Registration Statement No.333-237342
Filed Pursuant to Rule 424(b)(2)
Pricing Supplement dated February 24, 2021
to the Prospectus dated April 20, 2020,
the Prospectus Supplement dated April 20, 2020 and the Product Supplement dated June 5, 2020
US$1,290,000
Senior Medium-Term Notes, Series F
Buffer Enhanced Return Notes due March 31, 2022
Linked to the Least Performing of the NASDAQ 100® Index and the Russell 2000® Index
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The notes are designed for investors who are seeking 125.00% leveraged positive return based on
any appreciation in the level of the lesser performing of the NASDAQ 100® Index and the Russell 2000® Index (each, a "Reference
Asset" and, the least performing, the "Least Performing Reference Asset") , subject to the Maximum Redemption Amount
(as defined below). Investors must be willing to accept that the payment at maturity that the payment at maturity will not exceed
the Maximum Redemption Amount.
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The Maximum Redemption Amount is $1,130.00 for each $1,000 in principal amount (a 13.00% return
on the notes).
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If the Least Performing Reference Asset decreases by more than 10.00% from its Initial Level,
investors will lose 1% of the principal amount for each 1% decrease in the level of the Least Performing Reference Asset from its
Initial Level to its Final Level in excess of 10.00%. In such a case, you will receive a cash amount at maturity that is less than
the principal amount, and may lose up to 90.00% of your principal amount at maturity.
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Investing in the notes is not equivalent to a hypothetical direct investment in the Reference
Assets.
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The notes do not bear interest. The notes will not be listed on any securities exchange.
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All payments on the notes are subject to the credit risk of Bank of Montreal.
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The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000.
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The CUSIP number of the notes is 06368EEK4.
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Our subsidiary, BMO Capital Markets Corp. (“BMOCM”), is the agent for this offering.
See “Supplemental Plan of Distribution (Conflicts of Interest)” below.
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The notes will not be subject to conversion into our common shares or the common shares of any
of our affiliates under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act (the “CDIC Act”).
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Terms of the Notes:
Pricing Date:
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February 24, 2021
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Valuation Date:
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March 28, 2022
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Settlement Date:
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February 26, 2021
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Maturity Date:
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March 31, 2022
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Price to Public1
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Agent’s Commission1
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Proceeds to Bank of Montreal1
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Per Note
Total
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100%
$1,290,000.00
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Up to 1.93%
$24,897.00
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At least 98.07%
$1,265,103.00
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1 The total “Agent’s Commission”
and “Proceeds to Bank of Montreal” to be 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 $980.70 and $1,000 per $1,000 in principal amount.
Investing in the notes involves risks,
including those described in the “Selected Risk Considerations” section beginning on page P-5 hereof, the “Additional
Risk Factors Relating to the Notes” section beginning on page PS-5 of the product supplement, and the “Risk Factors”
section beginning on page S-1 of the prospectus supplement and on page 8 of the prospectus.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of these notes or passed upon the accuracy of this document, the
product supplement, the prospectus supplement or the prospectus. Any representation to the contrary is a criminal offense. The
notes will be our unsecured obligations and will not be savings accounts or deposits that are insured by the United States Federal
Deposit Insurance Corporation, the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency
or instrumentality or other entity.
On the date hereof, based on the terms set
forth above, the estimated initial value of the notes is $944.55 per $1,000 in principal amount. However, as discussed in more
detail below, the actual value of the notes at any time will reflect many factors and cannot be predicted with accuracy.
BMO CAPITAL MARKETS
Key Terms of the Notes:
Reference Assets:
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The NASDAQ 100® Index (ticker symbol "NDX") and the Russell 2000® Index (ticker symbol "RTY") . See "The Reference Assets" below for additional information.
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Payment at Maturity:
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If the Final Level of the Least Performing Reference Asset is
greater than its Initial Level and the Percentage Change of the Least Performing Reference Asset multiplied by the Upside Leverage
Factor is greater than or equal to the Maximum Return, the payment at maturity for each $1,000 in principal amount of the notes
will equal the Maximum Redemption Amount.
If the Final Level of the Least Performing Reference Asset is
greater than its Initial Level and the Percentage Change of the Least Performing Reference Asset multiplied by the Upside Leverage
Factor is less than the Maximum Return, then the amount that investors will receive at maturity for each $1,000 in principal amount
of the notes will equal:
$1,000 + [$1,000 x (Percentage Change of
the Least Performing Reference Asset x Upside Leverage Factor)]
If the Final Level of the Least Performing Reference Asset is
less than its Initial Level, but is not less than its Buffer Level, then investors will, for each $1,000 in principal amount of
the notes, receive the principal amount of $1,000 and no additional return.
If the Final Level of the Least Performing Reference Asset is
less than its Buffer Level, then the amount that investors will receive at maturity for each $1,000 in principal amount of the
notes will equal:
$1,000 + [$1,000 x (Percentage Change of
the Least Performing Reference Asset + Buffer Percentage)]
In this case, investors will lose 1% of their principal
for each 1% that the Final Level of the Least Performing Reference Asset declines from its Initial Level in excess of 10.00%.
You may lose up to 90.00% of the principal amount of your notes.
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Upside Leverage Factor:
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125.00%
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Maximum Return:
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13.00%
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Maximum Redemption Amount:
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The payment at maturity will not exceed the Maximum Redemption Amount of $1,130.00 per $1,000 in principal amount of the notes.
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Least Performing Reference Asset:
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The Reference Asset with the lowest Percentage Change.
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Percentage Change:
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With respect to each Reference Asset, the quotient, expressed
as a percentage, of the following formula:
(Final Level - Initial Level)
Initial Level
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Initial Level:2
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13,302.19 with respect to NDX and 2,284.381 with respect to RTY, each of which was the respective closing level of that Reference Asset on the Pricing Date (rounded to two decimal places with respect to NDX and rounded to three decimal places with respect to RTY).
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Buffer Level:2
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11,971.97 with respect to NDX and 2,055.943 with respect to RTY, each of which is 90% of the respective Initial Level (rounded to two decimal places with respect to NDX and rounded to three decimal places with respect to RTY).
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Buffer Percentage:2
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10.00% Accordingly, you will receive the principal amount of your notes at maturity only if the level of the Least Performing Reference Asset does not decrease by more than 10.00% over the term of the notes. If the Final Level of the Least Performing Reference Asset is less than its Buffer Level, you will receive less than the principal amount of your notes at maturity and you could lose up to 90.00% of the principal amount of your notes.
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Final Level:
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With respect to each Reference Asset, the closing level of that Reference Asset on the Valuation Date.
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Pricing Date:
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February 24, 2021
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Settlement Date:
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February 26, 2021
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Valuation Date:1
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March 28, 2022
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Maturity Date:1
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March 31, 2022
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Calculation Agent:
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BMOCM
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1 Subject to the occurrence of a market disruption
event, as described in the accompanying product supplement.
2As determined by the calculation agent and subject
to adjustment in certain circumstances. See “General Terms of the Notes — Adjustments to a Reference Asset that Is
an Index” in the product supplement and “Selected Risk Considerations – Changes that affect a Reference Asset
could adversely affect the notes” herein for additional information.
Payoff Example
The following table shows the hypothetical
payout profile of an investment in the notes based on various hypothetical Final Levels (and the corresponding Percentage Change)
of the Least Performing Reference Asset, reflecting the 125.00% Upside Leverage Factor, Maximum Return of 13.00%, and Buffer Level
of 90.00% of the Initial Level. Please see “Examples of the Hypothetical Payment at Maturity for a $1,000 Investment in the
Notes” below for more detailed examples.
Hypothetical Percentage Change
of the Least Performing
Reference Asset
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Participation
in Percentage
Change
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Hypothetical Return of the
Notes
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20.00%
10.40%
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125% Upside Exposure, subject to the Maximum Return
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13.00%
13.00%
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10.00%
5.00%
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125% Upside Exposure
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12.50%
6.25%
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0%
-10%
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Buffer Level of 90.00% of Initial Level
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0%
0%
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-20%
-30%
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1x Loss Beyond Buffer Level
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-10%
-20%
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Additional Terms of the Notes
You should read this document together with
the product supplement dated June 5, 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):
Product supplement dated June 5, 2020:
https://www.sec.gov/Archives/edgar/data/927971/000121465920005433/j65200424b2.htm
Prospectus supplement dated April 20, 2020:
https://www.sec.gov/Archives/edgar/data/927971/000119312520112249/d908040d424b5.htm
Prospectus dated April 20, 2020:
https://www.sec.gov/Archives/edgar/data/927971/000119312520112240/d903160d424b2.htm
Our Central Index Key, or CIK, on the SEC
website is 927971. As used in this document, "we", "us" or "our" refers to Bank of Montreal.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Reference Assets. These risks are explained in more
detail in the “Additional Risk Factors Relating to the Notes” section of the product supplement.
Risks Related to the Structure or Features of the Notes
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Your investment in the notes may result in a loss. — The notes do not guarantee any return of principal. If the
Final Level of any Reference Asset is less than its Buffer Level, you will lose 1% of the principal amount for each 1% that the
Final Level of the Least Performing Reference Asset is less than its Initial Level in excess of the Buffer Percentage. In such
a case, you will receive at maturity a cash payment that is less than the principal amount of the notes and may be significantly
less than the principal amount of your notes. Accordingly, you could lose up to 90.00% of the principal amount of your notes.
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Your return on the notes is limited to the Maximum Redemption Amount, regardless of any appreciation in the levels of the
Reference Assets. — The return on your notes will not be greater than the Maximum Redemption Amount. This will be the
case even if the Percentage Change of the Least Performing Reference Asset multiplied by the Upside Leverage Factor exceeds the
Maximum Return.
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Your return on the notes will be determined solely by reference to the Least Performing Reference Asset, even if any other
Reference Assets perform better. -Your payment at maturity will be determined by reference to the performance of the Least
Performing Reference Asset. Even if the levels of any other Reference Assets have performed more favorably (either by increasing
by a greater amount over the term of the notes if the Percentage Change of the Least Performing Reference Asset is positive or
by increasing or experiencing a decline that is less than that of the Least Performing Reference Asset if the Percentage Change
of the Least Performing Reference Asset is negative), your return at maturity will only be determined by reference to the performance
of the Least Performing Reference Asset.
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The payments on the notes will be determined by reference to each Reference Asset individually, not to a basket, and the
payments on the notes will be based on the performance of the least performing Reference Asset. — The notes are not
linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components. For example,
in the case of notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket components
reflected as the basket return. As a result, a decrease of the level of one basket component could be mitigated by the increase
of the level of the other basket components, as scaled by the weighting of that basket component. However, in the case of the notes,
the individual performance of each Reference Asset will not be combined, and the performance of one Reference Asset will not be
mitigated by any positive performance of any other Reference Assets. Instead, your return at maturity will depend solely on the
Final Level of the Least Performing Reference Asset.
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Your return on the notes may be lower than the return on a conventional debt security of comparable maturity. —
The return that you will receive on your notes, which could be negative, may be less than the return you could earn on other investments.
The notes do not provide for interest payments and the payment you receive at maturity, if any, may be less than the principal
amount of the notes. Even if your return on the notes is positive, your return may be less than the return you would earn if you
bought a conventional senior interest bearing debt security of ours with the same maturity or if you invested directly in the Reference
Assets. Your investment may not reflect the full opportunity cost to you when you take into account factors that affect the time
value of money.
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Risks Related to Reference Assets
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Owning the notes is not the same as a hypothetical direct investment in the Reference Assets or a security directly linked
to the Reference Assets. — The return on your notes will not reflect the return you would realize if you made a hypothetical
direct investment in the Reference Assets or the underlying securities of the Reference Assets or a security directly linked to
the performance of the Reference Assets or the underlying securities of the Reference Assets and held that investment for a similar
period. Your notes may trade quite differently from the Reference Assets. Changes in the level of a Reference Asset may not result
in comparable changes in the market value of your notes. Even if the levels of the Reference Assets increase during the term of
the notes, the market value of the notes prior to maturity may not increase to the same extent. It is also possible for the market
value of the notes to decrease while the levels of the Reference Assets increase.
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You will not have any shareholder rights and will have no right to receive any shares of any company included in a Reference
Asset at maturity. — Investing in your notes will not make you a holder of any securities included in the Reference
Assets. Neither you nor any other holder or owner of the notes will have any voting rights, any right to receive dividends or other
distributions, or any other rights with respect to such underlying securities.
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We have no affiliation with any index sponsor and will not be responsible for any index sponsor's actions. —
The sponsors of the Reference Assets are not our affiliates and will not be involved in the offering of the notes in any way. Consequently,
we have no control over the actions of any index sponsor, including any actions of the type that would require the calculation
agent to adjust the payment to you at maturity. The index sponsors have no obligation of any sort with respect to the notes. Thus,
the index sponsors have no obligation to take your interests into consideration for any reason, including in taking any actions
that might affect the value of the notes. None of our proceeds from the issuance of the notes will be delivered to any index sponsor.
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Changes that affect a Reference Asset could adversely affect the notes. — The policies of the sponsor of each
Reference Asset with respect to the applicable Reference Asset concerning the calculation of the applicable Reference Asset, additions,
deletions or substitutions of the components of the applicable Reference Asset and the manner in which changes affecting those
components, such as stock dividends, reorganizations or mergers, may be reflected in the applicable Reference Asset and, therefore,
could affect the level of the applicable Reference Asset, the amount payable on the notes at maturity and the market value of the
notes prior to maturity. The amount payable on the notes and their market value could also be affected if an index sponsor changes
these policies, for example, by changing the manner in which it calculates the applicable Reference Asset, or if an index sponsor
discontinues or suspends the calculation or publication of the applicable Reference Asset. If an index sponsor discontinues publication
of a Reference Asset, the calculation agent may select a successor index (and make any corresponding adjustments to the applicable
Initial Level and Buffer Level) which will be used as a substitute for the relevant Reference Asset for all purposes with respect
to the notes.
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You must rely on your own evaluation of the merits of an investment linked to the Reference Assets. — In the
ordinary course of their businesses, our affiliates from time to time may express views on expected movements in the levels of
the Reference Assets or the prices of the securities included in the Reference Assets. One or more of our affiliates have published,
and in the future may publish, research reports that express views on the Reference Assets or these securities. However, these
views are subject to change from time to time. Moreover, other professionals who deal in the markets relating to the Reference
Assets at any time may have significantly different views from those of our affiliates. You are encouraged to derive information
concerning the Reference Assets from multiple sources, and you should not rely on the views expressed by our affiliates. Neither
the offering of the notes nor any views which our affiliates from time to time may express in the ordinary course of their businesses
constitutes a recommendation as to the merits of an investment in the notes.
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Risks Relating to the NASDAQ 100® Index
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An investment in the notes is subject to risks associated with foreign securities markets. — The NASDAQ 100®
Index tracks the value of certain foreign equity securities. You should be aware that investments in securities linked to the value
of foreign equity securities involve particular risks. The foreign securities markets comprising the NASDAQ 100® Index may
have less liquidity and may be more volatile than U.S. or other securities markets and market developments may affect foreign markets
differently from U.S. or other securities markets. Direct or indirect government intervention to stabilize these foreign securities
markets, as well as cross-shareholdings in foreign companies, may affect trading prices and volumes in these markets. Also, there
is generally less publicly available information about foreign companies than about those U.S. companies that are subject to the
reporting requirements of the U.S. Securities and Exchange Commission, and foreign companies are subject to accounting, auditing
and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies.
Prices of securities in foreign countries are subject to political, economic, financial and social factors that apply in those
geographical regions. These factors, which could negatively affect those securities markets, include the possibility of recent
or future changes in a foreign government’s economic and fiscal policies, the possible imposition of, or changes in, currency
exchange laws or other laws or restrictions applicable to foreign companies or investments in foreign equity securities and the
possibility of fluctuations in the rate of exchange between currencies, the possibility of outbreaks of hostility and political
instability and the possibility of natural disaster or adverse public health developments in the region. Moreover, foreign economies
may differ favorably or unfavorably from the U.S. economy in important respects such as growth of gross national product, rate
of inflation, capital reinvestment, resources and self-sufficiency.
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Risks Relating to the Russell 2000® Index
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An investment in the notes is subject to risks associated in investing in stocks with a small market capitalization.
— The Russell 2000® Index consists of stocks issued by companies with relatively small market capitalizations. These
companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies.
As a result, the level of the Russell 2000® Index may be more volatile than that of a market measure that does not track solely
small-capitalization stocks. Stock prices of small-capitalization companies are also generally more vulnerable than those of large-capitalization
companies to adverse business and economic developments, and the stocks of small-capitalization companies may be thinly traded,
and be less attractive to many investors if they do not pay dividends. In addition, small capitalization companies are typically
less well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel,
making them more vulnerable to loss of those individuals. Small capitalization companies tend to have lower revenues, less diverse
product lines, smaller shares of their target markets, fewer financial resources and fewer competitive strengths than large-capitalization
companies. These companies may also be more susceptible to adverse developments related to their products or services.
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General Risk Factors
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Your investment is subject to the credit risk of Bank of Montreal. — Our credit ratings and credit spreads may
adversely affect the market value of the notes. Investors are dependent on our ability to pay any amounts due on the notes, and
therefore investors are subject to our credit risk and to changes in the market’s view of our creditworthiness. Any decline
in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely
affect the value of the notes.
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Potential conflicts. — We and our affiliates play a variety of roles in connection with the issuance of the notes,
including acting as calculation agent. In performing these duties, the economic interests of the calculation agent and other affiliates
of ours are potentially adverse to your interests as an investor in the notes. We or one or more of our affiliates may also engage
in trading of securities included in a Reference Asset on a regular basis as part of our general broker-dealer and other businesses,
for proprietary accounts, for other accounts under management or to facilitate transactions for our customers. Any of these activities
could adversely affect the level of the Reference Assets and, therefore, the market value of, and the payments on, the notes. We
or one or more of our affiliates may also issue or underwrite other securities or financial or derivative instruments with returns
linked or related to changes in the performance of the Reference Assets. By introducing competing products into the marketplace
in this manner, we or one or more of our affiliates could adversely affect the market value of the notes.
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Our initial estimated value of the notes is lower than the price to public. — Our initial estimated value of
the notes is only an estimate, and is based on a number of factors. The price to public of the notes exceeds our initial estimated
value, because costs associated with offering, structuring and hedging the notes are included in the price to public, but are not
included in the estimated value. These costs include any underwriting discount and selling concessions, the profits that we and
our affiliates expect to realize for assuming the risks in hedging our obligations under the notes and the estimated cost of hedging
these obligations.
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Our initial estimated value does not represent any future value of the notes, and may also differ from the estimated value
of any other party. — Our initial estimated value of the notes as of the date hereof is derived using our internal pricing
models. This value is based on market conditions and other relevant factors, which include volatility of the Reference Assets,
dividend rates and interest rates. Different pricing models and assumptions could provide values for the notes that are greater
than or less than our initial estimated value. In addition, market conditions and other relevant factors after the Pricing Date
are expected to change, possibly rapidly, and our assumptions may prove to be incorrect. After the Pricing Date, the value of the
notes could change dramatically due to changes in market conditions, our creditworthiness, and the other factors set forth herein
and in the product supplement. These changes are likely to impact the price, if any, at which we or BMOCM would be willing to purchase
the notes from you in any secondary market transactions. Our initial estimated value does not represent a minimum price at which
we or our affiliates would be willing to buy your notes in any secondary market at any time.
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The terms of the notes were not determined by reference to the credit spreads for our conventional fixed-rate debt.
— To determine the terms of the notes, we used an internal funding rate that represents a discount from the credit spreads
for our conventional fixed-rate debt. As a result, the terms of the notes are less favorable to you than if we had used a higher
funding rate.
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Certain costs are likely to adversely affect the value of the notes. — Absent any changes in market conditions,
any secondary market prices of the notes will likely be lower than the price to public. This is because any secondary market prices
will likely take into account our then-current market credit spreads, and because any secondary market prices are likely to exclude
all or a portion of any underwriting discount and selling concessions, and the hedging profits and estimated hedging costs that
are included in the price to public of the notes and that may be reflected on your account statements. In addition, any such price
is also likely to reflect a discount to account for costs associated with establishing or unwinding any related hedge transaction,
such as dealer discounts, mark-ups and other transaction costs. As a result, the price, if any, at which BMOCM or any other party
may be willing to purchase the notes from you in secondary market transactions, if at all, will likely be lower than the price
to public. Any sale that you make prior to the Maturity Date could result in a substantial loss to you.
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Lack of liquidity. — The notes will not be listed on any securities exchange. BMOCM may offer to purchase the
notes in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes,
the price at which you may be able to trade the notes is likely to depend on the price, if any, at which BMOCM is willing to buy
the notes.
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Hedging and trading activities. — We or any of our affiliates have carried out or may carry out hedging activities
related to the notes, including purchasing or selling shares of securities included in the Reference Assets, futures or options
relating to the Reference Assets or securities included in the Reference Assets or other derivative instruments with return liked
or related to changes in the performance on the Reference Assets or securities included in the Reference Assets. We or our affiliates
may also trade in the securities included in the Reference Assets or instruments related to the Reference Assets or such securities
from time to time. Any of these hedging or trading activities on or prior to the Pricing Date and during the term of the notes
could adversely affect the payments on the notes.
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Many economic and market factors will influence the value of the notes. — In addition to the levels of the Reference
Assets and interest rates on any trading day, the value of the notes will be affected by a number of economic and market factors
that may either offset or magnify each other, and which are described in more detail in the product supplement.
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Significant aspects of the tax treatment of the notes are uncertain. — The tax treatment of the notes is uncertain.
We do not plan to request a ruling from the Internal Revenue Service or from any Canadian authorities regarding the tax treatment
of the notes, and the Internal Revenue Service or a court may not agree with the tax treatment described herein.
The Internal Revenue Service has released a notice that may affect the taxation of holders of “prepaid forward contracts”
and similar instruments. According to the notice, the Internal Revenue Service and the U.S. Treasury are actively considering whether
the holder of such instruments should be required to accrue ordinary income on a current basis. While it is not clear whether the
notes would be viewed as similar to such instruments, it is possible that any future guidance could materially and adversely affect
the tax consequences of an investment in the notes, possibly with retroactive effect.
Please read carefully the section entitled "U.S. Federal Tax Information" herein, the section entitled "Supplemental
Tax Considerations–Supplemental U.S. Federal Income Tax Considerations" in the accompanying product supplement, the
section entitled "United States Federal Income Taxation" in the accompanying prospectus and the section entitled "Certain
Income Tax Consequences" in the accompanying prospectus supplement. You should consult your tax advisor about your own tax
situation.
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Examples of the Hypothetical Payment at Maturity for a $1,000
Investment in the Notes
The following table illustrates the hypothetical
payments on a note at maturity. The hypothetical payments are based on a $1,000 investment in the note, a hypothetical Initial
Level of 100.00, a hypothetical Buffer Level of 90.00 (90.00% of the hypothetical initial level), the Maximum Return of 13.00%,
the Maximum Redemption Amount of $1,130.00, and a range of hypothetical Final Levels and the effect on the payment at maturity.
The hypothetical examples shown below are
intended to help you understand the terms of the notes. The actual cash amount that you will receive at maturity will depend upon
the Final Level of the Least Performing Reference Asset. You may lose some or all of the principal amount at maturity.
Hypothetical Final Level of the
Least Performing Reference
Asset
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Hypothetical Final Level of the
Least Performing Reference
Asset Expressed as a Percentage
of its Initial Level
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Hypothetical Payment at
Maturity
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Hypothetical Return on the
Notes
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200.00
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200.00%
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$1,130.00
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13.00%
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180.00
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180.00%
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$1,130.00
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13.00%
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140.00
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140.00%
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$1,130.00
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13.00%
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120.00
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120.00%
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$1,130.00
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13.00%
|
110.40
|
110.40%
|
$1,130.00
|
13.00%
|
110.00
|
110.00%
|
$1,125.00
|
12.50%
|
105.00
|
105.00%
|
$1,062.50
|
6.25%
|
100.00
|
100.00%
|
$1,000.00
|
0.00%
|
95.00
|
95.00%
|
$1,000.00
|
0.00%
|
90.00
|
90.00%
|
$1,000.00
|
0.00%
|
89.99
|
89.99%
|
$999.90
|
-0.01%
|
80.00
|
80.00%
|
$900.00
|
-10.00%
|
70.00
|
70.00%
|
$800.00
|
-20.00%
|
60.00
|
60.00%
|
$700.00
|
-30.00%
|
40.00
|
40.00%
|
$500.00
|
-50.00%
|
20.00
|
20.00%
|
$300.00
|
-70.00%
|
0.00
|
0.00%
|
$100.00
|
-90.00%
|
The following examples illustrate how the
returns set forth in the table above are calculated.
Example 1: The level of the Least Performing Reference Asset
decreases from the hypothetical Initial Level of 100.00 to a hypothetical Final Level of 60.00, representing a Percentage Change
of –40.00%. Because the Percentage Change of the Least Performing Reference Asset is negative and its hypothetical Final
Level is less than its Buffer Level, the investor receives a payment at maturity of $700.00 per $1,000 in principal amount of the
notes, calculated as follows:
$1,000 + [$1,000 x (–40.00% + 10.00%)]
= $700.00
Example 2: The level of the Least Performing Reference Asset
decreases from the hypothetical Initial Level of 100.00 to a hypothetical Final Level of 95.00, representing a Percentage Change
of –5%. Although the Percentage Change of the Least Performing Reference Asset is negative, because its hypothetical
Final Level is greater than its Buffer Level, the investor receives a payment at maturity equal to the principal amount of the
notes.
Example 3: The level of the of the Least Performing Reference
Asset increases from the hypothetical Initial Level of 100.00 to a hypothetical Final Level of 105.00, representing a Percentage
Change of 5.00%. Because the hypothetical Final Level of the Least Performing Reference Asset is greater than its hypothetical
Initial Level and the Percentage Change multiplied by the Upsize Leverage Factor does not exceed the Maximum Return, the investor
receives a payment at maturity of $1,062.50 per $1,000 in principal amount of the notes, calculated as follows:
$1,000 + [$1,000 x (5.00% x 125.00%)] = $1,062.50
Example 4: The level of the Least Performing Reference Asset
increases from the hypothetical Initial Level of 100.00 to a hypothetical Final Level of 120.00, representing a Percentage Change
of 20.00%. Because the hypothetical Final Level of the Least Performing Reference Asset is greater than its hypothetical Initial
Level, and the Percentage Change multiplied by the Upside Leverage Factor exceeds the Maximum Return, the investor receives a payment
at maturity of $1,130.00 per $1,000 in principal amount of the notes (the Maximum Redemption Amount). The return on the notes in
this example is less than the Percentage Change of the Least Performing Reference Asset.
U.S. Federal Tax Information
By purchasing the notes, each holder agrees
(in the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat each note as
a pre-paid derivative contract for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your
investment in the notes are uncertain and the Internal Revenue Service could assert that the notes should be taxed in a manner
that is different from that described in the preceding sentence. Please see the discussion (including the opinion of our counsel
Mayer Brown LLP) in the product supplement dated June 5, 2020 under “Supplemental Tax Considerations—Supplemental U.S.
Federal Income Tax Considerations,” which applies to the notes.
Supplemental Plan of Distribution (Conflicts of Interest)
BMOCM will purchase the notes from us at
a purchase price reflecting the commission set forth on the cover hereof. BMOCM has informed us that, as part of its distribution
of the notes, it will reoffer the notes to other dealers who will sell them. Each such dealer, or each additional dealer engaged
by a dealer to whom BMOCM reoffers the notes, will receive a commission from BMOCM, which will not exceed the commission set forth
on the cover page.
Certain dealers who purchase the notes for
sale to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions. The public
offering price for investors purchasing the notes in these accounts may be less than 100% of the principal amount, as set forth
on the cover page of this document. Investors that hold their notes in these accounts may be charged fees by the investment advisor
or manager of that account based on the amount of assets held in those accounts, including the notes.
We own, directly or indirectly, all of the
outstanding equity securities of BMOCM, the agent for this offering. In accordance with FINRA Rule 5121, BMOCM may not make sales
in this offering to any of its discretionary accounts without the prior written approval of the customer.
You should not construe the offering of the
notes as a recommendation of the merits of acquiring an investment linked to the Reference Assets or as to the suitability of an
investment in the notes.
BMOCM may, but is not obligated to, make
a market in the notes. BMOCM will determine any secondary market prices that it is prepared to offer in its sole discretion.
We may use this pricing supplement in the
initial sale of the notes. In addition, BMOCM or another of our affiliates may use this pricing supplement in market-making transactions
in any notes after their initial sale. Unless BMOCM or we inform you otherwise in the confirmation of sale, this pricing supplement
is being used by BMOCM in a market-making transaction.
For a period of approximately three months
following issuance of the notes, the price, if any, at which we or our affiliates would be willing to buy the notes from investors,
and the value that BMOCM may also publish for the notes through one or more financial information vendors and which could be indicated
for the notes on any brokerage account statements, will reflect a temporary upward adjustment from our estimated value of the notes
that would otherwise be determined and applicable at that time. This temporary upward adjustment represents a portion of (a) the
hedging profit that we or our affiliates expect to realize over the term of the notes and (b) any underwriting discount and the
selling concessions paid in connection with this offering. The amount of this temporary upward adjustment will decline to zero
on a straight-line basis over the three-month period.
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.
|
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 NASDAQ 100® Index
The NASDAQ 100® Index is a modified market
capitalization-weighted index of 100 of the largest stocks of both U.S. and non-U.S. non-financial companies listed on The NASDAQ
Stock Market based on market capitalization. It does not contain securities of financial companies, including investment companies.
The NASDAQ 100® Index, which includes companies across a variety of major industry groups, was launched on January 31, 1985,
with a base index value of 250.00. On January 1, 1994, the base index value was reset to 125.00. The NASDAQ OMX Group, Inc. publishes
the NASDAQ 100® Index. Current information regarding the market value of the NASDAQ 100® Index is available from NASDAQ
OMX Group, Inc. (“NASDAQ OMX”) as well as numerous market information services.
The share weights of the component securities
of the NASDAQ 100® Index at any time are based upon the total shares outstanding in each of those securities and are additionally
subject, in certain cases, to rebalancing. Accordingly, each underlying stock’s influence on the level of the NASDAQ 100®
Index is directly proportional to the value of its share weight.
Index Calculation
At any moment in time, the level of the NASDAQ
100® Index equals the aggregate value of the then-current share weights of each of the component securities, which are based
on the total shares outstanding of each such component security, multiplied by each such security’s respective last sale
price on The NASDAQ Stock Market (which may be the official closing price published by The NASDAQ Stock Market), and divided by
a scaling factor (the “divisor”), which becomes the basis for the reported level of the NASDAQ 100® Index. The
divisor serves the purpose of scaling such aggregate value to a lower order of magnitude, which is more desirable for reporting
purposes.
Underlying Stock Eligibility Criteria and Annual Ranking Review
Initial Eligibility Criteria
To be eligible for initial inclusion in the
NASDAQ 100® Index, a security must be listed on The NASDAQ Stock Market and meet the following criteria:
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·
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the security’s U.S. listing must be exclusively on the NASDAQ Global Select Market or the NASDAQ Global Market;
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·
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the security must be issued by a non-financial company;
|
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·
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the security may not be issued by an issuer currently in bankruptcy proceedings;
|
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·
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the security must generally be a common stock, ordinary share, American Depositary Receipt, or tracking stock (closed-end funds,
convertible debentures, exchange traded funds, limited liability companies, limited partnership interests, preferred stocks, rights,
shares or units of beneficial interests, warrants, units and other derivative securities are not included in the NASDAQ 100®
Index, nor are the securities of investment companies);
|
|
·
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the security must have a three-month average daily trading volume of at least 200,000 shares;
|
|
·
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if the security is issued by an issuer organized under the laws of a jurisdiction outside the United States, it must have listed
options on a recognized market in the United States or be eligible for listed-options trading on a recognized options market in
the United States;
|
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·
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the issuer of the security may not have entered into a definitive agreement or other arrangement which would likely result
in the security no longer being eligible;
|
|
·
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the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn; and
|
|
·
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the issuer of the security must have “seasoned” on the NASDAQ Stock Market or another recognized market (generally,
a company is considered to be seasoned if it has been listed on a market for at least three full months, excluding the first month
of initial listing).
|
Continued Eligibility Criteria
In addition, to be eligible for continued
inclusion in the NASDAQ 100® Index the following criteria apply:
|
·
|
the security’s U.S. listing must be exclusively on the NASDAQ Global Select Market or the NASDAQ Global Market;
|
|
·
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the security must be issued by a non-financial company;
|
|
·
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the security may not be issued by an issuer currently in bankruptcy proceedings;
|
|
·
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the security must have an average daily trading volume of at least 200,000 shares in the previous three-month trading period
as measured annually during the ranking review process described below;
|
|
·
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if the issuer of the security is organized under the laws of a jurisdiction outside the United States, then such security must
have listed options on a recognized market in the United States or be eligible for listed-options trading on a recognized options
market in the United States, as measured annually during the ranking review process;
|
|
·
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the issuer of the security may not have entered into a definitive agreement or other arrangement that would likely result in
the security no longer being eligible;
|
|
·
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the security must have an adjusted market capitalization equal to or exceeding 0.10% of the aggregate adjusted market capitalization
of the NASDAQ 100® Index at each month-end. In the event that a company does not meet this criterion for two consecutive month-ends,
it will be removed from the NASDAQ 100® Index effective after the close of trading on the third Friday of the following month;
and
|
|
·
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the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn.
|
These eligibility criteria may be revised from time to time by
NASDAQ OMX without regard to the notes.
Annual Ranking Review
The component securities are evaluated on
an annual basis (the “Ranking Review”), except under extraordinary circumstances, which may result in an interim evaluation,
as follows. Securities that meet the applicable eligibility criteria are ranked by market value. Eligible securities that are already
in the NASDAQ 100® Index and that are ranked in the top 100 eligible securities (based on market capitalization) are retained
in the NASDAQ 100® Index. A security that is ranked 101 to 125 is also retained, provided that such security was ranked in
the top 100 eligible securities as of the previous Ranking Review or was added to the NASDAQ 100® Index subsequent to the previous
Ranking Review. Securities not meeting such criteria are replaced. The replacement securities chosen are those eligible securities
not currently in the NASDAQ 100® Index that have the largest market capitalization. The data used in the ranking includes end
of October market data and is updated for total shares outstanding submitted in a publicly filed SEC document via EDGAR through
the end of November.
Replacements are made effective after the
close of trading on the third Friday in December. Moreover, if at any time during the year other than the Ranking Review, a component
security is determined by NASDAQ OMX to become ineligible for continued inclusion in the NASDAQ 100® Index, the security will
be replaced with the largest market capitalization security meeting the eligibility criteria listed above and not currently included
in the NASDAQ 100® Index.
Index Maintenance
In addition to the Ranking Review, the securities
in the NASDAQ 100® Index are monitored every day by NASDAQ OMX with respect to changes in total shares outstanding arising
from corporate events, such as stock dividends, stock splits and certain spin-offs and rights issuances. NASDAQ OMX has adopted
the following quarterly scheduled weight adjustment procedures with respect to those changes. If the change in total shares outstanding
arising from a corporate action is greater than or equal to 10%, that change will be made to the NASDAQ 100® Index as soon
as practical, normally within ten days of such corporate action. Otherwise, if the change in total shares outstanding is less than
10%, then all such changes are accumulated and made effective at one time on a quarterly basis after the close of trading on the
third Friday in each of March, June, September and December.
In either case, the share weights for those
component securities are adjusted by the same percentage amount by which the total shares outstanding have changed in those securities.
Ordinarily, whenever there is a change in the share weights, a change in a component security, or a change to the price of a component
security due to spin-off, rights issuances or special cash dividends, NASDAQ OMX adjusts the divisor to ensure that there is no
discontinuity in the level of the NASDAQ 100® Index that might otherwise be caused by any of those changes. All changes will
be announced in advance.
Index Rebalancing
Under the methodology employed, on a quarterly
basis coinciding with NASDAQ OMX’s quarterly scheduled weight adjustment procedures, the component securities are categorized
as either “Large Stocks” or “Small Stocks” depending on whether their current percentage weights (after
taking into account scheduled weight adjustments due to stock repurchases, secondary offerings or other corporate actions) are
greater than, or less than or equal to, the average percentage weight in the NASDAQ 100® Index (i.e., as a 100-stock index,
the average percentage weight in the NASDAQ 100® Index is 1%).
This quarterly examination will result in
an index rebalancing if it is determined that: (1) the current weight of the single largest market capitalization component security
is greater than 24% or (2) the “collective weight” of those component securities, the individual current weights of
which are in excess of 4.5%, when added together, exceed 48%. In addition, NASDAQ OMX may conduct a special rebalancing at any
time if it is determined to be necessary to maintain the integrity of the NASDAQ 100® Index.
If either one or both of these weight distribution
requirements are met upon quarterly review, or NASDAQ OMX determines that a special rebalancing is required, a weight rebalancing
will be performed. First, relating to weight distribution requirement (1) above, if the current weight of the single largest component
security exceeds 24%, then the weights of all Large Stocks will be scaled down proportionately towards 1% by enough of an amount
for the adjusted weight of the single largest component security to be set to 20%. Second, relating to weight distribution requirement
(2) above, for those component securities whose individual current weights or adjusted weights in accordance with the preceding
step are in excess of 4.5%, if their “collective weight” exceeds 48%, then the weights of all Large Stocks will be
scaled down proportionately towards 1% by just enough amount for the “collective weight,” so adjusted, to be set to
40%.
The aggregate weight reduction among the
Large Stocks resulting from either or both of the above rescalings will then be redistributed to the Small Stocks in the following
iterative manner. In the first iteration, the weight of the largest Small Stock will be scaled upwards by a factor which sets it
equal to the average Index weight of 1.0%. The weights of each of the smaller remaining Small Stocks will be scaled up by the same
factor, reduced in relation to each stock’s relative ranking among the Small Stocks, such that the smaller the component
security in the ranking, the less the scale-up of its weight. This is intended to reduce the market impact of the weight rebalancing
on the smallest component securities in the NASDAQ 100® Index.
In the second iteration, the weight of the
second largest Small Stock, already adjusted in the first iteration, will be scaled upwards by a factor which sets it equal to
the average index weight of 1%. The weights of each of the smaller remaining Small Stocks will be scaled up by this same factor,
reduced in relation to each stock’s relative ranking among the Small Stocks, such that, once again, the smaller the component
stock in the ranking, the less the scale-up of its weight.
Additional iterations will be performed until
the accumulated increase in weight among the Small Stocks exactly equals the aggregate weight reduction among the Large Stocks
from rebalancing in accordance with weight distribution requirement (1) and/or weight distribution requirement (2).
Then, to complete the rebalancing procedure,
once the final percent weights of each of the component securities are set, the share weights will be determined anew based upon
the last sale prices and aggregate capitalization of the NASDAQ 100® Index at the close of trading on the last day in February,
May, August and November. Changes to the share weights will be made effective after the close of trading on the third Friday in
March, June, September and December, and an adjustment to the divisor will be made to ensure continuity of the NASDAQ 100®
Index.
Ordinarily, new rebalanced weights will be
determined by applying the above procedures to the current share weights. However, NASDAQ OMX may from time to time determine rebalanced
weights, if necessary, by instead applying the above procedure to the actual current market capitalization of the component securities.
In those instances, NASDAQ OMX would announce the different basis for rebalancing prior to its implementation.
License Agreement
The notes are not sponsored, endorsed, sold
or promoted by Nasdaq, Inc. or its affiliates (NASDAQ, with its affiliates, are referred to as the “Corporations”).
The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures
relating to, the notes. The Corporations make no representation or warranty, express or implied to the owners of the notes or any
member of the public regarding the advisability of investing in securities generally or in the notes particularly, or the ability
of the NASDAQ 100® Index to track general stock market performance. The Corporations' only relationship to the Issuer (“Licensee”)
is in the licensing of the Nasdaq®, the NASDAQ 100® Index, and certain trade names of the Corporations and the use of the
NASDAQ 100® Index which is determined, composed and calculated by NASDAQ without regard to Licensee or the notes. NASDAQ has
no obligation to take the needs of the Licensee or the owners of the notes into consideration in determining, composing or calculating
the NASDAQ 100®Index. The Corporations are not responsible for and have no participated in the determination of the timing
of, prices at, or quantities of the notes to be issued or in the determination or calculation of the equation by which the notes
is to be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of
the notes.
THE CORPORATIONS DO NOT GUARANTEE THE
ACCURACY AND/OR UNINTERRUPTED CALCULATION OF NASDAQ 100® Index OR ANY DATA INCLUDED THEREIN, THE CORPORATIONS MAKE NO WARRANTY,
EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF
THE NASDAQ 100® Index OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM
ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE NASDAQ 100® Index OR ANY DATA
INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS
OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
The 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.
Validity of the Notes
In the opinion of Osler, Hoskin & Harcourt
LLP, the issue and sale of the notes has been duly authorized by all necessary corporate action of the Bank in conformity with
the Senior Indenture, and when this pricing supplement has been attached to, and duly notated on, the master note that represents
the notes, the notes will have been validly executed and issued and, to the extent validity of the notes is a matter governed by
the laws of the Province of Ontario, or the laws of Canada applicable therein, and will be valid obligations of the Bank, subject
to the following limitations (i) the enforceability of the Senior Indenture may be limited by the Canada Deposit Insurance Corporation
Act (Canada), the Winding-up and Restructuring Act (Canada) and bankruptcy, insolvency, reorganization, receivership, moratorium,
arrangement or winding-up laws or other similar laws affecting the enforcement of creditors’ rights generally; (ii) the enforceability
of the Senior Indenture may be limited by equitable principles, including the principle that equitable remedies such as specific
performance and injunction may only be granted in the discretion of a court of competent jurisdiction; (iii) pursuant to the Currency
Act (Canada) a judgment by a Canadian court must be awarded in Canadian currency and that such judgment may be based on a rate
of exchange in existence on a day other than the day of payment; and (iv) the enforceability of the Senior Indenture will be subject
to the limitations contained in the Limitations Act, 2002 (Ontario), and such counsel expresses no opinion as to whether a court
may find any provision of the Senior Debt Indenture to be unenforceable as an attempt to vary or exclude a limitation period under
that Act. This opinion is given as of the date hereof and is limited to the laws of the Provinces of Ontario and the federal laws
of Canada applicable thereto. In addition, this opinion is subject to customary assumptions about the trustee’s authorization,
execution and delivery of the Indenture and the genuineness of signatures and certain factual matters, all as stated in the letter
of such counsel dated April 20, 2020, which has been filed as Exhibit 5.3 to Bank of Montreal’s Form 6-K filed with the SEC
and dated April 20, 2020.
In the opinion of Mayer Brown LLP, when this
pricing supplement has been attached to, and duly notated on, the master note that represents the notes, and the notes have been
issued and sold as contemplated herein, the notes will be valid, binding and enforceable obligations of Bank of Montreal, entitled
to the benefits of the Senior Indenture, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’
rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation,
concepts of good faith, fair dealing and the lack of bad faith). This opinion is given as of the date hereof and is limited to
the laws of the State of New York. Insofar as this opinion involves matters governed by the laws of the Province of Ontario, or
the laws of Canada applicable therein, Mayer Brown LLP has assumed, without independent inquiry or investigation, the validity
of the matters opined on by Osler, Hoskin & Harcourt LLP, Canadian legal counsel for the issuer, in its opinion expressed above.
This opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the Senior
Indenture and the genuineness of signatures and to such counsel’s reliance on the Bank of Montreal and other sources as to
certain factual matters, all as stated in the legal opinion of Mayer Brown LLP dated April 20, 2020, which has been filed with
the SEC as an exhibit to a report on Form 6-K by the Bank of Montreal on April 20, 2020.
17
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