Registration Statement No. 333-
237342
Amendment No. 1 dated February
12, 2021 to the Pricing Supplement dated November 12, 2019 to the Product Supplement dated November 12, 2019, the Prospectus dated
April 20, 2020 and the Series E Senior Medium-Term Notes Prospectus Supplement dated September 23, 2018
This pricing supplement relates to the MicroSectors™ FANG+™
Exchange Traded Notes due January 8, 2038 (the “notes”) that Bank of Montreal may issue from time to time. The return
on the notes is linked to the performance of the gross total return version of the NYSE® FANG+™ Index (the
“Index”), as described in this pricing supplement. The Index is an equal-dollar weighted index designed to represent
a segment of the technology and consumer discretionary sectors consisting of highly-traded growth stocks of technology and tech-enabled
companies. The Index currently has 10 constituents.
The notes are unsecured and unsubordinated obligations of Bank of Montreal.
On February 11, 2021, the closing price of the notes on the NYSE Arca was $126.39 per note, and the closing Indicative Note Value
per note was $126.52 ($31.63 after giving effect to the split discussed below). The notes do not bear interest.
The notes do not guarantee any return of principal at maturity,
call or upon early redemption. Instead, you will receive a cash payment in U.S. dollars at maturity, a call by us, or redemption
at your option, based on the performance of the Index, less a Daily Investor Fee that will accrue at the rate of 0.58% per annum,
and, if upon early redemption, a redemption fee amount of 0.125% of the Indicative Note Value. Because the Daily Investor Fee may
substantially reduce the amount of your investment at maturity, call or upon redemption, the level of the Index must increase significantly
in order for you to receive at least the principal amount of your investment at maturity, call or upon redemption, or if you sell
your notes. You may lose some or all of your principal. Please see the “Summary” section below for important information
relating to the terms and conditions of the notes.
The notes are listed on the NYSE Arca, Inc., under the ticker symbol “FNGS.”
The notes initially settled on November 15, 2019.
The notes are 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.
RISK FACTORS
Your investment in the notes will involve
certain risks. The notes are not secured debt and do not guarantee any return of principal at, or prior to, maturity, call or upon
early redemption. As described in more detail below, the trading price of the notes may vary considerably before the maturity date.
Investing in the notes is not equivalent to investing directly in the Index constituents or any securities of the constituent issuers.
In addition, your investment in the notes entails other risks not associated with an investment in conventional debt securities.
In addition to the risk factors beginning on page PS-6 of the product supplement, page S-1 of the prospectus supplement and
page 8 of the prospectus, you should consider carefully the following discussion of risks before you decide that an investment
in the notes is suitable for you.
Risks Relating to the Notes Generally
The notes do not guarantee the return of your investment.
The notes may not return any of your investment.
The amount payable at maturity, call or upon early redemption, will reflect the performance of the Index minus the Daily
Investor Fee and, in the case of an early redemption, the Redemption Fee Amount. These amounts will be determined as described
in this pricing supplement. Because the Daily Investor Fee and any Redemption Fee Amount reduce your final payment, the Index Closing
Levels, measured as a component of the closing Indicative Note Value during the Final Measurement Period or Call Measurement Period,
or on a Redemption Measurement Date, will need to have increased over the term of the notes by an amount sufficient to offset the
decrease in the principal amount represented by the Daily Investor Fee and any Redemption Fee Amount in order for you to receive
an aggregate amount at maturity, upon a call or redemption, or if you sell your notes, that is equal to at least the principal
amount of your notes. If the increase in the Index Closing Levels, as measured during the Final Measurement Period or Call Measurement
Period, or on a Redemption Measurement Date, is insufficient to offset the cumulative negative effect of the Daily Investor Fee
and the Redemption Fee Amount, if applicable, you will lose some or all of your investment at maturity, call or upon early redemption.
This loss may occur even if the Index Closing Levels during the Final Measurement Period or Call Measurement Period, on a Redemption
Measurement Date, or when you elect to sell your notes, are greater than the Initial Index Level.
If the Intraday Indicative Value of the notes is equal to or less than
$0 at any time during an Exchange Business Day, or the closing Indicative Note Value is equal to or less than $0, you will lose
all of your investment in the notes.
If the closing Indicative Note Value or the Intraday Indicative
Value of the notes is equal to or less than $0, then the notes will be permanently worth $0 (a total loss of value) and you will
lose all of your investment in the notes and the Cash Settlement Amount will be $0. We would be likely to call the notes under
these circumstances, and you will not receive any payments on the notes.
Even if the Index Closing Levels during the Final Measurement
Period or Call Measurement Period, or on a Redemption Measurement Date, are greater than the Initial Index Level, you may receive
less than the principal amount of your notes due to the Daily Investor Fee and the Redemption Fee Amount, if applicable.
The amount of the Daily Investor Fee and
any Redemption Fee Amount, will reduce the payment, if any, you will receive at maturity, call or upon early redemption, or if
you sell your notes. If you elect to require us to redeem your notes prior to maturity, you will be charged a Redemption Fee Amount
equal to 0.125% of the Indicative Note Value. If the Index Closing Levels, measured as a component of the closing Indicative Note
Value during the Final Measurement Period or Call Measurement Period, or on a Redemption Measurement Date, have increased insufficiently
to offset the cumulative negative effect of the Daily Investor Fee and any Redemption Fee Amount, you will receive less than the
principal amount of your investment at maturity, call or upon early redemption of your notes.
The notes are subject to our credit risk.
The notes are subject to our credit risk,
and our credit ratings and credit spreads may adversely affect the market value of the notes. The notes are senior unsecured debt
obligations of the issuer, Bank of Montreal, and are not, either directly or indirectly, an obligation of any third party. Investors
are dependent on our ability to pay all amounts due on the notes at maturity, call or upon early redemption or on any other relevant
payment dates, and therefore investors are subject to our credit risk and to changes in the market’s view of our creditworthiness.
If we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose
your entire investment.
Our credit ratings are an assessment of
our ability to pay our obligations, including those on the notes. Consequently, actual or anticipated changes in our credit ratings
may affect the market value of the notes. However, because the return on the notes is dependent upon certain factors in addition
to our ability to pay our obligations on the notes, an improvement in our credit ratings will not reduce the other investment risks
related to the notes. Therefore, an improvement in our credit ratings may or may not have a positive effect on the market value
of the notes.
The notes are subject to our Call Right, which does not allow
for participation in any future performance of the Index. The exercise of our Call Right may adversely affect the value of, or
your ability to sell, your notes. We may call the notes prior to the maturity date.
We have the right to call the notes prior to maturity.
You will only be entitled to receive a payment on the Call Settlement Date equal to the Call Settlement Amount. The Call Settlement
Amount may be less than the stated principal amount of your notes. You will not be entitled to any further payments after the Call
Settlement Date, even if the Index level increases substantially after the Call Measurement Period. In addition, the issuance of
a notice of our election to exercise our call right may adversely impact your ability to sell your notes, and/or the price at which
you may be able to sell your notes prior to the Call Settlement Date. We have no obligation to ensure that investors will not lose
all or a portion of their investment in the notes if we call the notes; consequently, a potential conflict between our interests
and those of the note holders exists with respect to our Call Right.
If we exercise our right to call the
notes prior to maturity, your payment on the Call Settlement Date may be less than the Indicative Note Value at the time we gave
the notice of our election to call the notes.
As discussed above, we have the right to
call the notes on or prior to the Maturity Date. The Call Settlement Amount will be payable on the Call Settlement Date and we
will provide notice prior to the Call Settlement Date of our election to exercise our call of the notes. The Call Settlement Amount
per note will be based principally on the closing Indicative Note Value on each Index Business Day during the Call Measurement
Period. The Call Measurement Period will be a period of five (5) consecutive Index Business Days from, and including, the Call
Calculation Date. The Call Calculation Date will be a date specified in our call notice, subject to postponement if such date is
not an Index Business Day or in the event of a Market Disruption Event. It is possible that the market prices of the Index
constituents, and, as a result, the Index Closing Level and the Indicative Note Value, may vary significantly between when we provide
the notice of our intent to call the notes and the Call Calculation Date, including potentially as a result of our trading activities
during this period, as described further under “We or our affiliates may have economic interests that are adverse to those
of the holders of the notes as a result of our hedging and other trading activities.” As a result, you may receive a Call
Settlement Amount that is significantly less than the Indicative Value at the time of the notice of our election to call the notes
and may be less than your initial investment in the notes.
The notes do not pay any interest, and you will not have
any ownership rights in the Index constituents.
The notes do not pay any interest, and you
should not invest in the notes if you are seeking an interest-bearing investment. You will not have any ownership rights in the
Index constituents, nor will you have any right to receive dividends or other distributions paid to holders of the Index constituents,
except as reflected in the level of the Index. The Cash Settlement Amount, the Call Settlement Amount, or Redemption Amount, if
any, will be paid in U.S. dollars, and you will have no right to receive delivery of any shares of the Index constituents.
The Index Closing Level used to calculate the payment at
maturity, call or upon a redemption may be less than the Index Closing Level on the Maturity Date, Call Settlement Date or at other
times during the term of the notes.
The Index Closing Level on the Maturity
Date, Call Settlement Date or at other times during the term of the notes, including dates near the Final Measurement Period or
the Call Measurement Period, as applicable, could be greater than any of the Index Closing Levels during the Final Measurement
Period or Call Measurement Period, as applicable. This difference could be particularly large if there is a significant increase
in the Index Closing Level after the Final Measurement Period or the Call Measurement Period, as applicable, or if there is a significant
decrease in the Index Closing Level around the Final Measurement Period or the Call Measurement Period, as applicable, or if there
is significant volatility in the Index Closing Levels during the term of the notes.
There are restrictions on the minimum number of notes you
may request that we redeem and the dates on which you may exercise your right to have us redeem your notes.
If you elect to require us to redeem your
notes, you must request that we redeem at least 25,000 notes on any Business Day through and including the Final Redemption Date.
If you own fewer than 25,000 notes, you will not be able to elect to require us to redeem your notes. Your request that we redeem
your notes is only valid if we receive your Redemption Notice by email no later than 2:00 p.m., New York City time, on the
applicable Redemption Notice Date and a completed and signed Redemption Confirmation by 5:00 p.m., New York City time, that same
day. If we do not receive such notice and confirmation, your redemption request will not be effective and we will not redeem your
notes on the corresponding Redemption Date.
The daily redemption feature is intended
to induce arbitrageurs to counteract any trading of the notes at a premium or discount to their indicative value. There can be
no assurance that arbitrageurs will employ the redemption feature in this manner.
Because of the timing requirements of the
Redemption Notice and the Redemption Confirmation, settlement of the redemption will be prolonged when compared to a sale and settlement
in the secondary market. Because your request that we redeem your notes is irrevocable, this will subject you to loss if the level
of the Index decreases after we receive your request. Furthermore, our obligation to redeem the notes prior to maturity may be
postponed upon the occurrence of a Market Disruption Event.
If you want to sell your notes but are unable
to meet the minimum redemption requirements, you may sell your notes into the secondary market at any time, subject to the risks
described below. A trading market for the notes may not develop. Also, the price you may receive for the notes in the secondary
market may differ from, and may be significantly less than, the Redemption Amount.
You will not know the Redemption Amount at the time you elect
to request that we redeem your notes.
You will not know the Redemption Amount
you will receive at the time you elect to request that we redeem your notes. Your notice to us to redeem your notes is irrevocable
and must be received by us no later than 2:00 p.m., New York City time, on the applicable Redemption Notice Date and a completed
and signed confirmation of such redemption must be received by us no later than 5:00 p.m., New York City time, on the same day.
The Redemption Measurement Date is the Index Business Day following the applicable Redemption Notice Date. You will not know the
Redemption Amount until after the Redemption Measurement Date, and we will pay you the Redemption Amount, if any, on the Redemption
Date, which is the third Business Day following the applicable Redemption Measurement Date. As a result, you will be exposed to
market risk in the event the level of the Index fluctuates after we confirm the validity of your notice of election to exercise
your right to have us redeem your notes, and prior to the relevant Redemption Date.
Significant aspects of the tax treatment of the notes are
uncertain and certain aspects may make the notes less suitable for certain non-U.S. investors.
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.
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.
Moreover, certain investors that are not
“United States persons” for U.S. income tax purposes may incur U.S. tax obligations as a result of an investment in
the notes.
Please read carefully the section entitled
“Supplemental Tax Considerations” in the product supplement and in this pricing supplement. You should consult your
tax advisor about your own tax situation.
Risks Relating to Liquidity and the Secondary Market
The Intraday Indicative Value and the Indicative Note Value
are not the same as the closing price or any other trading price of the notes in the secondary market.
The Intraday Indicative Value at any point
in time of an Index Business Day will equal (a) the Intraday Long Index Amount minus (b) the Daily Investor Fee; provided that
if such calculation results in a value equal to or less than $0, the Intraday Indicative Value will be $0. Because the Intraday
Indicative Value uses an intraday Index level for its calculation, a variation in the intraday level of the Index from the previous
Index Business Day’s Index Closing Level may cause a significant variation between the closing Indicative Note Value and
the Intraday Indicative Value on any date of determination. The Intraday Indicative Value may vary significantly from the previous
or next Index Business Day’s closing Indicative Note Value or the price of the notes purchased intraday.
The trading price of the notes at any time is the price
at which you may be able to sell your notes in the secondary market at such time, if one exists. The trading price of the notes
at any time may vary significantly from the Intraday Indicative Value of the notes at such time due to, among other things, imbalances
of supply and demand, lack of liquidity, transaction costs, credit considerations and bid-offer spreads, and any corresponding
premium in the trading price may be reduced or eliminated at any time. Paying a premium purchase price over the Intraday Indicative
Value of the notes could lead to significant losses in the event the investor sells such notes at a time when that premium is no
longer present in the market place or the notes are called, in which case investors will receive a cash payment based on the closing
Indicative Note Value of the notes during the Call Measurement Period. See “— There is no assurance that your notes
will continue to be listed on a securities exchange, and they may not have an active trading market” below. We may, without
providing you notice or obtaining your consent, create and issue notes in addition to those offered by this pricing supplement
having the same terms and conditions as the notes. However, we are under no obligation to sell additional notes at any time, and
we may suspend issuance of new notes at any time and for any reason without providing you notice or obtaining your consent. If
we limit, restrict or stop sales of additional notes, or if we subsequently resume sales of such additional notes, the price and
liquidity of the notes could be materially and adversely affected, including an increase or decline in the premium purchase price
of the notes over the Intraday Indicative Value of the notes. Before trading in the secondary market, you should compare the Intraday
Indicative Value with the then-prevailing trading price of the notes.
Publication of the Intraday Indicative Value
may be delayed, particularly if the publication of the intraday Index value is delayed. See “Intraday Value of the Index
and the Notes—Intraday Indicative Note Values.”
There is no assurance that your notes will continue to be
listed on a securities exchange, and they may not have an active trading market.
The notes have been listed on the NYSE under the ticker
symbol “FNGS.” No assurance can be given as to the continued listing of the notes for their term or of the liquidity
or trading market for the notes. There can be no assurance that a secondary market for the notes will be maintained. We are not
required to maintain any listing of the notes on any securities exchange.
If the notes are delisted, they will no
longer trade on a national securities exchange. Trading in delisted notes, if any, would be on an over-the-counter basis. If the
notes are removed from their primary source of liquidity, it is possible that holders may not be able to trade their notes at all.
We cannot predict with certainty what effect, if any, a delisting would have on the trading price of the notes, however, the notes
may trade at a significant discount to their indicative value. If a holder had paid a premium over the Intraday Indicative Value
of the notes and wanted to sell the notes at a time when that premium has declined or is no longer present, the investor may suffer
significant losses and may be unable to sell the notes in the secondary market.
The liquidity of the market for the notes may vary materially
over time, and may be limited if you do not hold at least 25,000 notes.
As stated on the cover of this pricing supplement, we
sold a portion of the notes on the Initial Trade Date, and the remainder of the notes may be offered and sold from time to time,
through BMOCM, our affiliate, as agent, to investors and dealers acting as principals. Certain affiliates of BMOCM may engage in
limited purchase and resale transactions in the notes, and we or BMOCM may purchase notes from holders in amounts and at prices
that may be agreed from time to time, although none of us are required to do so. Also, the number of notes outstanding or held
by persons other than our affiliates could be reduced at any time due to early redemptions of the notes or due to our or our affiliates’
purchases of notes in the secondary market. Accordingly, the liquidity of the market for the notes could vary materially over the
term of the notes. There may not be sufficient liquidity to enable you to sell your notes readily and you may suffer substantial
losses and/or sell your notes at prices substantially less than their Intraday Indicative Value or Indicative Note Value, including
being unable to sell them at all or only for a minimal price in the secondary market. You may elect to require us to redeem your
notes, but such redemption is subject to the restrictive conditions and procedures described in this pricing supplement, including
the condition that you must request that we redeem a minimum of 25,000 notes on any Redemption Date.
We may sell additional notes at different prices but we are
under no obligation to issue or sell additional notes at any time, and if we do sell additional notes, we may limit or restrict
such sales, and we may stop selling additional notes at any time.
In our sole discretion, we may decide to
issue and sell additional notes from time to time at a price that is higher or lower than the stated principal amount, based on
the Indicative Note Value at that time. The price of the notes in any subsequent sale may differ substantially (higher or lower)
from the issue price paid in connection with any other issuance of such notes. Additionally, any notes held by us or an affiliate
in inventory may be resold at prevailing market prices. However, we are under no obligation to issue or sell additional notes at
any time, and if we do sell additional notes, we may limit or restrict such sales, and we may stop selling additional notes at
any time. If we start selling additional notes, we may stop selling additional notes for any reason, which could materially and
adversely affect the price and liquidity of such notes in the secondary market.
Any limitation or suspension on the issuance
or sale of the notes by us or BMOCM may materially and adversely affect the price and liquidity of the notes in the secondary market.
Alternatively, the decrease in supply may cause an imbalance in the market supply and demand, which may cause the notes to trade
at a premium over the indicative value of the notes. Any premium may be reduced or eliminated at any time. Paying a premium purchase
price over the Indicative Note Value could lead to significant losses if you sell those notes at a time when that premium is no
longer present in the marketplace or if the notes are called at our option. If we call the notes prior to maturity, investors will
receive a cash payment in an amount equal to the Call Settlement Amount, which will not include any premium. Investors should consult
their financial advisors before purchasing or selling the notes, especially if they are trading at a premium.
The value of the notes in the secondary market may be influenced
by many unpredictable factors.
The market value of your notes may fluctuate
between the date you purchase them and the relevant date of determination. You may also sustain a significant loss if you sell
your notes in the secondary market. Several factors, many of which are beyond our control, will influence the market value of the
notes. We expect that, generally, the Index level on any day will affect the value of the notes more than any other single factor.
The value of the notes may be affected by a number of other factors that may either offset or magnify each other.
Risks Relating to Conflicts of Interest and Hedging
Please see the discussion in the product
supplement under the caption “Risk Factors—Risks Relating to Conflicts of Interest and Hedging” for important
information relating to the different roles that we and our affiliates will play in connection with the offering of the notes,
and the variety of conflicts of interest that may arise.
Risks Relating to the Index
The Index has limited actual historical information.
The Index was launched on September 26,
2017. Because the Index is of recent origin and limited actual historical performance data exists with respect to it, your investment
in the notes may involve a greater risk than investing in securities linked to an Index with a more established record of performance.
The historical performance of the Index
should not be taken as an indication of its future performance. While the trading prices of the Index constituents will determine
the Index level, it is impossible to predict whether the Index level will fall or rise. Trading prices of the Index constituents
will be influenced by the complex and interrelated economic, financial, regulatory, geographic, judicial, tax, political and other
factors that can affect the capital markets generally and the equity trading markets on which the Index constituents are traded,
and by various circumstances that can influence the prices of the Index constituents. Due to the small number of Index constituents,
the level of the Index may be materially affected by changes in the level of a small number of Index constituents, or even one
Index constituent.
ICE Data Indices, LLC, as the Index Calculation Agent, may
adjust the Index in a way that may affect its level, and the Index Calculation Agent has no obligation to consider your interests.
ICE Data Indices, LLC, as the Index Calculation
Agent, Index Sponsor and Index Administrator, is responsible for calculating and maintaining the Index. The Index Sponsor can add,
delete or substitute an Index constituent or make other methodological changes that could change the Index level. The Index Sponsor
will determine, for example, which companies have an appropriate business for inclusion in the Index. Changes to the Index constituents
may affect the Index, as a newly added equity security may perform significantly better or worse than the Index constituent or
constituents it replaces. Additionally, the Index Sponsor may alter, discontinue or suspend calculation or dissemination of the
Index. Any of these actions could adversely affect the value of the notes. As the Index Calculation Agent, Index Sponsor and Index
Administrator, ICE Data Indices, LLC has no obligation to consider your interests in calculating or revising the Index, and you
will not have any rights against ICE Data Indices, LLC if it takes any such action. See “The Index.”
As discussed above, the Index was launched
recently. The Index Sponsor has indicated that it expects to monitor the composition of the Index over time, including through
discussions and consultations with market participants, in order to determine whether any changes to the Index or its components
are necessary or appropriate. Because the Index currently has only 10 components, any additions to or deletions from the Index
could have a significant impact on future levels of the Index.
We and our affiliates have no affiliation with ICE Data Indices,
LLC and are not responsible for any of their public disclosure of information.
We and our affiliates are not affiliated
with ICE Data Indices, LLC, as the Index Calculation Agent, Index Sponsor and Index Administrator (except for licensing arrangements
discussed under “The Index — License Agreement”) and have no ability to control or predict its actions,
including any errors in or discontinuation of public disclosure regarding methods or policies relating to the calculation of the
Index. If the Index Sponsor discontinues or suspends the calculation of the Index, it may become difficult to determine the market
value of the notes and the payment at maturity, call or upon early redemption. The Calculation Agent may designate a successor
index in its sole discretion. If the Calculation Agent determines in its sole discretion that no successor index comparable to
the Index exists, the payment you receive at maturity, call or upon early redemption will be determined by the Calculation Agent
in its sole discretion. See “Specific Terms of the Notes — Market Disruption Events” and “—
Calculation Agent.”
ICE Data Indices, LLC, as the Index Calculation
Agent, Index Sponsor and Index Administrator is not involved in the offering of the notes in any way and it does not have any obligation
of any sort with respect to your notes. We are not affiliated with ICE Data Indices, LLC, as the Index Calculation Agent, Index
Sponsor and Index Administrator and it does not have any obligation to take your interests into consideration for any reason, including
when taking any actions that might affect the value of the notes.
We have derived the information about ICE Data Indices,
LLC and the Index from publicly available information, without independent verification. Neither we nor any of our affiliates have
undertaken any independent review of the publicly available information about ICE Data Indices, LLC, as the Index Calculation Agent,
Index Sponsor and Index Administrator or the Index contained in this pricing supplement. You, as an investor in the notes, should
make your own independent investigation into ICE Data Indices, LLC, as the Index Calculation Agent, Index Sponsor and Index Administrator
and the Index.
The Index Calculation Agent may, in its sole discretion,
discontinue the public disclosure of the intraday Index value and the end-of-day closing value of the Index.
The Index Calculation Agent is under no
obligation to continue to calculate the intraday Index value and end-of-day official closing value of the Index, or to calculate
similar values for any successor index. If the Index Calculation Agent discontinues such public disclosure, we may not be able
to provide the Intraday Indicative Values related to the Index or the Intraday Indicative Value of the notes.
The Index lacks diversification and is vulnerable to fluctuations
in the technology and consumer discretionary industries.
All of the stocks included in the Index
are issued by companies whose primary lines of business are in the technology and consumer discretionary industries. As a result,
the stocks that will determine the performance of the Index and hence, the value of the notes, are concentrated in two industries
and vulnerable to events affecting those industries. Although an investment in the notes will not give holders any ownership or
other direct interests in the Index constituents, the return on an investment in the notes will be subject to certain risks, including
those described below, associated with a direct equity investment in companies in the technology and consumer discretionary industries.
Accordingly, by investing in the notes, you will not benefit from the diversification which could result from an investment linked
to companies that operate in multiple sectors. The Index is also subject to the risk that large-capitalization stocks may underperform
other segments of the equity market or the equity market as a whole. Larger, more established companies may be unable to respond
quickly to new competitive challenges such as changes in technology and may not be able to attain the high growth rate of smaller
companies, especially during extended periods of economic expansion.
The Index currently includes constituents
in the following categories:
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Information Technology Sector Risk. The information technology sector includes companies engaged in Internet software
and services, technology hardware and storage peripherals, electronic equipment instruments and components, and semiconductors
and semiconductor equipment. Information technology companies face intense competition, both domestically and internationally,
which may have an adverse effect on profit margins. Information technology companies may have limited product lines, markets, financial
resources or personnel. The products of information technology companies may face rapid product obsolescence due to technological
developments and frequent new product introduction, unpredictable changes in growth rates and competition for the services of qualified
personnel. Failure to introduce new products, develop and maintain a loyal customer base, or achieve general market acceptance
for their products could have a material adverse effect on a company’s business. Companies in the information technology
sector are heavily dependent on intellectual property and the loss of patent, copyright and trademark protections may adversely
affect the profitability of these companies.
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Internet Company Risk. Many Internet-related companies have incurred large losses since their inception and may continue
to incur large losses in the hope of capturing market share and generating future revenues. Accordingly, many such companies expect
to incur significant operating losses for the foreseeable future, and may never be profitable. The markets in which many Internet
companies compete face rapidly evolving industry standards, frequent new service and product announcements, introductions and enhancements,
and changing customer demands. The failure of an Internet company to adapt to such changes could have a material adverse effect
on the company’s business. Additionally, the widespread adoption of new Internet, networking, telecommunications technologies,
or other technological changes, could require substantial expenditures by an Internet company to modify or adapt its services or
infrastructure, which could have a material adverse effect on an Internet company’s business.
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Semiconductor Company Risk. Competitive pressures may have a significant effect on the financial condition of semiconductor
companies and, as product cycles shorten and manufacturing capacity increases, these companies may become increasingly subject
to aggressive pricing, which hampers profitability. Reduced demand for end-user products, under-utilization of manufacturing capacity,
and other factors could adversely impact the operating results of companies in the semiconductor sector. Semiconductor companies
typically face high capital costs and may be heavily dependent on intellectual property rights. The semiconductor sector is highly
cyclical, which may cause the operating results of many semiconductor companies to vary significantly. The stock prices of companies
in the semiconductor sector have been and likely will continue to be extremely volatile.
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Software Industry Risk. The software industry can be significantly affected by intense competition, aggressive pricing,
technological innovations, and product obsolescence. Companies in the software industry are subject to significant competitive
pressures, such as aggressive pricing, new market entrants, competition for market share, short product cycles due to an accelerated
rate of technological developments and the potential for limited earnings and/or falling profit margins. These companies also face
the risks that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly
obsolete. These factors can affect the profitability of these companies and, as a result, the value of their securities. Also,
patent protection is integral to the success of many companies in this industry, and profitability can be affected materially by,
among other things, the cost of obtaining (or failing to obtain) patent approvals, the cost of litigating patent infringement and
the loss of patent protection for products (which significantly increases pricing pressures and can materially reduce profitability
with respect to such products). In addition, many software companies have limited operating histories. Prices of these companies’
securities historically have been more volatile than other securities, especially over the short term.
|
|
·
|
Internet Information Provider Company Risk. Internet information provider companies provide Internet navigation services
and reference guide information and publish, provide or present proprietary advertising and/or third party content. These companies
often derive a large portion of their revenues from advertising, and a reduction in spending by or loss of advertisers could seriously
harm their business. This business is rapidly evolving and intensely competitive, and is subject to changing technologies, shifting
user needs, and frequent introductions of new products and services. The research and development of new, technologically advanced
products is a complex and uncertain process requiring high levels of innovation and investment, as well as the accurate anticipation
of technology, market trends and consumer needs. The number of people who access the Internet is increasing dramatically and a
failure to attract and retain a substantial number of these users to a company’s products and services or to develop products
and technologies that are more compatible with alternative devices, could adversely affect operating results. Concerns regarding
a company’s products, services or processes that may compromise the privacy of users or other privacy related matters, even
if unfounded, could damage a company’s reputation and adversely affect operating results.
|
|
·
|
Catalog and Mail Order House Company Risk. Catalog and mail order house companies may be exposed to significant inventory
risks that may adversely affect operating results due to, among other factors: seasonality, new product launches, rapid changes
in product cycles and pricing, defective merchandise, changes in consumer demand and consumer spending patterns, or changes in
consumer tastes with respect to products. Demand for products can change significantly between the time inventory or components
are ordered and the date of sale. The acquisition of certain types of inventory or components may require significant lead-time
and prepayment and they may not be returnable. Failure to adequately predict customer demand or otherwise optimize and operate
distribution centers could result in excess or insufficient inventory or distribution capacity, result in increased costs, impairment
charges, or both. The business of catalog and mail order house companies can be highly seasonal and failure to stock or restock
popular products in sufficient amounts during high demand periods could significantly affect revenue and future growth. Increased
website traffic during peak periods could cause system interruptions which may reduce the volume of goods sold and the attractiveness
of a company’s products and services.
|
A limited number of Index constituents may affect the Index
Closing Level, and the Index is not necessarily representative of its focus industry.
Each of the Index constituents represents
10% of the weight of the Index as of each quarterly rebalancing date (based on the 10 Index constituents as of the date of this
pricing supplement). Any reduction in the market price of any of those stocks is likely to have a substantial adverse impact on
the Index Closing Level and the value of the notes. Significant changes to any of these stocks or their issuers, including a merger
or similar transaction, will have a more material impact on the level of the Index as compared to a more diversified index. Due
to the small number of Index constituents, those Index constituents and the Index itself may not necessarily follow the price movements
of the entire technology and consumer discretionary industries. If the Index constituents decline in value, the Index will also
decline in value, even if common stock prices of other companies in the technology and consumer discretionary industries generally
increase in value.
An Index constituent may be replaced upon the occurrence
of certain adverse events.
An exchange may delist an Index constituent.
Procedures have been established by the Index Sponsor to address such an event. Because there are only 10 Index constituents as
of the date of this pricing supplement, there can be no assurance that the replacement or delisting of the Index constituents,
or any other force majeure event, will not have an adverse or distortive effect on the Index level or the manner in which it is
calculated and, therefore, may have any adverse impact on the value of the notes. An Index constituent may also be removed from
the Index, as described under “The Index.”
The Index uses a proprietary selection
methodology, which may not select the constituent issuers in the same manner as would other index providers or market participants.
Using a proprietary methodology discussed
below, the Index seeks to identify constituent issuers that exhibit characteristics of high-growth technology and Internet/media
stocks. When selecting future constituent issuers, the Index Sponsor will focus on distinguishing between traditional technology
and service companies and newer, innovative, technology-utilizing companies. There can be no assurances that the proprietary methodology
used to identify constituent issuers eligible for inclusion in the Index will be successful. The Index Sponsor’s methodology,
to some extent, involves subjective judgments, and there can be no assurance that any or all constituent issuers included in the
Index would be selected by other market participants using a similar selection process. See “The Index—Index Constituent
Selection.”
We are not currently affiliated with any of the constituent
issuers.
We are not currently affiliated with any
of the constituent issuers. As a result, we have no ability, nor expect to have the ability in the future, to control the actions
of such constituent issuers, including actions that could affect the value of the Index constituents or the value of your notes,
and we are not responsible for any disclosure made by any other company. None of the money you pay us will go to any of the constituent
issuers represented in the Index and none of the constituent issuers will be involved in the offering of the notes in any way.
The constituent issuers will not have any obligation to consider your interests as a holder of the notes in taking any corporate
actions that might affect the value of your notes.
In the event we become affiliated with
any of the constituent issuers, we will have no obligation to consider your interests as a holder of the notes in taking any action
with respect to such constituent issuer that might affect the value of your notes.
HYPOTHETICAL
EXAMPLES
Hypothetical Payment at Maturity
The following examples and tables illustrate
the amounts payable on the notes at maturity in hypothetical circumstances. They are intended to highlight how the return on the
notes is affected by the daily performance of the Index and fees.
We have included an example in which the
Index level increases at a constant rate of 7.52% per year through maturity (Example 1), as well as an example in which the Index
level decreases at a constant rate of 2.57% per year through maturity (Example 2). In addition, Example 3 shows the Index level
increasing by 6% per year for the first 10 years and then decreasing by 5% per year for the next 10 years; in contrast, Example
4 shows the reverse scenario of the Index level decreasing by 6% per year for the first 10 years, and then increasing by 5% per
year for the next 10 years. For ease of analysis and presentation, the following examples assume that the term of the notes is
20 years. These examples highlight the impact of the Daily Investor Fee on the payment at maturity or call, or upon early redemption,
under different circumstances. Because the Daily Investor Fee takes into account the performance of the Index, the absolute level
of the Daily Investor Fee is dependent on the path taken by the Index level to arrive at its ending level. The figures in these
examples have been rounded for convenience. The Cash Settlement Amount figures for year 20 are as of the hypothetical Calculation
Date, and given the indicated assumptions, a holder will receive a payment at maturity or call, or upon early redemption, in the
indicated amount, according to the formula indicated above.
Many other factors will affect the value
of the notes, and these figures are provided for illustration only. These hypothetical examples and tables should not be taken
as an indication or a prediction of future Index performance or investment results and are intended to illustrate a few of the
possible returns on the notes. Because the Indicative Note Value takes into account the net effect of the Daily Investor Fee,
which is a fixed percentage of the value of the note, and the performance of the Index, the Indicative Note Value is dependent
on the path taken by the Index level to arrive at its ending level. The figures in these examples and table have been rounded
for convenience. Any payment on the notes that you may receive is subject to our credit risk.
Example 1: Index increases at a constant
rate of 7.52% per year through maturity.
Assumptions
|
|
Fee Rate
|
0.58% per annum
|
Days per Year
|
360
|
Principal Amount
|
$50.00
|
Initial Index Level
|
3,000.00
|
Annual Index Return
|
7.52%
|
Cumulative Index Return
|
326.37%
|
Year
|
Index Level
|
Index Total Return
Percentage
|
Index Performance
Factor
|
Yearly Investor Fee
|
Cumulative
Investor Fee
|
Indicative Note
Value
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
|
|
|
B/Initial Index
Level
|
(Index Levelt /
Index Levelt-1)
|
Indicative Valuet-1 *
Fee Rate (%)
|
Total of Column E
|
|
|
|
|
|
|
|
|
|
|
|
0
|
3,000.000
|
100.00%
|
1.0000
|
$0.0000
|
$0.000
|
$50.00
|
|
1
|
3,225.600
|
107.52%
|
1.0752
|
$0.2900
|
$0.290
|
$53.47
|
|
2
|
3,468.165
|
115.61%
|
1.0752
|
$0.3101
|
$0.600
|
$57.18
|
|
3
|
3,728.971
|
124.30%
|
1.0752
|
$0.3316
|
$0.932
|
$61.15
|
|
4
|
4,009.390
|
133.65%
|
1.0752
|
$0.3547
|
$1.286
|
$65.39
|
|
5
|
4,310.896
|
143.70%
|
1.0752
|
$0.3793
|
$1.666
|
$69.93
|
|
6
|
4,635.075
|
154.50%
|
1.0752
|
$0.4056
|
$2.071
|
$74.78
|
|
7
|
4,983.633
|
166.12%
|
1.0752
|
$0.4337
|
$2.505
|
$79.97
|
|
8
|
5,358.402
|
178.61%
|
1.0752
|
$0.4639
|
$2.969
|
$85.52
|
|
9
|
5,761.354
|
192.05%
|
1.0752
|
$0.4960
|
$3.465
|
$91.46
|
|
10
|
6,194.608
|
206.49%
|
1.0752
|
$0.5305
|
$3.995
|
$97.81
|
|
11
|
6,660.442
|
222.01%
|
1.0752
|
$0.5673
|
$4.563
|
$104.60
|
|
12
|
7,161.308
|
238.71%
|
1.0752
|
$0.6067
|
$5.169
|
$111.85
|
|
13
|
7,699.838
|
256.66%
|
1.0752
|
$0.6488
|
$5.818
|
$119.62
|
|
14
|
8,278.866
|
275.96%
|
1.0752
|
$0.6938
|
$6.512
|
$127.92
|
|
15
|
8,901.436
|
296.71%
|
1.0752
|
$0.7419
|
$7.254
|
$136.80
|
|
16
|
9,570.824
|
319.03%
|
1.0752
|
$0.7934
|
$8.047
|
$146.29
|
|
17
|
10,290.550
|
343.02%
|
1.0752
|
$0.8485
|
$8.896
|
$156.44
|
|
18
|
11,064.400
|
368.81%
|
1.0752
|
$0.9074
|
$9.803
|
$167.30
|
|
19
|
11,896.443
|
396.55%
|
1.0752
|
$0.9703
|
$10.773
|
$178.91
|
|
20
|
12,791.055
|
426.37%
|
1.0752
|
$1.0377
|
$11.811
|
$191.33
|
|
Annualized Index Return:
|
7.52%
|
Annualized ETN Total Return:
|
6.94%
|
Example 2: Index decreases at a constant rate of 2.57% per
year through maturity.
Assumptions
|
|
Fee Rate
|
0.58% per annum
|
Days per Year
|
360
|
Principal Amount
|
$50.00
|
Initial Index Level
|
3,000.00
|
Annual Index Return
|
-2.57%
|
Cumulative Index Return
|
-40.59%
|
Year
|
Index Level
|
Index Total Return
Percentage
|
Index Performance
Factor
|
Yearly Investor Fee
|
Cumulative
Investor Fee
|
Indicative Note
Value
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
|
|
|
B/Initial Index
Level
|
(Index Levelt /
Index Levelt-1)
|
Indicative Valuet-1 *
Fee Rate (%)
|
Total of Column E
|
|
|
|
|
|
|
|
|
|
|
|
0
|
3,000.000
|
100.00%
|
1.0000
|
$0.0000
|
$0.000
|
$50.00
|
|
1
|
2,922.900
|
97.43%
|
0.9743
|
$0.2900
|
$0.290
|
$48.43
|
|
2
|
2,847.781
|
94.93%
|
0.9743
|
$0.2809
|
$0.571
|
$46.90
|
|
3
|
2,774.593
|
92.49%
|
0.9743
|
$0.2720
|
$0.843
|
$45.42
|
|
4
|
2,703.286
|
90.11%
|
0.9743
|
$0.2634
|
$1.106
|
$43.99
|
|
5
|
2,633.812
|
87.79%
|
0.9743
|
$0.2552
|
$1.361
|
$42.61
|
|
6
|
2,566.123
|
85.54%
|
0.9743
|
$0.2471
|
$1.609
|
$41.26
|
|
7
|
2,500.174
|
83.34%
|
0.9743
|
$0.2393
|
$1.848
|
$39.96
|
|
8
|
2,435.919
|
81.20%
|
0.9743
|
$0.2318
|
$2.080
|
$38.70
|
|
9
|
2,373.316
|
79.11%
|
0.9743
|
$0.2245
|
$2.304
|
$37.49
|
|
10
|
2,312.322
|
77.08%
|
0.9743
|
$0.2174
|
$2.522
|
$36.30
|
|
11
|
2,252.895
|
75.10%
|
0.9743
|
$0.2106
|
$2.732
|
$35.16
|
|
12
|
2,194.996
|
73.17%
|
0.9743
|
$0.2039
|
$2.936
|
$34.05
|
|
13
|
2,138.584
|
71.29%
|
0.9743
|
$0.1975
|
$3.134
|
$32.98
|
|
14
|
2,083.623
|
69.45%
|
0.9743
|
$0.1913
|
$3.325
|
$31.94
|
|
15
|
2,030.074
|
67.67%
|
0.9743
|
$0.1853
|
$3.510
|
$30.94
|
|
16
|
1,977.901
|
65.93%
|
0.9743
|
$0.1794
|
$3.690
|
$29.96
|
|
17
|
1,927.069
|
64.24%
|
0.9743
|
$0.1738
|
$3.863
|
$29.02
|
|
18
|
1,877.543
|
62.58%
|
0.9743
|
$0.1683
|
$4.032
|
$28.10
|
|
19
|
1,829.290
|
60.98%
|
0.9743
|
$0.1630
|
$4.195
|
$27.22
|
|
20
|
1,782.277
|
59.41%
|
0.9743
|
$0.1579
|
$4.353
|
$26.36
|
|
Annualized Index Return:
|
-2.57%
|
Annualized ETN Total Return:
|
-3.15%
|
Example 3: Index increases by 6% per year for the first 10
years, then decreases by 5% per year for the next 10 years.
Assumptions
|
|
Fee Rate
|
0.58% per annum
|
Days per Year
|
360
|
Principal Amount
|
$50.00
|
Initial Index Level
|
3,000.00
|
Annual Index Return (Net)
|
0.35%
|
Annual Index Return (0-10)
|
6.00%
|
Annual Index Return (11-20)
|
-5.00%
|
Cumulative Index Return
|
7.22%
|
Year
|
Index Level
|
Index Total Return
Percentage
|
Index Performance
Factor
|
Yearly Investor Fee
|
Cumulative
Investor Fee
|
Indicative Note
Value
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
|
|
|
B/Initial Index
Level
|
(Index Levelt /
Index Levelt-1)
|
Indicative Valuet-1 *
Fee Rate (%)
|
Total of Column E
|
|
|
|
|
|
|
|
|
|
|
|
0
|
3,000.000
|
100.00%
|
1.0000
|
$0.0000
|
$0.000
|
$50.00
|
|
1
|
3,180.000
|
106.00%
|
1.0600
|
$0.2900
|
$0.290
|
$52.71
|
|
2
|
3,370.800
|
112.36%
|
1.0600
|
$0.3057
|
$0.596
|
$55.57
|
|
3
|
3,573.048
|
119.10%
|
1.0600
|
$0.3223
|
$0.918
|
$58.58
|
|
4
|
3,787.431
|
126.25%
|
1.0600
|
$0.3398
|
$1.258
|
$61.75
|
|
5
|
4,014.677
|
133.82%
|
1.0600
|
$0.3582
|
$1.616
|
$65.10
|
|
6
|
4,255.557
|
141.85%
|
1.0600
|
$0.3776
|
$1.994
|
$68.63
|
|
7
|
4,510.891
|
150.36%
|
1.0600
|
$0.3980
|
$2.392
|
$72.35
|
|
8
|
4,781.544
|
159.38%
|
1.0600
|
$0.4196
|
$2.811
|
$76.27
|
|
9
|
5,068.437
|
168.95%
|
1.0600
|
$0.4424
|
$3.254
|
$80.40
|
|
10
|
5,372.543
|
179.08%
|
1.0600
|
$0.4663
|
$3.720
|
$84.76
|
|
11
|
5,103.916
|
170.13%
|
0.9500
|
$0.4916
|
$4.212
|
$80.03
|
|
12
|
4,848.720
|
161.62%
|
0.9500
|
$0.4642
|
$4.676
|
$75.57
|
|
13
|
4,606.284
|
153.54%
|
0.9500
|
$0.4383
|
$5.114
|
$71.35
|
|
14
|
4,375.970
|
145.87%
|
0.9500
|
$0.4138
|
$5.528
|
$67.37
|
|
15
|
4,157.171
|
138.57%
|
0.9500
|
$0.3907
|
$5.919
|
$63.61
|
|
16
|
3,949.313
|
131.64%
|
0.9500
|
$0.3689
|
$6.287
|
$60.06
|
|
17
|
3,751.847
|
125.06%
|
0.9500
|
$0.3483
|
$6.636
|
$56.71
|
|
18
|
3,564.255
|
118.81%
|
0.9500
|
$0.3289
|
$6.965
|
$53.54
|
|
19
|
3,386.042
|
112.87%
|
0.9500
|
$0.3106
|
$7.275
|
$50.56
|
|
20
|
3,216.740
|
107.22%
|
0.9500
|
$0.2932
|
$7.569
|
$47.74
|
|
Annualized Index Return:
|
0.35%
|
Annualized ETN Total Return:
|
-0.23%
|
Example 4: Index decreases by 6% per year for the first 10
years, then increases by 5% per year for the next 10 years.
Assumptions
|
|
Fee Rate
|
0.58% per annum
|
Days per Year
|
360
|
Principal Amount
|
$50.00
|
Initial Index Level
|
3,000.00
|
Annual Index Return (Net)
|
-0.65%
|
Annual Index Return (0-10)
|
-6.00%
|
Annual Index Return (11-20)
|
5.00%
|
Cumulative Index Return
|
-12.27%
|
Year
|
Index Level
|
Index Total Return
Percentage
|
Index Performance
Factor
|
Yearly Investor Fee
|
Cumulative
Investor Fee
|
Indicative Note
Value
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
|
|
|
B/Initial Index
Level
|
(Index Levelt /
Index Levelt-1)
|
Indicative Valuet-1 *
Fee Rate (%)
|
Total of Column E
|
|
|
|
|
|
|
|
|
|
|
|
0
|
3,000.000
|
100.00%
|
1.0000
|
$0.0000
|
$0.000
|
$50.00
|
|
1
|
2,820.000
|
94.00%
|
0.9400
|
$0.2900
|
$0.290
|
$46.71
|
|
2
|
2,650.800
|
88.36%
|
0.9400
|
$0.2709
|
$0.561
|
$43.64
|
|
3
|
2,491.752
|
83.06%
|
0.9400
|
$0.2531
|
$0.814
|
$40.77
|
|
4
|
2,342.247
|
78.07%
|
0.9400
|
$0.2364
|
$1.050
|
$38.08
|
|
5
|
2,201.712
|
73.39%
|
0.9400
|
$0.2209
|
$1.271
|
$35.58
|
|
6
|
2,069.609
|
68.99%
|
0.9400
|
$0.2063
|
$1.478
|
$33.24
|
|
7
|
1,945.433
|
64.85%
|
0.9400
|
$0.1928
|
$1.670
|
$31.05
|
|
8
|
1,828.707
|
60.96%
|
0.9400
|
$0.1801
|
$1.851
|
$29.01
|
|
9
|
1,718.984
|
57.30%
|
0.9400
|
$0.1682
|
$2.019
|
$27.10
|
|
10
|
1,615.845
|
53.86%
|
0.9400
|
$0.1572
|
$2.176
|
$25.31
|
|
11
|
1,696.638
|
56.55%
|
1.0500
|
$0.1468
|
$2.323
|
$26.43
|
|
12
|
1,781.469
|
59.38%
|
1.0500
|
$0.1533
|
$2.476
|
$27.60
|
|
13
|
1,870.543
|
62.35%
|
1.0500
|
$0.1601
|
$2.636
|
$28.82
|
|
14
|
1,964.070
|
65.47%
|
1.0500
|
$0.1672
|
$2.803
|
$30.10
|
|
15
|
2,062.274
|
68.74%
|
1.0500
|
$0.1746
|
$2.978
|
$31.43
|
|
16
|
2,165.387
|
72.18%
|
1.0500
|
$0.1823
|
$3.160
|
$32.81
|
|
17
|
2,273.657
|
75.79%
|
1.0500
|
$0.1903
|
$3.350
|
$34.27
|
|
18
|
2,387.339
|
79.58%
|
1.0500
|
$0.1987
|
$3.549
|
$35.78
|
|
19
|
2,506.706
|
83.56%
|
1.0500
|
$0.2075
|
$3.757
|
$37.36
|
|
20
|
2,632.042
|
87.73%
|
1.0500
|
$0.2167
|
$3.973
|
$39.01
|
|
Annualized Index Return:
|
-0.65%
|
Annualized ETN Total Return:
|
-1.23%
|
Hypothetical Examples
We cannot predict the actual Index level
on any Index Business Day or the market value of the notes, nor can we predict the relationship between the Index level and the
market value of your notes at any time prior to the Maturity Date. The actual amount that a holder of the notes will receive at
maturity or call, or upon early redemption, as the case may be, and the rate of return on the notes will depend on the actual Index
Closing Levels during the term of the notes and during the Final Measurement Period or Call Measurement Period, or on a Redemption
Measurement Date, the Daily Investor Fee and any Redemption Fee Amount. Moreover, the assumptions on which the hypothetical returns
are based are purely for illustrative purposes. Consequently, the amount, in cash, to be paid in respect of your notes, if any,
on the Maturity Date, Call Settlement Date or the relevant Redemption Date, as applicable, may be very different from the information
reflected in the tables above.
The hypothetical examples are not indicative
of the future performance of the Index on any Index Business Day, the Index Closing Levels during the Final Measurement Period
or Call Measurement Period, or on a Redemption Measurement Date, or what the value of your notes may be. Fluctuations in the hypothetical
examples may be greater or less than fluctuations experienced by the holders of the notes. The information shown above is for
illustrative purposes only and does not represent the actual future performance of the notes.
INTRADAY
VALUE OF THE INDEX AND THE NOTES
Intraday Index Values
Each Index Business Day, the Index Calculation
Agent will calculate and publish the intraday Index value every second during normal trading hours to the ICE Data Global Index
Feed. The intraday Index value will also be available on Bloomberg under the ticker symbol “NYFANGT<INDEX>.”
ICE Data Indices, LLC, the Index Calculation Agent, is
not affiliated with Bank of Montreal and does not approve, endorse, review or recommend the Index or the notes. The information
used in the calculation of the intraday Index value will be derived from sources the Index Calculation Agent deems reliable, but
the Index Calculation Agent and its affiliates do not guarantee the correctness or completeness of the intraday Index value or
other information furnished in connection with the notes or the calculation of the Index. The Index Calculation Agent makes no
warranty, express or implied, as to results to be obtained by Bank of Montreal, holders of the notes, or any other person or entity
from the use of the intraday Index value or any data included therein. The Index Calculation Agent makes no express or implied
warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose with respect to the intraday
Index value or any data included therein. The Index Calculation Agent, its employees, subcontractors, agents, suppliers and vendors
will have no liability or responsibility, contingent or otherwise, for any injury or damages, whether caused by the negligence
of the Index Calculation Agent, its employees, subcontractors, agents, suppliers or vendors or otherwise, arising in connection
with the intraday Index value or the notes, and will not be liable for any lost profits, losses, punitive, incidental or consequential
damages. The Index Calculation Agent shall not be responsible for or have any liability for any injuries or damages caused by errors,
inaccuracies, omissions or any other failure in, or delays or interruptions of, the intraday Index value from whatever cause. The
Index Calculation Agent is not responsible for the selection of or use of the Index or the notes, the accuracy and adequacy of
the Index or information used by Bank of Montreal and the resultant output thereof.
The intraday calculation of the level of
the Index will be provided for reference purposes only. Published calculations of the level of the Index from the Index Calculation
Agent may occasionally be subject to delay or postponement. Any such delays or postponements will affect the current level of the
Index and therefore the value of the notes in the secondary market. The intraday Index value published every second will be based
on the intraday prices of the Index constituents.
Intraday Indicative Note Values
An Intraday Indicative Value, which is our
approximation of the value of the notes, is calculated and published by ICE Data Indices, LLC (based in part on information provided
by the Index Calculation Agent) or a successor to the Consolidated Tape and ICE Data Global Index Feed, and will be available on
Bloomberg under the ticker symbol “FNGSIV” every 15 seconds during normal trading hours. The actual trading price
of the notes may vary significantly from their Intraday Indicative Value. In connection with the notes, we use the term “indicative
value” to refer to the value at a given time equal to (a) the Intraday Long Index Amount minus (b) the Daily Investor
Fee; provided that if such calculation results in a value equal to or less than $0, then both the Intraday Indicative Value and
the closing Indicative Note Value will be $0. The Intraday Long Index Amount will equal the product of (a) the closing Indicative
Note Value on the immediately preceding Exchange Business Day times (b) the Intraday Index Performance Factor. The Intraday
Index Performance Factor equals (a) the most recently published Index level divided by (b) the Index Closing Level on the
preceding Index Business Day.
If the Intraday Indicative Value of the
notes is equal to or less than $0 at any time on any Exchange Business Day, then both the Intraday Indicative Value and the closing
Indicative Note Value of the notes on that Exchange Business Day, and on all future Exchange Business Days, will be $0 (a total
loss of value).
The Intraday Indicative Value is meant to
approximate the value of the notes at a particular time. There are three elements of the formula: the Intraday Long Index Amount,
the Daily Investor Fee and the Intraday Index Performance Factor (using, instead of the Index Closing Level for the date of determination,
the intraday Index level at the time of determination), as described immediately above. Because the intraday Index level and the
Intraday Long Index Amount are variable, the Intraday Indicative Value translates the change in the Index level from the previous
Exchange Business Day, as measured at the time of measurement, into an approximation of the expected value of the notes. The Intraday
Indicative Value uses an intraday Index level for its calculation; therefore, a variation in the intraday level of the Index from
the previous Exchange Business Day’s Index Closing Level may cause a significant variation between the closing Indicative
Note Value and the Intraday Indicative Value on any date of determination. The Intraday Indicative Value may vary significantly
from the previous or next Exchange Business Day’s closing Indicative Note Value or the price of the notes purchased intraday.
The Intraday Indicative Value may be useful as an approximation of what price an investor in the notes would receive if the notes
were to be redeemed or if they matured, each at the time of measurement. The Intraday Indicative Value may be helpful to an investor
in the notes when comparing it against the notes’ trading price on the NYSE and the most recently published level of the
Index.
The Intraday Indicative Value calculation
will be provided for reference purposes only. It is not intended as a price or quotation, or as an offer to solicitation for the
purpose, sale, or termination of your notes, nor will it reflect hedging or other transactional costs, credit considerations, market
liquidity or bid-offer spreads. The levels of the Index provided by the Index Calculation Agent will not necessarily reflect the
depth and liquidity of the Index constituents. For this reason and others, the actual trading price of the notes may be different
from their indicative value. For additional information, please see “Risk Factors — The Intraday Indicative Value
and the Indicative Note Value are not the same as the closing price or any other trading price of the notes in the secondary market”
in this pricing supplement.
The calculation of the Intraday Indicative Value will
not constitute a recommendation or solicitation to conclude a transaction at the level stated, and should not be treated as giving
investment advice.
The publication of the Intraday Indicative Value of the
notes by ICE Data Indices, LLC may occasionally be subject to delay or postponement. If the intraday Index value is delayed, then
the Intraday Indicative Value of the notes will also be delayed. The actual trading price of the notes may be different from their
Intraday Indicative Value. The Intraday Indicative Value of the notes is published at least every 15 seconds from 9:30 a.m. to
6:00 p.m., New York City time, will be based on the intraday values of the Index, and may not be equal to the payment at maturity,
call or redemption.
The indicative value calculations will have
been prepared as of a particular date and time and will therefore not reflect subsequent changes in market values or prices or
in any other factors relevant to their determination.
If you want to sell your notes but are unable
to meet the minimum redemption requirements, you may sell your notes into the secondary market at any time, subject to the risks
described under “Risk Factors — Risks Relating to Liquidity and the Secondary Market — There is no
assurance that your notes will continue to be listed on a securities exchange, and they may not have an active trading market”
and “— The value of the notes in the secondary market may be influenced by many unpredictable factors.” Also,
the price you may receive for the notes in the secondary market may differ from, and may be significantly less than, the Redemption
Amount.
None of NYSE, ICE Data Indices, LLC, or
their respective affiliates are affiliated with Bank of Montreal or BMOCM and do not approve, endorse, review or recommend Bank
of Montreal, BMOCM or the notes.
The Intraday Indicative Values of the notes
calculated by ICE Data Indices, LLC are derived from sources deemed reliable, but ICE Data Indices, LLC, its affiliates and its
and their respective suppliers do not guarantee the correctness or completeness of the notes, their values or other information
furnished in connection with the notes. ICE Data Indices, LLC and its affiliates make no warranty, express or implied, as to results
to be obtained by BMOCM, Bank of Montreal, the holders of the notes, or any other person or entity from the use of the notes,
or any date or values included therein or in connection therewith. ICE Data Indices, LLC and its affiliates make no express or
implied warranties, and expressly disclaim all warranties of merchantability or fitness for a particular purpose with respect
to the notes, or any data or values included therein or in connection therewith.
THE INDEX
We have derived all information contained
in this pricing supplement regarding the Index, including, without limitation, its make-up, performance, method of calculation
and changes in its constituents, from publicly available sources. Such information reflects the policies of and is subject to change
by ICE Data Indices, LLC (“ICE Data”), which is the Index Sponsor, Index Administrator and Index Calculation Agent.
We have not undertaken any independent review or due diligence of such information. The Index Sponsor has no obligation to continue
to publish, and may discontinue the publication of, the Index. The description of the Index is summarized from its governing methodology,
which is available at www.theice.com/publicdocs/data/NYSE_FANGplus_Index_Methodology.pdf
Neither the methodology nor any other information
included on that website is included or incorporated by reference into this pricing supplement.
Introduction
The Index is an equal-dollar weighted index
designed to represent a segment of the technology and consumer discretionary sectors consisting of highly-traded growth stocks
of technology and tech-enabled companies such as Facebook, Inc., Apple Inc., Amazon.com, Inc., Netflix, Inc. and Google (Alphabet
Inc.). The Index currently has 10 Index constituents, which is the minimum number, but it may have more than 10 Index constituents
in the future. The Index was launched on September 26, 2017. As of the date of this pricing supplement, the Index constituents
are Facebook, Inc., Apple Inc., Amazon.com, Inc., Netflix, Inc., Google (Alphabet Inc.), Alibaba Group Holding Limited, Baidu,
Inc., Nvidia Corporation, Tesla, Inc. and Twitter, Inc.
Index Universe
The Index universe will consist of all stocks
classified as Consumer Discretionary or Technology by the Index Sponsor that are listed on a major U.S. stock exchange, such as
the NYSE, Nasdaq or NYSE American. American Depositary Receipts are eligible for inclusion in the Index.
Index Constituent Selection
At each quarterly rebalance, the Index universe
will be screened utilizing a proprietary methodology that references, among other factors, sector classification, revenue growth
and an analysis of the applicable issuer’s business. The following steps will be executed:
|
·
|
Stocks must have a market capitalization (including all share classes and unlisted shares) of at least $5 billion;
|
|
·
|
Stocks must have a trailing six month average daily traded value (ADTV / turnover) of $50 million on the specific listing line;
|
|
·
|
The ICE Data Indices Governance Committee (the “Governance Committee”) will oversee a process to select FANG and
FANG-related stocks. The FANG stocks include Facebook, Inc., Apple Inc., Amazon.com, Inc., Netflix, Inc. and Google (Alphabet Inc.).
Other stocks selected for the Index, in addition to satisfying the criteria in the two subparagraphs above, should exhibit characteristics
of high-growth technology and Internet/media stocks. ICE Data and its Governance Committee will focus on distinguishing between
traditional technology and services companies and newer, innovative, technology-utilizing companies using, among other factors,
sector classification, revenue growth and an analysis of the issuer’s business.
|
|
·
|
The final list of companies will be equally weighted based upon the prices and Index market capitalization as of the close
of trading on the third Friday of March, June, September, and December.
|
Rebalances and Frequency
The general aim of the quarterly rebalance
of the Index is to ensure that the selection and weightings of the Index constituents continues to reflect as closely as possible
the Index’s objective of representing a segment of the technology and consumer discretionary sectors consisting of the most
highly-traded and high-growth technology and internet/media stocks such as Facebook, Inc., Apple Inc., Amazon.com, Inc., Netflix,
Inc., Google (Alphabet Inc.). The Index Administrator reserves the right to, at any time, change the number of stocks comprising
the Index by adding or deleting one or more stocks, or replacing one or more stocks contained in the Index with one or more substitute
stocks of its choice, if in the Index Administrator’s discretion such addition, deletion or substitution is necessary or
appropriate to maintain the quality and/or character of the Index. Any such action would need to be approved by the Governance
Committee.
Changes to the Index constituents may occur
during a scheduled rebalance and as a result of the removal of an Index constituent. The quarterly Index rebalance becomes effective
after the close of the third Friday of March, June, September, and December. The rebalance announcement will be made after the
close of the second Friday of the month (one week prior). The reference date for all company-specific data and information utilized
in the rebalancing process will be taken from that same day, with exception of the prices utilized to determine the shares, which
will be taken from the third Friday.
Periodical Weighting Adjustment
At quarterly Index rebalances, the Index
will be rebalanced according to the methodology described above under “—Index Universe” and “—Index
Constituent Selection.”
Index Calculation
The Index is calculated on a gross total
return basis. The current Index level would be calculated by dividing the current modified Index market capitalization by the Index
divisor. The divisor was determined based on the initial capitalization base of the Index and the base level. The divisor is updated
as a result of corporate actions and composition changes.
The general formula for the Index is:
Where:
t means Index Calculation Date t
Dt means the Index divisor on Index Calculation
Date t
Pi,t means the price of Index constituent
i on Index Calculation Date t
Qi,t means the number of shares of Index constituent
i on Index Calculation Date t
Index Calculation Date means a U.S. Business Day where all of
the Constituent Exchanges are open.
The Base Date for the Index is September 19, 2014, and the Base
Level is 1,000.00.
Corporate Actions
General. The Index may be adjusted
in order to maintain the continuity of the Index level and the composition. Adjustments take place in reaction to events that occur
with Index constituents in order to mitigate or eliminate the effect of that event on Index performance.
Removal of constituents. Any Index
constituent deleted from the Index as a result of a corporate action such as a merger, acquisition, spin-off, delisting or bankruptcy
will be replaced by a new stock. Thus, the total number of Index constituents in the Index will stay constant. The Governance Committee
would oversee a process to select a replacement stock that reflects the Index’s objective and is in line with the rebalancing
selection criteria as set forth above under “—Index Universe” and “—Index Constituent Selection.”
If an Index constituent is removed and replaced in the Index, the divisor will be adjusted to maintain the Index level.
Mergers and Acquisitions.
|
·
|
Merger or acquisition between Index constituents: In the event a merger or acquisition occurs between Index constituents, the
acquired company is deleted and will be replaced by another company. There will be no change made to the acquiring company’s
weight in the Index.
|
|
·
|
Merger or acquisition between an Index constituent and a non-member: A non-member is defined as a company that is not a current
Index constituent. A merger or acquisition between an Index constituent and one non-member can take two forms:
|
|
o
|
The acquiring company is an Index constituent and the acquired company is not. There will be no action taken in the Index.
|
|
o
|
The acquiring company is not an Index constituent, but the acquired company is an Index constituent. The acquired company is
removed from the Index and will be replaced by another company. It is possible, but not necessary, that the replacement company
selected for the Index will be the acquiring company.
|
Suspensions and company distress. Immediately
upon an Index constituent filing for bankruptcy, an announcement will be made to remove the stock from the Index effective for
the next business day following the bankruptcy. If the stock is trading on an over-the-counter (OTC) market, the last trade or
price on that market is utilized as the deletion price on that day.
If the stock does not trade on the relevant
exchange between the bankruptcy announcement and the deletion effective date, the stock may be deleted from the Index in that corporate
action with a presumed market value of $0.
Price sources. In the event that
the trading in shares is suspended or halted, the last known price established during regular session trading on the primary exchange
will be used. Depending on the particular situation, the Index Administrator may choose to value the security at a price of $0
for purposes of Index calculation and/or Index corporate actions. This would be applicable for certain extreme cases such as a
company bankruptcy or severe distress when the security is no longer tradeable.
Spin-offs. The closing price of the
Index constituent is adjusted by the value of the spin-off, and the shares of the Index constituent will be adjusted to maintain
its existing weighting in the Index. The divisor will be adjusted to account for any changes in the overall Index market capitalization.
Spun-off companies will not be added into the Index at the time of the event.
Dividends. The Index calculation
incorporates regular cash dividends paid on the Index constituents and reinvests those distributions into the Index at the open
of the dividend ex-date.
Rights issues and other rights.
In the event of a rights issue, the price is adjusted
for the value of the right before the open on the ex-date, and the shares are increased to maintain the Index constituent’s
existing weighting within the Index. The adjustment assumes that the rights issue is fully subscribed. The amount of the price
adjustment is determined from the terms of the rights issue, including the subscription price, and the price of the underlying
security. The Index Administrator will only enact adjustments if the rights represent a positive value, or are in-the-money, or
alternatively, represent or can be converted into a tangible cash value.
Bonus issues, stock splits and reverse
stock splits. For bonus issues, stock splits and reverse stock splits, the number of shares included in the Index will be adjusted
in accordance with the ratio given in the corporate action. Since the event will also incorporate a corresponding price adjustment
and will not change the value of the company included in the Index, the divisor will not be changed because of this.
Changes in number of shares. Changes
in the number of shares outstanding, typically due to share repurchases, tenders, or offerings, will not be reflected in the Index.
Index Governance
ICE Data Indices, LLC (“ICE Data”)
is responsible for the day-to-day management of the Index, including retaining primary responsibility for all aspects of the Index
determination process, including implementing appropriate governance and oversight, as required under the International Organization
of Securities Commission’s Principles for Financial Benchmarks (the “IOSCO Principles”). The Governance Committee
is responsible for helping to ensure ICE Data’s overall compliance with the IOSCO Principles, by performing the Oversight
Function which includes overseeing the Index development, design, issuance and operation of the Index, as well as reviewing the
control framework. ICE Data is also responsible for decisions regarding the interpretation of the Index methodology and the Governance
Committee is responsible for reviewing all rule book modifications and Index constituent changes with respect to the Index to ensure
that they are made objectively, without bias, and in accordance with applicable law and regulation and ICE Data’s policies
and procedures. Consequently, all ICE Data’s and the Governance Committee discussions and decisions are confidential until
released to the public.
Cases not covered in the methodology.
In cases which are not expressly covered in the methodology, operational adjustments will take place along the lines of the aim
of the Index. Operational adjustments may also take place if, in the opinion of the Index Administrator, it is desirable to do
so to maintain a fair and orderly market in derivatives on the Index and/or this is in the best interests of the investors in products
based on the Index and/or the proper functioning of the markets. Any such modifications described in this paragraph or exercise
of judgment will also be governed by any applicable and outstanding policies, procedures and guidelines in place by ICE Data at
such time.
Methodology changes. The Governance
Committee reviews all methodology modifications and Index changes to ensure that they are made objectively, without bias and in
accordance with applicable law and regulation and ICE Data’s policies and procedures. The methodology may be supplemented,
amended in whole or in part, revised or withdrawn at any time. Supplements, amendments, revisions and withdrawals may also lead
to changes in the way the Index is compiled or calculated or affect the Index in another way. Any such modifications described
in this paragraph will also be governed by any applicable and outstanding policies and procedures in place by ICE Data at such
time.
Dissemination
The Index is calculated from 9:30 a.m. until
6:00 p.m. Eastern Time on those days specified as “Index Business Days,” as that term is defined in the Index methodology.
Solely for the purpose of the preceding sentence and not for the purpose of any calculation of the value of the notes, Index Business
Days will be classified as days on which the U.S. Equity Markets (NYSE, Nasdaq, and NYSE American) are open for a full or partial
day of trading.
Exceptional Market Conditions and Corrections
The Index Administrator retains the right
to delay the publication of the opening level of the Index. Furthermore, the Index Administrator retains the right to suspend the
publication of the level of the Index if it believes that circumstances prevent the proper calculation of the Index.
If Index constituent prices are cancelled,
the Index will not be recalculated unless the Index Administrator decides otherwise.
Commercially reasonable efforts are made
to ensure the correctness and validity of data used in real-time Index calculations. If incorrect price or corporate action data
affects Index daily highs, lows, or closes, it is corrected retroactively as soon as possible and all revisions are communicated
out to the public and market data vendors.
Announcements
Changes to the Index methodology which arise
as a result of market feedback, consultations, internal reviews, or otherwise will be communicated by an Index announcement which
will be distributed by ICE Data at www.theice.com/market-data/indices and ICE Data Services
at www.theice.com/market-data/indices/equity-indices/products. The information included in those websites will not be deemed to
be included or incorporated by reference in this pricing supplement.
As a general rule, the announcement periods
that are mentioned below will be applied. However, urgently required corporate action treatments, often resulting from late notices
from the relevant company or exchange, may require the Index Administrator to deviate from the standard timing.
Inclusion of new Index constituents.
The inclusion of new companies in the Index will typically only occur during a quarterly rebalance, although there could be exceptions
based on a specific corporate action affecting a current Index constituent during the year. The inclusion of the new company will
be announced at least one week prior to the effective date of the actual inclusion. For example, for a rebalance effective for
June 18, 2018, the announcement would have occurred after the close on June 8, 2018.
Removal of Index constituents. Index
constituents would be removed from the Index as a result of periodic corporate actions as well as the results of the quarterly
rebalance. All removals will be announced at least three trading days before the effective date of the removal. It should be noted
that in the case of mergers and acquisitions, every effort will be made to remove the company at some reasonable time ahead of
the suspension in trading in the acquired company. There will be certain situations and corporate actions that would require the
removal of a company that has already ceased trading. In those cases, the company will be removed from the Index at its last traded
price, or, at the discretion of the Index Administrator, at a derived price that most accurately represents its post-suspension
value.
Corporate actions. In case of an
event that could affect one or more Index constituents, the Index Administrator will inform the market about the intended treatment
of the event in the Index shortly after the firm details have become available and have been confirmed. When possible, the corporate
action will be announced, even if not all information is known, at least one trading day before the effective date of the action.
Once the corporate action has been effectuated, the Index Administrator will confirm the changes in a separate announcement.
Methodology changes. Barring exceptional
circumstances, the Index Administrator will announce proposed rule changes to stakeholders prior to them being implemented. Stakeholders
will also be notified of when the changes will take effect.
Reviews; publication of new selection.
The new composition of the Index, including the companies to be a part of the Index and their corresponding new Index weights,
will be announced at least one week prior to the effective date and can be accessed from ICE Data Services at www.theice.com/market-data/indices/equity-indices/products.
Historical Information
Any historical upward or downward trend
in value of the Index during any period shown below is not an indication that the value of the Index is more or less likely to
increase or decrease at any time during the term of the notes. The historical Index returns do not give an indication of the future
performance of the Index. We cannot make any assurance that the future performance of the Index will result in holders of the notes
receiving a positive return on their investment.
The graph below shows the historical performance of the
Index from September 26, 2017, its commencement date, through February 11, 2021.
Historical results are not indicative
of future results.
License Agreement
We have entered into a sub-license agreement
with REX Shares, LLC (“REX” or the “Structuring Agent”), which licenses the Index from the Index Sponsor.
The license agreement with the Structuring Agent also provides for the use of certain trade names, trademarks and service marks.
We have also entered into a services agreement with REX to provide certain services related to product design, content generation
and document dissemination.
MicroSectors™
and REX™ are registered trademarks of REX. NYSE® is a
registered trademark of NYSE Group, Inc., an affiliate of ICE Data Indices, LLC and is used by ICE Data Indices with permission
and under a license. NYSE® FANG+™ is trademark of ICE
Data Indices, LLC or its affiliates (“ICE Data”). The trademarks have been licensed for use for certain purposes by
Bank of Montreal. The NYSE® FANG+™ Index is a product
of ICE Data, and has been licensed for use by Bank of Montreal. The notes are not sponsored, endorsed, sold or promoted by REX
or any of its affiliates or third party licensors (collectively, “REX Index Parties”) or by ICE Data or any of its
affiliates or third party licensors (collectively, “ICE Data Index Parties”). REX Index Parties and ICE Data Index
Parties make no representation or warranty, express or implied, to the owners of the notes or any member of the public regarding
the advisability of investing in securities generally or in the notes particularly or the ability of the NYSE®
FANG+™ Index to track general market performance. REX Index Parties and ICE Data Index Parties’ only relationship to
Bank of Montreal with respect to the Index is the licensing of the Index and certain trademarks, service marks and/or trade names
of REX Index Parties and ICE Data Index Parties. The NYSE®
FANG+™ Index is determined, composed and calculated by ICE Data without regard to Bank of Montreal or the notes. ICE Data
have no obligation to take the needs of Bank of Montreal or the owners of notes into consideration in determining, composing or
calculating the NYSE® FANG+™ Index. REX Index Parties
and ICE Data Index Parties 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. REX Index Parties and ICE Data Index Parties 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 NYSE®
FANG+™ Index will accurately track index performance or provide positive investment returns. Inclusion of a security within
an index is not a recommendation by REX Index Parties or ICE Data Index Parties to buy, sell, or hold such security, nor is it
considered to be investment advice.
REX INDEX PARTIES AND ICE DATA INDEX PARTIES DO NOT GUARANTEE
THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE NYSE® FANG+™ INDEX OR ANY DATA RELATED THERETO
OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT
THERETO. REX INDEX PARTIES AND ICE DATA INDEX PARTIES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS,
OR DELAYS THEREIN. REX INDEX PARTIES AND ICE DATA INDEX PARTIES 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 BANK OF MONTREAL,
OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NYSE® FANG+™ INDEX OR WITH RESPECT
TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL REX INDEX PARTIES OR ICE DATA
INDEX PARTIES 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
ICE DATA INDEX PARTIES AND BANK OF MONTREAL, OTHER THAN THE LICENSORS OF ICE DATA INDEX PARTIES.
SUPPLEMENTAL
TAX CONSIDERATIONS
The following is a general description of
certain tax considerations relating to the notes. It does not purport to be a complete analysis of all tax considerations relating
to the notes. Prospective purchasers of the notes should consult their tax advisors as to the consequences under the tax laws of
the country of which they are resident for tax purposes and the tax laws of Canada and the U.S. of acquiring, holding and disposing
of the notes and receiving payments under the notes. This summary is based upon the law as in effect on the date of this pricing
supplement and is subject to any change in law that may take effect after such date.
Supplemental Canadian Tax Considerations
For a summary of Canadian tax considerations
relevant to an investment in the notes, please see the sections entitled “Canadian Taxation” in the accompanying prospectus
and the section entitled “Certain Income Tax Consequences—Certain Canadian Income Tax Considerations ” in the
accompanying prospectus supplement.
With respect to any interest paid or credited
or deemed to be paid or credited on the notes, such interest will not be subject to Canadian non-resident withholding tax.