You should read this document together with the product
supplement dated June 5, 2020, the prospectus supplement dated April 20, 2020 and the prospectus dated April 20, 2020. This
document, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade
ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours or the agent.
You should carefully consider, among other things, the matters set forth in Additional Risk Factors Relating to the Notes in the
product supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 927971.
As used in this document, "we", "us" or "our" refers to Bank of Montreal.
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Reference Assets. These risks are explained in more detail
in the “Additional Risk Factors Relating to the Notes” section of the product supplement.
General Risk Factors
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Your investment is subject to the credit risk of Bank of Montreal. — Our credit ratings and credit spreads may
adversely affect the market value of the notes. Investors are dependent on our ability to pay any amounts due on the notes, and
therefore investors are subject to our credit risk and to changes in the market’s view of our creditworthiness. Any decline
in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely
affect the value of the notes.
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Potential conflicts. — We and our affiliates play a variety of roles in connection with the issuance of the notes,
including acting as calculation agent. In performing these duties, the economic interests of the calculation agent and other affiliates
of ours are potentially adverse to your interests as an investor in the notes. We or one or more of our affiliates may also engage
in trading of securities included in a Reference Asset on a regular basis as part of our general broker-dealer and other businesses,
for proprietary accounts, for other accounts under management or to facilitate transactions for our customers. Any of these activities
could adversely affect the level of the Reference Assets and, therefore, the market value of, and the payments on, the notes. We
or one or more of our affiliates may also issue or underwrite other securities or financial or derivative instruments with returns
linked or related to changes in the performance of the Reference Assets. By introducing competing products into the marketplace
in this manner, we or one or more of our affiliates could adversely affect the market value of the notes.
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Our initial estimated value of the notes is lower than the price to public. — Our initial estimated value of
the notes is only an estimate, and is based on a number of factors. The price to public of the notes exceeds our initial estimated
value, because costs associated with offering, structuring and hedging the notes are included in the price to public, but are not
included in the estimated value. These costs include any underwriting discount and selling concessions, the profits that we and
our affiliates expect to realize for assuming the risks in hedging our obligations under the notes and the estimated cost of hedging
these obligations.
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Our initial estimated value does not represent any future value of the notes, and may also differ from the estimated value
of any other party. — Our initial estimated value of the notes as of the date hereof is derived using our internal pricing
models. This value is based on market conditions and other relevant factors, which include volatility of the Reference Assets,
dividend rates and interest rates. Different pricing models and assumptions could provide values for the notes that are greater
than or less than our initial estimated value. In addition, market conditions and other relevant factors after the Pricing Date
are expected to change, possibly rapidly, and our assumptions may prove to be incorrect. After the Pricing Date, the value of the
notes could change dramatically due to changes in market conditions, our creditworthiness, and the other factors set forth herein
and in the product supplement. These changes are likely to impact the price, if any, at which we or BMOCM would be willing to purchase
the notes from you in any secondary market transactions. Our initial estimated value does not represent a minimum price at which
we or our affiliates would be willing to buy your notes in any secondary market at any time.
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The terms of the notes were not determined by reference to the credit spreads for our conventional fixed-rate debt.
— To determine the terms of the notes, we used an internal funding rate that represents a discount from the credit spreads
for our conventional fixed-rate debt. As a result, the terms of the notes are less favorable to you than if we had used a higher
funding rate.
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Certain costs are likely to adversely affect the value of the notes. — Absent any changes in market conditions,
any secondary market prices of the notes will likely be lower than the price to public. This is because any secondary market prices
will likely take into account our then-current market credit spreads, and because any secondary market prices are likely to exclude
all or a portion of any underwriting discount and selling concessions, and the hedging profits and estimated hedging costs that
are included in the price to public of the notes and that may be reflected on your account statements. In addition, any such price
is also likely to reflect a discount to account for costs associated with establishing or unwinding any related hedge transaction,
such as dealer discounts, mark-ups and other transaction costs. As a result, the price, if any, at which BMOCM or any other party
may be willing to purchase the notes from you in secondary market transactions, if at all, will likely be lower than the price
to public. Any sale that you make prior to the Maturity Date could result in a substantial loss to you.
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Lack of liquidity. — The notes will not be listed on any securities exchange. BMOCM may offer to purchase the
notes in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes,
the price at which you may be able to trade the notes is likely to depend on the price, if any, at which BMOCM is willing to buy
the notes.
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Hedging and trading activities. — We or any of our affiliates have carried out or may carry out hedging activities
related to the notes, including purchasing or selling shares of securities included in the Reference Assets, futures or options
relating to the Reference Assets or securities included in the Reference Assets or other derivative instruments with return liked
or related to changes in the performance on the Reference Assets or securities included in the Reference Assets. We or our affiliates
may also trade in the securities included in the Reference Assets or instruments related to the Reference Assets or such securities
from time to time. Any of these hedging or trading activities on or prior to the Pricing Date and during the term of the notes
could adversely affect the payments on the notes.
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Many economic and market factors will influence the value of the notes. — In addition to the levels of the Reference
Assets and interest rates on any trading day, the value of the notes will be affected by a number of economic and market factors
that may either offset or magnify each other, and which are described in more detail in the product supplement.
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Significant aspects of the tax treatment of the notes are uncertain. — The tax treatment of the notes is uncertain.
We do not plan to request a ruling from the Internal Revenue Service or from any Canadian authorities regarding the tax treatment
of the notes, and the Internal Revenue Service or a court may not agree with the tax treatment described herein.
The Internal Revenue Service has released a notice that may affect the taxation of holders of “prepaid forward contracts”
and similar instruments. According to the notice, the Internal Revenue Service and the U.S. Treasury are actively considering whether
the holder of such instruments should be required to accrue ordinary income on a current basis. While it is not clear whether the
notes would be viewed as similar to such instruments, it is possible that any future guidance could materially and adversely affect
the tax consequences of an investment in the notes, possibly with retroactive effect.
Please read carefully the section entitled "U.S. Federal Tax Information" herein, the section entitled "Supplemental
Tax Considerations–Supplemental U.S. Federal Income Tax Considerations" in the accompanying product supplement, the
section entitled "United States Federal Income Taxation" in the accompanying prospectus and the section entitled "Certain
Income Tax Consequences" in the accompanying prospectus supplement. You should consult your tax advisor about your own tax
situation.
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Examples of the Hypothetical Payments for a $1,000 Investment in the Notes
The following examples illustrate the hypothetical payments
on a note upon an automatic call or at maturity. The hypothetical payments are based on a $1,000 investment in the note, a hypothetical
Initial Level of 100.00, a hypothetical Trigger Level of 65.00 (65.00% of the hypothetical Initial Level), a hypothetical Call
Level of 100.00 (100.00% of the hypothetical Initial Level), hypothetical Call Amounts representing a return of 7.25% per annum,
a range of hypothetical closing levels and the effect on the payments on the notes.
The hypothetical examples shown below are intended to help
you understand the terms of the notes. The actual cash amount that you will receive will depend upon the levels of the Reference
Assets on the Observation Dates and on the Valuation Date.
Hypothetical Examples of Amounts Payable Upon an Automatic Call –
The following hypothetical examples illustrate how hypothetical payments are calculated upon an automatic call.
Example 1: The closing level of the Least Performing Reference Asset increases
by 25% from the Initial Level to a closing level of 125 on the first Observation Date. Because the closing level of each Reference
Asset on the first Observation Date is greater than its Call Level, the investor receives on the first Call Settlement Date a cash
payment of $1,036.26, representing the principal amount plus the corresponding hypothetical Call Amount. After the notes are called,
they will no longer remain outstanding and there will be no further payments on the notes.
Example 2: The closing level of the Least Performing Reference Asset decreases
by 10% from the Initial Level to a closing level of 90 on the first Observation Date, but the closing level of the Least Performing
Reference Asset increases by 10% from the Initial Level to a closing level of 110 on the second Observation Date. Because the
notes are not called on the first Observation Date and the closing level of each Reference Asset on the second Observation Date
is greater than its Call Level, the investor receives on the second Call Settlement Date a cash payment of $1,054.39, representing
principal amount plus the corresponding hypothetical Call Amount. After the notes are called, they will no longer remain outstanding
and there will be no further payments on the notes.
Example 3: The notes are not called on any of the Observation Dates prior
to the final Observation Date, and the closing level of the Least Performing Reference Asset increases by 20% from the Initial
Level to 120 on the Valuation Date. Because the notes are not called on any of the preceding Observation Dates and the closing
level of each Reference Asset on the Valuation Date is greater than its Call Level, the investor receives on the maturity date
a cash payment of $1,362.60, representing the principal amount plus the corresponding hypothetical Call Amount.
Hypothetical Examples of Amounts Payable at Maturity – The
following hypothetical examples illustrate how hypothetical payments at maturity are calculated, assuming the notes have not
been automatically called.
Example 4: The closing level of the Least Performing Reference Asset decreases
by 15% from the Initial Level to its Final Level of 85 on the Valuation Date. The notes are not called on any Observation Date
because the closing level of at least one Reference Asset is below its Call Level on each Observation Date (including the Valuation
Date). Because the Final Level of the Least Performing Reference Asset is less than its Initial Level but is greater than its Trigger
Level, the investor receives at maturity, a cash payment of $1,000 per note, despite the decline in the closing level of the Least
Performing Reference Asset.
Example 5: The closing level of the Least Performing Reference Asset decreases
by 50% from the Initial Level to its Final Level of 50 on the Valuation Date, which is less than its Trigger Level. The notes
are not called on any Observation Date because the closing level of at least one Reference Asset is below its Call Level on each
Observation Date (including the Valuation Date). Because the Final Level of the Least Performing Reference Asset is less than its
Initial Level as well as its Trigger Level, the investor receives at maturity, a cash payment of $500 per note, calculated as follows:
Principal Amount + [Principal Amount × Percentage
Change of the Least Performing Reference Asset]
= $1,000 + [$1,000 x -50%] = $1,000 - $500 = $500
The payments shown above are entirely hypothetical; they are based on levels
of the Reference Assets that may not be achieved and on assumptions that may prove to be erroneous. The actual market value of
your notes at maturity or at any other time, including any time you may wish to sell your notes, may bear little relation to the
hypothetical payments at maturity shown above, and those amounts should not be viewed as an indication of the financial return
on an investment in the notes or on an investment in the securities included in any Reference Asset.
U.S. Federal Tax Information
By purchasing the notes, each holder agrees (in the absence
of a change in law, an administrative determination or a judicial ruling to the contrary) to treat each note as a pre-paid derivative
contract for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the notes
are uncertain and the Internal Revenue Service could assert that the notes should be taxed in a manner that is different from that
described in the preceding sentence. Please see the discussion (including the opinion of our counsel Mayer Brown LLP) in the product
supplement dated June 5, 2020 under “Supplemental Tax Considerations—Supplemental U.S. Federal Income Tax Considerations,”
which applies to the notes.
Additional Information Relating to the Estimated Initial Value of the Notes
Our estimated initial value of the notes on the date hereof
that is set forth on the cover hereof equals the sum of the values of the following hypothetical components:
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a fixed-income debt component with the same tenor as the notes, valued using our internal funding rate for structured notes;
and
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one or more derivative transactions relating to the economic terms of the notes.
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The internal funding rate used in the determination of
the initial estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The value
of these derivative transactions are derived from our internal pricing models. These models are based on factors such as the traded
market prices of comparable derivative instruments and on other inputs, which include volatility, dividend rates, interest rates
and other factors. As a result, the estimated initial value of the notes on the Pricing Date was determined based on the market
conditions on the Pricing Date.
The Reference Assets
All disclosures contained in this pricing supplement regarding
the Reference Assets, including, without limitation, their make-up, method of calculation, and changes in their components and
their historical closing levels, have been derived from publicly available information prepared by the applicable sponsors. The
information reflects the policies of, and is subject to change by, the sponsors. The sponsors own the copyrights and all rights
to the Reference Assets. The sponsors are under no obligation to continue to publish, and may discontinue publication of, the Reference
Assets. Neither we nor BMO Capital Markets Corp. accepts any responsibility for the calculation, maintenance or publication of
and Reference Asset or any successor. We encourage you to review recent levels of the Reference Assets prior to making an investment
decision with respect to the notes.
The Dow Jones Industrial Average® (“INDU”)
The INDU is a price-weighted index, which means an underlying
stock’s weight in the INDU is based on its price per share rather than the total market capitalization of the issuer. The
INDU is designed to provide an indication of the composite performance of 30 common stocks of corporations representing a broad
cross-section of U.S. industry. The corporations represented in the INDU tend to be market leaders in their respective industries
and their stocks are typically widely held by individuals and institutional investors.
The INDU is maintained by an Averages Committee comprised
of three representatives of S&P Dow Jones Indices and two representatives of The Wall Street Journal (“WSJ”). The
Averages Committee was created in March 2010, when Dow Jones Indexes became part of CME Group Index Services, LLC, a joint venture
company owned by CME Group Inc. and by Dow Jones & Company. Generally, composition changes occur only after mergers, corporate
acquisitions or other dramatic shifts in a component's core business. When such an event necessitates that one component be replaced,
the entire INDU is reviewed. As a result, when changes are made they typically involve more than one component. While there are
no rules for component selection, a stock typically is added only if the company has an excellent reputation, demonstrates sustained
growth and is of interest to a large number of investors.
Changes in the composition of the INDU are made entirely
by the Averages Committee without consultation with the corporations represented in the INDU, any stock exchange, any official
agency or us. Unlike most other indices, which are reconstituted according to a fixed review schedule, constituents of the INDU
are reviewed on an as-needed basis. Changes to the common stocks included in the INDU tend to be made infrequently, and the underlying
stocks of the INDU may be changed at any time for any reason. The companies currently represented in the INDU are incorporated
and headquartered in the United States and its territories and their stocks are listed on the New York Stock Exchange and Nasdaq.
The INDU initially consisted of 12 common stocks and was
first published in the WSJ in 1896. The INDU was increased to include 20 common stocks in 1916 and to 30 common stocks in 1928.
The number of common stocks in the INDU has remained at 30 since 1928, and, in an effort to maintain continuity, the constituent
corporations represented in the INDU have been changed on a relatively infrequent basis.
Computation of the INDU
The level of the INDU is the sum of the primary exchange
prices of each of the 30 component stocks included in the INDU, divided by a divisor that is designed to provide a meaningful continuity
in the level of the INDU. Because the INDU is price-weighted, stock splits or changes in the component stocks could result in distortions
in the index level. In order to prevent these distortions related to extrinsic factors, the divisor is periodically changed in
accordance with a mathematical formula that reflects adjusted proportions within the INDU. The current divisor of the INDU is published
daily in the WSJ and other publications. In addition, other statistics based on the INDU may be found in a variety of publicly
available sources.
License Agreement
We and S&P Dow Jones Indices LLC (“S&P”)
have entered into a non-exclusive license agreement providing for the license to us and certain of our affiliates, in exchange
for a fee, of the right to use the INDU, in connection with certain securities, including the notes. The INDU is owned and published
by S&P.
The license agreement between S&P and us provides that
the following language must be set forth in this pricing supplement:
The notes are not sponsored, endorsed, sold or promoted
by S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, Standard and Poor’s Financial Services LLC or any of
their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation
or warranty, express or implied, to the holders of the notes or any member of the public regarding the advisability of investing
in securities generally or in the notes particularly or the ability of the INDU to track general market performance. S&P Dow
Jones Indices’ only relationship to us with respect to the INDU is the licensing of the Index and certain trademarks, service
marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The INDU is determined, composed and calculated
by S&P Dow Jones Indices without regard to us or the notes. S&P Dow Jones Indices have no obligation to take our needs
or the needs of holders of the notes into consideration in determining, composing or calculating the INDU. S&P Dow Jones Indices
are not responsible for and have not participated in the determination of the prices, and amount of the notes or the timing of
the issuance or sale of the notes or in the determination or calculation of the equation by which the notes are to be converted
into cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading
of the notes. There is no assurance that investment products based on the INDU will accurately track index performance or provide
positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion of a security
or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security or
futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its affiliates
may independently issue and/or sponsor financial products unrelated to the notes currently being issued by us, but which may be
similar to and competitive with the notes. In addition, CME Group Inc. and its affiliates may trade financial products which are
linked to the performance of the INDU. It is possible that this trading activity will affect the value of the notes.
S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY,
ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDU OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED
TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT
BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS
OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR
AS TO RESULTS TO BE OBTAINED BY US, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDU OR WITH RESPECT
TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE
FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING
LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT
LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES
AND US, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
S&P® is a registered trademark of Standard &
Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. These trademarks
have been licensed for use by Bank of Montreal. “Dow Jones®”, “DJIA®”, “Dow Jones Industrial
Average®” and “The Dow®” are trademarks of Dow Jones Trademark Holdings LLC. The notes are not sponsored,
endorsed, sold or promoted by S&P Dow Jones Indices and S&P Dow Jones Indices makes no representation regarding the advisability
of investing in the notes.
The S&P 500® Index
The S&P 500® Index is intended to provide an indication
of the pattern of common stock price movement. The calculation of the level of this Reference Asset is based on the relative value
of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average market
value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943.
S&P calculates this Reference Asset by reference to
the prices of the constituent stocks of this Reference Asset without taking account of the value of dividends paid on those stocks.
As a result, the return on the notes will not reflect the return you would realize if you actually owned the constituent stocks
of the S&P 500® Index and received the dividends paid on those stocks.
Computation of the S&P 500® Index
While S&P currently employs the following methodology
to calculate the S&P 500® Index, no assurance can be given that S&P will not modify or change this methodology in a
manner that may affect the Payment at Maturity.
Historically, the market value of any component stock of
the S&P 500® Index was calculated as the product of the market price per share and the number of then outstanding shares
of such component stock. In March 2005, S&P began shifting the S&P 500® Index halfway from a market capitalization
weighted formula to a float-adjusted formula, before moving the S&P 500® Index to full float adjustment on September 16,
2005. S&P’s criteria for selecting stocks for the S&P 500® Index did not change with the shift to float adjustment.
However, the adjustment affects each company’s weight in the S&P 500® Index.
Under float adjustment, the share counts used in calculating
the S&P 500® Index reflect only those shares that are available to investors, not all of a company’s outstanding
shares. Float adjustment excludes shares that are closely held by control groups, other publicly traded companies or government
agencies.
In September 2012, all shareholdings representing more
than 5% of a stock’s outstanding shares, other than holdings by “block owners,” were removed from the float for
purposes of calculating the S&P 500® Index. Generally, these “control holders” will include officers and directors,
private equity, venture capital and special equity firms, other publicly traded companies that hold shares for control, strategic
partners, holders of restricted shares, ESOPs, employee and family trusts, foundations associated with the company, holders of
unlisted share classes of stock, government entities at all levels (other than government retirement/pension funds) and any individual
person who controls a 5% or greater stake in a company as reported in regulatory filings. However, holdings by block owners, such
as depositary banks, pension funds, mutual funds and ETF providers, 401(k) plans of the company, government retirement/pension
funds, investment funds of insurance companies, asset managers and investment funds, independent foundations and savings and investment
plans, will ordinarily be considered part of the float.
Treasury stock, stock options, equity participation units,
warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held in a trust to allow investors in
countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares are normally part of the
float unless those shares form a control block.
For each stock, an investable weight factor (“IWF”)
is calculated by dividing the available float shares by the total shares outstanding. Available float shares are defined as the
total shares outstanding less shares held by control holders. This calculation is subject to a 5% minimum threshold for control
blocks. For example, if a company’s officers and directors hold 3% of the company’s shares, and no other control group
holds 5% of the company’s shares, S&P would assign that company an IWF of 1.00, as no control group meets the 5% threshold.
However, if a company’s officers and directors hold 3% of the company’s shares and another control group holds 20%
of the company’s shares, S&P would assign an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding
shares are considered to be held for control. As of July 31, 2017, companies with multiple share class lines are no longer eligible
for inclusion in the S&P 500® Index. Constituents of the S&P 500® Index prior to July 31, 2017 with multiple share
class lines were grandfathered in and continue to be included in the S&P 500® Index. If a constituent company of the S&P
500® Index reorganizes into a multiple share class line structure, that company will remain in the S&P 500® Index at
the discretion of the S&P Index Committee in order to minimize turnover.
The S&P 500® Index is calculated using a base-weighted
aggregate methodology. The level of the S&P 500® Index reflects the total market value of all 500 component stocks relative
to the base period of the years 1941 through 1943. An indexed number is used to represent the results of this calculation in order
to make the level easier to use and track over time. The actual total market value of the component stocks during the base period
of the years 1941 through 1943 has been set to an indexed level of 10. This is often indicated by the notation 1941-43 = 10. In
practice, the daily calculation of the S&P 500® Index is computed by dividing the total market value of the component stocks
by the “index divisor.” By itself, the index divisor is an arbitrary number. However, in the context of the calculation
of the S&P 500® Index, it serves as a link to the original base period level of the S&P 500® Index. The index divisor
keeps the S&P 500® Index comparable over time and is the manipulation point for all adjustments to the S&P 500®
Index, which is index maintenance.
Index Maintenance
Index maintenance includes monitoring and completing the
adjustments for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due
to company restructuring or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the
common shares outstanding and the stock prices of the companies in the S&P 500® Index, and do not require index divisor
adjustments.
To prevent the level of the S&P 500® Index from
changing due to corporate actions, corporate actions which affect the total market value of the S&P 500® Index require
an index divisor adjustment. By adjusting the index divisor for the change in market value, the level of the S&P 500® Index
remains constant and does not reflect the corporate actions of individual companies in the S&P 500® Index. Index divisor
adjustments are made after the close of trading and after the calculation of the S&P 500® Index closing level.
Changes in a company’s total shares outstanding of
5% or more due to public offerings are made as soon as reasonably possible. Other changes of 5% or more (for example, due to tender
offers, Dutch auctions, voluntary exchange offers, company stock repurchases, private placements, acquisitions of private companies
or non-index companies that do not trade on a major exchange, redemptions, exercise of options, warrants, conversion of preferred
stock, notes, debt, equity participations, at-the-market stock offerings or other recapitalizations) are made weekly, and are generally
announced on Fridays for implementation after the close of trading the following Friday (one week later). If a 5% or more share
change causes a company’s IWF to change by five percentage points or more, the IWF is updated at the same time as the share
change. IWF changes resulting from partial tender offers are considered on a case-by-case basis.
License Agreement
We and S&P Dow Jones Indices LLC (“S&P”)
have entered into a non-exclusive license agreement providing for the license to us and certain of our affiliates, in exchange
for a fee, of the right to use the S&P 500® Index, in connection with certain securities, including the notes. The S&P
500® Index is owned and published by S&P.
The license agreement between S&P and us provides that
the following language must be set forth in this pricing supplement:
The notes are not sponsored, endorsed, sold or promoted
by S&P Dow Jones Indices LLC, Dow Jones, Standard and Poor’s Financial Services LLC or any of their respective affiliates
(collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express
or implied, to the holders of the notes or any member of the public regarding the advisability of investing in securities generally
or in the notes particularly or the ability of the S&P 500® Index to track general market performance. S&P Dow Jones
Indices’ only relationship to us with respect to the S&P 500® Index is the licensing of the Index and certain trademarks,
service marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The S&P 500® Index is determined,
composed and calculated by S&P Dow Jones Indices without regard to us or the notes. S&P Dow Jones Indices have no obligation
to take our needs or the needs of holders of the notes into consideration in determining, composing or calculating the S&P
500® Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices,
and amount of the notes or the timing of the issuance or sale of the notes or in the determination or calculation of the equation
by which the notes are to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection with
the administration, marketing or trading of the notes. There is no assurance that investment products based on the S&P 500®
Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries
are not investment advisors. Inclusion of a security or futures contract within an index is not a recommendation by S&P Dow
Jones Indices to buy, sell, or hold such security or futures contract, nor is it considered to be investment advice. Notwithstanding
the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the notes
currently being issued by us, but which may be similar to and competitive with the notes. In addition, CME Group Inc. and its affiliates
may trade financial products which are linked to the performance of the S&P 500® Index. It is possible that this trading
activity will affect the value of the notes.
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OR USE OR AS TO RESULTS TO BE OBTAINED BY US, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500®
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S&P® is a registered trademark of Standard &
Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. These trademarks
have been licensed for use by Bank of Montreal. “Standard & Poor’s®”, “S&P 500®”
and “S&P®” are trademarks of S&P. The notes are not sponsored, endorsed, sold or promoted by S&P and
S&P makes no representation regarding the advisability of investing in the notes.
The Russell 2000® Index
The Russell 2000® Index was developed by Russell Investments
(“Russell”) before FTSE International Limited (“FTSE”) and Russell combined in 2015 to create FTSE Russell,
which is wholly owned by London Stock Exchange Group. Russell began dissemination of the Russell 2000® Index (Bloomberg L.P.
index symbol “RTY”) on January 1, 1984. The Russell 2000® Index was set to 135 as of the close of business on December
31, 1986. FTSE Russell calculates and publishes the Russell 2000® Index. The Russell 2000® Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. As a subset of the Russell 3000® Index, the Russell
2000® Index consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 3000® Index measures
the performance of the largest 3,000 U.S. companies. The Russell 2000® Index is determined, comprised, and calculated by FTSE
Russell without regard to the notes.
Selection of Stocks Comprising the Russell 2000®
Index
All companies eligible for inclusion in the Russell 2000®
Index must be classified as a U.S. company under FTSE Russell’s country-assignment methodology. If a company is incorporated,
has a stated headquarters location, and trades on a standard exchange in the same country (American Depositary Receipts and American
Depositary Shares are not eligible), then the company is assigned to its country of incorporation. If any of the three factors
are not the same, FTSE Russell defines three Home Country Indicators (“HCIs”): country of incorporation, country of
headquarters, and country of the most liquid exchange (as defined by a two-year average daily dollar trading volume) (“ADDTV”)
from all exchanges within a country. Using the HCIs, FTSE Russell compares the primary location of the company’s assets with
the three HCIs. If the primary location of its assets matches any of the HCIs, then the company is assigned to the primary location
of its assets. If there is insufficient information to determine the country in which the company’s assets are primarily
located, FTSE Russell will use the primary location of the company’s revenue for the same cross-comparison and assigns the
company to the appropriate country in a similar fashion. FTSE Russell uses the average of two years of assets or revenues data
to reduce potential turnover. If conclusive country details cannot be derived from assets or revenues data, FTSE Russell will assign
the company to the country in which its headquarters are located unless the country is a Benefit Driven Incorporation “BDI”
country. If the country in which its headquarters are located is a BDI, it will be assigned to the country of its most liquid stock
exchange. BDI countries include: Anguilla, Antigua and Barbuda, Aruba, Bahamas, Barbados, Belize, Bermuda, Bonaire, British Virgin
Islands, Cayman Islands, Channel Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey, Isle of Man, Jersey, Liberia,
Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten, and Turks and Caicos Islands. For any companies incorporated or headquartered
in a U.S. territory, including countries such as Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI is assigned. “N-Shares”
of companies controlled by entities in mainland China are not eligible for inclusion in the Russell 2000® Index.
All securities eligible for inclusion in the Russell 2000®
Index must trade on a major U.S. exchange. Stocks must have a closing price at or above $1.00 on their primary exchange on the
“rank day” in May of each year (timetable is announced each spring) to be eligible for inclusion during annual reconstitution.
However, in order to reduce unnecessary turnover, if an existing member’s closing price is less than $1.00 on the last day
of May, it will be considered eligible if the average of the daily closing prices (from its primary exchange) during the month
of May is equal to or greater than $1.00. FTSE Russell adds initial public offerings (IPOs) each quarter to ensure that new additions
to the institutional investing opportunity set are reflected in representative indexes. A stock added during the quarterly IPO
process is considered a new index addition, and therefore must have a closing price on its primary exchange at or above $1.00 on
the last day of the eligibility period in order to qualify for index inclusion. If an existing index member does not trade on the
rank day, it must price at $1.00 or above on another eligible U.S. exchange to remain eligible.
Royalty trusts, limited liability companies, closed-end
investment companies (companies that are required to report Acquired Fund Fees and Expenses, as defined by the SEC, including business
development companies, are not eligible), blank check companies, special-purpose acquisition companies, exchange traded funds,
mutual funds and limited partnerships are ineligible for inclusion. Preferred and convertible preferred stock, redeemable shares,
participating preferred stock, warrants, rights, installment receipts and trust receipts are not eligible for inclusion in the
Russell 2000® Index.
Annual reconstitution is a process by which the Russell
2000® Index is completely rebuilt. On the rank day of July, all eligible securities are ranked by their total market capitalization.
The largest 4,000 become the Russell 3000E Index, and the other FTSE Russell indexes are determined from that set of securities.
Reconstitution of the Russell 2000® Index occurs on the last Friday in June or, when the last Friday in June is the 29th or
30th, reconstitution occurs on the prior Friday. In addition, FTSE Russell adds initial public offerings to the Russell 2000®
Index on a quarterly basis based on total market capitalization ranking within the market-adjusted capitalization breaks established
during the most recent reconstitution.
After membership is determined, a security’s shares
are adjusted to include only those shares available to the public. This is often referred to as “free float.” The purpose
of the adjustment is to exclude from market calculations the capitalization that is not available for purchase and is not part
of the investable opportunity set.
License Agreement
“Russell 2000®” and “Russell 3000®”
are trademarks of FTSE Russell and have been licensed for use by us.
The notes are not sponsored, endorsed, sold or promoted
by FTSE Russell. FTSE Russell makes no representation or warranty, express or implied, to the owners of the notes or any member
of the public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the
Russell 2000® Index to track general stock market performance or a segment of the same. FTSE Russell's publication of the Russell
2000® Index in no way suggests or implies an opinion by FTSE Russell as to the advisability of investment in any or all of
the securities upon which the Russell 2000® Index is based. FTSE Russell's only relationship to the Issuer is the licensing
of certain trademarks and trade names of FTSE Russell and of the Russell 2000® Index which is determined, composed and calculated
by FTSE Russell without regard to the Issuer or the notes. FTSE Russell is not responsible for and has not reviewed the notes nor
any associated literature or publications and FTSE Russell makes no representation or warranty express or implied as to their accuracy
or completeness, or otherwise. FTSE Russell reserves the right, at any time and without notice, to alter, amend, terminate or in
any way change the Russell 2000® Index. FTSE Russell has no obligation or liability in connection with the administration,
marketing or trading of the notes.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY AND/OR THE
COMPLETENESS OF THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS,
OMISSIONS, OR INTERRUPTIONS THEREIN. FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER,
INVESTORS, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED
THEREIN. FTSE RUSSELL MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED HEREIN WITHOUT LIMITING ANY OF
THE FOREGOING. IN NO EVENT SHALL FTSE RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES
(INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.