Registration Statement
No. 333-237342
Filed Pursuant to
Rule 433
Subject
to Completion, dated December 2, 2020
Pricing Supplement
to the Prospectus, the Prospectus Supplement
and the Product
Supplement, each dated April 20, 2020
US$[●]
Buffered Bullish
Enhanced Return Notes due January 31, 2022
Linked to the
Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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The notes are designed for investors who seek a 125% leveraged positive return based on any appreciation in the level of the
Lesser Performing of the S&P 500® Index and the Russell 2000® Index (each an “Underlying
Asset”). Investors should be willing to accept a payment at maturity that does not exceed the Maximum Redemption Amount (as
defined below), be willing to forgo periodic interest, and be willing to lose 1% of their principal amount for each 1% that the
level of the Lesser Performing Underlying Asset decreases by more than 10% from its level on the pricing date.
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Investors in the notes may lose up to 90% of their principal amount at maturity.
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The Maximum Redemption Amount is $1,160 for each $1,000 in principal amount (a 16% return).
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Any payment at maturity is subject to the credit risk of Bank of Montreal.
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The notes do not bear interest. The notes will not be listed on any securities exchange.
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The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000.
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The offering is expected to price on or about December 28, 2020, and the notes are expected to settle through the facilities
of The Depository Trust Company on or about December 31, 2020.
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The notes are scheduled to mature on or about January 31, 2022.
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The CUSIP number of the notes is 06368E7J5.
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Our subsidiary, BMO Capital Markets Corp. (“BMOCM”), is the agent for this offering. See “Supplemental Plan
of Distribution (Conflicts of Interest)” below.
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The notes will not be subject to conversion into our common shares or the common shares of any of our affiliates under subsection
39.2(2.3) of the Canada Deposit Insurance Corporation Act (the “CDIC Act”).
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Investing
in the notes involves risks, including those described in the “Selected Risk Considerations” section beginning on
page P-5 of this pricing supplement, the “Additional Risk Factors Relating to the Notes” section beginning on page
PS-5 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 pricing supplement, 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 of
this preliminary pricing supplement, the estimated initial value of the notes is $974.60 per $1,000 in principal amount. The estimated
initial value of the notes on the pricing date may differ from this value but will not be less than $920 per $1,000 in principal
amount. However, as discussed in more detail in this pricing supplement, the actual value of the notes at any time will reflect
many factors and cannot be predicted with accuracy.
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Price to Public(1)
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Agent’s Commission(1)
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Proceeds to Bank of Montreal
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Per Note
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US$1,000
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US$4.30
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US$995.70
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Total
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US$●
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US$●
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US$●
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(1) 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 between $995.70 and $1,000 per $1,000 in principal amount.
BMO CAPITAL MARKETS
Key Terms of the Notes:
Underlying Assets:
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The S&P 500® Index (ticker symbol: SPX) and the Russell 2000® Index (ticker symbol: RTY). See the section below entitled “The Underlying Assets” for additional information about the Underlying Assets.
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Payment at Maturity:
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(i) If the Percentage Change of the Lesser Performing Underlying
Asset multiplied by the Upside Leverage Factor is greater than or equal to the Maximum Return, the payment at maturity for each
$1,000 in principal amount of the notes will equal the Maximum Redemption Amount.
(ii) If the Percentage Change of the Lesser Performing Underlying
Asset multiplied by the Upside Leverage Factor is positive but is less than the Maximum Return, then the payment at maturity for
each $1,000 in principal amount of the notes will be calculated as follows:
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Principal Amount + [Principal Amount × (Percentage Change of the Lesser Performing Underlying Asset x Upside Leverage Factor)]
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(iii) If the Percentage Change of the Lesser Performing Underlying Asset is between 0% and -10% inclusive, then the payment at maturity will equal the principal amount of the notes.
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(iv) If the Percentage Change of the Lesser Performing Underlying
Asset is less than -10%, then the payment at maturity will be calculated as follows:
Principal Amount + [Principal Amount ×
(Percentage Change of the Lesser Performing Underlying Asset + Buffer Percentage)]
If the Percentage Change of the Lesser Performing Underlying
Asset is less than -10%, investors may lose up to 90% of the principal amount of the notes.
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Upside Leverage Factor:
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125%
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Maximum Return:
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16%
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Maximum Redemption
Amount:
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The payment at maturity will not exceed the Maximum Redemption Amount of $1,160 per $1,000 in principal amount of the notes.
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Initial Level:
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The respective closing level of each of the Underlying Assets on the pricing date.
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Final Level:
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The respective closing level of each of the Underlying Assets on the Valuation Date.
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Buffer Level:
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90% of the respective Initial Level for each of the Underlying Assets.
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Buffer Percentage:
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10%. Accordingly, you will receive the principal amount of your notes at maturity only if the level of the Lesser Performing Underlying Asset does not decrease by more than 10%. If the Final Level of the Lesser Performing Underlying Asset is less than its Buffer Level, you will receive less than the principal amount of your notes at maturity, and you could lose up to 90% of the principal amount of your notes.
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Lesser Performing
Underlying Asset:
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The Underlying Asset that has the lowest Percentage Change.
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Percentage Change:
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Final Level - Initial Level, expressed as a percentage.
Initial Level
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Pricing Date:
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On or about December 28, 2020.
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Settlement Date:
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On or about December 31, 2020, as determined on the pricing date.
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Valuation Date:
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On or about January 26, 2022, as determined on the pricing date.
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Maturity Date:
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On or about January 31, 2022, as determined on the pricing date.
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Automatic Redemption:
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Not applicable
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Calculation Agent:
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BMOCM
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Selling Agent:
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BMOCM
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The pricing date and the Settlement Date are subject to change.
The actual pricing date, Settlement Date, Valuation Date and Maturity Date will be set forth in the final pricing supplement.
Payoff Example
The following table shows the hypothetical
payout profile of an investment in the notes based on hypothetical Percentage Changes of the Lesser Performing Underlying Asset,
reflecting the 125% Upside Leverage Factor, a Buffer Level of 90% and a Maximum Return of 16%. Please see the hypothetical returns
section below for more detailed examples.
* Your return on the notes will be determined
solely by the Percentage Change of the Lesser Performing Underlying Asset.
Additional Terms of the Notes
You should read this pricing supplement
together with the product supplement, the prospectus supplement and the prospectus, each dated April 20, 2020. This pricing
supplement, 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):
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Product supplement dated April 20, 2020:
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https://www.sec.gov/Archives/edgar/data/927971/000121465920003523/d420205424b5.htm
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Prospectus dated April 20, 2020:
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https://www.sec.gov/Archives/edgar/data/927971/000119312520112240/d903160d424b2.htm
Our Central Index Key, or CIK, on the SEC
website is 927971. As used in this pricing supplement, “we,” “us” or “our” refers to Bank of
Montreal.
We have filed a registration
statement (including a prospectus) with the SEC for the offering to which this document relates. Before you invest, you should
read the prospectus in that registration statement and the other documents that we have filed with the SEC for more complete information
about us and this offering. You may obtain these documents free of charge by visiting the SEC’s website at http://www.sec.gov.
Alternatively, we will arrange to send to you the prospectus (as supplemented by the prospectus supplement and product supplement)
if you request it by calling our agent toll-free at 1-877-369-5412.
Selected Risk Considerations
An investment in the notes involves
significant risks. Investing in the notes is not equivalent to investing directly in the Underlying Assets. These risks are explained
in more detail in the “Additional Risk Factors Relating to the Notes” section of the product supplement.
Risks Relating to the Terms of the Notes
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Your investment in the notes may result in a loss. — You may lose some or substantially all of your investment
in the notes. The minimum percentage of your principal that you are entitled to receive under the terms of the notes is only 10%.
The payment at maturity will be based on the Final Level, and whether the Final Level of the Lesser Performing Underlying Asset
on the valuation date has declined from the Initial Level to a level that is less than the Buffer Level. You will lose 1% of the
principal amount of your notes for each 1% that the Final Level of the Lesser Performing Underlying Asset is less than its Buffer
Level. Accordingly, you could lose up to 90% of the principal amount of the notes.
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Your return on the notes is limited to the Maximum Redemption Amount, regardless of any appreciation in the levels of the
Underlying Assets. — The return on your notes will not be greater than the Maximum Redemption Amount. This will be the
case even if the Percentage Change of the Lesser Performing Underlying Asset multiplied by the Upside Leverage Factor exceeds the
Maximum Return.
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Your investment is subject to the credit risk of Bank of Montreal. — Our credit ratings and credit spreads may
adversely affect the market value of the notes. Investors are dependent on our ability to pay the amount due at maturity, and therefore
investors are subject to our credit risk and to changes in the market’s view of our creditworthiness. Any decline in our
credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect
the value of the notes.
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Your return on the notes will be determined solely by reference to the Lesser Performing Underlying Asset, even if the other
Underlying Asset performs better. — Your payment at maturity will only be determined by reference to the performance
of the Lesser Performing Underlying Asset. Even if the other Underlying Asset has appreciated in value compared to its Initial
Level, or has experienced a decline that is less than that of the Lesser Performing Underlying Asset, your return at maturity will
only be determined by reference to the performance of the Lesser Performing Underlying Asset.
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Your return on the notes will be determined by reference to each Underlying Asset individually, not to a basket, and the
payments on the notes will be based on the performance of the Lesser Performing Underlying Asset. — 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, the depreciation of one basket component could be mitigated by the appreciation of
the other basket component, as scaled by the weighting of that basket component. However, in the case of the notes, the individual
performance of each Underlying Asset would not be combined, and the depreciation of an Underlying Asset would not be mitigated
by any appreciation of the other Underlying Asset. Instead, your return at maturity will depend solely on the Final Level of the
Lesser Performing Underlying Asset.
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Significant aspects of the tax treatment of the notes are uncertain. — The tax treatment of the notes is uncertain.
We do not plan to request a ruling from the Internal Revenue Service or from any Canadian authorities regarding the tax treatment
of the notes, and the Internal Revenue Service or a court may not agree with the tax treatment described in this pricing supplement.
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The Internal Revenue Service has issued a notice indicating
that it and the Treasury Department are actively considering whether, among other issues, a holder should be required to accrue
interest over the term of an instrument such as the notes even though that holder will not receive any payments with respect to
the notes until maturity and whether all or part of the gain a holder may recognize upon sale or maturity of an instrument such
as the notes could be treated as ordinary income. The outcome of this process is uncertain and could apply on a retroactive basis.
Please read carefully the section entitled “U.S.
Federal Tax Information” in this pricing supplement, 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.
Risks Relating to the Initial Estimated Value of
the Notes
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Our initial estimated value of the notes will be lower than the price to public. — Our initial estimated value
of the notes is only an estimate, and is based on a number of factors. The price to public of the notes will exceed our initial
estimated value, because costs associated with offering, structuring and hedging the notes are included in the price to public,
but are not included in the estimated value. These costs include the underwriting discount and selling concessions, the profits
that we and our affiliates expect to realize for assuming the risks in hedging our obligations under the notes and the estimated
cost of hedging these obligations. The initial estimated value of the notes may be as low as the amount indicated on the cover
page of this preliminary pricing supplement.
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Our initial estimated value does not represent any future value of the notes, and may also differ from the estimated value
of any other party. — Our initial estimated value of the notes as of the date of this preliminary pricing supplement
is, and our estimated value as determined on the pricing date will be, derived using our internal pricing models. This value is
based on market conditions and other relevant factors, which include volatility of the Underlying 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 in this pricing supplement and the product
supplement. These changes are likely to impact the price, if any, at which we or BMOCM would be willing to purchase the notes from
you in any secondary market transactions. Our initial estimated value does not represent a minimum price at which we or our affiliates
would be willing to buy your notes in any secondary market at any time.
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The terms of the notes are not determined by reference to the credit spreads for our conventional fixed-rate debt. —
To determine the terms of the notes, we will use an internal funding rate that represents a discount from the credit spreads for
our conventional fixed-rate debt. As a result, the terms of the notes are less favorable to you than if we had used a higher funding
rate.
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Risks Relating to the Underlying Assets
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You will not have any shareholder rights and will have no right to receive any securities included in the Underlying Assets
at maturity. — Investing in your notes will not make you a holder of any shares of any company included in either of
the Underlying 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 those securities.
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An investment in the notes is subject to risks associated in investing in stocks with a small market capitalization.
— The RTY consists of stocks issued by companies with relatively small market capitalizations. These companies often have
greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies. As a result, the level
of the RTY may be more volatile than that of a market measure that does not track solely small-capitalization stocks. Stock prices
of small-capitalization companies are also generally more vulnerable than those of large-capitalization companies to adverse business
and economic developments, and the stocks of small-capitalization companies may be thinly traded, and be less attractive to many
investors if they do not pay dividends. In addition, small capitalization companies are typically less well-established and less
stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable
to loss of those individuals. Small capitalization companies tend to have lower revenues, less diverse product lines, smaller shares
of their target markets, fewer financial resources and fewer competitive strengths than large-capitalization companies. These companies
may also be more susceptible to adverse developments related to their products or services.
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Changes that affect an Underlying Asset may adversely affect the market value of the notes and the amount you will receive
at maturity. — The policies of S&P Dow Jones Indices LLC (“S&P”), the sponsor of the SPX, and FTSE
Russell, the sponsor of the RTY (each, an “Index Sponsor”), concerning the calculation of the applicable Underlying
Asset, additions, deletions or substitutions of the components of the applicable Underlying Asset and the manner in which changes
affecting those components, such as stock dividends, reorganizations or mergers, may be reflected in the applicable Underlying
Asset and, therefore, could affect the level of the applicable Underlying 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 either Index Sponsor changes these policies, for example, by changing the manner in which it calculates the applicable Underlying
Asset, or if either Index Sponsor discontinues or suspends the calculation or publication of the applicable Underlying Asset.
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We have no affiliation with either Index Sponsor and will not be responsible for any actions taken by either Index Sponsor.
— Neither Index Sponsor is an affiliate of ours or will be involved in the offering of the notes in any way. Consequently,
we have no control over the actions of either Index Sponsor, including any actions of the type that would require the calculation
agent to adjust the payment to you at maturity. Neither Index Sponsor has any obligation of any sort with respect to the notes.
Thus, neither Index Sponsor has any 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 either
Index Sponsor.
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Risks Relating to the Secondary Market for the
Notes
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The notes are not expected to have a liquid trading market. — The notes will not be listed on any securities exchange.
BMOCM may offer to purchase the notes in the secondary market, but is not required to do so. Even if there is a secondary market,
it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make
a secondary market for the notes, the price at which you may be able to trade the notes is likely to depend on the price, if any,
at which BMOCM is willing to buy the notes.
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Many economic and market factors will influence the value of the notes. — In addition to the levels of the Underlying
Assets and interest rates on any trading day, the value of the notes will be affected by a number of economic and market factors
that may either offset or magnify each other, and which are described in more detail in the product supplement.
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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 the underwriting discount and selling concessions and the
hedging profits and estimated hedging costs that are included in the price to public of the notes and that may be reflected on
your account statements. In addition, any such price is also likely to reflect a discount to account for costs associated with
establishing or unwinding any related hedge transaction, such as dealer discounts, mark-ups and other transaction costs. As a result,
the price, if any, at which BMOCM or any other party may be willing to purchase the notes from you in secondary market transactions,
if at all, will likely be lower than the price to public. Any sale that you make prior to the maturity date could result in a substantial
loss to you.
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Risks Relating to Conflicts of Interest and Our
Business and Trading Activities
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Our interests and those of our affiliates may conflict with the interests of noteholders. — 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 securities included in the Underlying
Assets 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 levels of
the Underlying 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 Underlying Assets. By introducing competing products into the marketplace in this manner, we or one or
more of our affiliates could adversely affect the market value of the notes.
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Our hedging and trading activities may adversely affect your return. — We or any of our affiliates may carry out
hedging activities related to the notes, including purchasing or selling securities included in the Underlying Assets, or futures
or options relating to the Underlying Assets, or other derivative instruments with returns linked or related to changes in the
performance of the Underlying Assets. We or our affiliates may also engage in trading relating to the Underlying Assets 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 our payment to you at maturity.
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You must rely on your own evaluation of the merits of an investment linked to the Underlying 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 Underlying Assets or the prices of the securities included in the Underlying Assets. One or more of our affiliates have published,
and in the future may publish, research reports that express views on the Underlying 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 Underlying
Assets at any time may have significantly different views from those of our affiliates. You are encouraged to derive information
concerning each of the Underlying Assets from multiple sources, and you should not rely on the views expressed by our affiliates.
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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.
Hypothetical Return on the Notes at Maturity
The following table and examples illustrate
the hypothetical returns at maturity on a $1,000 investment in the notes based on hypothetical Percentage Changes of the Lesser
Performing Underlying Asset. The “return,” as used in this section is the number, expressed as a percentage, which
results from comparing the payment at maturity per $1,000 in principal amount of the notes to $1,000. The hypothetical total returns
set forth below are based on a hypothetical Initial Level of 1,000 for the Lesser Performing Underlying Asset, a Buffer Percentage
of 10% (the Buffer Level is 90% of the Initial Level), an Upside Leverage Factor of 125%, a Maximum Return of 16% and a Maximum
Redemption Amount of $1,160. The hypothetical returns set forth below are for illustrative purposes only and may not be the actual
returns applicable to investors in the notes. The numbers appearing in the following table and in the examples below have been
rounded for ease of analysis. We make no representation or warranty as to which of the Underlying Assets will be the Lesser Performing
Underlying Asset. It is possible that the Final Level of each Underlying Asset will be less than its Buffer Level.
Hypothetical Final Level of
the Lesser Performing
Underlying Asset
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Hypothetical Percentage
Change of the Lesser
Performing Underlying Asset
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Hypothetical
Payment at Maturity
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Hypothetical
Return on the Notes
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1,500.00
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50.00%
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$1,160.00
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16.00%
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1,300.00
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30.00%
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$1,160.00
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16.00%
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1,200.00
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20.00%
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$1,160.00
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16.00%
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1,128.00
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12.80%
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$1,160.00
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16.00%
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1,100.00
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10.00%
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$1,125.00
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12.50%
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1,050.00
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5.00%
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$1,062.50
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6.25%
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1,020.00
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2.00%
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$1,025.00
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2.50%
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1,000.00
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0.00%
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$1,000.00
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0.00%
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950.00
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-5.00%
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$1,000.00
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0.00%
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900.00
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-10.00%
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$1,000.00
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0.00%
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800.00
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-20.00%
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$900.00
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-10.00%
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700.00
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-30.00%
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$800.00
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-20.00%
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600.00
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-40.00%
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$700.00
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-30.00%
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500.00
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-50.00%
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$600.00
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-40.00%
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400.00
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-60.00%
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$500.00
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-50.00%
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300.00
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-70.00%
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$400.00
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-60.00%
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200.00
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-80.00%
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$300.00
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-70.00%
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100.00
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-90.00%
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$200.00
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-80.00%
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0.00
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-100.00%
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$100.00
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-90.00%
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Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the
returns set forth in the table above are calculated.
Example 1: The level of the Lesser Performing Underlying
Asset decreases from the hypothetical Initial Level of 1,000 to a hypothetical Final Level of 500, representing a Percentage Change
of -50%. Because the Percentage Change of the Lesser Performing Underlying Asset is negative and its hypothetical Final Level
is less than its hypothetical Initial Level by more than the Buffer Percentage of 10%, the investor receives a payment at maturity
of $600 per $1,000 in principal amount of the notes, calculated as follows:
$1,000 + [$1,000 x (-50% + 10%)] = $600
Example 2: The level of the Lesser Performing Underlying
Asset decreases from the hypothetical Initial Level of 1,000 to a hypothetical Final Level of 975, representing a Percentage Change
of -2.50%. Although the Percentage Change of the Lesser Performing Underlying Asset is negative, because its hypothetical Final
Level is less than its hypothetical Initial Level by not more than the Buffer Percentage of 10%, the investor receives a payment
at maturity equal to the principal amount of the notes.
Example 3: The level of the of the Lesser Performing Underlying
Asset increases from the hypothetical Initial Level of 1,000 to a hypothetical Final Level of 1,050, representing a Percentage
Change of 5%. Because the hypothetical Final Level of the Lesser Performing Underlying Asset is greater than its hypothetical
Initial Level, and the Percentage Change multiplied by the Upsize Leverage Factor does not exceed the Maximum Return, the investor
receives a payment at maturity of $1,062.50 per $1,000 in principal amount of the notes, calculated as follows:
$1,000 + [$1,000 x (5% x 125%)] = $1,062.50
Example 4: The level of the Lesser Performing Underlying
Asset increases from the hypothetical Initial Level of 1,000 to a hypothetical Final Level of 1,500, representing a Percentage
Change of 50%. Because the hypothetical Final Level of the Lesser Performing Underlying Asset is greater than its hypothetical
Initial Level, and the Percentage Change multiplied by the Upside Leverage Factor exceeds the Maximum Return, the investor receives
a payment at maturity of $1,160 per $1,000 in principal amount of the notes, the Maximum Redemption Amount. However, in this case,
the return on the notes would be less than the Percentage Change of the Lesser Performing Underlying Asset.
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 cash-settled derivative contract for U.S. federal income tax purposes. However, the U.S. federal
income tax consequences of your investment in the notes are uncertain and the Internal Revenue Service could assert that the notes
should be taxed in a manner that is different from that described in the preceding sentence. Please see the discussion (including
the opinion of our counsel Morrison & Foerster LLP) in the product supplement under “Supplemental Tax Considerations—Supplemental
U.S. Federal Income Tax Considerations,” which applies to the notes.
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-U.S. holders 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 page of this pricing supplement. 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. This commission includes a selling concession of up to 1.60% of the principal
amount that we or one of our affiliates will pay to one or more dealers in connection with the distribution of the notes.
Certain dealers who purchase
the notes for sale to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions.
The public offering price for investors purchasing the notes in these accounts may be less than 100% of the principal amount, as
set forth on the cover page of this document. Investors that hold their notes in these accounts may be charged fees by the investment
advisor or manager of that account based on the amount of assets held in those accounts, including the notes.
We will deliver
the notes on a date that is greater than two business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange
Act of 1934, trades in the secondary market generally are required to settle in two business days, unless the parties to any such
trade expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than two business days prior to the issue
date will be required to specify alternative settlement arrangements to prevent a failed settlement.
We own, directly or indirectly,
all of the outstanding equity securities of BMOCM, the agent for this offering. In accordance with FINRA Rule 5121, BMOCM may not
make sales in this offering to any of its discretionary accounts without the prior written approval of the customer.
We reserve the right to
withdraw, cancel or modify the offering of the notes and to reject orders in whole or in part. You may cancel any order for the
notes prior to its acceptance.
You should not construe
the offering of the notes as a recommendation of the merits of acquiring an investment linked to the Underlying Assets or as to
the suitability of an investment in the notes.
BMOCM may, but is not
obligated to, make a market in the notes. BMOCM will determine any secondary market prices that it is prepared to offer in its
sole discretion.
We may use the final pricing
supplement relating to the notes in the initial sale of the notes. In addition, BMOCM or another of our affiliates may use that
pricing supplement in market-making transactions in any notes after their initial sale. Unless BMOCM or we inform you otherwise
in the confirmation of sale, the final pricing supplement is being used by BMOCM in a market-making transaction.
For a period of approximately
three months following issuance of the notes, the price, if any, at which we or our affiliates would be willing to buy the notes
from investors, and the value that BMOCM may also publish for the notes through one or more financial information vendors and which
could be indicated for the notes on any brokerage account statements, will reflect a temporary upward adjustment from our estimated
value of the notes that would otherwise be determined and applicable at that time. This temporary upward adjustment represents
a portion of (a) the hedging profit that we or our affiliates expect to realize over the term of the notes and (b) the underwriting
discount and 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.
Additional Information
Relating to the Estimated Initial Value of the Notes
Our estimated initial value of the notes
on the date of this preliminary pricing supplement, and that will be set forth on the cover page of the final pricing supplement
relating to the notes, equals the sum of the values of the following hypothetical components:
|
·
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a fixed-income debt component with the same tenor as the notes, valued using our internal funding
rate for structured notes; and
|
|
·
|
one or more derivative transactions relating to the economic terms of the notes.
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The internal funding rate
used in the determination of the initial estimated value generally represents a discount from the credit spreads for our conventional
fixed-rate debt. The value of these derivative transactions are derived from our internal pricing models. These models are based
on factors such as the traded market prices of comparable derivative instruments and on other inputs, which include volatility,
dividend rates, interest rates and other factors. As a result, the estimated initial value of the notes on the pricing date will
be determined based on market conditions on the pricing date.
The Underlying Assets
All disclosures
contained in this pricing supplement regarding the Underlying Assets, including, without limitation, their make-up, method of calculation,
and changes in their components, have been derived from publicly available sources. The information reflects the policies of, and
is subject to change by, the applicable Index Sponsor. The Index Sponsors, who own the copyright and all other rights to the applicable
Underlying Asset, have no obligation to continue to publish, and may discontinue publication of, the Underlying Assets. Neither
we nor BMOCM accepts any responsibility for the calculation, maintenance or publication of any Underlying Asset or any successor
index.
We encourage
you to review recent levels of the Underlying Assets prior to making an investment decision with respect to the notes.
The S&P 500®
Index
The S&P
500® Index is intended to provide an indication of the pattern of common stock price movement. The calculation of
the level of this Underlying Asset is based on the relative value of the aggregate market value of the common stocks of 500 companies
as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the
base period of the years 1941 through 1943.
S&P calculates
this Underlying Asset by reference to the prices of the constituent stocks of this Underlying Asset without taking account of the
value of dividends paid on those stocks. As a result, the return on the notes will not reflect the return you would realize if
you actually owned the SPX constituent stocks and received the dividends paid on those stocks.
Computation of the S&P 500®
Index
While S&P
currently employs the following methodology to calculate the S&P 500® Index, no assurance can be given that
S&P will not modify or change this methodology in a manner that may affect the Payment at Maturity.
Historically,
the market value of any component stock of the S&P 500® Index was calculated as the product of the market price
per share and the number of then outstanding shares of such component stock. In March 2005, S&P began shifting the S&P
500® Index halfway from a market capitalization weighted formula to a float-adjusted formula, before moving the
S&P 500® Index to full float adjustment on September 16, 2005. S&P’s criteria for selecting stocks
for the S&P 500® Index did not change with the shift to float adjustment. However, the adjustment affects each
company’s weight in the S&P 500® Index.
Under float
adjustment, the share counts used in calculating the S&P 500® Index reflect only those shares that are available
to investors, not all of a company’s outstanding shares. Float adjustment excludes shares that are closely held by control
groups, other publicly traded companies or government agencies.
In September
2012, all shareholdings representing more than 5% of a stock’s outstanding shares, other than holdings by “block owners,”
were removed from the float for purposes of calculating the S&P 500® Index. Generally, these “control
holders” will include officers and directors, private equity, venture capital and special equity firms, other publicly traded
companies that hold shares for control, strategic partners, holders of restricted shares, ESOPs, employee and family trusts, foundations
associated with the company, holders of unlisted share classes of stock, government entities at all levels (other than government
retirement/pension funds) and any individual person who controls a 5% or greater stake in a company as reported in regulatory filings.
However, holdings by block owners, such as depositary banks, pension funds, mutual funds and ETF providers, 401(k) plans of the
company, government retirement/pension funds, investment funds of insurance companies, asset managers and investment funds, independent
foundations and savings and investment plans, will ordinarily be considered part of the float.
Treasury stock,
stock options, equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float.
Shares held in a trust to allow investors in countries outside the country of domicile, such as depositary shares and Canadian
exchangeable shares are normally part of the float unless those shares form a control block.
For each stock,
an investable weight factor (“IWF”) is calculated by dividing the available float shares by the total shares outstanding.
Available float shares are defined as the total shares outstanding less shares held by control holders. This calculation is subject
to a 5% minimum threshold for control blocks. For example, if a company’s officers and directors hold 3% of the company’s
shares, and no other control group holds 5% of the company’s shares, S&P would assign that company an IWF of 1.00, as
no control group meets the 5% threshold. However, if a company’s officers and directors hold 3% of the company’s shares
and another control group holds 20% of the company’s shares, S&P would assign an IWF of 0.77, reflecting the fact that
23% of the company’s outstanding shares are considered to be held for control. As of July 31, 2017, companies with multiple
share class lines are no longer eligible for inclusion in the S&P 500® Index. Constituents of the S&P 500®
Index prior to July 31, 2017 with multiple share class lines were grandfathered in and continue to be included in the S&P 500®
Index. If a constituent company of the S&P 500® Index reorganizes into a multiple share class line structure,
that company will remain in the S&P 500® Index at the discretion of the S&P Index Committee in order to
minimize turnover.
The S&P 500® Index is calculated
using a base-weighted aggregate methodology. The level of the S&P 500® Index reflects the total market value
of all 500 component stocks relative to the base period of the years 1941 through 1943. An indexed number is used to represent
the results of this calculation in order to make the level easier to use and track over time. The actual total market value of
the component stocks during the base period of the years 1941 through 1943 has been set to an indexed level of 10. This is often
indicated by the notation 1941-43 = 10. In practice, the daily calculation of the S&P 500® Index is computed
by dividing the total market value of the component stocks by the “index divisor.” By itself, the index divisor is
an arbitrary number. However, in the context of the calculation of the S&P 500® Index, it serves as a link
to the original base period level of the S&P 500® Index. The index divisor keeps the S&P 500®
Index comparable over time and is the manipulation point for all adjustments to the S&P 500® Index, which
is index maintenance.
Index Maintenance
Index maintenance
includes monitoring and completing the adjustments for company additions and deletions, share changes, stock splits, stock dividends,
and stock price adjustments due to company restructuring or spinoffs. Some corporate actions, such as stock splits and stock dividends,
require changes in the common shares outstanding and the stock prices of the companies in the S&P 500® Index,
and do not require index divisor adjustments.
To prevent
the level of the S&P 500® Index from changing due to corporate actions, corporate actions which affect the total
market value of the S&P 500® Index require an index divisor adjustment. By adjusting the index divisor for the
change in market value, the level of the S&P 500® Index remains constant and does not reflect the corporate
actions of individual companies in the S&P 500® Index. Index divisor adjustments are made after the close of
trading and after the calculation of the S&P 500® Index closing level.
Changes in
a company’s total shares outstanding of 5% or more due to public offerings are made as soon as reasonably possible. Other
changes of 5% or more (for example, due to tender offers, Dutch auctions, voluntary exchange offers, company stock repurchases,
private placements, acquisitions of private companies or non-index companies that do not trade on a major exchange, redemptions,
exercise of options, warrants, conversion of preferred stock, notes, debt, equity participations, at-the-market stock offerings
or other recapitalizations) are made weekly, and are generally announced on Fridays for implementation after the close of trading
the following Friday (one week later). If a 5% or more share change causes a company’s IWF to change by five percentage points
or more, the IWF is updated at the same time as the share change. IWF changes resulting from partial tender offers are considered
on a case-by-case basis.
License Agreement
We and S&P
have entered into a non-exclusive license agreement providing for the license to us and certain of our affiliates, in exchange
for a fee, of the right to use the S&P 500® Index, in connection with certain securities, including the notes.
The S&P 500® Index is owned and published by S&P.
The license
agreement between S&P and us provides that the following language must be set forth in this pricing supplement:
The notes are
not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, Standard and Poor’s Financial Services
LLC or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make
no representation or warranty, express or implied, to the holders of the notes or any member of the public regarding the advisability
of investing in securities generally or in the notes particularly or the ability of the Index to track general market performance.
S&P Dow Jones Indices’ only relationship to us with respect to the Index is the licensing of the Index and certain trademarks,
service marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The Index is determined, composed
and calculated by S&P Dow Jones Indices without regard to us or the 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 Index. S&P
Dow Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of the notes
or the timing of the issuance or sale of the notes or in the determination or calculation of the equation by which the notes are
to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing
or trading of the notes. There is no assurance that investment products based on the Index will accurately track index performance
or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion
of a security or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such
security or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its
affiliates may independently issue and/or sponsor financial products unrelated to the notes currently being issued by us, but which
may be similar to and competitive with the notes. In addition, CME Group Inc. and its affiliates may trade financial products which
are linked to the performance of the Index. It is possible that this trading activity will affect the value of the notes.
S&P DOW
JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO
OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT
THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN.
S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR
FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY US, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY
FROM THE USE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER
SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT
NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH
DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR
ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND US, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
S&P® is a
registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark
of Dow Jones Trademark Holdings LLC (“Dow Jones”). These trademarks have been licensed for use by Bank of Montreal.
“Standard & Poor’s®”, “S&P 500®” and “S&P®”
are trademarks of S&P. The notes are not sponsored, endorsed, sold or promoted by S&P and S&P makes no representation
regarding the advisability of investing in the notes.
The Russell 2000® Index
The RTY was developed
by Russell Investments (“Russell”) before FTSE International Limited (“FTSE”) and Russell combined in 2015
to create FTSE Russell, which is wholly owned by London Stock Exchange Group. Russell began dissemination of the RTY (Bloomberg
L.P. index symbol “RTY”) on January 1, 1984. The RTY was set to 135 as of the close of business on December 31, 1986.
FTSE Russell calculates and publishes the RTY. The RTY is designed to track the performance of the small capitalization segment
of the U.S. equity market. As a subset of the Russell 3000® Index, the RTY consists of the smallest 2,000 companies
included in the Russell 3000® Index. The Russell 3000® Index measures the performance of the largest
3,000 U.S. companies. The RTY is determined, comprised, and calculated by FTSE Russell without regard to the notes.
Selection of Stocks Comprising the RTY
All companies eligible
for inclusion in the RTY must be classified as a U.S. company under FTSE Russell’s country-assignment methodology. If a company
is incorporated, has a stated headquarters location, and trades on a standard exchange in the same country (American Depositary
Receipts and American Depositary Shares are not eligible), then the company is assigned to its country of incorporation. If any
of the three factors are not the same, FTSE Russell defines three Home Country Indicators (“HCIs”): country of incorporation,
country of headquarters, and country of the most liquid exchange (as defined by a two-year average daily dollar trading volume)
(“ADDTV”) from all exchanges within a country. Using the HCIs, FTSE Russell compares the primary location of the company’s
assets with the three HCIs. If the primary location of its assets matches any of the HCIs, then the company is assigned to the
primary location of its assets. If there is insufficient information to determine the country in which the company’s assets
are primarily located, FTSE Russell will use the primary location of the company’s revenue for the same cross-comparison
and assigns the company to the appropriate country in a similar fashion. FTSE Russell uses the average of two years of assets or
revenues data to reduce potential turnover. If conclusive country details cannot be derived from assets or revenues data, FTSE
Russell will assign the company to the country in which its headquarters are located unless the country is a Benefit Driven Incorporation
“BDI” country. If the country in which its headquarters are located is a BDI, it will be assigned to the country of
its most liquid stock exchange. BDI countries include: Anguilla, Antigua and Barbuda, Aruba, Bahamas, Barbados, Belize, Bermuda,
Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey, Isle
of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten, and Turks and Caicos Islands. For any companies
incorporated or headquartered in a U.S. territory, including countries such as Puerto Rico, Guam, and U.S. Virgin Islands, a U.S.
HCI is assigned. “N shares” of companies controlled by entities or individuals based in mainland China are not eligible
for inclusion in the RTY.
All securities eligible
for inclusion in the RTY must trade on a major U.S. exchange. Stocks must have a closing price at or above $1.00 on their primary
exchange on the “rank day” in May of each year (timetable is announced each spring) to be eligible for inclusion during
annual reconstitution. However, in order to reduce unnecessary turnover, if an existing member’s closing price is less than
$1.00 on the last day of May, it will be considered eligible if the average of the daily closing prices (from its primary exchange)
during the month of May is equal to or greater than $1.00. FTSE Russell adds initial public offerings (IPOs) each quarter to ensure
that new additions to the institutional investing opportunity set are reflected in representative indexes. A stock added during
the quarterly IPO process is considered a new index addition, and therefore must have a closing price on its primary exchange at
or above $1.00 on the last day of the eligibility period in order to qualify for index inclusion. If an existing index member does
not trade on the rank day, it must price at $1.00 or above on another eligible U.S. exchange to remain eligible.
Royalty trusts, limited
liability companies, closed-end investment companies (companies that are required to report Acquired Fund Fees and Expenses, as
defined by the SEC, including business development companies, are not eligible), blank check companies, special-purpose acquisition
companies, exchange traded funds, mutual funds and limited partnerships are ineligible for inclusion. Preferred and convertible
preferred stock, redeemable shares, participating preferred stock, warrants, rights, installment receipts and trust receipts are
not eligible for inclusion in the RTY.
Annual reconstitution
is a process by which the RTY is completely rebuilt. On the rank day of May, all eligible securities are ranked by their total
market capitalization. The largest 4,000 become the Russell 3000E Index, and the other FTSE Russell indexes are determined from
that set of securities. Reconstitution of the RTY occurs on the last Friday in June or, when the last Friday in June is the 29th
or 30th, reconstitution occurs on the prior Friday. In addition, FTSE Russell adds initial public offerings to the RTY on a quarterly
basis based on total market capitalization ranking within the market-adjusted capitalization breaks established during the most
recent reconstitution.
After membership is determined,
a security’s shares are adjusted to include only those shares available to the public. This is often referred to as “free
float.” The purpose of the adjustment is to exclude from market calculations the capitalization that is not available for
purchase and is not part of the investable opportunity set.
License Agreement
“Russell 2000®”
and “Russell 3000®” are trademarks of FTSE Russell and have been licensed for use by us.
The notes are not sponsored,
endorsed, sold or promoted by FTSE Russell. FTSE Russell makes no representation or warranty, express or implied, to the owners
of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes particularly
or the ability of the RTY to track general stock market performance or a segment of the same. FTSE Russell's publication of the
RTY in no way suggests or implies an opinion by FTSE Russell as to the advisability of investment in any or all of the securities
upon which the RTY is based. FTSE Russell's only relationship to the Issuer is the licensing of certain trademarks and trade names
of FTSE Russell and of the RTY which is determined, composed and calculated by FTSE Russell without regard to the Issuer or the
notes. FTSE Russell is not responsible for and has not reviewed the notes nor any associated literature or publications and FTSE
Russell makes no representation or warranty express or implied as to their accuracy or completeness, or otherwise. FTSE Russell
reserves the right, at any time and without notice, to alter, amend, terminate or in any way change the RTY. FTSE Russell has no
obligation or liability in connection with the administration, marketing or trading of the notes.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY
AND/OR THE COMPLETENESS OF THE RTY OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS,
OR INTERRUPTIONS THEREIN. FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, INVESTORS,
OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RTY OR ANY DATA INCLUDED THEREIN. FTSE RUSSELL MAKES NO
EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR
USE WITH RESPECT TO THE RTY OR ANY DATA INCLUDED HEREIN WITHOUT LIMITING ANY OF THE FOREGOING. IN NO EVENT SHALL FTSE RUSSELL
HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF
THE POSSIBILITY OF SUCH DAMAGES.
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