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 $970.00
and $1,000 per $1,000 in principal amount.
* Rounded to two decimal places with respect to SPX and INDU
and rounded to three decimal places with respect to RTY.
On the date hereof, based on the terms set
forth above, the estimated initial value of the notes is $954.90 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.
You should read this document together with
the product supplement dated April 21, 2020, the prospectus supplement dated April 20, 2020 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):
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.
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Reference Assets. These risks are explained in more
detail in the “Additional Risk Factors Relating to the Notes” section of the product supplement.
Additional Information Relating to the Estimated Initial Value
of the Notes
Our estimated initial value of the notes
on the date hereof that is set forth on the cover hereof equals the sum of the values of the following hypothetical components:
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·
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a fixed-income debt component with the same tenor as the notes, valued using our internal funding rate for structured notes;
and
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·
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one or more derivative transactions relating to the economic terms of the notes.
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The internal funding rate used in the determination
of the initial estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The
value of these derivative transactions are derived from our internal pricing models. These models are based on factors such as
the traded market prices of comparable derivative instruments and on other inputs, which include volatility, dividend rates, interest
rates and other factors. As a result, the estimated initial value of the notes on the Pricing Date was determined based on the
market conditions on the Pricing Date.
The Reference Assets
All disclosures contained in this pricing
supplement regarding the Reference Assets, 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
sponsors. The information reflects the policies of, and is subject to change by, the sponsors. The sponsors own the copyrights
and all rights to the Reference Assets. The sponsors are under no obligation to continue to publish, and may discontinue publication
of, the Reference Assets. Neither we nor BMO Capital Markets Corp. accepts any responsibility for the calculation, maintenance
or publication of and Reference Asset or any successor. We encourage you to review recent levels of the Reference Assets prior
to making an investment decision with respect to the notes.
The S&P 500® Index
The S&P 500® Index is intended to
provide an indication of the pattern of common stock price movement. The calculation of the level of this Reference Asset is based
on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the
aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943.
S&P calculates this Reference Asset by
reference to the prices of the constituent stocks of this Reference Asset without taking account of the value of dividends paid
on those stocks. As a result, the return on the notes will not reflect the return you would realize if you actually owned the constituent
stocks of the S&P 500® Index and received the dividends paid on those stocks.
Computation of the S&P 500®
Index
While S&P currently employs the following
methodology to calculate the S&P 500® Index, no assurance can be given that S&P will not modify or change this methodology
in a manner that may affect the Payment at Maturity.
Historically, the market value of any component
stock of the S&P 500® Index was calculated as the product of the market price per share and the number of then outstanding
shares of such component stock. In March 2005, S&P began shifting the S&P 500® Index halfway from a market capitalization
weighted formula to a float-adjusted formula, before moving the S&P 500® Index to full float adjustment on September 16,
2005. S&P’s criteria for selecting stocks for the S&P 500® Index did not change with the shift to float adjustment.
However, the adjustment affects each company’s weight in the S&P 500® Index.
Under float adjustment, the share counts
used in calculating the S&P 500® Index reflect only those shares that are available to investors, not all of a company’s
outstanding shares. Float adjustment excludes shares that are closely held by control groups, other publicly traded companies or
government agencies.
In September 2012, all shareholdings representing
more than 5% of a stock’s outstanding shares, other than holdings by “block owners,” were removed from the float
for purposes of calculating the S&P 500® Index. Generally, these “control holders” will include officers and
directors, private equity, venture capital and special equity firms, other publicly traded companies that hold shares for control,
strategic partners, holders of restricted shares, ESOPs, employee and family trusts, foundations associated with the company, holders
of unlisted share classes of stock, government entities at all levels (other than government retirement/pension funds) and any
individual person who controls a 5% or greater stake in a company as reported in regulatory filings. However, holdings by block
owners, such as depositary banks, pension funds, mutual funds and ETF providers, 401(k) plans of the company, government retirement/pension
funds, investment funds of insurance companies, asset managers and investment funds, independent foundations and savings and investment
plans, will ordinarily be considered part of the float.
Treasury stock, stock options, equity participation
units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held in a trust to allow investors
in countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares are normally part of the
float unless those shares form a control block.
For each stock, an investable weight factor
(“IWF”) is calculated by dividing the available float shares by the total shares outstanding. Available float shares
are defined as the total shares outstanding less shares held by control holders. This calculation is subject to a 5% minimum threshold
for control blocks. For example, if a company’s officers and directors hold 3% of the company’s shares, and no other
control group holds 5% of the company’s shares, S&P would assign that company an IWF of 1.00, as no control group meets
the 5% threshold. However, if a company’s officers and directors hold 3% of the company’s shares and another control
group holds 20% of the company’s shares, S&P would assign an IWF of 0.77, reflecting the fact that 23% of the company’s
outstanding shares are considered to be held for control. As of July 31, 2017, companies with multiple share class lines are no
longer eligible for inclusion in the S&P 500® Index. Constituents of the S&P 500® Index prior to July 31, 2017
with multiple share class lines were grandfathered in and continue to be included in the S&P 500® Index. If a constituent
company of the S&P 500® Index reorganizes into a multiple share class line structure, that company will remain in the S&P
500® Index at the discretion of the S&P Index Committee in order to minimize turnover.
The S&P 500® Index is calculated
using a base-weighted aggregate methodology. The level of the S&P 500® Index reflects the total market value of all 500
component stocks relative to the base period of the years 1941 through 1943. An indexed number is used to represent the results
of this calculation in order to make the level easier to use and track over time. The actual total market value of the component
stocks during the base period of the years 1941 through 1943 has been set to an indexed level of 10. This is often indicated by
the notation 1941-43 = 10. In practice, the daily calculation of the S&P 500® Index is computed by dividing the total market
value of the component stocks by the “index divisor.” By itself, the index divisor is an arbitrary number. However,
in the context of the calculation of the S&P 500® Index, it serves as a link to the original base period level of the S&P
500® Index. The index divisor keeps the S&P 500® Index comparable over time and is the manipulation point for all adjustments
to the S&P 500® Index, which is index maintenance.
Index Maintenance
Index maintenance includes monitoring and
completing the adjustments for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments
due to company restructuring or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in
the common shares outstanding and the stock prices of the companies in the S&P 500® Index, and do not require index divisor
adjustments.
To prevent the level of the S&P 500®
Index from changing due to corporate actions, corporate actions which affect the total market value of the S&P 500® Index
require an index divisor adjustment. By adjusting the index divisor for the change in market value, the level of the S&P 500®
Index remains constant and does not reflect the corporate actions of individual companies in the S&P 500® Index. Index
divisor adjustments are made after the close of trading and after the calculation of the S&P 500® Index closing level.
Changes in a company’s total shares
outstanding of 5% or more due to public offerings are made as soon as reasonably possible. Other changes of 5% or more (for example,
due to tender offers, Dutch auctions, voluntary exchange offers, company stock repurchases, private placements, acquisitions of
private companies or non-index companies that do not trade on a major exchange, redemptions, exercise of options, warrants, conversion
of preferred stock, notes, debt, equity participations, at-the-market stock offerings or other recapitalizations) are made weekly,
and are generally announced on Fridays for implementation after the close of trading the following Friday (one week later). If
a 5% or more share change causes a company’s IWF to change by five percentage points or more, the IWF is updated at the same
time as the share change. IWF changes resulting from partial tender offers are considered on a case-by-case basis.
License Agreement
We and S&P Dow Jones Indices LLC (“S&P”)
have entered into a non-exclusive license agreement providing for the license to us and certain of our affiliates, in exchange
for a fee, of the right to use the S&P 500® Index, in connection with certain securities, including the notes. The S&P
500® Index is owned and published by S&P.
The license agreement between S&P and
us provides that the following language must be set forth in this pricing supplement:
The notes are not sponsored, endorsed, sold
or promoted by S&P Dow Jones Indices LLC, Dow Jones, Standard and Poor’s Financial Services LLC or any of their respective
affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty,
express or implied, to the holders of the notes or any member of the public regarding the advisability of investing in securities
generally or in the notes particularly or the ability of the S&P 500® Index to track general market performance. S&P
Dow Jones Indices’ only relationship to us with respect to the S&P 500® Index is the licensing of the Index and certain
trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The S&P 500®
Index is determined, composed and calculated by S&P Dow Jones Indices without regard to us or the notes. S&P Dow Jones
Indices have no obligation to take our needs or the needs of holders of the notes into consideration in determining, composing
or calculating the S&P 500® Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination
of the prices, and amount of the notes or the timing of the issuance or sale of the notes or in the determination or calculation
of the equation by which the notes are to be converted into cash. S&P Dow Jones Indices have no obligation or liability in
connection with the administration, marketing or trading of the notes. There is no assurance that investment products based on
the S&P 500® Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices
LLC and its subsidiaries are not investment advisors. Inclusion of a security or futures contract within an index is not a recommendation
by S&P Dow Jones Indices to buy, sell, or hold such security or futures contract, nor is it considered to be investment advice.
Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated
to the notes currently being issued by us, but which may be similar to and competitive with the notes. In addition, CME Group Inc.
and its affiliates may trade financial products which are linked to the performance of the S&P 500® Index. It is possible
that this trading activity will affect the value of the notes.
S&P DOW JONES INDICES DO NOT GUARANTEE
THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P 500® INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION,
INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P
DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES
INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR
PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY US, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P
500® INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL
S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT
LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES,
WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS
BETWEEN S&P DOW JONES INDICES AND US, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
S&P® is a registered trademark of
Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings
LLC. These trademarks have been licensed for use by Bank of Montreal. “Standard & Poor’s®”, “S&P
500®” and “S&P®” are trademarks of S&P. The notes are not sponsored, endorsed, sold or promoted
by S&P and S&P makes no representation regarding the advisability of investing in the notes.
The Russell 2000® Index
The Russell 2000® Index was developed
by Russell Investments (“Russell”) before FTSE International Limited (“FTSE”) and Russell combined in 2015
to create FTSE Russell, which is wholly owned by London Stock Exchange Group. Russell began dissemination of the Russell 2000®
Index (Bloomberg L.P. index symbol “RTY”) on January 1, 1984. The Russell 2000® Index was set to 135 as of the
close of business on December 31, 1986. FTSE Russell calculates and publishes the Russell 2000® Index. The Russell 2000®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. As a subset of the Russell
3000® Index, the Russell 2000® Index consists of the smallest 2,000 companies included in the Russell 3000® Index.
The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies. The Russell 2000® Index is determined,
comprised, and calculated by FTSE Russell without regard to the notes.
Selection of Stocks Comprising the
Russell 2000® Index
All companies eligible for inclusion in the
Russell 2000® Index must be classified as a U.S. company under FTSE Russell’s country-assignment methodology. If a company
is incorporated, has a stated headquarters location, and trades on a standard exchange in the same country (American Depositary
Receipts and American Depositary Shares are not eligible), then the company is assigned to its country of incorporation. If any
of the three factors are not the same, FTSE Russell defines three Home Country Indicators (“HCIs”): country of incorporation,
country of headquarters, and country of the most liquid exchange (as defined by a two-year average daily dollar trading volume)
(“ADDTV”) from all exchanges within a country. Using the HCIs, FTSE Russell compares the primary location of the company’s
assets with the three HCIs. If the primary location of its assets matches any of the HCIs, then the company is assigned to the
primary location of its assets. If there is insufficient information to determine the country in which the company’s assets
are primarily located, FTSE Russell will use the primary location of the company’s revenue for the same cross-comparison
and assigns the company to the appropriate country in a similar fashion. FTSE Russell uses the average of two years of assets or
revenues data to reduce potential turnover. If conclusive country details cannot be derived from assets or revenues data, FTSE
Russell will assign the company to the country in which its headquarters are located unless the country is a Benefit Driven Incorporation
“BDI” country. If the country in which its headquarters are located is a BDI, it will be assigned to the country of
its most liquid stock exchange. BDI countries include: Anguilla, Antigua and Barbuda, Aruba, Bahamas, Barbados, Belize, Bermuda,
Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey, Isle
of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten, and Turks and Caicos Islands. For any companies
incorporated or headquartered in a U.S. territory, including countries such as Puerto Rico, Guam, and U.S. Virgin Islands, a U.S.
HCI is assigned. “N-Shares” of companies controlled by entities in mainland China are not eligible for inclusion in
the Russell 2000® Index.
All securities eligible for inclusion in
the Russell 2000® Index must trade on a major U.S. exchange. Stocks must have a closing price at or above $1.00 on their primary
exchange on the “rank day” in May of each year (timetable is announced each spring) to be eligible for inclusion during
annual reconstitution. However, in order to reduce unnecessary turnover, if an existing member’s closing price is less than
$1.00 on the last day of May, it will be considered eligible if the average of the daily closing prices (from its primary exchange)
during the month of May is equal to or greater than $1.00. FTSE Russell adds initial public offerings (IPOs) each quarter to ensure
that new additions to the institutional investing opportunity set are reflected in representative indexes. A stock added during
the quarterly IPO process is considered a new index addition, and therefore must have a closing price on its primary exchange at
or above $1.00 on the last day of the eligibility period in order to qualify for index inclusion. If an existing index member does
not trade on the rank day, it must price at $1.00 or above on another eligible U.S. exchange to remain eligible.
Royalty trusts, limited liability companies,
closed-end investment companies (companies that are required to report Acquired Fund Fees and Expenses, as defined by the SEC,
including business development companies, are not eligible), blank check companies, special-purpose acquisition companies, exchange
traded funds, mutual funds and limited partnerships are ineligible for inclusion. Preferred and convertible preferred stock, redeemable
shares, participating preferred stock, warrants, rights, installment receipts and trust receipts are not eligible for inclusion
in the Russell 2000® Index.
Annual reconstitution is a process by which
the Russell 2000® Index is completely rebuilt. On the rank day of July, all eligible securities are ranked by their total market
capitalization. The largest 4,000 become the Russell 3000E Index, and the other FTSE Russell indexes are determined from that set
of securities. Reconstitution of the Russell 2000® Index occurs on the last Friday in June or, when the last Friday in June
is the 29th or 30th, reconstitution occurs on the prior Friday. In addition, FTSE Russell adds initial public offerings to the
Russell 2000® Index on a quarterly basis based on total market capitalization ranking within the market-adjusted capitalization
breaks established during the most recent reconstitution.
After membership is determined, a security’s
shares are adjusted to include only those shares available to the public. This is often referred to as “free float.”
The purpose of the adjustment is to exclude from market calculations the capitalization that is not available for purchase and
is not part of the investable opportunity set.
License Agreement
“Russell 2000®” and “Russell
3000®” are trademarks of FTSE Russell and have been licensed for use by us.
The notes are not sponsored, endorsed, sold
or promoted by FTSE Russell. FTSE Russell makes no representation or warranty, express or implied, to the owners of the notes or
any member of the public regarding the advisability of investing in securities generally or in the notes particularly or the ability
of the Russell 2000® Index to track general stock market performance or a segment of the same. FTSE Russell's publication of
the Russell 2000® Index in no way suggests or implies an opinion by FTSE Russell as to the advisability of investment in any
or all of the securities upon which the Russell 2000® Index is based. FTSE Russell's only relationship to the Issuer is the
licensing of certain trademarks and trade names of FTSE Russell and of the Russell 2000® Index which is determined, composed
and calculated by FTSE Russell without regard to the Issuer or the notes. FTSE Russell is not responsible for and has not reviewed
the notes nor any associated literature or publications and FTSE Russell makes no representation or warranty express or implied
as to their accuracy or completeness, or otherwise. FTSE Russell reserves the right, at any time and without notice, to alter,
amend, terminate or in any way change the Russell 2000® Index. FTSE Russell has no obligation or liability in connection with
the administration, marketing or trading of the notes.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY
AND/OR THE COMPLETENESS OF THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR
ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED
BY THE ISSUER, INVESTORS, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RUSSELL 2000® INDEX OR ANY
DATA INCLUDED THEREIN. FTSE RUSSELL MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY
OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED HEREIN WITHOUT LIMITING
ANY OF THE FOREGOING. IN NO EVENT SHALL FTSE RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES
(INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
The Dow Jones Industrial Average® (“INDU”)
The INDU is a price-weighted index, which
means an underlying stock’s weight in the INDU is based on its price per share rather than the total market capitalization
of the issuer. The INDU is designed to provide an indication of the composite performance of 30 common stocks of corporations representing
a broad cross-section of U.S. industry. The corporations represented in the INDU tend to be market leaders in their respective
industries and their stocks are typically widely held by individuals and institutional investors.
The INDU is maintained by an Averages Committee
comprised of three representatives of S&P Dow Jones Indices and two representatives of The Wall Street Journal (“WSJ”).
The Averages Committee was created in March 2010, when Dow Jones Indexes became part of CME Group Index Services, LLC, a joint
venture company owned by CME Group Inc. and by Dow Jones & Company. Generally, composition changes occur only after mergers,
corporate acquisitions or other dramatic shifts in a component's core business. When such an event necessitates that one component
be replaced, the entire INDU is reviewed. As a result, when changes are made they typically involve more than one component. While
there are no rules for component selection, a stock typically is added only if the company has an excellent reputation, demonstrates
sustained growth and is of interest to a large number of investors.
Changes in the composition of the INDU are
made entirely by the Averages Committee without consultation with the corporations represented in the INDU, any stock exchange,
any official agency or us. Unlike most other indices, which are reconstituted according to a fixed review schedule, constituents
of the INDU are reviewed on an as-needed basis. Changes to the common stocks included in the INDU tend to be made infrequently,
and the underlying stocks of the INDU may be changed at any time for any reason. The companies currently represented in the INDU
are incorporated and headquartered in the United States and its territories and their stocks are listed on the New York Stock Exchange
and Nasdaq.
The INDU initially consisted of 12 common
stocks and was first published in the WSJ in 1896. The INDU was increased to include 20 common stocks in 1916 and to 30 common
stocks in 1928. The number of common stocks in the INDU has remained at 30 since 1928, and, in an effort to maintain continuity,
the constituent corporations represented in the INDU have been changed on a relatively infrequent basis.
Computation of the INDU
The level of the INDU is the sum of the primary
exchange prices of each of the 30 component stocks included in the INDU, divided by a divisor that is designed to provide a meaningful
continuity in the level of the INDU. Because the INDU is price-weighted, stock splits or changes in the component stocks could
result in distortions in the index level. In order to prevent these distortions related to extrinsic factors, the divisor is periodically
changed in accordance with a mathematical formula that reflects adjusted proportions within the INDU. The current divisor of the
INDU is published daily in the WSJ and other publications. In addition, other statistics based on the INDU may be found in a variety
of publicly available sources.
License Agreement
We and S&P Dow Jones Indices LLC (“S&P”)
have entered into a non-exclusive license agreement providing for the license to us and certain of our affiliates, in exchange
for a fee, of the right to use the INDU, in connection with certain securities, including the notes. The INDU is owned and published
by S&P.
The license agreement between S&P and
us provides that the following language must be set forth in this pricing supplement:
The notes are not sponsored, endorsed, sold
or promoted by S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, Standard and Poor’s Financial Services LLC
or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no
representation or warranty, express or implied, to the holders of the notes or any member of the public regarding the advisability
of investing in securities generally or in the notes particularly or the ability of the INDU to track general market performance.
S&P Dow Jones Indices’ only relationship to us with respect to the INDU is the licensing of the Index and certain trademarks,
service marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The INDU is determined, composed
and calculated by S&P Dow Jones Indices without regard to us or the notes. S&P Dow Jones Indices have no obligation to
take our needs or the needs of holders of the notes into consideration in determining, composing or calculating the INDU. S&P
Dow Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of the notes
or the timing of the issuance or sale of the notes or in the determination or calculation of the equation by which the notes are
to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing
or trading of the notes. There is no assurance that investment products based on the INDU will accurately track index performance
or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion
of a security or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such
security or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its
affiliates may independently issue and/or sponsor financial products unrelated to the notes currently being issued by us, but which
may be similar to and competitive with the notes. In addition, CME Group Inc. and its affiliates may trade financial products which
are linked to the performance of the INDU. It is possible that this trading activity will affect the value of the notes.
S&P DOW JONES INDICES DO NOT GUARANTEE
THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDU OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING
BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES
INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES
MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE
OR USE OR AS TO RESULTS TO BE OBTAINED BY US, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDU OR WITH
RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES
BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS,
TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT,
TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P
DOW JONES INDICES AND US, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
S&P® is a registered trademark of
Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings
LLC. These trademarks have been licensed for use by Bank of Montreal. “Dow Jones®”, “DJIA®”, “Dow
Jones Industrial Average®” and “The Dow®” are trademarks of Dow Jones Trademark Holdings LLC. The notes
are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices and S&P Dow Jones Indices makes no representation
regarding the advisability of investing in the notes.