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Registration Statement No. 333-237342
Filed Pursuant to Rule 424(b)(2)
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PRICING SUPPLEMENT R2654
dated March 30, 2021
(To Prospectus Supplement dated April 20, 2020
and Prospectus dated April 20, 2020)
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Bank of Montreal
Medium-Term Notes
Equity Index Linked Securities
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Market Linked Securities—Auto-Callable
with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked
to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index®
due March 27, 2025
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n
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Linked to the lowest performing of the S&P 500® Index, the Russell 2000®
Index and the NASDAQ-100 Index® (each
referred to as an “Index”)
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n
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Unlike ordinary debt securities,
the securities do not provide for fixed payments of interest, do not repay a fixed amount of principal at stated maturity and are
subject to potential automatic call prior to stated maturity, upon the terms described below. Whether the securities pay a contingent
coupon, whether the securities are automatically called prior to stated maturity and, if they are not automatically called, whether
you are repaid the original offering price of your securities at stated maturity will depend in each case on the closing level
of the lowest performing Index on the relevant calculation day. The lowest performing Index on any calculation day is the Index
that has the lowest closing level on that calculation day as a percentage of its starting level
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n
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Contingent Coupon. The securities
will pay a contingent coupon on a quarterly basis until the earlier of stated maturity or automatic call if, and only if, the closing
level of the lowest performing Index on the calculation day for that quarter is greater than or equal to its threshold level. However,
if the closing level of the lowest performing Index on a calculation day is less than its threshold level, you will not receive any contingent
coupon for the relevant quarter. If the closing level of the lowest performing Index is less than its threshold level on every calculation
day, you will not receive any contingent coupons throughout the entire term of the securities. The contingent coupon rate is 10.00% per
annum
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n
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Automatic Call. If the
closing level of the lowest performing Index on any of the quarterly calculation days from September 2021 to December 2024, inclusive,
is greater than or equal to its starting level, we will automatically call the securities for the original offering price plus
a final contingent coupon payment
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n
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Potential Loss of Principal.
If the securities are not automatically called prior to stated maturity, you will receive the original offering price at stated
maturity if, and only if, the closing level of the lowest performing Index on the final calculation day is greater than
or equal to its threshold level. If the closing level of the lowest performing Index on the final calculation day is less than
its threshold level, you will lose more than 25%, and possibly all, of the original offering price of your securities
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n
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The threshold level for each Index
is equal to 75% of its starting level
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n
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If the securities are not automatically
called prior to stated maturity, you will have full downside exposure to the lowest performing Index from its starting level if
its closing level on the final calculation day is less than its threshold level. However, you will not participate in any appreciation
of any Index and will not receive any dividends on securities included in any Index
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n
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Your return on the securities
will depend solely on the performance of the Index that is the lowest performing Index on each calculation day. You will
not benefit in any way from the performance of the better performing Indices. Therefore, you will be adversely affected if any
Index performs poorly, even if the other Indices perform favorably
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n
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All payments on the securities
are subject to the credit risk of Bank of Montreal, and you will have no ability to pursue any securities included in any Index
for payment; if Bank of Montreal defaults on its obligations, you could lose some or all of your investment
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n
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No exchange listing; designed
to be held to maturity
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On the date of this pricing supplement, the estimated initial
value of the securities was $951.19 per security. As discussed in more detail in this pricing supplement, the actual value of the securities
at any time will reflect many factors and cannot be predicted with accuracy. See “Estimated Value of the Securities” in this
pricing supplement.
The securities have complex features and investing
in the securities involves risks not associated with an investment in conventional debt securities. See “Risk Factors”
herein on page PRS-10.
The securities are the unsecured obligations of Bank
of Montreal, and, accordingly, all payments on the securities are subject to the credit risk of Bank of Montreal. If Bank of Montreal
defaults on its obligations, you could lose some or all of your investment. The securities are not savings accounts, deposits or
other obligations of a depository institution and are not insured by the Federal Deposit Insurance Corporation, the Deposit Insurance
Fund, the Canada Deposit Insurance Fund or any other governmental agency.
Neither the Securities and Exchange Commission nor
any state securities commission has approved or disapproved of these securities or determined if this pricing supplement or the
accompanying prospectus supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
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Original Offering Price
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Underwriting Discount(1)(2)
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Proceeds to Bank of Montreal
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Per Security
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$1,000.00
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$21.75
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$978.25
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Total
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$20,674,000
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$449,659.50
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$20,224,340.50
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(1)
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Wells Fargo Securities, LLC is the agent for the distribution of the securities and is acting as
principal. See “Terms of the Securities—Agent” and “Supplemental Plan of Distribution (Conflicts of Interest)”
in this pricing supplement for further information.
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(2)
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In respect of certain securities sold in this offering, our
affiliate, BMO Capital Markets Corp., may pay a fee of up to $1.00 per security to selected securities dealers in consideration
for marketing and other services in connection with the distribution of the securities to other securities dealers.
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Wells Fargo Securities
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Issuer:
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Bank of Montreal.
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Market
Measures:
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The S&P 500® Index, the Russell 2000®
Index and the NASDAQ-100 Index® (each referred to as an “Index,” and collectively as the
“Indices”).
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Pricing Date:
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March 30, 2021.
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Issue Date:
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April 5, 2021. (T+4)
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Original
Offering Price:
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$1,000 per security. References in this pricing supplement to a “security” are to a security with a face amount of $1,000.
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Contingent
Coupon
Payment:
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On each contingent coupon payment date,
you will receive a contingent coupon payment at a per annum rate equal to the contingent coupon rate if, and only if,
the closing level of the lowest performing Index on the related calculation day is greater than or equal to its threshold
level. Each “contingent coupon payment”, if any, will be calculated per security as follows: ($1,000
× contingent coupon rate) divided by 4. Any contingent coupon payment will be rounded to the nearest cent, with one-half
cent rounded upward.
If the closing level of the lowest performing
Index on any calculation day is less than its threshold level, you will not receive any contingent coupon payment on the related
contingent coupon payment date. If the closing level of the lowest performing Index is less than its threshold level on all quarterly
calculation days, you will not receive any contingent coupon payments over the term of the securities.
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Contingent
Coupon
Payment
Dates:
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Quarterly, on the third business day following each calculation day (subject to postponement as described in “—Postponement of a Calculation Day” below, if applicable), provided that the contingent coupon payment date with respect to the final calculation day will be the stated maturity date. If a calculation day is postponed with respect to one or more of the Indices, the related contingent coupon payment date will be three business days after the last calculation day as postponed. If a contingent coupon payment date is postponed, the contingent coupon payment, if any, due on that contingent coupon payment date will be made on that contingent coupon payment date as so postponed with the same force and effect as if it had been made on the originally scheduled contingent coupon payment date, that is, with no additional amount accruing or payable as a result of the postponement.
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Contingent
Coupon Rate:
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The “contingent coupon rate” is 10.00% per annum.
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Automatic
Call:
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If the closing level of the lowest performing
Index on any of the quarterly calculation days from September 2021 to December 2024, inclusive, is greater than or equal to its
starting level, the securities will be automatically called, and on the related call settlement date you will be entitled to receive
a cash payment per security in U.S. dollars equal to the original offering price per security plus a final contingent coupon payment.
The securities will not be subject to automatic call until the second quarterly calculation day, which is approximately six months
after the issue date.
If the securities are automatically
called, they will cease to be outstanding on the related call settlement date and you will have no further rights under the securities
after that call settlement date. You will not receive any notice from us if the securities are automatically called.
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Calculation
Days:
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The 24th day of each March, June, September and December, commencing June 2021 and ending December 2024, and the final calculation day, each subject to postponement as described below under “—Postponement of a Calculation Day.” We refer to March 24, 2025 as the “final calculation day.”
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Call
Settlement
Date:
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Three business days after the applicable
calculation day (subject to postponement as described in “—Postponement of a Calculation Day” below, if applicable).
If a calculation day is postponed with respect to one or more of the Indices, the related call settlement date will be three business
days after the last calculation day as postponed.
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Stated
Maturity
Date:
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March 27, 2025. If the final calculation day is postponed, the stated maturity date will be the later of (i) March 27, 2025 and (ii) three business days after the last final calculation day as postponed. See “—Postponement of a Calculation Day” below. If the stated maturity date is not a business day, the payment to be made on the stated maturity date will be made on the next succeeding business day with the same force and effect as if it had been made on the stated maturity date. The securities are not subject to repayment at the option of any holder of the securities prior to the stated maturity date.
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Maturity
Payment
Amount:
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If the securities are not
automatically called prior to the stated maturity date, you will be entitled to receive on the stated maturity date a cash payment
per security in U.S. dollars equal to the maturity payment amount (in addition to the final contingent coupon payment, if any).
The “maturity payment amount” per security will equal:
• if
the ending level of the lowest performing Index on the final calculation day is greater than or equal to its threshold level: $1,000;
or
• if
the ending level of the lowest performing Index on the final calculation day is less than its threshold level:
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$1,000 × performance factor of the lowest performing Index on the final calculation day
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If the securities are not automatically
called prior to stated maturity and the ending level of the lowest performing Index on the final calculation day is less than its
threshold level, you will lose more than 25%, and possibly all, of the original offering price of your securities at stated maturity.
Any positive return on
the securities will be limited to the sum of your contingent coupon payments, if any. You will not participate in any appreciation
of any Index; however, you will have full downside exposure to the lowest performing Index on the final calculation day if the
ending level of that Index is less than its threshold level.
All calculations with respect
to the maturity payment amount will be rounded to the nearest one hundred-thousandth, with five one-millionths rounded upward (e.g.,
0.000005 would be rounded to 0.00001); and the maturity payment amount will be rounded to the nearest cent, with one-half cent
rounded upward.
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Lowest
Performing
Index:
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For any calculation day, the “lowest performing Index” will be the Index with the lowest performance factor on that calculation day (subject to postponement for one or more Indices as described in “—Postponement of a Calculation Day” below, if applicable).
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Performance
Factor:
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With respect to an Index on any calculation day, its closing level on that calculation day divided by its starting level (expressed as a percentage).
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Closing Level:
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With respect to each Index, the “closing level” of that Index on any trading day means the official closing level of that Index reported by the relevant index sponsor on that trading day, as obtained by the calculation agent on that trading day from the licensed third-party market data vendor contracted by the calculation agent at that time; in particular, taking into account the decimal precision and/or rounding convention employed by that licensed third-party market data vendor on that date. Currently, the calculation agent obtains market data from Bloomberg Financial Services, but the calculation agent may change its market data vendor at any time without notice. The foregoing provisions of this definition of “closing level” are subject to the provisions set forth below under “Additional Terms of the Securities—Market Disruption Events,” “—Adjustments to an Index” and “—Discontinuance of an Index.”
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Starting Level:
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With respect to the S&P 500® Index: 3,958.55, its
closing level on the pricing date.
With respect to the Russell 2000® Index: 2,195.796, its
closing level on the pricing date.
With respect to the NASDAQ-100® Index: 12,896.53, its
closing level on the pricing date.
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Ending Level:
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The “ending level” of an Index will be its closing level on the final calculation day.
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Threshold
Level:
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With respect to the S&P 500® Index: 2,968.9125, which
is equal to 75% of its starting level.
With respect to the Russell 2000® Index: 1,646.847, which
is equal to 75% of its starting level.
With respect to the NASDAQ-100 Index®: 9,672.3975, which
is equal to 75% of its starting level.
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Postponement
of a Calculation
Day:
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If any calculation day is not a trading day with respect to any Index, that calculation day for each Index will be postponed to the next succeeding day that is a trading day with respect to each Index. A calculation day for an Index is also subject to postponement due to the occurrence of a market disruption event with respect to that Index on that calculation day. See “Additional Terms of the Securities—Market Disruption Events.”
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Calculation
Agent:
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BMO Capital Markets Corp. (“BMOCM”).
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Material Tax
Consequences:
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For a discussion of the Canadian
federal income tax considerations relating to an investment in the securities, please see the section of the prospectus supplement,
“Certain Income Tax Consequences – Certain Canadian Income Tax Considerations.”
For a discussion of the material
U.S. federal income tax consequences of the ownership and disposition of the securities, see the section below, “Supplemental
U.S. Federal Income Tax Considerations.”
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Agent:
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Wells Fargo Securities, LLC (“WFS”)
is the agent for the distribution of the securities. WFS will receive an underwriting discount of $21.75 per security. The agent may
resell the securities to other securities dealers at the original offering price of the securities less a concession not in excess of
$15.00 per security. Such securities dealers may include Wells Fargo Advisors (“WFA”) (the trade name of the retail
brokerage business of WFS’s affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC). In
addition to the concession allowed to WFA, WFS will pay $0.75 per security of the underwriting discount to WFA as a distribution expense
fee for each security sold by WFA.
In addition, in respect of
certain securities sold in this offering, BMOCM may pay a fee of up to $1.00 per security to selected securities dealers in consideration
for marketing and other services in connection with the distribution of the securities to other securities dealers.
The agent, BMOCM and/or one
or more of their respective affiliates expects to realize hedging profits projected by their proprietary pricing models to the
extent they assume the risks inherent in hedging our obligations under the securities. If WFS or any other dealer participating
in the distribution of the securities or any of their affiliates conduct hedging activities for us in connection with the securities,
that dealer or its affiliates will expect to realize a profit projected by its proprietary pricing models from those hedging activities.
Any such projected profit will be in addition to any discount, concession or fee received in connection with the sale of the securities
to you.
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Denominations:
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$1,000 and any integral multiple of $1,000.
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CUSIP:
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06368EFH0
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No Conversion:
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The securities 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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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Additional Information about the Issuer and the Securities
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You should read this pricing supplement
together with the prospectus supplement dated April 20, 2020 and the prospectus dated April 20, 2020. This pricing supplement,
together with the documents listed below, contains the terms of the securities 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.
Information in this pricing supplement supersedes information in the prospectus supplement and prospectus to the extent it is different
from that information.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
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·
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Prospectus supplement dated April 20, 2020:
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https://www.sec.gov/Archives/edgar/data/927971/000119312520112249/d908040d424b5.htm
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·
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Prospectus dated April 20, 2020:
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https://www.sec.gov/Archives/edgar/data/927971/000119312520112240/d903160d424b2.htm
Our Central Index Key, or CIK, on the SEC website is 927971.
As used in this pricing supplement, “we,” “us” or “our” refers to Bank of Montreal.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Estimated Value of the Securities
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Our estimated initial value of the securities on the date of
this pricing supplement 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 securities, valued using our internal
funding rate for structured notes; and
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one or more derivative transactions relating to the economic terms of the securities.
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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 securities on the pricing date was determined based on market conditions at that time.
For more information about the estimated initial value
of the securities, see “Risk Factors” below.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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The securities are not appropriate for all
investors. The securities may be an appropriate investment for investors who:
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☐
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seek an investment with contingent quarterly coupon payments at a rate of 10.00% per annum until the earlier
of stated maturity or automatic call, if, and only if, the closing level of the lowest performing Index on the applicable quarterly
calculation day is greater than or equal to 75% of its starting level;
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☐
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understand that if the closing level of the lowest performing Index on the final calculation day
has declined by more than 25% from its starting level, they will be fully exposed to the decline in the lowest performing Index
from its starting level and will lose more than 25%, and possibly all, of the original offering price at stated maturity;
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☐
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are willing to accept the risk that they may not receive any contingent coupon payment on one or
more, or any, quarterly contingent coupon payment dates over the term of the securities;
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☐
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understand that the securities may be automatically called prior to stated maturity and that the
term of the securities may be as short as approximately six months;
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☐
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understand that the return on the securities will depend solely on the performance of the Index
that is the lowest performing Index on each calculation day and that they will not benefit in any way from the performance of the
better performing Indices;
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☐
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understand that the securities are riskier than alternative investments linked to only one of the
Indices or linked to a basket composed of each Index;
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☐
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understand and are willing to accept the full downside risks of each Index;
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☐
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are willing to forgo participation in any appreciation of any Index and dividends on securities
included in the Indices; and
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☐
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are willing to hold the securities until maturity.
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The securities may not be an appropriate
investment for investors who:
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☐
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seek a liquid investment or are unable or unwilling to hold the securities to maturity;
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☐
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seek full return of the original offering price of the securities at stated maturity;
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☐ seek a security with a fixed
term;
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☐
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are unwilling to purchase securities with an estimated value as of the pricing date that is lower than
the original offering price, as set forth on the cover page of this pricing supplement;
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☐
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are unwilling to accept the risk that the closing level of the lowest performing Index on the final
calculation day may decline by more than 25% from its starting level;
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☐
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seek certainty of current income over the term of the securities;
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☐
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seek exposure to the upside performance of any or each Index;
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☐
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seek exposure to a basket composed of each Index or a similar investment in which the overall return
is based on a blend of the performances of the Indices, rather than solely on the lowest performing Index;
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☐
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are unwilling to accept the risk
of exposure to the large capitalization segment of the United States equity market represented by the S&P 500®
Index, the small-capitalization segment of the United States equity market represented by the Russell 2000® Index
and the foreign equity markets represented by the NASDAQ-100 Index®;
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☐
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are unwilling to accept the credit risk of Bank of Montreal; or
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☐
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prefer the lower risk of fixed income investments with comparable maturities issued by companies
with comparable credit ratings.
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The considerations identified above are not exhaustive. Whether
or not the securities are an appropriate investment for you will depend on your individual circumstances, and you should reach
an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered
the appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully
the “Risk Factors” herein for risks related to an investment in the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Determining Payment On A Contingent Coupon Payment
Date and at Maturity
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If the securities have not been previously automatically
called, on each quarterly contingent coupon payment date, you will either receive a contingent coupon payment or you will not receive
a contingent coupon payment, depending on the closing level of the lowest performing Index on the related quarterly calculation
day.
Step 1: Determine which Index is
the lowest performing Index on the relevant calculation day. The lowest performing Index on any calculation day is the Index with
the lowest performance factor on that calculation day. The performance factor of an Index on a calculation day is its closing level
on that calculation day as a percentage of its starting level (i.e., its closing level on that calculation day divided by
its starting level).
Step 2: Determine whether a contingent coupon is paid
on the applicable contingent coupon payment date based on the closing level of the lowest performing Index on the relevant calculation
day, as follows:
On the stated maturity date, if the securities have not been
automatically called prior to the stated maturity date, you will receive (in addition to the final contingent coupon payment, if
any) a cash payment per security (the maturity payment amount) calculated as follows:
Step 1: Determine which Index is
the lowest performing Index on the final calculation day. The lowest performing Index on the final calculation day is the Index
with the lowest performance factor on the final calculation day. The performance factor of an Index on the final calculation day
is its ending level as a percentage of its starting level (i.e., its ending level divided by its starting level).
Step 2: Calculate the maturity payment
amount based on the ending level of the lowest performing Index, as follows:
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Hypothetical Payout Profile
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The following profile illustrates the potential maturity payment
amount on the securities (excluding the final contingent coupon payment, if any) for a range of hypothetical performances of the
lowest performing Index on the final calculation day from its starting level to its ending level, assuming the securities have
not been automatically called prior to the stated maturity date. This graph has been prepared for purposes of illustration only.
Your actual return will depend on the actual ending level of the lowest performing Index on the final calculation day and whether
you hold your securities to stated maturity. The performance of the better performing Indices is not relevant to your return on
the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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The securities have complex features and
investing in the securities will involve risks not associated with an investment in conventional debt securities. You should carefully
consider the risk factors set forth below as well as the other information contained in this pricing supplement and the accompanying
prospectus supplement and prospectus, including the documents they incorporate by reference. As described in more detail below,
the value of the securities may vary considerably before the stated maturity date due to events that are difficult to predict and
are beyond our control. You should reach an investment decision only after you have carefully considered with your advisors the
appropriateness of an investment in the securities in light of your particular circumstances.
Risks Relating To The Terms And Structure
Of The Securities
If The Securities Are Not Automatically
Called Prior To Stated Maturity, You May Lose Some Or All Of The Original Offering Price Of Your Securities At Stated Maturity.
We will not repay you a fixed amount on
the securities at stated maturity. If the securities are not automatically called prior to stated maturity, you will receive a
maturity payment amount that will be equal to or less than the original offering price per security, depending on the ending level
of the lowest performing Index on the final calculation day.
If the ending level of the lowest performing Index on
the final calculation day is less than its threshold level, the maturity payment amount will be reduced by an amount equal to the
decline in the level of the lowest performing Index from its starting level (expressed as a percentage of its starting level).
The threshold level for each Index is 75% of its starting level. For example, if the securities are not automatically called and
the lowest performing Index on the final calculation day has declined by 25.1% from its starting level to its ending level, you
will not receive any benefit of the contingent downside protection feature and you will lose 25.1% of the original offering price
per security. As a result, you will not receive any protection if the level of the lowest performing Index on the final calculation
day declines significantly and you may lose some, and possibly all, of the original offering price per security at stated maturity,
even if the level of the lowest performing Index is greater than or equal to its starting level or its threshold level at certain
times during the term of the securities.
Even if the ending level of the lowest performing
Index on the final calculation day is greater than its threshold level, the maturity payment amount will not exceed the original
offering price, and your yield on the securities, taking into account any contingent coupon payments you may have received during
the term of the securities, may be less than the yield you would earn if you bought a traditional interest-bearing debt security
of Bank of Montreal or another issuer with a similar credit rating.
The Securities Do Not Provide For Fixed Payments Of
Interest And You May Receive No Coupon Payments On One Or More Quarterly Contingent Coupon Payment Dates, Or Even Throughout The
Entire Term Of The Securities.
On each quarterly contingent coupon payment date you will
receive a contingent coupon payment if, and only if, the closing level of the lowest performing Index on the related calculation
day is greater than or equal to its threshold level. If the closing level of the lowest performing Index on any calculation day
is less than its threshold level, you will not receive any contingent coupon payment on the related contingent coupon payment date,
and if the closing level of the lowest performing Index is less than its threshold level on each calculation day over the term
of the securities, you will not receive any contingent coupon payments over the entire term of the securities.
The Securities Are Subject To The Full Risks Of Each
Index And Will Be Negatively Affected If Any Index Performs Poorly, Even If The Other Indices Perform Favorably.
You are subject to the full risks of each Index. If any
Index performs poorly, you will be negatively affected, even if the other Indices perform favorably. The securities are not linked
to a basket composed of the Indices, where the better performance of one or more Indices could offset the poor performance of the
others. Instead, you are subject to the full risks of whichever Index is the lowest performing Index on each calculation day. As
a result, the securities are riskier than an alternative investment linked to only one of the Indices or linked to a basket composed
of each Index. You should not invest in the securities unless you understand and are willing to accept the full downside risks
of each Index.
Your Return On The Securities Will Depend Solely On
The Performance Of The Index That Is The Lowest Performing Index On Each Calculation Day, And You Will Not Benefit In Any Way From
The Performance Of The Better Performing Indices.
Your return on the securities will depend solely on the
performance of the Index that is the lowest performing Index on each calculation day. Although each Index must close above its
respective threshold level on the relevant calculation day in order for you to receive a quarterly contingent coupon payment and
for you to be repaid the original offering price of your securities at maturity, you will not benefit in any way from the performance
of the better performing Indices. The securities may underperform an alternative investment linked to a basket composed of the
Indices, since in such case the performance of the better performing Indices would be blended with the performance of the lowest
performing Index, resulting in a better return than the return of the lowest performing Index alone.
You May Be Fully Exposed To The Decline
In The Lowest Performing Index On The Final Calculation Day From Its Starting Level, But Will Not Participate In Any Positive Performance
Of Any Index.
Even though you will be fully exposed to
a decline in the level of the lowest performing Index on the final calculation day if its ending level is below its threshold level,
you will not participate in any increase in the level of any Index over the term of the securities. Your maximum possible return
on the securities will be limited to the sum of the contingent coupon payments you receive, if any. Consequently, your return on
the securities may be significantly less than the return you could achieve on an alternative investment that provides for participation
in an increase in the level of any or each Index.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
Higher Contingent Coupon Rates Are Associated
With Greater Risk.
The securities offer contingent coupon payments
at a higher rate, if paid, than the fixed rate we would pay on conventional debt securities of the same maturity. These higher
potential contingent coupon payments are associated with greater levels of expected risk as of the pricing date as compared to
conventional debt securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that you may lose a substantial portion, and possibly all, of the original offering price per
security at maturity. The volatility of the Indices and the correlation among the Indices are important factors affecting this
risk. Volatility is a measurement of the size and frequency of daily fluctuations in the level of an Index, typically observed
over a specified period of time. Volatility can be measured in a variety of ways, including on a historical basis or on an expected
basis as implied by option prices in the market. Correlation is a measurement of the extent to which the levels of the Indices
tend to fluctuate at the same time, in the same direction and in similar magnitudes. Greater expected volatility of the Indices
or lower expected correlation among the Indices as of the pricing date may result in a higher contingent coupon rate, but it also
represents a greater expected likelihood as of the pricing date that the closing level of at least one Index will be less than
its threshold level on one or more calculation days, such that you will not receive one or more, or any, contingent coupon payments
during the term of the securities, and that the closing level of at least one Index will be less than its threshold level on the
final calculation day such that you will lose a substantial portion, and possibly all, of the original offering price per security
at maturity. In general, the higher the contingent coupon rate is relative to the fixed rate we would pay on conventional debt
securities, the greater the expected risk that you will not receive one or more, or any, contingent coupon payments during the
term of the securities and that you will lose a substantial portion, and possibly all, of the original offering price per security
at maturity.
You Will Be Subject To Reinvestment Risk.
If your securities are automatically called,
the term of the securities may be reduced to as short as approximately six months. There is no guarantee that you would be able
to reinvest the proceeds from an investment in the securities at a comparable return for a similar level of risk in the event the
securities are automatically called prior to maturity.
Risks Relating To An Investment In Bank
Of Montreal’s Structured Debt Securities, Including The Securities
The Securities Are Subject To The Credit
Risk Of Bank Of Montreal.
The securities are our obligations, and
are not, either directly or indirectly, an obligation of any third party. Any amounts payable under the securities are subject
to our creditworthiness, and you will have no ability to pursue the issuers of any securities included in any Index for payment.
As a result, our actual and perceived creditworthiness may affect the value of the securities and, in the event we were to default
on our obligations under the securities, you may not receive any amounts owed to you under the terms of the securities.
The Estimated Value Of The Securities On The Pricing Date,
Based On Our Proprietary Pricing Models, Is Less Than The Original Offering Price.
Our initial estimated value of the securities is only an estimate,
and is based on a number of factors. The original offering price of the securities exceeds our initial estimated value, because costs
associated with offering, structuring and hedging the securities are included in the original offering price, but are not included in
the estimated value. These costs include the underwriting discount and selling concessions, the profits that we and our affiliates, and/or
the agent and its affiliates, expect to realize for assuming the risks in hedging our obligations under the securities, and the estimated
cost of hedging these obligations.
The Terms Of The Securities Were Not Determined By Reference
To The Credit Spreads For Our Conventional Fixed-Rate Debt.
To determine the terms of the securities, 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 securities
are less favorable to you than if we had used a higher funding rate.
The Estimated Value Of The Securities Is Not An Indication
Of The Price, If Any, At Which WFS Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary Market.
Our initial estimated value of the securities as of the date
of this pricing supplement was derived using our internal pricing models. This value is based on market conditions and other relevant
factors, which include volatility and correlation of the Indices, dividend rates and interest rates. Different pricing models and assumptions,
including those used by the agent, its affiliates or other market participants, could provide values for the securities 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 securities could
change dramatically due to changes in market conditions, our creditworthiness, and the other factors set forth in this pricing supplement.
These changes are likely to impact the price, if any, at which WFS or its affiliates or any other party (including us or our affiliates)
would be willing to purchase the securities from you in any secondary market transactions. Our initial estimated value does not represent
a minimum price at which WFS or any other party (including us or our affiliates) would be willing to buy your securities in any secondary
market at any time.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
WFS has advised us that if it, WFA or any of their affiliates
makes a secondary market in the securities at any time, the secondary market price offered by it, WFA or any of their affiliates
will be affected by changes in market conditions and other factors described in the next risk factor. WFS has advised us that if
it, WFA or any of their affiliates makes a secondary market in the securities at any time up to the issue date or during the 4-month
period following the issue date, the secondary market price offered by it, WFA or any of their affiliates will be increased by
an amount reflecting a portion of the costs associated with selling, structuring and hedging the securities that are included in
their original offering price. Because this portion of the costs is not fully deducted upon issuance, WFS has advised us that any
secondary market price it, WFA or any of their affiliates offers during this period will be higher than it otherwise would be after
this period, as any secondary market price offered after this period will reflect the full deduction of the costs as described
above. WFS has advised us that the amount of this increase in the secondary market price will decline steadily to zero over this
4-month period. WFS has advised us that, if you hold the securities through an account at WFS, WFA or any of their affiliates,
WFS expects that this increase will also be reflected in the value indicated for the securities on your brokerage account statement.
If you hold your securities through an account at a broker-dealer other than WFS, WFA or any of their affiliates, the value of
the securities on your brokerage account statement may be different than if you held your securities at WFS, WFA or any of their
affiliates.
Risks Relating To The Value Of The Securities
And Any Secondary Market
The Value Of The Securities Prior To
Stated Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
The value of the securities prior to stated
maturity will be affected by the then-current level of each Index, interest rates at that time and a number of other factors, some
of which are interrelated in complex ways. The effect of any one factor may be offset or magnified by the effect of another factor.
The following factors, which we refer to as the “derivative component factors,” are expected to affect the value
of the securities. When we refer to the “value” of your security, we mean the value you could receive for your
security if you are able to sell it in the open market before the stated maturity date.
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Performance of the Indices. The
value of the securities prior to maturity will depend substantially on the then-current level of each Index. The price at which
you may be able to sell the securities before stated maturity may be at a discount, which could be substantial, from their original
offering price, if the level of the lowest performing Index at that time is less than, equal to or not sufficiently above its starting
level or its threshold level.
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Interest Rates. The value of the
securities may be affected by changes in the interest rates in the U.S. markets.
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Volatility Of The Indices. Volatility
is the term used to describe the size and frequency of market fluctuations. The value of the securities may be affected if the
volatility of the Indices changes.
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Correlation Among The Indices.
Correlation refers to the extent to which the levels of the Indices tend to fluctuate at the same time, in the same direction and
in similar magnitudes. The correlation among the Indices may be positive, zero or negative. The value of the securities is
likely to decrease if the correlation among the Indices decreases.
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Time Remaining To Maturity. The
value of the securities at any given time prior to maturity will likely be different from that which would be expected based on
the then-current levels of the Indices. This difference will most likely reflect a discount due to expectations and uncertainty
concerning the levels of the Indices during the period of time still remaining to the stated maturity date.
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Dividend Yields On Securities Included
In The Indices. The value of the securities may be affected by the dividend yields on securities included in the Indices.
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In addition to the derivative component
factors, the value of the securities will be affected by actual or anticipated changes in our creditworthiness. The value of the
securities will also be limited by the automatic call feature because if the securities are automatically called, you will not
receive the contingent coupon payments that would have accrued, if any, had the securities been called on a later calculation day
or held until the stated maturity date. You should understand that the impact of one of the factors specified above, such as a
change in interest rates, may offset some or all of any change in the value of the securities attributable to another factor, such
as a change in the level of any or all of the Indices. Because numerous factors are expected to affect the value of the securities,
changes in the level of the Indices may not result in a comparable change in the value of the securities.
The Securities Will Not Be Listed On
Any Securities Exchange And We Do Not Expect A Trading Market For The Securities To Develop.
The securities will not be listed or displayed
on any securities exchange or any automated quotation system. Although the agent and/or its affiliates may purchase the securities
from holders, they are not obligated to do so and are not required to make a market for the securities. There can be no assurance
that a secondary market will develop. Because we do not expect that any market makers will participate in a secondary market for
the securities, the price at which you may be able to sell your securities is likely to depend on the price, if any, at which the
agent is willing to buy your securities.
If a secondary market does exist, it may
be limited. Accordingly, there may be a limited number of buyers if you decide to sell your securities prior to stated maturity.
This may affect the price you receive upon such sale. Consequently, you should be willing to hold the securities to stated maturity.
Risks Relating To The Indices
You Will Be Subject To Risks Resulting
From The Relationship Between The Indices.
It is preferable from your perspective for
the Indices to be correlated with each other so that their levels will tend to increase or decrease at similar times and by similar
magnitudes. By investing in the securities, you assume the risk that the Indices will not exhibit this relationship. The less correlated
the Indices, the more likely it is that any one of the Indices will be performing poorly at any time over the term of the securities.
All that is necessary for the securities to perform poorly is for one of the Indices to perform poorly; the performance of the
better performing Indices is not relevant to your return on the securities. It is impossible to predict what the relationship between
the Indices will be over the term of the securities. Each Index represents a different equity market. The S&P 500® Index
represents the large capitalization segment of the United States equity market, the Russell 2000® Index represents the small
capitalization segment of the United States equity market and the NASDAQ-100 Index® represents the represents the non-financial,
large capitalization segments of the United States and certain foreign equity securities markets. These different equity markets
may not perform similarly over the term of the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
Levels Of The Indices Should Not Be Taken
As An Indication Of The Future Performance Of The Indices During The Term Of The Securities.
The trading prices of the securities included
in the Indices will determine the levels of the Indices and, therefore, whether the securities will be automatically called prior
to stated maturity, the amount payable to you at maturity and whether contingent coupon payments will be made. As a result, it
is impossible to predict whether the closing levels of the Indices will fall or rise compared to their respective starting levels.
Trading prices of the securities included in the Indices will be influenced by complex and interrelated political, economic, financial
and other factors that can affect the markets in which those securities are traded and the values of those securities themselves.
Accordingly, any historical levels of the Indices do not provide an indication of the future performance of the Indices.
Changes That Affect The Indices May Adversely
Affect The Value Of The Securities And The Amount You Will Receive At Stated Maturity.
The policies of an index sponsor concerning
the calculation of the relevant Index and the addition, deletion or substitution of securities comprising that Index and the manner
in which an index sponsor takes account of certain changes affecting those securities may affect the level of that Index and, therefore,
may affect the value of the securities, the likelihood of the occurrence of an automatic call, the amount payable at maturity and
whether contingent coupon payments will be made. An index sponsor may discontinue or suspend calculation or dissemination of the
relevant Index or materially alter the methodology by which it calculates that Index. Any of those actions could adversely affect
the value of the securities.
We Cannot Control Actions By Any Of The
Unaffiliated Companies Whose Securities Are Included In The Indices.
Actions by any company whose securities are included in
an Index may have an adverse effect on the price of its security, the closing level of that Index on any calculation day, the ending
level of that Index and the value of the securities. WFS’s parent company, Wells Fargo & Company, is currently one of
the companies included in the S&P 500® Index. However, neither we nor WFS are affiliated with any of the other
companies included in any Index. These unaffiliated companies will not be involved in the offering of the securities and will have
no obligations with respect to the securities, including any obligation to take our or your interests into consideration for any
reason. These companies will not receive any of the proceeds of the offering of the securities and will not be responsible for,
and will not have participated in, the determination of the timing of, prices for, or quantities of, the securities to be issued.
These companies will not be involved with the administration, marketing or trading of the securities and will have no obligations
with respect to any amounts to be paid to you on the securities.
We And Our Affiliates Have No Affiliation
With Any Index Sponsor And Have Not Independently Verified Their Public Disclosure Of Information.
We and our affiliates are not affiliated
in any way with any index sponsor and have no ability to control or predict their actions, including any errors in or discontinuation
of disclosure regarding the methods or policies relating to the calculation of the applicable Index. We have derived the information
about the index sponsors and the Indices contained in this pricing supplement from publicly available information, without independent
verification. You, as an investor in the securities, should make your own investigation into each Index and the index sponsors.
The index sponsors are not involved in the offering of the securities made hereby in any way and have no obligation to consider
your interests as an owner of the securities in taking any actions that might affect the value of the securities.
An Investment In The Securities Is Subject
To Risks Associated With Investing In Stocks With A Small Market Capitalization.
The stocks that constitute the Russell 2000®
Index are issued by companies with relatively small market capitalization. These companies often have greater stock price volatility,
lower trading volume and less liquidity than large capitalization companies. As a result, the Russell 2000® Index
may be more volatile than that of an equity index 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.
An Investment In The Securities Is Subject
To Risks Associated With Foreign Securities Markets.
The NASDAQ-100 Index® (“NDX”)
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 NDX 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. Foreign companies are
subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting
companies.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
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.
A Contingent Coupon Payment Date, A Call
Settlement Date And The Stated Maturity Date May Be Postponed If A Calculation Day Is Postponed.
A calculation day (including the final calculation
day) with respect to an Index will be postponed if the applicable originally scheduled calculation day is not a trading day with
respect to any Index or if the calculation agent determines that a market disruption event has occurred or is continuing with respect
to that Index on that calculation day. If such a postponement occurs with respect to a calculation day other than the final calculation
day, then the related contingent coupon payment date or call settlement date, as applicable, will be postponed. If such a postponement
occurs with respect to the final calculation day, the stated maturity date will be the later of (i) the initial stated maturity
date and (ii) three business days after the last final calculation day as postponed.
Risks Relating To Conflicts Of Interest
Our Economic Interests And Those Of Any
Dealer Participating In The Offering Are Potentially Adverse To Your Interests.
You should be aware of the following ways
in which our economic interests and those of WFS or any other dealer participating in the distribution of the securities, which
we refer to as a “participating dealer,” are potentially adverse to your interests as an investor in the securities.
In engaging in certain of the activities described below, our affiliates or any participating dealer or its affiliates may take
actions that may adversely affect the value of and your return on the securities, and in so doing they will have no obligation
to consider your interests as an investor in the securities. Our affiliates or any participating dealer or its affiliates may realize
a profit from these activities even if investors do not receive a favorable investment return on the securities.
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The calculation agent is our affiliate
and may be required to make discretionary judgments that affect the return you receive on the securities. BMOCM, which
is our affiliate, will be the calculation agent for the securities. As calculation agent, BMOCM will determine the closing level
of each Index on each calculation day, the ending level of each Index, whether the securities are automatically called and whether
you receive a contingent coupon payment on a contingent coupon payment date and may be required to make other determinations that
affect the return you receive on the securities. In making these determinations, the calculation agent may be required to make
discretionary judgments, including determining whether a market disruption event has occurred with respect to any Index on a scheduled
calculation day, which may result in postponement of that calculation day with respect to that Index; determining the closing level
of an Index if a calculation day is postponed with respect to that Index to the last day to which it may be postponed and a market
disruption event occurs with respect to that Index on that day; if an Index is discontinued, selecting a successor equity index
or, if no successor equity index is available, determining the closing level of that Index on any calculation day and the ending
level of that Index; and determining whether to adjust the closing level of an Index on a calculation day in the event of certain
changes in or modifications to that Index. In making these discretionary judgments, the fact that BMOCM is our affiliate may cause
it to have economic interests that are adverse to your interests as an investor in the securities, and BMOCM’s determinations
as calculation agent may adversely affect your return on the securities.
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The estimated value of the securities
was calculated by our affiliate and is therefore not an independent third-party valuation. BMOCM calculated the estimated
value of the securities set forth on the cover page of this pricing supplement, which involved discretionary judgments by BMOCM.
Accordingly, the estimated value of the securities set forth on the cover page of this pricing supplement is not an independent
third-party valuation.
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Research reports by our affiliates or any participating
dealer or its affiliates may be inconsistent with an investment in the securities and may adversely affect the levels of the Indices.
Our affiliates or any participating dealer in the offering of the securities or its affiliates may, at present or in the future,
publish research reports on the Indices or the companies whose securities are included in an Index. This research is modified from time
to time without notice and may, at present or in the future, express opinions or provide recommendations that are inconsistent with purchasing
or holding the securities. Any research reports on the Indices or the companies whose securities are included in an Index could adversely
affect the level of the applicable Index and, therefore, could adversely affect the value of and your return on the securities. You are
encouraged to derive information concerning the Indices from multiple sources and should not rely on the views expressed by us or our
affiliates or any participating dealer or its affiliates. In addition, any research reports on the Indices or the companies whose securities
are included in an Index published on or prior to the pricing date could have resulted in an increase in the levels of the Indices on
the pricing date, which could adversely affect investors in the securities by increasing the level at which each Index must close on each
calculation day (including the final calculation day) in order for investors in the securities to receive a favorable return.
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Business activities of our affiliates
or any participating dealer or its affiliates with the companies whose securities are included in an Index may adversely affect
the level of that Index. Our affiliates or any participating dealer or its affiliates may, at present or in the future,
engage in business with the companies whose securities are included in an Index, including making loans to those companies (including
exercising creditors’ remedies with respect to those loans), making equity investments in those companies or providing investment
banking, asset management or other advisory services to those companies. These business activities could adversely affect the level
of that Index and, therefore, adversely affect the value of and your return on the securities. In addition, in the course of these
business activities, our affiliates or any participating dealer or its affiliates may acquire non-public information about one
or more of the companies whose securities are included in an Index. If our affiliates or any participating dealer or its affiliates
do acquire such non-public information, we and they are not obligated to disclose such non-public information to you.
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Hedging activities by our affiliates
or any participating dealer or its affiliates may adversely affect the levels of the Indices. We expect to hedge our obligations
under the securities through one or more hedge counterparties, which may include our affiliates or any participating dealer or
its affiliates. Pursuant to such hedging activities, our hedge counterparties may acquire securities included in an Index or listed
or over-the-counter derivative or synthetic instruments related to the Indices or such securities. Depending on, among other things,
future market conditions, the aggregate amount and the composition of such positions are likely to vary over time. To the extent
that our hedge counterparties have a long hedge position in any of the securities included in an Index, or derivative or synthetic
instruments related to the Indices or such securities, they may liquidate a portion of such holdings at or about the time of a
calculation day or at or about the time of a change in the securities included in the Indices. These hedging activities could potentially
adversely affect the levels of the Indices and, therefore, adversely affect the value of and your return on the securities.
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Trading activities by our affiliates
or any participating dealer or its affiliates may adversely affect the levels of the Indices. Our affiliates or any participating
dealer or its affiliates may engage in trading in the securities included in an Index and other instruments relating to the Indices
or such securities on a regular basis as part of their general broker-dealer and other businesses. Any of these trading activities
could potentially adversely affect the levels of the Indices and, therefore, could adversely affect the value of and your return
on the securities.
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A participating dealer or its affiliates
may realize hedging profits projected by its proprietary pricing models in addition to any selling concession and/or fee, creating
a further incentive for the participating dealer to sell the securities to you. If any participating dealer or any of its
affiliates conducts hedging activities for us in connection with the securities, that participating dealer or its affiliates will
expect to realize a projected profit from such hedging activities. If a participating dealer receives a concession and/or fee for
the sale of the securities to you, this projected hedging profit will be in addition to the concession and/or fee, creating a further
incentive for the participating dealer to sell the securities to you.
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Risks Relating To Tax Matters
The Tax Consequences Of An Investment
In The Securities 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 securities, and the Internal Revenue Service or a court may not agree with the tax treatment described in this pricing supplement.
The Internal Revenue Service has issued
a notice indicating that it and the Treasury Department are actively considering whether, among other issues, a holder should be
required to accrue interest over the term of an instrument such as “prepaid forward contracts” and other similar instruments
even though that holder will not receive any payments with respect to the securities until maturity and whether all or part of
the gain a holder may recognize upon sale or maturity of an instrument such as the securities could be treated as ordinary income.
Any Treasury Regulations or other guidance promulgated after consideration of these issues could apply on a retroactive basis.
Please read carefully the section entitled
“Supplemental U.S. Federal Income Tax Considerations” in this pricing supplement. You should consult your tax advisor
about your own tax situation.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
If the securities are automatically called:
If the securities are automatically called
prior to stated maturity, you will receive the original offering price of your securities plus a final contingent coupon payment
on the call settlement date. In the event the securities are automatically called, your total return on the securities will equal
any contingent coupon payments received prior to the call settlement date and the contingent coupon payment received on the call
settlement date.
If the securities are not automatically
called:
If the securities are not automatically
called prior to stated maturity, the following table illustrates, for a range of hypothetical performance factors of the lowest
performing Index on the final calculation day, the hypothetical maturity payment amount payable at stated maturity per security
(excluding the final contingent coupon payment, if any). The performance factor of the lowest performing Index on the final calculation
day is its ending level expressed as a percentage of its starting level (i.e., its ending level divided by its starting
level).
Hypothetical performance factor of
lowest performing Index on final
calculation day
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Hypothetical maturity payment
amount per security
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175.00%
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$1,000.00
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160.00%
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$1,000.00
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150.00%
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$1,000.00
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140.00%
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$1,000.00
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130.00%
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$1,000.00
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120.00%
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$1,000.00
|
110.00%
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$1,000.00
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100.00%
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$1,000.00
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90.00%
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$1,000.00
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80.00%
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$1,000.00
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75.00%
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$1,000.00
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74.00%
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$740.00
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70.00%
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$700.00
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60.00%
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$600.00
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50.00%
|
$500.00
|
40.00%
|
$400.00
|
25.00%
|
$250.00
|
The above figures do not take into account
contingent coupon payments, if any, received during the term of the securities. As evidenced above, in no event will you have a
positive rate of return based solely on the maturity payment amount received at maturity; any positive return will be based solely
on the contingent coupon payments, if any, received during the term of the securities.
The above figures are for purposes of illustration only
and may have been rounded for ease of analysis. If the securities are not automatically called prior to stated maturity, the actual
amount you will receive at stated maturity will depend on the actual ending level of the lowest performing Index on the final calculation
day. The performance of the better performing Indices is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
Hypothetical Contingent Coupon Payments
|
Set forth below are three examples that illustrate how to determine
whether a contingent coupon payment will be paid and whether the securities will be automatically called, if applicable, on a quarterly
contingent coupon payment date prior to the stated maturity date. The examples do not reflect any specific quarterly contingent coupon
payment date. The following examples assume that the securities are subject to automatic call on the applicable calculation day. The securities
will not be subject to automatic call until the second quarterly calculation day, which is approximately six months after the issue date.
The following examples reflect the contingent coupon rate of 10.00% per annum and assume the hypothetical starting level, threshold level
and closing levels for each Index indicated in the examples. The terms used for purposes of these hypothetical examples do not represent
any actual starting level or threshold level. The hypothetical starting level of 100.00 for each Index has been chosen for illustrative
purposes only and does not represent the actual starting level for any Index. The actual starting level and threshold level for each Index
are set forth under “Terms of the Securities” above. For historical data regarding the actual closing levels of the Indices,
see the historical information set forth herein. These examples are for purposes of illustration only and the values used in the examples
may have been rounded for ease of analysis.
Example 1. The closing level of the lowest performing
Index on the relevant calculation day is greater than or equal to its threshold level and less than its starting level. As a result,
investors receive a contingent coupon payment on the applicable quarterly contingent coupon payment date, and the securities are
not automatically called.
|
S&P 500®
Index
|
Russell 2000®
Index
|
NASDAQ-100
Index®
|
Hypothetical starting level:
|
100.00
|
100.00
|
100.00
|
Hypothetical closing level on relevant calculation day:
|
90.00
|
95.00
|
80.00
|
Hypothetical threshold level:
|
75.00
|
75.00
|
75.00
|
Performance factor (closing level on calculation day divided by starting level):
|
90.00%
|
95.00%
|
80.00%
|
Step 1: Determine which
Index is the lowest performing Index on the relevant calculation day.
In
this example, the NASDAQ-100 Index® has the lowest performance factor and is, therefore, the lowest performing
Index on the relevant calculation day.
Step 2: Determine whether a contingent
coupon payment will be paid and whether the securities will be automatically called on the applicable quarterly contingent coupon
payment date.
Since the hypothetical closing level of the lowest performing
Index on the relevant calculation day is greater than or equal to its threshold level, but less than its starting level, you would receive
a contingent coupon payment on the applicable contingent coupon payment date, and the securities would not be automatically called. The
contingent coupon payment would be equal to $25.00 per security, determined as follows: (i) $1,000 multiplied by 10.00% per annum
divided by (ii) 4.
Example 2. The closing level of
the lowest performing Index on the relevant calculation day is less than its threshold level. As a result, investors do not receive
a contingent coupon payment on the applicable quarterly contingent coupon payment date, and the securities are not automatically
called.
|
S&P 500®
Index
|
Russell 2000®
Index
|
NASDAQ-100
Index®
|
Hypothetical starting level:
|
100.00
|
100.00
|
100.00
|
Hypothetical closing level on relevant calculation day:
|
74.00
|
125.00
|
105.00
|
Hypothetical threshold level:
|
75.00
|
75.00
|
75.00
|
Performance factor (closing level on calculation day divided by starting level):
|
74.00%
|
125.00%
|
105.00%
|
Step 1: Determine which
Index is the lowest performing Index on the relevant calculation day.
In this example, the S&P 500®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the relevant calculation day.
Step 2: Determine whether a contingent
coupon payment will be paid and whether the securities will be automatically called on the applicable quarterly contingent coupon
payment date.
Since the hypothetical closing level of the lowest
performing Index on the relevant calculation day is less than its threshold level, you would not receive a contingent coupon payment
on the applicable contingent coupon payment date. In addition, the securities would not be automatically called, even though the
closing levels of the better performing Indices on the relevant calculation day are greater than their starting levels. As this
example illustrates, whether you receive a contingent coupon payment and whether the securities are automatically called on a quarterly
contingent coupon payment date will depend solely on the closing level of the lowest performing Index on the relevant calculation
day. The performance of the better performing Indices is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
Example 3. The closing level of the lowest performing
Index on the relevant calculation day is greater than or equal to its starting level. As a result, the securities are automatically
called on the applicable quarterly contingent coupon payment date for the original offering price plus a final contingent coupon
payment.
|
S&P 500® Index
|
Russell 2000® Index
|
NASDAQ-100 Index®
|
Hypothetical starting level:
|
100.00
|
100.00
|
100.00
|
Hypothetical closing level on relevant calculation day:
|
115.00
|
105.00
|
130.00
|
Hypothetical threshold level:
|
75.00
|
75.00
|
75.00
|
Performance factor (closing level on calculation day divided by starting level):
|
115.00%
|
105.00%
|
130.00%
|
Step 1: Determine which
Index is the lowest performing Index on the relevant calculation day.
In this example, the Russell 2000®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the relevant calculation day.
Step 2: Determine whether a contingent
coupon payment will be paid and whether the securities will be automatically called on the applicable quarterly contingent coupon
payment date.
Since the hypothetical closing level of the lowest performing
Index on the relevant calculation day is greater than or equal to its starting level, the securities would be automatically called and
you would receive the original offering price plus a final contingent coupon payment on the applicable contingent coupon payment date,
which is also referred to as the call settlement date. On the call settlement date, you would receive $1,025.00 per security.
If the securities are automatically called prior to
maturity, you will not receive any further payments after the call settlement date.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
Hypothetical Payment at Stated Maturity
|
Set forth below are three examples of calculations of the maturity
payment amount payable at stated maturity, assuming that the securities have not been automatically called prior to stated maturity and
assuming the hypothetical starting level, threshold level and ending levels for each Index indicated in the examples. The terms used for
purposes of these hypothetical examples do not represent any actual starting level or threshold level. The hypothetical starting level
of 100.00 for each Index has been chosen for illustrative purposes only and does not represent the actual starting level for any Index.
The actual starting level and threshold level for each Index is set forth under “Terms of the Securities” above. For historical
data regarding the actual closing levels of the Indices, see the historical information provided herein. These examples are for purposes
of illustration only and the values used in the examples may have been rounded for ease of analysis.
Example 1. The ending level of the
lowest performing Index on the final calculation day is greater than its starting level, the maturity payment amount is equal to
the original offering price of your securities at maturity and you receive a final contingent coupon payment:
|
S&P 500®
Index
|
Russell 2000®
Index
|
NASDAQ-100
Index®
|
Hypothetical starting level:
|
100.00
|
100.00
|
100.00
|
Hypothetical ending level:
|
145.00
|
135.00
|
125.00
|
Hypothetical threshold level:
|
75.00
|
75.00
|
75.00
|
Performance factor (ending level divided by starting level):
|
145.00%
|
135.00%
|
125.00%
|
Step 1: Determine which
Index is the lowest performing Index on the final calculation day.
In
this example, the NASDAQ-100 Index® has
the lowest performance factor and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the
maturity payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level
of the lowest performing Index on the final calculation day is greater than its hypothetical threshold level, the maturity payment
amount would equal the original offering price. Although the hypothetical ending level of the lowest performing Index on the final
calculation day is significantly greater than its hypothetical starting level in this scenario, the maturity payment amount will
not exceed the original offering price.
In addition to any contingent
coupon payments received during the term of the securities, on the stated maturity date you would receive $1,000 per security as
well as a final contingent coupon payment.
Example 2. The ending level of the
lowest performing Index on the final calculation day is less than its starting level but greater than its threshold level, the
maturity payment amount is equal to the original offering price of your securities at maturity and you receive a final contingent
coupon payment:
|
S&P 500®
Index
|
Russell 2000®
Index
|
NASDAQ-100
Index®
|
Hypothetical starting level:
|
100.00
|
100.00
|
100.00
|
Hypothetical ending level:
|
85.00
|
115.00
|
110.00
|
Hypothetical threshold level:
|
75.00
|
75.00
|
75.00
|
Performance factor (ending level divided by starting level):
|
85.00%
|
115.00%
|
110.00%
|
Step 1: Determine which
Index is the lowest performing Index on the final calculation day.
In this example, the S&P 500®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the
maturity payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level of the lowest
performing Index is less than its hypothetical starting level, but not by more than 25%, you would be repaid the original offering
price of your securities at maturity.
In addition to any contingent
coupon payments received during the term of the securities, on the stated maturity date you would receive $1,000 per security as
well as a final contingent coupon payment.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
Example 3. The ending level of the
lowest performing Index on the final calculation day is less than its threshold level, the maturity payment amount is less than
the original offering price of your securities at maturity and you do not receive a final contingent coupon payment:
|
S&P 500®
Index
|
Russell 2000®
Index
|
NASDAQ-100
Index®
|
Hypothetical starting level:
|
100.00
|
100.00
|
100.00
|
Hypothetical ending level:
|
120.00
|
45.00
|
90.00
|
Hypothetical threshold level:
|
75.00
|
75.00
|
75.00
|
Performance factor (ending level divided by starting level):
|
120.00%
|
45.00%
|
90.00%
|
Step 1: Determine which
Index is the lowest performing Index on the final calculation day.
In this example, the Russell 2000®
Index has the lowest performance factor and is, therefore, the lowest performing Index on the final calculation day.
Step 2: Determine the
maturity payment amount based on the ending level of the lowest performing Index on the final calculation day.
Since the hypothetical ending level of the lowest
performing Index on the final calculation day is less than its hypothetical starting level by more than 25%, you would lose a portion
of the original offering price of your securities and receive the maturity payment amount equal to $450.00 per security, calculated
as follows:
= $1,000 × performance factor of the
lowest performing Index on the final calculation day
= $1,000 × 45.00%
= $450.00
In addition to any contingent coupon payments received
during the term of the securities, on the stated maturity date you would receive $450.00 per security, but no final contingent
coupon payment.
These examples illustrate that you will not participate
in any appreciation of any Index, but will be fully exposed to a decrease in the lowest performing Index if the ending level of
the lowest performing Index on the final calculation day is less than its threshold level, even if the ending levels of the other
Indices have appreciated or have not declined below their respective threshold level.
To the extent that the starting level, threshold
level and ending level of the lowest performing Index differ from the values assumed above, the results indicated above would be
different.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
Additional Terms of the Securities
|
Bank of Montreal will issue the securities
as part of a series of senior unsecured debt securities, as described in more detail in the prospectus supplement. Information
included in this pricing supplement supersedes information in the prospectus supplement and prospectus to the extent that it is
different from that information.
Certain Definitions
A “trading day,” as to
each Index, means a day, as determined by the calculation agent, on which (i) the relevant stock exchanges with respect to each
security underlying that Index are scheduled to be open for trading for their respective regular trading sessions and (ii) each
related futures or options exchange with respect to that Index is scheduled to be open for trading for its regular trading session.
The “relevant stock exchange”
for any security underlying an Index means the primary exchange or quotation system on which such security is traded, as determined
by the calculation agent.
The “related futures or options
exchange” for an Index means an exchange or quotation system where trading has a material effect (as determined by the
calculation agent) on the overall market for futures or options contracts relating to that Index.
Calculation Agent
BMOCM, our wholly owned subsidiary, will
act as calculation agent for the securities and may appoint agents to assist it in the performance of its duties. Pursuant to a
calculation agent agreement, we may appoint a different calculation agent without your consent and without notifying you.
The calculation agent will determine whether
the securities are automatically called prior to stated maturity, the amount of the payment you receive upon automatic call or
at stated maturity and the contingent coupon payments, if any. In addition, the calculation agent will, among other things:
|
·
|
determine whether a market disruption
event has occurred;
|
|
·
|
determine the closing levels of the Indices
under certain circumstances;
|
|
·
|
determine if adjustments are required
to the closing level of an Index under various circumstances; and
|
|
·
|
if publication of an Index is discontinued,
select a successor equity index (as defined below) or, if no successor equity index is available, determine the closing level of
that Index.
|
All determinations made by the calculation
agent will be at the sole discretion of the calculation agent and, in the absence of manifest error, will be conclusive for all
purposes and binding on us and you. The calculation agent will have no liability for its determinations.
Market Disruption Events
A “market disruption event”
with respect to each Index means any of the following events as determined by the calculation agent in its sole discretion:
|
(A)
|
The occurrence or existence of a material suspension of or limitation imposed on trading by the
relevant stock exchanges or otherwise relating to securities which then comprise 20% or more of the level of that Index or any
successor equity index at any time during the one-hour period that ends at the close of trading on that day, whether by reason
of movements in price exceeding limits permitted by those relevant stock exchanges or otherwise.
|
|
(B)
|
The occurrence or existence of a material suspension of or limitation imposed on trading by any
related futures or options exchange or otherwise in futures or options contracts relating to that Index or any successor equity
index on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on that
day, whether by reason of movements in price exceeding limits permitted by the related futures or options exchange or otherwise.
|
|
(C)
|
The occurrence or existence of any event, other than an early closure, that materially disrupts
or impairs the ability of market participants in general to effect transactions in, or obtain market values for, securities that
then comprise 20% or more of the level of that Index or any successor equity index on their relevant stock exchanges at any time
during the one-hour period that ends at the close of trading on that day.
|
|
(D)
|
The occurrence or existence of any event, other than an early closure, that materially disrupts
or impairs the ability of market participants in general to effect transactions in, or obtain market values for, futures or options
contracts relating to that Index or any successor equity index on any related futures or options exchange at any time during the
one-hour period that ends at the close of trading on that day.
|
|
(E)
|
The closure on any exchange business day of the relevant stock exchanges on which securities that
then comprise 20% or more of the level of such Index or any successor equity index are traded or any related futures or options
exchange with respect to that Index or any successor equity index prior to its scheduled closing time unless the earlier closing
time is announced by the relevant stock exchange or related futures or options exchange, as applicable, at least one hour prior
to the earlier of (1) the actual closing time for the regular trading session on such relevant stock exchange or related futures
or options exchange, as applicable, and (2) the submission deadline for orders to be entered into the relevant stock exchange or
related futures or options exchange, as applicable, system for execution at such actual closing time on that day.
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
|
(F)
|
The relevant stock exchange for any security underlying that Index or successor equity index or
any related futures or options exchange with respect to that Index or successor equity index fails to open for trading during its
regular trading session.
|
For purposes of determining whether a market
disruption event has occurred with respect to an Index:
|
(1)
|
the relevant percentage contribution of a security to the level of that Index or any successor
equity index will be based on a comparison of (x) the portion of the level of such Index attributable to that security and (y)
the overall level of that Index or successor equity index, in each case immediately before the occurrence of the market disruption
event;
|
|
(2)
|
the “close of trading” on any trading day for that Index or any successor equity
index means the scheduled closing time of the relevant stock exchanges with respect to the securities underlying that Index or
successor equity index on such trading day; provided that, if the actual closing time of the regular trading session of any such
relevant stock exchange is earlier than its scheduled closing time on such trading day, then (x) for purposes of clauses (A) and
(C) of the definition of “market disruption event” above, with respect to any security underlying that Index or successor
equity index for which such relevant stock exchange is its relevant stock exchange, the “close of trading” means such
actual closing time and (y) for purposes of clauses (B) and (D) of the definition of “market disruption event” above,
with respect to any futures or options contract relating to that Index or successor equity index, the “close of trading”
means the latest actual closing time of the regular trading session of any of the relevant stock exchanges, but in no event later
than the scheduled closing time of the relevant stock exchanges;
|
|
(3)
|
the “scheduled closing time” of any relevant stock exchange or related futures
or options exchange on any trading day for that Index or any successor equity index means the scheduled weekday closing time of
such relevant stock exchange or related futures or options exchange on such trading day, without regard to after hours or any other
trading outside the regular trading session hours; and
|
|
(4)
|
an “exchange business day” means any trading day for that Index or any successor
equity index on which each relevant stock exchange for the securities underlying that Index or any successor equity index and each
related futures or options exchange with respect to that Index or any successor equity index are open for trading during their
respective regular trading sessions, notwithstanding any such relevant stock exchange or related futures or options exchange closing
prior to its scheduled closing time.
|
If a market disruption event occurs or is
continuing with respect to an Index on any calculation day, then that calculation day for such Index will be postponed to the first
succeeding trading day for that Index on which a market disruption event for such Index has not occurred and is not continuing;
however, if such first succeeding trading day has not occurred as of the eighth trading day for that Index after the originally
scheduled calculation day, that eighth trading day shall be deemed to be the calculation day for such Index. If a calculation day
has been postponed eight trading days for an Index after the originally scheduled calculation day and a market disruption event
occurs or is continuing with respect to such Index on such eighth trading day, the calculation agent will determine the closing
level of that Index on such eighth trading day in accordance with the formula for and method of calculating the closing level of
that Index last in effect prior to commencement of the market disruption event, using the closing price (or, with respect to any
relevant security, if a market disruption event has occurred with respect to such security, its good faith estimate of the value
of such security at the scheduled closing time of the relevant stock exchange for such security or, if earlier, the actual closing
time of the regular trading session of such relevant stock exchange As used herein, “closing price” means, with respect
to any security on any date, the relevant stock exchange traded or quoted price of such security as of the scheduled closing time
of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such
relevant stock exchange. Notwithstanding the postponement of a calculation day for an Index due to a market disruption event with
respect to such Index on such calculation day, the originally scheduled calculation day will remain the calculation day for any
Index not affected by a market disruption event on such day.
Adjustments to an Index
If at any time the method of calculating
an Index or a successor equity index, or the closing level thereof, is changed in a material respect, or if an Index or a successor
equity index is in any other way modified so that such index does not, in the opinion of the calculation agent, fairly represent
the level of such index had those changes or modifications not been made, then the calculation agent will, at the close of business
in New York, New York, on each date that the closing level of such index is to be calculated, make such calculations and adjustments
as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a level of an index comparable
to such Index or successor equity index as if those changes or modifications had not been made, and the calculation agent will
calculate the closing level of such Index or successor equity index with reference to such index, as so adjusted. Accordingly,
if the method of calculating an Index or successor equity index is modified so that the level of such index is a fraction or a
multiple of what it would have been if it had not been modified (e.g., due to a split or reverse split in such equity index),
then the calculation agent will adjust such Index or successor equity index in order to arrive at a level of such index as if it
had not been modified (e.g., as if the split or reverse split had not occurred).
Discontinuance of an Index
If a sponsor or publisher of an Index (each,
an “index sponsor”) discontinues publication of an Index, and such index sponsor or another entity publishes
a successor or substitute equity index that the calculation agent determines, in its sole discretion, to be comparable to such
Index (a “successor equity index”), then, upon the calculation agent’s notification of that determination
to the trustee, and the calculation agent will substitute the successor equity index as calculated by the relevant index sponsor
or any other entity for purposes of calculating the closing level of such Index on any date of determination. Upon any selection
by the calculation agent of a successor equity index, Bank of Montreal or one of its affiliates will cause notice to be given to
holders of the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
In the event that an index sponsor discontinues
publication of an Index prior to, and the discontinuance is continuing on, a calculation day and the calculation agent determines
that no successor equity index is available at such time, the calculation agent will calculate a substitute closing level for such
Index in accordance with the formula for and method of calculating such Index last in effect prior to the discontinuance, but using
only those securities that comprised such Index immediately prior to that discontinuance. If a successor equity index is selected
or the calculation agent calculates a level as a substitute for such Index, the successor equity index or level will be used as
a substitute for such Index for all purposes, including the purpose of determining whether a market disruption event exists.
If on a calculation day an index sponsor
fails to calculate and announce the level of an Index, the calculation agent will calculate a substitute closing level of such
Index in accordance with the formula for and method of calculating such Index last in effect prior to the failure, but using only
those securities that comprised such Index immediately prior to that failure; provided that, if a market disruption event
occurs or is continuing on such day with respect to such Index, then the provisions set forth above under “—Market
Disruption Events” shall apply in lieu of the foregoing.
Notwithstanding these alternative arrangements,
discontinuance of the publication of, or the failure by the relevant index sponsor to calculate and announce the level of, an Index
may adversely affect the value of the securities.
Events of Default and Acceleration
If an event of default with respect to the
securities has occurred and is continuing, the amount payable to a holder of a security upon any acceleration permitted by the
securities, with respect to each security, will be equal to the maturity payment amount, calculated as provided herein, plus a
portion of a final contingent coupon payment, if any. The maturity payment amount and any final contingent coupon payment will
be calculated as though the date of acceleration were the final calculation day. The final contingent coupon payment, if any, will
be prorated from and including the immediately preceding contingent coupon payment date to but excluding the date of acceleration.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
The S&P 500® Index is an equity index
that is intended to provide an indication of the pattern of common stock price movement in the large capitalization segment of
the United States equity market.
In addition, information about the S&P 500®
Index may be obtained from other sources including, but not limited to, the S&P 500® Index sponsor’s website
(including information regarding the S&P 500® Index’s sector weightings). We are not incorporating by
reference into this pricing supplement the website or any material it includes. Neither we nor the agent makes any representation
that such publicly available information regarding the S&P 500® Index is accurate or complete.
Historical Information
We obtained the closing levels of the S&P 500®
Index in the graph below from Bloomberg Financial Markets, without independent verification.
The following graph sets forth daily closing levels of the S&P
500® Index for the period from January 1, 2016 to March 30, 2021. The closing level on March 30, 2021 was 3,958.55. The
historical performance of the S&P 500® Index should not be taken as an indication of the future performance of the
S&P 500 Index during the term of the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
The Russell 2000® Index is
an equity index that is intended to track the performance of the small capitalization segment of the U.S. equity market.
In addition, information about the Russell
2000® Index may be obtained from other sources including, but not limited to, the Russell 2000® Index
sponsor’s website (including information regarding the Russell 2000® Index‘s sector weightings). We
are not incorporating by reference into this pricing supplement the website or any material it includes. Neither we nor the agent
makes any representation that such publicly available information regarding the Russell 2000® Index is accurate
or complete.
Historical Information
We obtained the closing levels of the Russell
2000® Index in the graph below from Bloomberg Financial Markets, without independent verification.
The following graph sets forth daily closing levels of the Russell
2000® Index for the period from January 1, 2016 to March 30, 2021. The closing level on March 30, 2021 was 2,195.796. The
historical performance of the Russell 2000® Index should not be taken as an indication of the future performance of the
Russell 2000® Index during the term of the securities.
Russell 2000® Index Daily
Closing Level
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
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 securities.
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 or individuals based 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 May, all eligible securities are ranked by their
total market capitalization. The largest 4,000 become the Russell 3000E Index, and the other FTSE Russell indexes are determined
from that set of securities. Reconstitution of the 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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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License Agreement
“Russell 2000®”
and “Russell 3000®” are trademarks of FTSE Russell and have been licensed for use by us.
The securities 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 securities or any member of the public regarding the advisability of investing in securities generally or in the securities
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 securities. FTSE Russell is not responsible for and has not reviewed the securities 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 securities.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY
AND/OR THE COMPLETENESS OF THE RTY OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS,
OR INTERRUPTIONS THEREIN. FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, INVESTORS,
OWNERS OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RTY OR ANY DATA INCLUDED THEREIN. FTSE RUSSELL MAKES
NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE
OR USE WITH RESPECT TO THE RTY OR ANY DATA INCLUDED HEREIN WITHOUT LIMITING ANY OF THE FOREGOING. IN NO EVENT SHALL FTSE RUSSELL
HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF
THE POSSIBILITY OF SUCH DAMAGES.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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The NASDAQ-100 Index® is
a modified market capitalization-weighted index of the 100 largest non-financial companies listed on The NASDAQ Stock Market.
In addition, information about the NASDAQ-100
Index® may be obtained from other sources including, but not limited to, the NASDAQ-100 Index® sponsor’s
website (including information regarding the NASDAQ-100 Index®’s sector weightings). We are not incorporating
by reference into this pricing supplement the website or any material it includes. Neither we nor the agent makes any representation
that such publicly available information regarding the NASDAQ-100 Index® is accurate or complete.
Historical Information
We obtained the closing levels of the NASDAQ-100
Index® in the graph below from Bloomberg Financial Markets, without independent verification.
The following graph sets forth daily closing levels of the NASDAQ-100
Index® for the period from January 1, 2016 to March 30, 2021. The closing level on March 30, 2021 was 12,896.53. The historical
performance of the NASDAQ-100 Index® should not be taken as an indication of the future performance of the NASDAQ-100 Index®
during the term of the securities.
NASDAQ-100 Index® Daily
Closing Level
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
The NASDAQ-100 Index®
The NASDAQ-100 Index®
(“NDX”) is a modified market capitalization-weighted index of the 100 largest stocks of both U.S. and non-U.S. non-financial
companies listed on The NASDAQ Stock Market. It does not contain securities of financial companies, including investment companies.
The NDX, 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, Inc. (“NASDAQ”) publishes
the NDX. Current information regarding the market value of the NDX is available from NASDAQ, as well as numerous market information
services.
The share weights of the component
securities of the NDX 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 NDX is directly
proportional to the value of its share weight.
Index Calculation
At any moment in time, the level
of the NDX 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 NDX. 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 NDX, a security must be listed on The NASDAQ Stock Market and meet the following criteria:
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the security’s U.S. listing must
be exclusively on the NASDAQ Global Select Market or the NASDAQ Global Market (unless the security was dually listed on another
U.S. market prior to January 1, 2004 and has continuously maintained that listing);
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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 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 NDX, 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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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 security must have traded for at least three full calendar months,
not including the month of initial listing, on an “eligible exchange,” as determined under the index rules.
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
Continued Eligibility Criteria
In addition,
to be eligible for continued inclusion in the NDX the following criteria apply:
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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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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 NDX 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 NDX 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.
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These eligibility criteria
may be revised from time to time by NASDAQ without regard to the securities.
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 NDX and that are ranked in the top 100 eligible securities (based on market capitalization)
are retained in the NDX. 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 NDX 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 NDX
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 to become ineligible for continued inclusion in the NDX, the security will be replaced
with the largest market capitalization security meeting the eligibility criteria listed above and not currently included in the
NDX.
Index Maintenance
In addition to the Ranking Review,
the securities in the NDX are monitored every day by NASDAQ 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 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 NDX 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 adjusts the divisor to ensure
that there is no discontinuity in the level of the NDX that might otherwise be caused by any of those changes. All changes will
be announced in advance.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
|
Index Rebalancing
The Index is rebalanced on a quarterly basis
in March, June, September and December in accordance with NASDAQ’s rules. Rebalance changes become effective after the close
of trading on the third Friday in March, June, September and December. A special rebalance may be conducted at any time based on
specified weighting restrictions if it is determined to be necessary to maintain the integrity of the underlying index.
License Agreement
The securities 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 securities. The Corporations make no representation or warranty, express or implied to the owners of the securities
or any member of the public regarding the advisability of investing in securities generally or in the securities particularly,
or the ability of the NDX 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 securities. NASDAQ has no obligation to take the needs of the Licensee or the owners of the securities 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 securities to be issued or in the determination
or calculation of the equation by which the securities is to be converted into cash. The Corporations have no liability in connection
with the administration, marketing or trading of the securities.
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 SECURITIES, 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.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Benefit Plan Investor Considerations
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A fiduciary of a pension, profit-sharing
or other employee benefit plan subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”
and, each such plan, an “ERISA Plan”) should consider the fiduciary standards of ERISA in the context of the
ERISA Plan’s particular circumstances before authorizing an investment in the securities. Among other factors, the fiduciary
should consider whether the investment would satisfy the prudence and diversification requirements of ERISA and would be consistent
with the documents and instruments governing the ERISA Plan, and whether the investment would involve a prohibited transaction
under Section 406 of ERISA or Section 4975 of the Internal Revenue Code of 1986, as amended (the “Code”).
Section 406 of ERISA and Section 4975
of the Code prohibit ERISA Plans, individual retirement accounts and Keogh plans subject to Section 4975 of the Code and entities
such as collective investment funds, partnerships or separate accounts whose underlying assets are deemed to include “plan
assets” of such ERISA Plans, accounts or plans (collectively, “Plans”), from engaging in certain transactions
involving “plan assets” with persons who are “parties in interest” under ERISA or “disqualified
persons” under the Code (in either case referred to herein as “parties in interest”) with respect
to such Plans. As a result of our business, we and our current and future affiliates may be parties in interest with respect to
many Plans. Where the Bank of Montreal or our affiliate is or becomes a party in interest with respect to a Plan, the purchase
and holding of the securities by or on behalf of the Plan could be a prohibited transaction under Section 406 of ERISA and/or Section
4975 of the Code and result in civil penalties or other liabilities under ERISA or an excise tax under Section 4975 of the Code
unless such acquisition and holding is pursuant to and in accordance with applicable statutory, regulatory or administrative relief.
In this regard, Section 408(b)(17)
of ERISA and Section 4975(d)(20) of the Code provide an exemption for the purchase and sale of securities and related lending
transactions where neither Bank of Montreal nor any of its affiliates have or exercise any discretionary authority or control or
render any investment advice with respect to the assets of the Plan involved in the transaction and the Plan pays no more and receives
no less than “adequate consideration” in connection with the transaction (the “Service Provider Exemption”).
Moreover, the United States Department of Labor has issued five prohibited transaction class exemptions, or “PTCEs”,
that may provide exemptive relief if required for direct or indirect prohibited transactions that may arise from the purchase or
holding of the securities. Those exemptions are:
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PTCE 84-14, an exemption for certain transactions determined or effected
by independent qualified professional asset managers;
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PTCE 90-1, an exemption for certain transactions involving insurance
company pooled separate accounts;
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PTCE 91-38, an exemption for certain transactions involving bank collective
investment funds;
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PTCE 95-60, an exemption for transactions involving certain insurance
company general accounts; and
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PTCE 96-23, an exemption for plan asset transactions managed by in-house
asset managers.
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Accordingly, the securities may not be purchased
or held by any Plan or any person investing “plan assets” of any plan, unless in each case the purchaser or
holder is eligible for exemptive relief under one or more of the PTCEs listed above or under the Service Provider Exemption or
there is some other basis on which the purchase and holding of the securities will not constitute a non-exempt prohibited transaction
under Section 406 of ERISA or Section 4975 of the Code. Each purchaser or holder of the securities or any interest therein will
therefore be deemed to have represented by such purchase and holding that it either (1) is not a Plan and is not purchasing
the securities on behalf of or with “plan assets” of any Plan or (2) its purchase and holding of the securities
will not result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code.
Certain employee benefit plans and arrangements
including those that are governmental plans (as defined in section 3(32) of ERISA), church plans (as defined in Section 3(33)
of ERISA) and non-U.S. plans (as described in Section 4(b)(4) of ERISA) (collectively, “Non-ERISA Arrangements”)
are not subject to the prohibited transaction rules of Section 406 of ERISA or Section 4975 of the Code, but may be subject to
similar rules under applicable laws or regulations (“Similar Laws”). As such, any purchaser or holder of the
securities or any interest in the securities which is, or is investing the assets of, a non-ERISA arrangement will be deemed to
have represented by its purchase and holding of the securities that such purchase and holding will not violate the provisions of
any Similar Laws.
Due to the complexity of these rules and
the penalties that may be imposed upon persons involved in non-exempt prohibited transactions, it is important that fiduciaries
or other persons considering purchasing the securities on behalf of or with “plan assets” of any Plan or non-ERISA
arrangement consult with their counsel regarding the availability of exemptive relief under any of the PTCEs listed above, the
Service Provider Exemption or any other applicable exemption, or the potential consequences of any purchase or holding under Similar
Laws, as applicable. If you are an insurance company or the fiduciary of a pension plan or an employee benefit plan, and propose
to invest in the securities, you should consult your legal counsel.
None of us, the agent or our respective
affiliates is undertaking to provide impartial investment advice, or to give advice in a fiduciary capacity, in connection with
the acquisition or holding of securities by any Plan or Non-ERISA Arrangement. Each purchaser and holder of the securities has
exclusive responsibility for ensuring that its purchase, holding and subsequent disposition of the securities do not violate the
fiduciary or prohibited transaction rules of ERISA, the Code or any Similar Laws. The sale of securities to any Plan or Non-ERISA
Arrangement is in no respect a representation by Bank of Montreal, the agent or any of our respective affiliates that such an investment
is appropriate for, or meets all applicable legal requirements with respect to investments by, Plans or Non-ERISA Arrangements.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Supplemental U.S. Federal Income Tax Considerations
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The following
is a general description of certain U.S. federal income tax considerations relating to the securities. It does not purport to be
a complete analysis of all U.S. federal income tax considerations relating to the securities. Prospective purchasers of the securities
should consult their tax advisors as to the consequences under the tax laws of the country of which they are resident for tax purposes
and the tax laws of Canada and the U.S. of acquiring, holding and disposing of the securities and receiving payments under the
securities. This summary is based upon the law as in effect on the date of this pricing supplement and is subject to any change
in law that may take effect after such date.
The following section supplements
and, to the extent applicable, supersedes the discussion of U.S. federal income taxation in the accompanying prospectus and prospectus
supplement with respect to United States holders (as defined in the accompanying prospectus) and non-United States holders (as
defined below). It applies only to those holders who are not excluded from the discussion of U.S. federal income taxation in the
accompanying prospectus. The discussion in this section does not apply to holders subject to special rules including holders subject
to Section 451(b) of the Code.
You should consult your tax advisor
concerning the U.S. federal income tax and other tax consequences of your investment in the securities in your particular circumstances,
including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws.
NO STATUTORY, JUDICIAL OR ADMINISTRATIVE
AUTHORITY DIRECTLY DISCUSSES HOW THE SECURITIES SHOULD BE TREATED FOR U.S. FEDERAL INCOME TAX PURPOSES. AS A RESULT, THE U.S. FEDERAL
INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE SECURITIES ARE UNCERTAIN. BECAUSE OF THE UNCERTAINTY, YOU SHOULD CONSULT YOUR TAX
ADVISOR IN DETERMINING THE U.S. FEDERAL INCOME TAX AND OTHER TAX CONSEQUENCES OF YOUR INVESTMENT IN THE SECURITIES, INCLUDING THE
APPLICATION OF STATE, LOCAL OR OTHER TAX LAWS AND THE POSSIBLE EFFECTS OF CHANGES IN FEDERAL OR OTHER TAX LAWS.
We will not attempt to ascertain
whether the issuer of any of the component stocks included in any Index would be treated as a “passive foreign investment
company” within the meaning of Section 1297 of the Code or a “United States real property holding corporation”
within the meaning of Section 897 of the Code. If the issuer of one or more of the stocks included in any Index were so treated,
certain adverse U.S. federal income tax consequences could possibly apply. You should refer to any available information filed
with the SEC by the issuers of the component stocks included in the Indices and consult your tax advisor regarding the possible
consequences to you in this regard.
We will treat the securities as not effectively
connected with our U.S. trade or business, as determined for U.S. federal income tax purposes. As a result, we intend to treat
any interest income with respect to the securities, as determined for U.S. federal income tax purposes, as foreign-sourced.
United States Holders
In the opinion of our counsel,
Morrison & Foerster LLP, it is reasonable to treat the securities described in this pricing supplement as a pre-paid cash-settled
contingent income-bearing derivative contract in respect of the Indices for U.S. federal income tax purposes, and by purchasing
a security, you agree with us (in the absence of a change in law or an administrative or judicial ruling to the contrary) to treat
the securities for all tax purposes in accordance with such characterization. Although the U.S. federal income tax treatment of
the contingent coupon payments is uncertain, we intend to take the position, and the following discussion assumes, that such contingent
coupon payments (including any contingent coupon payment on or with respect to the maturity date) constitute taxable ordinary income
to a United States holder at the time received or accrued in accordance with the holder’s regular method of accounting. If
the securities are treated as described above, it would be reasonable for a United States holder to take the position that it will
recognize capital gain or loss upon the sale or maturity of the securities in an amount equal to the difference between the amount
a United States holder receives at such time (other than amounts properly attributable to any interest payments, which would be
treated, as described above, as ordinary income) and the United States holder’s tax basis in the securities. In general,
a United States holder’s tax basis in the securities will be equal to the price the holder paid for the securities. Capital
gain recognized by an individual United States holder is generally taxed at ordinary income rates where the property is held for
one year or less. The deductibility of capital losses may be subject to limitations. The holding period for securities of a United
States holder who acquires the securities upon issuance generally will begin on the date after the issue date of the securities.
If the securities are held by the same United States holder until maturity, that holder’s holding period generally will include
the maturity date. It is possible that the Internal Revenue Service could assert that a United States holder’s holding period
in respect of the securities should end on the date on which the amount the holder is entitled to receive upon the maturity of
the securities is determined, even if the holder does not receive such amounts prior to the maturity of the securities. In such
case, a United States holder may be treated as having a holding period in respect of the securities that is one year or less even
if the holder receives cash upon maturity of the securities at a time that is more than one year after the beginning of its holding
period.
Alternative Treatments
Alternative tax treatments of
the securities are also possible and the Internal Revenue Service might assert that a treatment other than that described above
is more appropriate. For example, it would be possible to treat the securities, and the Internal Revenue Service might assert that
the securities should be treated, as a contingent payment debt instrument. If the securities are so treated, a United States holder
would generally be required to accrue interest currently over the term of the securities regardless of its method of tax accounting
based on our comparable yield for similar non-contingent debt, determined as of the time of issuance of the securities irrespective
of the contingent coupon payments, if any, paid on the securities. In addition, any gain a United States holder might recognize
upon the sale or maturity of the securities would be ordinary income and any loss recognized by such holder at such time would
be ordinary loss to the extent of interest that same holder included in income in the current or previous taxable years in respect
of the securities, and thereafter, would be capital loss.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Because of the absence of authority
regarding the appropriate tax characterization of the securities, it is also possible that the Internal Revenue Service could seek
to characterize the securities in a manner that results in other tax consequences that are different from those described above.
For example, the Internal Revenue Service could assert that any gain or loss that a holder may recognize upon the sale or maturity
of the securities should be treated as ordinary gain or loss.
The Internal Revenue Service has
released a notice that may affect the taxation of holders of the securities. According to the notice, the Internal Revenue Service
and the Treasury Department are actively considering whether the holder of an instrument such as the securities should be required
to accrue ordinary income on a current basis irrespective of any interest payments, and they sought taxpayer comments on the subject.
It is not possible to determine what guidance they will ultimately issue, if any. It is possible, however, that under such guidance,
holders of the securities will ultimately be required to accrue income currently, and this could be applied on a retroactive basis.
The Internal Revenue Service and the Treasury Department are also considering other relevant issues, including whether additional
gain or loss from such instruments should be treated as ordinary or capital and whether the special “constructive ownership
rules” of Section 1260 of the Code might be applied to such instruments. Holders are urged to consult their tax advisors
concerning the significance, and the potential impact, of the above considerations. We intend to treat the securities for U.S.
federal income tax purposes in accordance with the treatment described in this pricing supplement unless and until such time as
the Treasury Department and Internal Revenue Service determine that some other treatment is more appropriate.
Backup Withholding and Information
Reporting
Please see the discussion under
“United States Federal Income Taxation—Other Considerations—Backup Withholding and Information Reporting”
in the accompanying prospectus for a description of the applicability of the backup withholding and information reporting rules
to payments made on your securities.
Non-United States Holders
The following discussion applies
to non-United States holders of the securities. A non-United States holder is a beneficial owner of a security that, for U.S. federal
income tax purposes, is a non-resident alien individual, a foreign corporation, or a foreign estate or trust.
As referenced above, we intend
to treat payments with respect to a security as not effectively connected with our U.S. trade or business, and thus as foreign-sourced,
for U.S. federal income tax purposes. As a result, except as discussed below, generally a non-United States holder will not be
subject to U.S. federal income or withholding tax with respect to a security unless payments with respect to such security are
effectively connected with the conduct by the holder of a U.S. trade or business or, under certain limited circumstances, the holder
is a non-resident alien individual present in the United States for 183 days or more during the taxable year of the sale or maturity
of the securities.
Under Section 871(m) of the Code,
a “dividend equivalent” payment is treated as a dividend from sources within the United States and such payments generally
would be subject to a 30% U.S. withholding tax if paid to a non-United States holder. Under Treasury Department regulations, payments
(including deemed payments) with respect to equity -linked instruments (“ELIs”) that are “specified ELIs”
may be treated as dividend equivalents if such specified ELIs reference an interest in an “underlying security,” which
is generally any interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment with respect
to such interest could give rise to a U.S. source dividend. However, the Internal Revenue Service has issued guidance that states
that the Treasury Department and the Internal Revenue Service intend to amend the effective date of the Treasury regulations to
provide that withholding on “dividend equivalent” payments will not apply to specified ELIs that are not delta-one
instruments and that are issued before January 1, 2023. Based on the terms of the securities and certain representations provided
by us, the securities should not be delta-one instruments within the meaning of Section 871(m) of the Code and the Treasury regulations
promulgated thereunder. Accordingly, if the securities are not delta-one instruments and are issued before January 1, 2023, non-United
States holders should not be subject to withholding on dividend equivalent payments, if any, under the securities. However, it
is possible that the securities could be treated as deemed reissued for U.S. federal income tax purposes upon the occurrence of
certain events affecting the Indices or the securities, and following such occurrence the securities could be treated as subject
to withholding on dividend equivalent payments. Non-United States holders that enter, or have entered, into other transactions
in respect of the Indices, the Indices’ underlying equities or the securities should consult their tax advisors as to the
application of the dividend equivalent withholding tax in the context of the securities and their other transactions. If any payments
are treated as dividend equivalents subject to withholding, we (or the applicable paying agent) would be entitled to withhold taxes
without being required to pay any additional amounts with respect to amounts so withheld.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Foreign Account Tax Compliance
Act
The Foreign Account Tax Compliance Act (“FATCA”)
imposes a 30% U.S. withholding tax on certain U.S. source payments, including interest (and OID), dividends, other fixed or determinable
annual or periodical gains, profits, and income, and on the gross proceeds from a disposition of property of a type which can produce
U.S. source interest or dividends (“Withholdable Payments”), if paid to a foreign financial institution (including
amounts paid to a foreign financial institution on behalf of a holder), unless such institution enters into an agreement with the
Treasury Department to collect and provide to the Treasury Department substantial information regarding U.S. account holders, including
certain account holders that are foreign entities with U.S. owners, with such institution. FATCA also generally imposes a withholding
tax of 30% on Withholdable Payments made to a non-financial foreign entity unless such entity provides the withholding agent with
certain certifications. Proposed regulations eliminate the requirement under FATCA to withhold from the gross proceeds from the
disposition of financial instruments, and may be relied upon pending their finalization.
To the extent that the securities
and payments with respect thereto are properly treated as described herein for U.S. federal income tax purposes, we do not expect
FATCA withholding will apply to payments on the securities. However, if we (or an applicable withholding agent) determine withholding
is appropriate with respect to the securities, we (or such agent) will withhold tax at the applicable statutory rate, and we will
not pay any additional amounts in respect of such withholding. Holders are urged to consult with their own tax advisors regarding
the possible implications of this legislation on their investment in the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Supplemental Plan of Distribution (Conflicts of Interest)
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The securities are being purchased by the
agent as principal, pursuant to a distribution agreement between the agent and us. The agent has agreed to pay certain of our out-of-pocket
expenses of the issue of the securities.
From time to time, the agent and its affiliates
have engaged, and in the future may engage, in transactions with and performance of services for us for which they have been, and
may be, paid customary fees. In particular, an affiliate of the agent and/or one of our affiliates may be our hedge counterparty
for a hedge relating to our obligations under the securities.
In the future, the agent and its affiliates
may purchase and resell the offered securities in market-making transactions, with resales being made at prices related to prevailing
market prices at the time of resale or otherwise. Wells Fargo Securities, LLC may act as principal or agent in such transactions.
The agent has committed to purchase all of these securities in
the initial public offering of the securities if any are purchased. The agent will receive an underwriting discount of $21.75 per security.
The agent may resell the securities to other securities dealers at the original offering price of the securities less a concession not
in excess of $15.00 per security. These securities dealers may include WFA. In addition to the concession allowed to WFA, WFS will pay
$0.75 per security of the underwriting discount to WFA as a distribution expense fee for each security sold by WFA.
In addition, in respect of certain securities
sold in this offering, BMOCM may pay a fee of up to $1.00 per security to selected securities dealers in consideration for marketing
and other services in connection with the distribution of the securities to other securities dealers.
Proceeds to be received by us in this offering
will be net of the underwriting discount, commission and expenses payable by us.
The securities are new issues of securities
with no established trading markets. The securities will not be listed or displayed on any securities exchange or any automated
quotation system. Although WFS and/or its affiliates, and BMOCM and its affiliates, may buy the securities from investors, they
are not obligated to do so and are not required to make a market for the securities. There can be no assurance that a secondary
market will develop.
WFS has advised us that if it, WFA or any
of their affiliates makes a secondary market in the securities at any time up to the issue date or during the 4-month period following
the issue date, the secondary market price offered by it, WFA or any of their affiliates will be increased by an amount reflecting
a portion of the costs associated with selling, structuring and hedging the securities that are included in their original offering
price. Because this portion of the costs is not fully deducted upon issuance, WFS has advised us that any secondary market price
it, WFA or any of their affiliates offers during this period will be higher than it otherwise would be after this period, as any
secondary market price offered after this period will reflect the full deduction of the costs as described above. WFS has advised
us that the amount of this increase in the secondary market price will decline steadily to zero over this 4-month period.
Our broker-dealer subsidiary, BMOCM, does
not expect to make a market in the securities. If BMOCM determines that the agent is unable or unwilling to make a market in the
securities at any time, BMOCM may, but is not obligated to, make a market in the securities at that time. If BMOCM makes a market
in the securities at any time, its valuation of the securities may differ from the agent’s valuation, and consequently the
price at which it may be willing to purchase the securities may differ from (and be lower than) the price at which the agent would
have purchased the securities at that time.
We have agreed to indemnify the agent against
certain liabilities, including liabilities under the Securities Act of 1933, as amended.
No action has been or will be taken by us,
the agent or any broker-dealer affiliates of either us or the agent that would permit a public offering of the securities or possession
or distribution of this pricing supplement or the accompanying prospectus and prospectus supplement in any jurisdiction, other
than the United States, where action for that purpose is required. No offers, sales or deliveries of the securities, or distribution
of this pricing supplement or the accompanying prospectus supplement and prospectus, may be made in or from any jurisdiction except
in circumstances which will result in compliance with any applicable laws and regulations and will not impose any obligations on
us, the agent or any broker-dealer affiliates of either us or the agent.
Conflicts of Interest
Wells Fargo Securities, LLC is the agent
for the distribution of the securities and is an affiliate of Wells Fargo Bank, National Association, which acts as trustee under
the senior debt indenture governing the securities. Therefore, if a default occurs with respect to the securities, the trustee
would have a conflicting interest for purposes of the Trust Indenture Act of 1939, as amended (the “Trust Indenture Act”).
In that event, except in very limited circumstances, the trustee would be required to resign as trustee under the senior debt indenture
governing the securities and we would be required to appoint a successor trustee. If the trustee resigns following a default, it
may be difficult to identify and appoint a qualified successor trustee. The trustee will remain the trustee under the senior debt
indenture until a successor is appointed. During the period of time until a successor is appointed, the trustee will have both
(a) duties to holders of the securities under the senior debt indenture and (b) a conflicting interest under the senior debt indenture
for purposes of the Trust Indenture Act.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Selling Restrictions
The
securities and the related offer to purchase securities and sale of securities under the terms and conditions provided in this
pricing supplement and the related prospectus supplement and prospectus do not constitute a public offering in any non-U.S. jurisdiction,
and are being made available only to individually identified investors pursuant to a private offering as permitted in the relevant
jurisdiction. The securities are not, and will not be, registered with any securities exchange or registry located outside of the
United States and have not been registered with any non-U.S. securities or banking regulatory authority. The contents of this document
have not been reviewed or approved by any non-U.S. securities or banking regulatory authority. Any person who wishes to acquire
the securities from outside the United States should seek the advice
or legal counsel as to the relevant requirements to acquire these securities.
Argentina
The
securities are not and will not be marketed in Argentina by means of a public offering, as such term is defined under Section 2
of Law Number 26,831, as amended. No application has been or will be made with the Argentine Comisión Nacional de Valores,
the Argentine securities governmental authority, to offer the securities in
Argentina. The contents of this pricing supplement and the related prospectus supplement and prospectus have
not been reviewed by the Argentine Comisión Nacional de Valores.
Brazil
The
securities have not been, and will not be issued nor publicly placed, distributed, offered or negotiated in the Brazilian capital
markets and, as a result, have not been and will not be registered with the Comissão de Valores Mobiliáros (“CVM”).
Any public offering or distribution, as defined under Brazilian laws and regulations, of the securities in Brazil is not legal
without prior registration under Law 6,385/76, and CVM applicable regulation. Documents relating to the offering of the securities,
as well as information contained therein, may not be supplied to the public in Brazil (as the offering of the securities
is not a public offering of securities in
Brazil), nor be used in connection with any offer for subscription or sale of the securities to
the public in Brazil. Persons wishing to offer or acquire the securities within
Brazil should consult with their own counsel as to the applicability of registration requirements or any exemption therefrom.
British Virgin Islands
The securities have not been, and will not
be, registered under the laws and regulations of the British Virgin Islands, nor has any regulatory authority in the British Virgin
Islands passed comment upon or approved the accuracy or adequacy of this document. This pricing supplement and the related prospectus
supplement and prospectus shall not constitute an offer, invitation or solicitation to any member of the public in the British
Virgin Islands for the purposes of the Securities and Investment Business Act, 2010, of the British Virgin Islands.
Chile
Neither the issuer nor the securities have
been registered with the Comisión Para el Mercado Financiero pursuant to Law No. 18.045, the Ley de Mercado de Valores and
regulations thereunder, so they cannot be publicly offered in Chile. This pricing supplement (and the related prospectus supplement
and prospectus) do not constitute an offer of, or an invitation to subscribe for or purchase, the securities in the republic of
Chile, other than to individually identified buyers pursuant to a private offering within the meaning of Article 4 of the Ley de
Mercado de Valores (an offer that is not addressed to the public at large or to a certain sector or specific group of the public).
European Economic Area
The securities are not intended to be offered,
sold or otherwise made available to, and should not be offered, sold or otherwise made available to, any retail investor in the
European Economic Area (the “EEA”) or in the U.K. For these purposes, the expression “offer” includes the
communication in any form and by any means of sufficient information on the terms of the offer and the securities to be offered
so as to enable an investor to decide to purchase or subscribe the securities, and a “retail investor” means a person
who is one (or more) of: (a) a retail client, as defined in point (11) of Article 4(1) of Directive 2014/65/EU, as amended (“MiFID
II”); or (b) a customer, within the meaning of Directive (EU) 2016/97, as amended, where that customer would not qualify
as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (c) not a qualified investor as defined in Regulation
(EU) 2017/1129 (“the Prospectus Regulation”). Consequently, no key information document required by Regulation (EU)
No 1286/2014, as amended (the “PRIIPs Regulation”), for offering or selling the securities or otherwise making them
available to retail investors in the EEA or in the U.K. has been prepared, and therefore, offering or selling the securities or
otherwise making them available to any retail investor in the EEA or in the U.K. may be unlawful under the PRIIPs Regulation.
Mexico
The securities have not been registered
with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered
or sold publicly in Mexico. This pricing supplement and the related prospectus supplement and prospectus may not be publicly distributed
in Mexico. The securities may only be offered in a private offering pursuant to Article 8 of the Securities Market Law.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
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Panama
The securities have not been and will not
be registered with the Superintendency of Securities Market of the Republic of Panama under Decree Law N°1 of July 8, 1999
(the “Panamanian Securities Act”) and may not be publicly offered or sold within Panama, except in certain limited
transactions exempt from the registration requirements of the Panamanian Securities Act, including the private placement rule based
on number 2 of Article 83 of Law Decree 1 of July 8, 1999 (or number 2 of Article 129 of the Unified Text of Law Decree 1 of July
8, 1999). The securities do not benefit from the tax incentives provided by the Panamanian Securities Act and are not subject to
regulation or supervision by the Superintendency of Securities Market of the Republic of Panama.
Paraguay
The sale of the securities qualifies as
a private placement pursuant to Law No. 5810/17 “Stock Market”. The securities must not be offered or sold to the public
in Paraguay, except under circumstances which do not constitute a public offering in accordance with Paraguayan regulations. The
securities are not and will not be registered before the Paraguayan securities supervisory body Comisión Nacional de Valores
(“CNV”) the Paraguayan private stock exchange Bolsa de Valores y Productos de Asunción (“BVPASA”).
The issuer is also not registered before the CNV or the BVPASA.
In no case may securities not registered
before the CNV be offered to the general public via mass media such as press, radio, television, or internet when such media are
publicly accessible in the Republic of Paraguay, regardless of the location from where they are issued.
The privately placed securities are not
registered with the National Securities Commission, and therefore do not have tax benefits and are not negotiable through the BVPASA.
Privately placed securities may have less liquidity, making it difficult to sell such securities in the secondary market, which
could also affect the sale price. Private securities of issuers not registered before the CNV may not have periodic financial information
or audited financial statements, which could generate greater risk to the investor due to the asymmetry of information. It is the
responsibility of the investor to ascertain and assess the risk assumed in the acquisition of the security.
Peru
The securities have not been and will not
be registered with the Capital Markets Public Registry of the Capital Markets Superintendence (“SMV”) nor the
Lima Stock Exchange Registry (“RBVL”) for their public offering in Peru under the Peruvian Capital Markets Law
(Law No. 861/ Supreme Decree No. 093-2002) and the decrees and regulations thereunder. Consequently, the securities may not be
offered or sold, directly or indirectly, nor may this pricing supplement or the related prospectus supplement, the prospectus or
any other material relating to the securities be distributed or caused to be distributed in Peru to the general public. The securities
may only be offered in a private offering under Peruvian regulation and without using mass marketing, which is defined as a marketing
strategy utilizing mass distribution and mass media to offer, negotiate or distribute securities to the whole market. Mass media
includes newspapers, magazines, radio, television, mail, meetings, social networks, Internet servers located in Peru, and other
media or technology platforms.
Taiwan
The securities may be made available outside
Taiwan for purchase by Taiwan residents outside Taiwan but may not be offered or sold in Taiwan.
Uruguay
The sale of the securities qualifies as a private placement
pursuant to section 2 of Uruguayan law 18,627. The securities must not be offered or sold to the public in Uruguay, except in
circumstances which do not constitute a public S-31 offering or distribution under Uruguayan laws and regulations. The securities
are not and will not be registered with the Financial Services Superintendency of the Central Bank of Uruguay.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the NASDAQ-100 Index® due March 27, 2025
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Validity Of The Securities
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In the opinion of Osler, Hoskin & Harcourt LLP, the issue and sale
of the securities 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 securities, the securities
will have been validly executed and issued and, to the extent validity of the securities 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 Morrison & Foerster LLP, when the pricing supplement has been
attached to, and duly notated on, the master note that represents the securities, and the securities have been issued and sold as contemplated
by the prospectus supplement and the prospectus, the securities 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. 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 and other sources as to certain
factual matters, all as stated in the legal opinion dated April 20, 2020, which has been filed as Exhibit 5.4 to the Bank’s Form
6-K dated April 20, 2020.
PRS-39
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