Registration Statement No.333-237342
Filed Pursuant to Rule 424(b)(2)
Pricing Supplement dated May 11, 2022 to the Prospectus dated April 20, 2020,
the Prospectus Supplement dated May 27, 2021 and the Product Supplement dated June 18, 2021
US$513,000
Senior Medium-Term Notes, Series G
Callable Buffer Notes due November 17, 2025
Linked to the EURO STOXX 50® Index
| · | The notes are designed for investors who seek periodic interest payments at the interest rate (the "Interest
Rate") of 1.500% per quarter (approximately 6.00% per annum). Investors should be willing to have their notes redeemed prior to maturity,
be willing to forego any potential to participate in the appreciation of the EURO STOXX 50® Index (the “Reference Asset”)
, and be willing to lose a significant portion of their principal at maturity. |
| · | The notes will pay a Coupon on each Coupon Payment Date at the Interest Rate, subject to any the Issuer
Call feature. |
| · | Beginning on November 14, 2022, Bank of Montreal may, in its discretion, elect to call the notes in whole,
but not in part, on any Call Date (an "Issuer Call"). If Bank of Montreal elects to call the notes, investors will receive their
principal amount plus the Coupon otherwise due on the 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 the Reference Asset and whether the Final Level
of that Reference Asset has declined from its Initial Level to below its Buffer 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 Reference Asset (as defined below) from its Initial Level to its Final
Level in excess of 20.00%. In such a case, you will receive a cash amount at maturity that is less than the principal amount, together
with the final Coupon. Even with Interest payments, the return on the notes may be negative. |
| · | Investing in the notes is not equivalent to a hypothetical direct investment in the Reference Asset. |
| · | 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: |
May 11, 2022 |
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Valuation Date: |
November 12, 2025 |
Settlement Date: |
May 16, 2022 |
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Maturity Date: |
November 17, 2025 |
Specific Terms of the Notes:
Callable
Number |
Reference
Asset |
Ticker
Symbol |
Initial Level |
Interest Rate |
Buffer
Level* |
CUSIP |
Principal
Amount |
Price to
Public1 |
Agent’s
Commission1 |
Proceeds to Bank
of Montreal1 |
2380 |
The EURO STOXX 50® Index |
SX5E |
3,647.87 |
1.500% per quarter (approximately 6.00% per annum) |
2,918.30, 80.00% of its Initial Level |
06368GT98 |
$513,000.00 |
100% |
0.25%
$1,282.50 |
99.75%
$511,717.50 |
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 $997.50 and $1,000 per $1,000
in principal amount.
* Rounded to two decimal places.
Investing in the notes involves risks, including
those described in the “Selected Risk Considerations” section beginning on page P-5 hereof, the “Additional Risk Factors
Relating to the Notes” section beginning on page PS-6 of the product supplement, and the “Risk Factors” section beginning
on page S-1 of the prospectus supplement and on page 8 of the prospectus.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of these notes or passed upon the accuracy of this document, the product
supplement, the prospectus supplement or the prospectus. Any representation to the contrary is a criminal offense. The notes will be our
unsecured obligations and will not be savings accounts or deposits that are insured by the United States Federal Deposit Insurance Corporation,
the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency or instrumentality or other entity.
On the date hereof, based on the terms set forth
above, the estimated initial value of the notes is $973.76 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 Asset: |
The EURO STOXX 50® Index (ticker symbol "SX5E") . See "The Reference Asset" below for additional information. |
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Coupons: |
A Coupon will be paid on the corresponding Coupon Payment Date at the Interest Rate, subject to the Issuer Call feature. |
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Interest Rate: |
1.500% per quarter (approximately 6.00% per annum). Accordingly, each Coupon will equal $15.00. |
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Call Dates:1 |
Beginning on November 14, 2022, three trading days prior to each Coupon Payment Date. |
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Coupon Payment Dates:1 |
Interest will be paid on the 17th day of each August, November, February, and May (or, if such day is not a business day, the next following business day), beginning on August 17, 2022 and ending on the Maturity Date, subject to the Issuer Call feature. |
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Issuer Call: |
Beginning on November 14, 2022, Bank of Montreal may, in its discretion, elect to call the notes in whole, but not in part, on any Call 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 Call Date |
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Payment upon Issuer Call: |
If Bank of Montreal elects to call the notes, investors on the Call Settlement Date will receive their principal amount plus the Coupon otherwise due. |
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Call Settlement Date:1 |
If Bank of Montreal elects to call the notes, the Coupon Payment Date immediately following the relevant Call Date. |
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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 Asset.
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 + Buffer Percentage)]
This amount will be less than the principal amount
of your notes, and may be significantly less.
You will also receive the final Coupon. Even with Coupons, the
return on the notes may be negative. |
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Trigger Event: |
A Trigger Event will be deemed to occur if the Final Level of the Reference Asset is less than its Buffer Level on the Valuation Date. |
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Percentage Change: |
The quotient, expressed as a percentage, of the following formula:
(Final Level - Initial Level)
Initial Level |
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Initial Level:2 |
As set forth on the cover hereof. |
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Buffer Level:2 |
2,918.30, which is 80.00% of the Initial Level. |
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Buffer Percentage: |
20.00% Accordingly, you will receive the principal amount of your notes at maturity only if the level of the Reference Asset does not decrease by more than 20.00% over the term of the notes. If the Final Level of the Reference 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 80.00% of the principal amount of your notes. |
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Final Level:2 |
The closing level of the Reference Asset on the Valuation Date. |
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Pricing Date: |
May 11, 2022 |
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Settlement Date: |
May 16, 2022 |
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Valuation Date:1 |
November 12, 2025 |
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Maturity Date:1 |
November 17, 2025 |
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Calculation Agent: |
BMOCM |
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Selling Agent: |
BMOCM |
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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 - Adjustments to a Reference Asset that is an Index” in the product
supplement for additional information.
Additional Terms of the Notes
You should read this document together with the
product supplement dated June 18, 2021, the prospectus supplement dated May 27, 2021 and the prospectus dated April 20, 2020. This
document, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas,
structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours or the agent. You
should carefully consider, among other things, the matters set forth in Additional Risk Factors Relating to the Notes in the product supplement,
as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Product supplement dated June 18, 2021:
https://www.sec.gov/Archives/edgar/data/927971/000121465921006735/d621210424b2.htm
Prospectus supplement dated May 27, 2021:
https://www.sec.gov/Archives/edgar/data/927971/000121465921006002/g526210424b5.htm
Prospectus dated April 20, 2020:
https://www.sec.gov/Archives/edgar/data/927971/000119312520112240/d903160d424b2.htm
Our Central Index Key, or CIK, on the SEC website
is 927971. As used in this document, "we", "us" or "our" refers to Bank of Montreal.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Reference Asset. 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 and whether a Trigger Event has occurred.
If the Final Level is less than the Buffer Level, a Trigger Event will occur and you will lose 1% of the principal amount for each 1%
that the Final Level is less than the Initial Level in excess of the Buffer Percentage. 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 significantly less. Accordingly, even with Coupons, the
return on the notes may be negative. |
| · | 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 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 Coupons regardless of any increase in the level of the Reference Asset. —
You will not receive a payment at maturity with a value greater than your principal amount plus the final Coupon. In addition, if the
notes are subject to an Issuer Call, you will not receive a payment greater than the principal amount plus the applicable Coupon, even
if the Final Level of the Reference Asset exceeds its Initial Level by a substantial amount. Accordingly, your maximum return on the applicable
notes is limited to the potential return represented by the Coupons. |
| · | 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.
Even if 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 Asset. 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 Interest Rate or lower Buffer Level may reflect greater expected volatility of the Reference Asset, and greater expected
volatility generally indicates an increased risk of loss at maturity. — The economic terms for the notes, including the Interest
Rate and Buffer Level, are based, in part, on the expected volatility of the Reference Asset at the time the terms of the notes are set.
“Volatility” refers to the frequency and magnitude of changes in the level of the Reference Asset. The greater the expected
volatility of the Reference Asset as of the Pricing Date, the greater the expectation is as of that date that a Trigger Event could occur
and, as a consequence, an increased risk of loss. All things being equal, this greater expected volatility will generally be reflected
in a higher Interest Rate than the yield payable on our conventional debt securities with a similar maturity or on otherwise comparable
securities, and/or a lower Buffer Level than those terms on otherwise comparable securities. Therefore, a relatively higher Interest Rate
may indicate an increased risk of loss. Further, a relatively lower Buffer Level may not necessarily indicate that the notes have a greater
likelihood of a return of principal at maturity. You should be willing to accept the downside market risk of the Reference Asset and the
potential to lose a significant portion of your initial investment. |
Risks Related to Reference Assets
| · | Owning the notes is not the same as a hypothetical direct investment in the Reference Asset or a security directly linked to the
Reference Asset. — The return on your notes will not reflect the return you would realize if you made a hypothetical direct
investment in the Reference Asset or the underlying securities of the Reference Asset or a security directly linked to the performance
of the Reference Asset or the underlying securities of the Reference Asset and held that investment for a similar period. Your notes may
trade quite differently from the Reference Asset. Changes in the level of the Reference Asset may not result in comparable changes in
the market value of your notes. Even if the level of the Reference Asset increases 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
level of the Reference Asset increases. |
| · | You will not have any shareholder rights and will have no right to receive any shares of any company included in the Reference
Asset at maturity. — Investing in your notes will not make you a holder of any securities included in the Reference Asset.
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 such underlying securities. |
| · | Single equity risk. — The level of the Reference Asset can rise or fall sharply due to factors specific to the Reference
Asset and the issuer of the Reference Asset (the “Reference Asset Issuer”), such as stock price volatility, earnings, financial
conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market
factors, such as general stock market volatility and levels, interest rates and economic and political conditions. We urge you to review
financial and other information filed periodically with the SEC by the Reference Asset Issuer. We are not affiliated with the Reference
Asset Issuer and are not responsible for the Reference Asset Issuer’s public disclosure of information, whether contained in SEC
filings or otherwise. We have not undertaken any independent review or due diligence of the SEC filings of the Reference Asset Issuer
or of any other publicly available information regarding the Reference Asset Issuer. |
| · | We have no affiliation with any index sponsor and will not be responsible for any index sponsor's actions. — The sponsor
of the Reference Asset is not our affiliate 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. |
| · | Changes that affect the Reference Asset could adversely affect the notes. — The policies of the sponsor of the Reference
Asset with respect to the Reference Asset concerning the calculation of the Reference Asset, additions, deletions or substitutions of
the components of the Reference Asset and the manner in which changes affecting those components, such as stock dividends, reorganizations
or mergers, may be reflected in the Reference Asset and, therefore, could affect the level of the 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 Reference
Asset, or if an index sponsor discontinues or suspends the calculation or publication of the Reference Asset. If an index sponsor discontinues
publication of the Reference Asset, the calculation agent may select a successor index (and make any corresponding adjustments to the
applicable Initial Level and Buffer Level) which will be used as a substitute for the Reference Asset for all purposes with respect to
the notes. |
| · | You must rely on your own evaluation of the merits of an investment linked to the Reference Asset. — In the ordinary
course of their businesses, our affiliates from time to time may express views on expected movements in the level of the Reference Asset
or the securities included in the Reference Asset. One or more of our affiliates have published, and in the future may publish, research
reports that express views on the Reference Asset 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 Asset at any time may have significantly different views from those
of our affiliates. You are encouraged to derive information concerning the Reference Asset 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 EURO STOXX 50® Index
| · | An investment in the notes is subject to risks associated with foreign securities markets. — The EURO STOXX 50®
Index tracks the value of certain foreign equity securities. You should be aware that investments in securities linked to the value of
foreign equity securities involve particular risks. The foreign securities markets may have less liquidity and may be more volatile than
U.S. or other securities markets and market developments may affect foreign markets differently from U.S. or other securities markets.
Direct or indirect government intervention to stabilize these foreign securities markets, as well as cross-shareholdings in foreign companies,
may affect trading prices and volumes in these markets. Also, there is generally less publicly available information about foreign companies
than about those U.S. companies that are subject to the reporting requirements of the SEC, and foreign companies are subject to accounting,
auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies.
Prices of securities in foreign countries are subject to political, economic, financial and social factors that apply in those geographical
regions. These factors, which could negatively affect those securities markets, include the possibility of recent or future changes in
a foreign government’s economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other
laws or restrictions applicable to foreign companies or investments in foreign equity securities and the possibility of fluctuations in
the rate of exchange between currencies, the possibility of outbreaks of hostility and political instability and the possibility of natural
disaster or adverse public health developments in the region. Moreover, foreign economies may differ favorably or unfavorably from the
U.S. economy in important respects such as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. |
| · | An investment in the notes is subject to foreign currency exchange rate risk. — The value of the EURO STOXX 50® Index
will fluctuate based in part upon changes in the value of the currencies in which the relevant stocks are traded. Accordingly, investors
in the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the stocks represented by
the EURO STOXX 50® Index are traded. An investor’s net exposure will depend on the extent to which these currencies strengthen
or weaken against the U.S. dollar. |
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 securities 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 Asset 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 Asset. 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 Asset, dividend rates and
interest rates. Different pricing models and assumptions could provide values for the notes that are greater than or less than our initial
estimated value. In addition, market conditions and other relevant factors after the Pricing Date are expected to change, possibly rapidly,
and our assumptions may prove to be incorrect. After the Pricing Date, the value of the notes could change dramatically due to changes
in market conditions, our creditworthiness, and the other factors set forth herein and in the product supplement. These changes are likely
to impact the price, if any, at which we or BMOCM would be willing to purchase the notes from you in any secondary market transactions.
Our initial estimated value does not represent a minimum price at which we or our affiliates would be willing to buy your notes in any
secondary market at any time. |
| · | 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 may have carried out or may carry out hedging activities
related to the notes, including purchasing or selling shares of the securities included in the Reference Asset, futures or options relating
to the Reference Asset or the securities included in the Reference Asset or other derivative instruments with return liked or related
to changes in the performance on the Reference Asset or the securities included in the Reference Asset. We or our affiliates may also
trade in securities included in the Reference Asset or instruments related to the Reference Asset 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 level of the Reference Asset
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 Payout for a $1,000 Investment in the
Notes
The following tables illustrate the hypothetical
payments on a note, assuming different scenarios. The hypothetical payments are based on a $1,000 investment, a hypothetical Initial Level
of 100.00, a hypothetical Buffer Level of 80.00 (80.00% of the hypothetical Initial Level), a hypothetical interest rate of 1.500% per
quarter (approximately 6.00% per annum), and a range of hypothetical closing levels of the Reference Asset.
The hypothetical examples shown below are intended
to help you understand the terms of the notes. The number of Coupons received will depend on whether the notes are subject to an Issuer
Call during the term 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 Reference Asset. The numbers appearing in the following examples have been rounded for ease of
analysis.
The table below illustrates the hypothetical total
Coupons per note over the term of the notes based on the hypothetical terms set forth above, depending on how many Coupons are paid prior
to any Issuer Call or maturity. If the notes have not been subject to an Issuer Call, the hypothetical total Coupons paid per note over
the term of the notes will be equal to the maximum amount shown in the table below.
Number of Coupons |
Total Coupon Payments |
1 |
$15.00 |
2 |
$30.00 |
3 |
$45.00 |
4 |
$60.00 |
5 |
$75.00 |
6 |
$90.00 |
7 |
$105.00 |
8 |
$120.00 |
9 |
$135.00 |
10 |
$150.00 |
11 |
$165.00 |
12 |
$180.00 |
13 |
$195.00 |
14 |
$210.00 |
The following table illustrates the hypothetical
payments on a note at maturity, assuming that the notes are not subject to an Issuer Call. 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 the applicable final Coupon.
Hypothetical Final Level |
Hypothetical Final Level Expressed
as a Percentage of the 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 |
79.99 |
79.99% |
$999.90 |
70.00 |
70.00% |
$900.00 |
50.00 |
50.00% |
$700.00 |
40.00 |
40.00% |
$600.00 |
30.00 |
30.00% |
$500.00 |
20.00 |
20.00% |
$400.00 |
10.00 |
10.00% |
$300.00 |
0.00 |
0.00% |
$200.00 |
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until BMO elects to call the notes. Any payment on
the notes, including any repayment of principal, is subject to the credit risk of the Bank of Montreal.
U.S. Federal Tax Information
The following table sets forth the amount of stated interest on the
notes and the portion that will be treated as an interest payment and as payment for the put option for U.S. federal income tax purposes.
Interest Rate per Annum |
Treated as an Interest Payment |
Treated as Payment for the Put
Option |
6.000% |
3.525% |
2.475% |
Please see the discussion (including the opinion
of our counsel Mayer Brown LLP) in the product supplement dated June 18, 2021 under “Supplemental Tax Considerations—Supplemental
U.S. Federal Income Tax Considerations,” which applies to the notes.
Supplemental Plan of Distribution (Conflicts of Interest)
BMOCM will purchase the notes from us at a purchase
price reflecting the commission set forth on the cover hereof. BMOCM has informed us that, as part of its distribution of the notes, it
will reoffer the notes to other dealers who will sell them. Each such dealer, or each additional dealer engaged by a dealer to whom BMOCM
reoffers the notes, will receive a commission from BMOCM, which will not exceed the commission set forth on the cover page.
Certain dealers who purchase the notes for sale
to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions. The public offering price
for investors purchasing the notes in these accounts may be less than 100% of the principal amount, as set forth on the cover page of
this document. Investors that hold their notes in these accounts may be charged fees by the investment advisor or manager of that account
based on the amount of assets held in those accounts, including the notes.
We will deliver the notes on a date that is greater
than two business days following the Pricing Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended (the “Exchange
Act”), trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than two business days prior to the Settlement 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 Asset 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.
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 page 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 Asset
All disclosures contained in this pricing supplement
regarding the Reference Asset, including, without limitation, their make-up, method of calculation, and changes in their components and
their historical closing levels, have been derived from publicly available information prepared by the applicable sponsor. The information
reflects the policies of, and is subject to change by, the sponsor. The sponsor own the copyrights and all rights to the Reference Asset.
The sponsor is under no obligation to continue to publish, and may discontinue publication of, the Reference Asset. Neither we nor BMOCM
accepts any responsibility for the calculation, maintenance or publication of the Reference Asset or any successor. We encourage you to
review recent levels of the Reference Asset prior to making an investment decision with respect to the notes.
The EURO STOXX 50® Index
The EURO STOXX 50® Index was created by STOXX,
a joint venture between Deutsche Börse AG and SIX Group AG. Publication of the EURO STOXX 50® Index began in February 1998, based
on an initial Index level of 1,000 at December 31, 1991. On March 1, 2010, STOXX announced the removal of the “Dow Jones”
prefix from all of its indices, including the EURO STOXX 50® Index. Additional information about the EURO STOXX 50® Index is available
on the STOXX Limited website: stoxx.com. However, information included in that website is not included or incorporated by reference in
this pricing supplement.
EURO STOXX 50® Index Composition and Maintenance
For each of the 19 EURO STOXX regional supersector
indices, the stocks are ranked in terms of free-float market capitalization. The largest stocks are added to the selection list until
the coverage is close to, but still less than, 60% of the free-float market capitalization of the corresponding supersector index. If
the next highest-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list. All current
stocks in the index are then added to the selection list. All of the stocks on the selection list are then ranked in terms of free-float
market capitalization to produce the final index selection list. The largest 40 stocks on the selection list are selected; the remaining
10 stocks are selected from the largest remaining current stocks ranked between 41 and 60; if the number of stocks selected is still below
50, then the largest remaining stocks are selected until there are 50 stocks. In exceptional cases, STOXX’s management board can
add stocks to and remove them from the selection list.
The index stocks are subject to a capped maximum
index weight of 10%, which is applied on a quarterly basis.
The EURO STOXX 50® Index is composed of 50 component
stocks of market sector leaders from within the 19 EURO STOXX® Supersector indices, which represent the Eurozone portion of the STOXX
Europe 600® Supersector indices. The index stocks have a high degree of liquidity and represent the largest companies across a wide
range of market sectors.
Composition and Maintenance of the EURO STOXX 50® Index
The composition of the EURO STOXX 50® Index
is reviewed annually, based on the closing stock data on the last trading day in August. Changes in the composition of the EURO STOXX
50® Index are made to ensure that it includes the 50 market sector leaders from within the EURO STOXX Index.
The free float factors for each component stock
used to calculate the EURO STOXX 50® Index, as described below, are reviewed, calculated, and implemented on a quarterly basis and
are fixed until the next quarterly review.
The EURO STOXX 50® Index is subject to a “fast
exit rule.” The index stocks are monitored for any changes based on the monthly selection list ranking. A stock is deleted from
the EURO STOXX 50® Index if: (a) it ranks 75 or below on the monthly selection list and (b) it has been ranked 75 or below for a consecutive
period of two months in the monthly selection list. The highest-ranked stock that is not already an index stock will replace it. Changes
will be implemented on the close of the fifth trading day of the month, and are effective the next trading day.
The EURO STOXX 50® Index is also subject to
a “fast entry rule.” All stocks on the latest selection lists and initial public offering (IPO) stocks are reviewed for a
fast-track addition on a quarterly basis. A stock is added, if (a) it qualifies for the latest STOXX blue-chip selection list generated
end of February, May, August or November and (b) it ranks within the “lower buffer” on this selection list.
The EURO STOXX 50® Index is also reviewed on
an ongoing basis. Corporate actions (including initial public offerings, mergers and takeovers, spin-offs, delistings, and bankruptcy)
that affect the EURO STOXX 50® Index composition are immediately reviewed. Any changes are announced, implemented, and effective in
line with the type of corporate action and the magnitude of the effect.
Calculation of the EURO STOXX 50® Index
The EURO STOXX 50® Index is calculated with
the “Laspeyres formula,” which measures the aggregate price changes in the index stocks against a fixed base quantity weight.
The formula for calculating the EURO STOXX 50® Index value can be expressed as follows:
Index = free float market capitalization of the
index at the time
divisor of the index at the time
The “free float market capitalization of the
index” is equal to the sum of the products of the closing price, number of shares, free float factor and the weighting cap factor
for each component company as of the time that the EURO STOXX 50® Index is being calculated.
The divisor of the EURO STOXX 50® Index is adjusted
to maintain the continuity of the EURO STOXX 50® Index’s values across changes due to corporate actions, such as the deletion
and addition of stocks, the substitution of stocks, stock dividends, and stock splits.
License Agreement
We have entered into a non-exclusive license agreement
with STOXX, which grants us a license in exchange for a fee to use the EURO STOXX 50® Index in connection with the issuance of certain
securities, including the notes.
STOXX and its licensors (the “Licensors”)
have no relationship with us or BMOCM, other than the licensing of the EURO STOXX 50® Index and the related trademarks for use in
connection with the notes.
STOXX and its Licensors do not:
| · | sponsor, endorse, sell or promote the notes. |
| · | recommend that any person invest in the notes or any other securities. |
| · | have any responsibility or liability for or make any decisions about the timing, amount or pricing of the notes. |
| · | have any responsibility or liability for the administration, management or marketing of the notes. |
| · | consider the needs of the notes or the owners of the notes in determining, composing or calculating the EURO STOXX 50® Index or
have any obligation to do so.
|
STOXX and its Licensors will not have any liability
in connection with the notes. Specifically,
| · | STOXX and its Licensors do not make any warranty, express or implied, and disclaim any and all warranty about: |
| · | the results to be obtained by the notes, the owner of the notes or any other person in connection with the use of the EURO STOXX 50®
Index and the data included in the EURO STOXX 50® Index; |
| · | the accuracy or completeness of the EURO STOXX 50® Index and its data; |
| · | the merchantability and the fitness for a particular purpose or use of the EURO STOXX 50® Index or its data; |
| · | STOXX and its Licensors will have no liability for any errors, omissions or interruptions in the EURO STOXX 50® Index or its data;
and |
| · | any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX knows that they might occur.
|
The licensing agreement among us, BMOCM and STOXX
is solely for the benefit of the parties thereto and not for the benefit of the owner of the notes or any other third parties.
Validity of the Notes
In the opinion of Osler, Hoskin & Harcourt LLP,
the issue and sale of the notes has been duly authorized by all necessary corporate action of the Bank in conformity with the Senior Indenture,
and when this pricing supplement has been attached to, and duly notated on, the master note that represents the notes, the notes will
have been validly executed and issued and, to the extent validity of the notes is a matter governed by the laws of the Province of Ontario,
or the laws of Canada applicable therein, and will be valid obligations of the Bank, subject to the following limitations (i) the enforceability
of the Senior Indenture may be limited by the Canada Deposit Insurance Corporation Act (Canada), the Winding-up and Restructuring Act
(Canada) and bankruptcy, insolvency, reorganization, receivership, moratorium, arrangement or winding-up laws or other similar laws affecting
the enforcement of creditors' rights generally; (ii) the enforceability of the Senior Indenture may be limited by equitable principles,
including the principle that equitable remedies such as specific performance and injunction may only be granted in the discretion of a
court of competent jurisdiction; (iii) pursuant to the Currency Act (Canada) a judgment by a Canadian court must be awarded in Canadian
currency and that such judgment may be based on a rate of exchange in existence on a day other than the day of payment; and (iv) the enforceability
of the Senior Indenture will be subject to the limitations contained in the Limitations Act, 2002 (Ontario), and such counsel expresses
no opinion as to whether a court may find any provision of the Senior Debt Indenture to be unenforceable as an attempt to vary or exclude
a limitation period under that Act. This opinion is given as of the date hereof and is limited to the laws of the Provinces of Ontario
and the federal laws of Canada applicable thereto. In addition, this opinion is subject to customary assumptions about the trustee's authorization,
execution and delivery of the Indenture and the genuineness of signatures and certain factual matters, all as stated in the letter of
such counsel dated May 27, 2021, which has been filed as Exhibit 5.3 to Bank of Montreal's Form 6-K filed with the SEC and dated May 27,
2021.
In the opinion of Mayer Brown LLP, when this pricing
supplement has been attached to, and duly notated on, the master note that represents the notes, and the notes have been issued and sold
as contemplated herein, the notes will be valid, binding and enforceable obligations of Bank of Montreal, entitled to the benefits of
the Senior Indenture, subject to applicable bankruptcy, insolvency and similar laws affecting creditors' rights generally, concepts of
reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing
and the lack of bad faith). This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar
as this opinion involves matters governed by the laws of the Province of Ontario or the laws of Canada applicable therein, Mayer Brown
LLP has assumed, without independent inquiry or investigation, the validity of the matters opined on by Osler, Hoskin & Harcourt
LLP, Canadian legal counsel for the issuer, in its opinion expressed above. This opinion is subject to customary assumptions about the
trustee's authorization, execution and delivery of the Senior Indenture and the genuineness of signatures and to such counsel's reliance
on Bank of Montreal and other sources as to certain factual matters, all as stated in the legal opinion of Mayer Brown LLP dated May
27, 2021 filed with the SEC as an exhibit to a Current Report on Form 6-K on May 27, 2021.
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