed with the SEC by
the Select Sector SPDR® Trust can be located by reference to SEC file numbers 333-57791 and 811-08837, respectively, through the SEC’s
website at http://www.sec.gov.
Investment Objective
The XLU seeks to provide investment results
that correspond generally to the price and yield performance, before fees and expenses, of publicly traded equity securities of companies
in the utilities sector, as represented by the Utilities Select Sector Index (the “IXU”). The IXU measures the performance
of the utilities sector of the U.S. equity market and includes companies in the following industries: electric utilities; water utilities;
multi-utilities; independent power producers and energy traders; and gas utilities. The returns of the XLU may be affected by certain
management fees and other expenses, which are detailed in its prospectus.
Investment Strategy — Replication
The XLU pursues the indexing strategy
of “replication” in attempting to approximate the performance of IXU. The XLU will generally invest in substantially
all of the equity securities included in the IXU in approximately the same proportions as the IXU. There may, however, be instances where
SSFM may choose to overweight another stock in the IXU, purchase securities not included in the IXU that SSFM believes are appropriate
to substitute for a security included in the IXU or utilize various combinations of other available investment techniques in seeking to
track accurately the IXU. The XLU will normally invest at least 95% of its total assets in common stocks that comprise the IXU.
The XLU may invest its remaining assets in money market instruments (including repurchase contracts). Swaps, options and futures
contracts (and convertible securities and structured notes) may be used by the XLU in seeking performance that corresponds to the
IXU and managing cash flows. SSFM anticipates that, under normal circumstances, it may take several business days for additions and deletions
to the SPX to be reflected in the portfolio composition of the XLU. The Board of Trustees of the Select Sector SPDR® Trust
may change the XLU’s investment strategy and other policies without shareholder approval.
Correlation
The IXU is a theoretical financial calculation,
while the XLU is an actual investment portfolio. The performance of the XLU and the IXU will vary somewhat due to
transaction costs, asset valuations, market impact, corporate actions (such as mergers and spin-offs) and timing variances. A figure of
100% would indicate perfect correlation. Any correlation of less than 100% is called “tracking error.” The XLU, using
a replication strategy, can be expected to have a lesser tracking error than a fund using representative sampling strategy. Representative
sampling is a strategy in which a fund invests in a representative sample of securities in a tracking index.
The Utilities Select Sector Index
The IXU is a modified market capitalization-based
index, intended to provide an indication of the pattern of common stock price movements of companies that are components of the SPX and
are involved in the utilities industry. The IXU is one of the eleven Select Sector sub-indices of the SPX, each of which we refer to as
a “Select Sector Index.”
The Index is also sponsored and compiled by S&P
DJI. S&P DJI determines the composition of the Index and relative weightings of the securities in the Index based on the Index methodology
(as the “Index Compilation Agent”). S&P DJI also publishes information regarding the market value of the Index (as the
“Index Provider”). S&P DJI is not affiliated with the Fund or the Adviser. The composition and weighting of the stocks
included in the IXU will likely differ from the composition and weighting of stocks included in any similar Select Sector Index that is
published and disseminated by S&P. S&P’s only relationship to the Index Compilation Agent is the licensing of certain trademarks
and trade names of S&P and of the SPX which is determined, composed and calculated by S&P without regard to the Index Compilation
Agent.
The Select Sector Indices
Construction, Maintenance and Calculation of The
Select Sector Indices:
The Select Sector Index is developed and maintained
in accordance with the following criteria:
| · | Each of the component stocks in a Select Sector Index (the “Component Stocks”) has been selected from the universe of
companies
defined by the SPX. |
| · | Each stock in the SPX is allocated to one and only one of the Select Sector Indices. |
| · | The Index Compilation Agent assigns each constituent stock of the S&P 500 Index to a Select Sector Index based on the Global Industry
Classification Standard (“GICS”). S&P DJI has sole control over the removal of stocks from the S&P 500 and the selection
of replacement stocks to be added to the S&P 500. |
| · | Each Select Sector Index is calculated using a base-weighted aggregate methodology; that means the level of the Select Sector Index
reflects the total market value of all of its Component Stocks relative to a particular base period. Statisticians refer to this type
of index, one with a set of combined variables (such as price and number of shares), as a composite index. |
| · | Each Select Sector Index is calculated using the same methodology utilized by S&P DJI in calculating the SPX, using a base-weighted
aggregate methodology. The daily calculation of each Select Sector Index is computed by dividing the total market value of the companies
in the Select Sector Index by a number called the “Index Divisor.” |
| · | Each Select Sector Index is weighted, on a quarterly basis, based on the float-adjusted market capitalization of each of the Component
Stocks, subject to the following asset diversification requirements: (i) the market capitalization-based weighted value of any single
Component Stock measured with prices as of the reference date and membership, shares outstanding and investable weight factors as of the
rebalancing effective date may not exceed 25% of the total value of its respective Select Sector Index; and (ii) the sum of the constituent
stocks with weight greater than 4.8% cannot exceed 50% of the total Index weight. |
| · | Rebalancing the Select Sector Indices to meet the asset diversification requirements will be the responsibility of S&P. If on
the second Friday of any calendar quarter-end month (a “Quarterly Qualification Date”), a Component Stock (or two or more
Component Stocks) approaches the maximum allowable value limits set forth above (the “Asset Diversification Limits”), the
percentage that such Component Stock (or Component Stocks) represents in the Select Sector Index will be reduced and the market capitalization-based
weighted value of such Component Stock (or Component Stocks) will be redistributed across the Component Stocks that do not closely approach
the Asset Diversification Limits in accordance with the following methodology: First, each Component Stock that exceeds 24% of the total
value of the Select Sector Index will be reduced to 23% of the total value of the Select Sector Index and the excess amount will be redistributed
proportionally across the remaining Component Stocks that each represent less than 23% of the total value of the Select Sector Index.
If as a result of this redistribution, another Component Stock then exceeds 23%, the redistribution will be repeated as necessary until
no company breaches the 23% weight cap. Second, if the sum of Component Stocks that each exceed 4.8% of the total value of the Select
Sector Index exceeds 50% of the total value of the Index, the Component Stocks will be ranked in descending order of their float-adjusted
market capitalization, and the first Component Stock to cause the 50% limit to be breached will be reduced to 4.5% and the excess amount
will be distributed proportionally across all remaining Component Stocks that represent less than 4.5% of the total value of the Select
Sector Index. This redistribution process will be repeated as necessary until at least 50% of the value of the Select Sector Index is
accounted for by Component Stocks representing no more than 4.8% of the total value of the Select Sector Index. If necessary, this reallocation
process may take place more than once to ensure that the Select Sector Index and the Select Sector SPDR Fund portfolio based upon it conform
to the requirements for qualification of the Select Sector SPDR Fund as a regulated investment company (“RIC”), under the
Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). |
| | This occurs at the closing prices of the second Friday of
March, June, September and December and becomes effective after the market close on the third Friday of March, June, September and December. |
| | |
| | If, on the second to last business day of March, June, September, or
December a company has a weight greater than 24% or the sum of the companies with weights greater than 4.8% exceeds 50%, a secondary rebalancing
will be triggered with the rebalancing effective date being after the close of the last business day of the month. This secondary rebalancing
will use the closing prices as of the second to last business day of March, June, September, or December, and membership, shares outstanding,
and investable weight factors as of the rebalancing effective date. |
The Index Compilation Agent at any time may determine
that a Component Stock which has been assigned to one Select Sector Index has undergone such a transformation in the composition of its
business that it should be removed from that Select Sector Index and assigned to a different Select Sector Index. In the event that the
Index Compilation Agent notifies the index calculation agent that a Component Stock’s Select Sector Index assignment should be changed,
the index calculation agent will disseminate notice of the change following its standard procedure for announcing index changes and will
implement the change in the affected Select Sector Indices on a date no less than one week after the initial dissemination of information
on the sector change to the maximum extent practicable. It is not anticipated that Component Stocks will change sectors frequently. Component
Stocks removed from and added to the SPX will be deleted from and added to the appropriate Select Sector Index on the same schedule used
by S&P for additions and deletions from the SPX insofar as practicable.
Validity of the Notes
In the opinion of Osler, Hoskin & Harcourt LLP,
the issue and sale of the notes has been duly authorized by all necessary corporate action of the Bank in conformity with the Senior Indenture,
and when this pricing supplement has been attached to, and duly notated on, the master note that represents the notes, the notes will
have been validly executed and issued and, to the extent validity of the notes is a matter governed by the laws of the Province of Ontario,
or the laws of Canada applicable therein, and will be valid obligations of the Bank, subject to the following limitations (i) the enforceability
of the Senior Indenture may be limited by the Canada Deposit Insurance Corporation Act (Canada), the Winding-up and Restructuring Act
(Canada) and bankruptcy, insolvency, reorganization, receivership, moratorium, arrangement or winding-up laws or other similar laws affecting
the enforcement of creditors’ rights generally; (ii) the enforceability of the Senior Indenture may be limited by equitable principles,
including the principle that equitable remedies such as specific performance and injunction may only be granted in the discretion of a
court of competent jurisdiction; (iii) pursuant to the Currency Act (Canada) a judgment by a Canadian court must be awarded in Canadian
currency and that such judgment may be based on a rate of exchange in existence on a day other than the day of payment; and (iv) the enforceability
of the Senior Indenture will be subject to the limitations contained in the Limitations Act, 2002 (Ontario), and such counsel expresses
no opinion as to whether a court may find any provision of the Senior Debt Indenture to be unenforceable as an attempt to vary or exclude
a limitation period under that Act. This opinion is given as of the date hereof and is limited to the laws of the Provinces of Ontario
and the federal laws of Canada applicable thereto. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the Indenture and the genuineness of signatures and certain factual matters, all as stated in
the letter of such counsel dated May 26, 2022, which has been filed as Exhibit 5.3 to Bank of Montreal’s Form 6-K filed with the
SEC and dated May 26, 2022.
In the opinion of Mayer Brown LLP, when this pricing
supplement has been attached to, and duly notated on, the master note that represents the notes, and the notes have been issued and sold
as contemplated herein, the notes will be valid, binding and enforceable obligations of Bank of Montreal, entitled to the benefits of
the Senior Indenture, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts
of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing
and the lack of bad faith). This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as
this opinion involves matters governed by the laws of the Province of Ontario, or the laws of Canada applicable therein, Mayer Brown LLP
has assumed, without independent inquiry or investigation, the validity of the matters opined on by Osler, Hoskin & Harcourt LLP,
Canadian legal counsel for the issuer, in its opinion expressed above. This opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the Senior Indenture and the genuineness of signatures and to such counsel’s reliance on
the Bank of Montreal and other sources as to certain factual matters, all as stated in the legal opinion of Mayer Brown LLP dated May
26, 2022, which has been filed with the SEC as an exhibit to a report on Form 6-K by the Bank of Montreal on May 26, 2022.
21
424B2
EX-FILING FEES
0000927971
333-264388
0000927971
2024-09-10
2024-09-10
iso4217:USD
xbrli:pure
xbrli:shares
EX-FILING FEES
CALCULATION OF FILING FEE TABLES
F-3
BANK OF MONTREAL /CAN/
Narrative Disclosure
The maximum aggregate offering price of the securities to which the prospectus relates is $2,285,000
.
The
prospectus is a final prospectus for the related offering.
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