Bond Montreal Bank 0% ( US06367WZV89 ) in USD

Montreal Bank

100 % ⇌

Canada

US06367WZV89 ( in USD )

28/05/2021 - Bond has expired

Prospectus brochure of the bond Bank of Montreal US06367WZV89 in USD 0%, expired

1 000 USD

1 919 000 USD

06367WZV8

N/A

Bank of Montreal (BMO) is a major Canadian multinational bank offering a wide range of financial services including personal and commercial banking, wealth management, and investment banking, operating across North America and internationally.

The Bond issued by Montreal Bank ( Canada ) , in USD, with the ISIN code US06367WZV89, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 28/05/2021

424B2 1 r429202424b2.htm ELN 1272

Registration Statement No. 333-237342
Filed Pursuant to Rule 424(b)(2)

Pricing Supplement dated April 29, 2020 to the Prospectus,
the Prospectus Supplement and the Product Supplement, each dated April 20, 2020

US$1,919,000
Buffered Bullish Enhanced Return Notes due May 28, 2021
Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
·
The notes are designed for investors who seek a 150% leveraged positive return based on any appreciation in the level of the Lesser
Performing of the S&P 500® Index and the Russell 2000® Index (each an "Underlying Asset"). Investors should be willing to accept a
payment at maturity that does not exceed the Maximum Redemption Amount (as defined below), be willing to forgo periodic interest, and be
willing to lose 1% of their principal amount for each 1% that the level of the Lesser Performing Underlying Asset decreases by more than 10%
from its level on the pricing date.
·
Investors in the notes may lose up to 90% of their principal amount at maturity.
·
The Maximum Redemption Amount is $1,250 for each $1,000 in principal amount (a 25.00% return).
·
Any payment at maturity is subject to the credit risk of Bank of Montreal.
·
The notes do not bear interest. The notes will not be listed on any securities exchange.
·
The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000.
·
The offering priced on April 29, 2020, and the notes will settle through the facilities of The Depository Trust Company on May 4, 2020.
·
The notes are scheduled to mature on May 28, 2021.
·
The CUSIP number of the notes is 06367WZV8.
·
Our subsidiary, BMO Capital Markets Corp. ("BMOCM"), is the agent for this offering. See "Supplemental Plan of Distribution (Conflicts of
Interest)" below.
·
The notes will not be subject to conversion into our common shares or the common shares of any of our affiliates under subsection 39.2(2.3)
of the Canada Deposit Insurance Corporation Act (the "CDIC Act").
Investing in the notes involves risks, including those described in the "Selected Risk Considerations" section beginning on page P-5 of
this pricing supplement, the "Additional Risk Factors Relating to the Notes" section beginning on page PS-5 of the product supplement,
and the "Risk Factors" section beginning on page S-1 of the prospectus supplement and on page 8 of the prospectus.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these notes
or passed upon the accuracy of this pricing supplement, the product supplement, the prospectus supplement or the prospectus. Any
representation to the contrary is a criminal offense.
The notes will be our unsecured obligations and will not be savings accounts or deposits that are insured by the United States Federal
Deposit Insurance Corporation, the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency or
instrumentality or other entity.
On the date of this pricing supplement, the estimated initial value of the notes is $976.40 per $1,000 in principal amount. As discussed in
more detail in this pricing supplement, the actual value of the notes at any time will reflect many factors and cannot be predicted with accuracy.

Price to Public(1)
Agent's Commission(1)
Proceeds to Bank of Montreal

Per Note
US$1,000
US$4.30
US$995.70

Total
US$1,919,000
US$8,251.70
US$1,910,748.30

(1) Certain dealers who purchased the notes for sale to certain fee-based advisory accounts may have foregone some or all of their selling
concessions, fees or commissions. The public offering price for investors purchasing the notes in these accounts was between $995.70 and
$1,000 per $1,000 in principal amount.

BMO CAPITAL MARKETS

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Key Terms of the Notes:

Underlying Assets:
The S&P 500® Index (ticker symbol: SPX) and the Russell 2000® Index (ticker symbol: RTY).
See the section below entitled "The Underlying Assets" for additional information about the
Underlying Assets.

Payment at Maturity:
(i) If the Percentage Change of the Lesser Performing Underlying Asset multiplied by the Upside
Leverage Factor is greater than or equal to the Maximum Return, the payment at maturity for
each $1,000 in principal amount of the notes will equal the Maximum Redemption Amount.

(ii) If the Percentage Change of the Lesser Performing Underlying Asset multiplied by the Upside
Leverage Factor is positive but is less than the Maximum Return, then the payment at maturity for
each $1,000 in principal amount of the notes will be calculated as follows:

Principal Amount + [Principal Amount × (Percentage Change of the Lesser Performing
Underlying Asset x Upside Leverage Factor)]

(iii) If the Percentage Change of the Lesser Performing Underlying Asset is between 0% and -
10% inclusive, then the payment at maturity will equal the principal amount of the notes.

(iv) If the Percentage Change of the Lesser Performing Underlying Asset is less than -10%, then
the payment at maturity will be calculated as follows:

Principal Amount + [Principal Amount × (Percentage Change of the Lesser Performing
Underlying Asset + Buffer Percentage)]

If the Percentage Change of the Lesser Performing Underlying Asset is less than -10%, investors
may lose up to 90% of the principal amount of the notes.

Upside Leverage Factor:
150%

Maximum Return:
25.00%

Maximum Redemption
The payment at maturity will not exceed the Maximum Redemption Amount of $1,250 per $1,000
Amount:
in principal amount of the notes.

Initial Level:
2,939.51 for the SPX and 1,360.763 for the RTY, which was the respective closing level of each
of the Underlying Assets on the pricing date.

Final Level:
The respective closing level of each of the Underlying Assets on the Valuation Date.

Buffer Level:
2,645.56 for the SPX and 1,224.687 for the RTY, which is 90% of the respective Initial Level for
each of the Underlying Assets (rounded to two decimal places in the case of the SPX, and three
decimal places in the case of the RTY).

Buffer Percentage:
10%. Accordingly, you will receive the principal amount of your notes at maturity only if the
level of the Lesser Performing Underlying Asset does not decrease by more than 10%. If the Final
Level of the Lesser Performing Underlying Asset is less than its Buffer Level, you will receive
less than the principal amount of your notes at maturity, and you could lose up to 90% of the
principal amount of your notes.

Lesser Performing
The Underlying Asset that has the lowest Percentage Change.
Underlying Asset:

P-2

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Percentage Change:
Final Level - Initial Level, expressed as a percentage.
Initial Level

Pricing Date:
April 29, 2020

Settlement Date:
May 4, 2020

Valuation Date:
May 25, 2021

Maturity Date:
May 28, 2021

Automatic Redemption:
Not applicable

Calculation Agent:
BMOCM

Selling Agent:
BMOCM

Payoff Example

The following table shows the hypothetical payout profile of an investment in the notes based on hypothetical
Percentage Changes of the Lesser Performing Underlying Asset, reflecting the 150% Upside Leverage Factor, the Buffer Level of
90% and the Maximum Return of 25.00%. Please see the hypothetical returns section below for more detailed examples.

* Your return on the notes will be determined solely by the Percentage Change of the Lesser Performing Underlying Asset.

P-3

Additional Terms of the Notes

You should read this pricing supplement together with the product supplement, the prospectus supplement and the prospectus, each dated
April 20, 2020. This pricing supplement, 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,
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tax, accounting and other advisers before you invest in the notes.

You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings
for the relevant date on the SEC website):

·
Product supplement dated April 20, 2020:
https://www.sec.gov/Archives/edgar/data/927971/000121465920003523/d420205424b5.htm

·
Prospectus supplement dated April 20, 2020:
https://www.sec.gov/Archives/edgar/data/927971/000119312520112249/d908040d424b5.htm

·
Prospectus dated April 20, 2020:
https://www.sec.gov/Archives/edgar/data/927971/000119312520112240/d903160d424b2.htm

Our Central Index Key, or CIK, on the SEC website is 927971. As used in this pricing supplement, "we," "us" or "our" refers to Bank of
Montreal.

P-4

Selected Risk Considerations

An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Underlying
Assets. These risks are explained in more detail in the "Additional Risk Factors Relating to the Notes" section of the product supplement.

·
Your investment in the notes may result in a loss. -- You may lose some or substantially all of your investment in the notes. The
minimum percentage of your principal that you are entitled to receive under the terms of the notes is only 10%. The payment at maturity
will be based on the Final Level, and whether the Final Level of the Lesser Performing Underlying Asset on the valuation date has
declined from the Initial Level to a level that is less than the Buffer Level. You will lose 1% of the principal amount of your notes for
each 1% that the Final Level of the Lesser Performing Underlying Asset is less than its Buffer Level. Accordingly, you could lose up to
90% of the principal amount of the notes.

·
Your return on the notes is limited to the Maximum Redemption Amount, regardless of any appreciation in the levels of the
Underlying Assets. -- The return on your notes will not be greater than the Maximum Redemption Amount. This will be the case even if
the Percentage Change of the Lesser Performing Underlying Asset multiplied by the Upside Leverage Factor exceeds the Maximum
Return.

·
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 the amount due at maturity, 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.

·
Your return on the notes will be determined solely by reference to the Lesser Performing Underlying Asset, even if the other
Underlying Asset performs better. -- Your payment at maturity will only be determined by reference to the performance of the Lesser
Performing Underlying Asset. Even if the other Underlying Asset has appreciated in value compared to its Initial Level, or has
experienced a decline that is less than that of the Lesser Performing Underlying Asset, your return at maturity will only be determined by
reference to the performance of the Lesser Performing Underlying Asset.

·
Your return on the notes will be determined by reference to each Underlying Asset individually, not to a basket, and the payments
on the notes will be based on the performance of the Lesser Performing Underlying Asset. -- The notes are not linked to a weighted
basket, in which the risk may be mitigated and diversified among each of the basket components. For example, in the case of notes linked
to a weighted basket, the return would depend on the weighted aggregate performance of the basket components reflected as the basket
return. As a result, the depreciation of one basket component could be mitigated by the appreciation of the other basket component, as
scaled by the weighting of that basket component. However, in the case of the notes, the individual performance of each Underlying Asset
would not be combined, and the depreciation of an Underlying Asset would not be mitigated by any appreciation of the other Underlying
Asset. Instead, your return at maturity will depend solely on the Final Level of the Lesser Performing Underlying Asset.

·
Potential conflicts. -- We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as
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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 the Underlying Assets 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 levels of the
Underlying 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
Underlying 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.

·
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 the 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.

P-5

·
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 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 of the Underlying 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 in this pricing supplement and 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.

·
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.

·
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 the 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.

· You will not have any shareholder rights and will have no right to receive any securities included in the Underlying Assets at
maturity. -- Investing in your notes will not make you a holder of any shares of any company included in either of the Underlying
Assets. Neither you nor any other holder or owner of the notes will have any voting rights, any right to receive dividends or other
distributions or any other rights with respect to those securities.

·
An investment in the notes is subject to risks associated in investing in stocks with a small market capitalization. -- The RTY
consists of stocks issued by companies with relatively small market capitalizations. These companies often have greater stock price
volatility, lower trading volume and less liquidity than large-capitalization companies. As a result, the level of the RTY may be more
volatile than that of a market measure that does not track solely small-capitalization stocks. Stock prices of small-capitalization
companies are also generally more vulnerable than those of large-capitalization companies to adverse business and economic
developments, and the stocks of small-capitalization companies may be thinly traded, and be less attractive to many investors if they do
not pay dividends. In addition, small capitalization companies are typically less well-established and less stable financially than large-
capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of those individuals.
Small capitalization companies tend to have lower revenues, less diverse product lines, smaller shares of their target markets, fewer
financial resources and fewer competitive strengths than large-capitalization companies. These companies may also be more susceptible
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to adverse developments related to their products or services.

·
Changes that affect an Underlying Asset may adversely affect the market value of the notes and the amount you will receive at
maturity. -- The policies of S&P Dow Jones Indices LLC ("S&P"), the sponsor of the SPX, and FTSE Russell, the sponsor of the RTY
(each, an "Index Sponsor"), concerning the calculation of the applicable Underlying Asset, additions, deletions or substitutions of the
components of the applicable Underlying Asset and the manner in which changes affecting those components, such as stock dividends,
reorganizations or mergers, may be reflected in the applicable Underlying Asset and, therefore, could affect the level of the applicable
Underlying Asset, the amount payable on the notes at maturity and the market value of the notes prior to maturity. The amount payable on
the notes and their market value could also be affected if either Index Sponsor changes these policies, for example, by changing the
manner in which it calculates the applicable Underlying Asset, or if either Index Sponsor discontinues or suspends the calculation or
publication of the applicable Underlying Asset.

P-6

·
We have no affiliation with either Index Sponsor and will not be responsible for any actions taken by either Index Sponsor. --
Neither Index Sponsor is an affiliate of ours or will be involved in the offering of the notes in any way. Consequently, we have no control
over the actions of either Index Sponsor, including any actions of the type that would require the calculation agent to adjust the payment
to you at maturity. Neither Index Sponsor has any obligation of any sort with respect to the notes. Thus, neither Index Sponsor has any
obligation to take your interests into consideration for any reason, including in taking any actions that might affect the value of the notes.
None of our proceeds from the issuance of the notes will be delivered to either Index Sponsor.

· 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.

·
Hedging and trading activities. -- We or any of our affiliates may have carried out or may carry out hedging activities related to the
notes, including purchasing or selling securities included in the Underlying Assets, or futures or options relating to the Underlying Assets,
or other derivative instruments with returns linked or related to changes in the performance of the Underlying Assets. We or our affiliates
may also engage in trading relating to the Underlying Assets 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 our payment to you at maturity.

·
Many economic and market factors will influence the value of the notes. -- In addition to the levels of the Underlying 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.

·
You must rely on your own evaluation of the merits of an investment linked to the Underlying Assets. -- In the ordinary course of
their businesses, our affiliates from time to time may express views on expected movements in the levels of the Underlying Assets or the
prices of the securities included in the Underlying Assets. One or more of our affiliates have published, and in the future may publish,
research reports that express views on the Underlying Assets or these securities. However, these views are subject to change from time to
time. Moreover, other professionals who deal in the markets relating to the Underlying Assets at any time may have significantly different
views from those of our affiliates. You are encouraged to derive information concerning each of the Underlying Assets from multiple
sources, and you should not rely on the views expressed by our affiliates.

Neither the offering of the notes nor any views which our affiliates from time to time may express in the ordinary course of their
businesses constitutes a recommendation as to the merits of an investment in the notes.

·
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 in this pricing supplement.

The Internal Revenue Service has issued a notice indicating that it and the Treasury Department are actively considering whether, among
other issues, a holder should be required to accrue interest over the term of an instrument such as the notes even though that holder will
not receive any payments with respect to the notes until maturity and whether all or part of the gain a holder may recognize upon sale or
maturity of an instrument such as the notes could be treated as ordinary income. The outcome of this process is uncertain and could apply
on a retroactive basis.

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Please read carefully the section entitled "U.S. Federal Tax Information" in this pricing supplement, 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.

P-7

Hypothetical Return on the Notes at Maturity

The following table and examples illustrate the hypothetical returns at maturity on a $1,000 investment in the notes based on hypothetical
Percentage Changes of the Lesser Performing Underlying Asset. The "return," as used in this section is the number, expressed as a percentage,
which results from comparing the payment at maturity per $1,000 in principal amount of the notes to $1,000. The hypothetical total returns set
forth below are based on a hypothetical Initial Level of 1,000 for the Lesser Performing Underlying Asset, the Buffer Percentage of 10% (the
Buffer Level is 90% of the Initial Level), the Upside Leverage Factor of 150%, the Maximum Return of 25.00% and the Maximum Redemption
Amount of $1,250. The hypothetical returns set forth below are for illustrative purposes only and may not be the actual returns applicable to
investors in the notes. The numbers appearing in the following table and in the examples below have been rounded for ease of analysis. We make
no representation or warranty as to which of the Underlying Assets will be the Lesser Performing Underlying Asset. It is possible that the Final
Level of each Underlying Asset will be less than its Buffer Level.

Hypothetical Final Level of
Hypothetical Percentage
Hypothetical
Hypothetical
the Lesser Performing
Change of the Lesser
Payment at Maturity
Return on the Notes
Underlying Asset
Performing Underlying Asset
1,500.00
50.00%
$1,250.00
25.00%
1,300.00
30.00%
$1,250.00
25.00%
1,200.00
20.00%
$1,250.00
25.00%
1,166.67
16.667%
$1,250.00
25.00%
1,050.00
5.00%
$1,075.00
7.50%
1,020.00
2.00%
$1,030.00
3.00%
1,000.00
0.00%
$1,000.00
0.00%
980.00
-2.00%
$1,000.00
0.00%
950.00
-5.00%
$1,000.00
0.00%
900.00
-10.00%
$1,000.00
0.00%
800.00
-20.00%
$900.00
-10.00%
700.00
-30.00%
$800.00
-20.00%
600.00
-40.00%
$700.00
-30.00%
500.00
-50.00%
$600.00
-40.00%
400.00
-60.00%
$500.00
-50.00%
200.00
-80.00%
$300.00
-70.00%
0.00
-100.00%
$100.00
-90.00%

Hypothetical Examples of Amounts Payable at Maturity

The following examples illustrate how the returns set forth in the table above are calculated.

Example 1: The level of the Lesser Performing Underlying Asset decreases from the hypothetical Initial Level of 1,000.00 to a hypothetical
Final Level of 500.00, representing a Percentage Change of -50%. Because the Percentage Change of the Lesser Performing Underlying Asset
is negative and its hypothetical Final Level is less than its hypothetical Initial Level by more than the Buffer Percentage of 10%, the investor
receives a payment at maturity of $600 per $1,000 in principal amount of the notes, calculated as follows:

$1,000 + [$1,000 x (-50% + 10%)] = $600

Example 2: The level of the Lesser Performing Underlying Asset decreases from the hypothetical Initial Level of 1,000.00 to a hypothetical
Final Level of 950.00, representing a Percentage Change of -5%. Although the Percentage Change of the Lesser Performing Underlying Asset
is negative, because its hypothetical Final Level is less than its hypothetical Initial Level by not more than the Buffer Percentage of 10%, the
investor receives a payment at maturity equal to the principal amount of the notes.

Example 3: The level of the of the Lesser Performing Underlying Asset increases from the hypothetical Initial Level of 1,000.00 to a
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hypothetical Final Level of 1,050.00, representing a Percentage Change of 5.00%. Because the hypothetical Final Level of the Lesser
Performing Underlying Asset is greater than its hypothetical Initial Level, and the Percentage Change multiplied by the Upsize Leverage Factor
does not exceed the Maximum Return, the investor receives a payment at maturity of $1,075 per $1,000 in principal amount of the notes, calculated
as follows:

$1,000 + [$1,000 x (5% x 150%)] = $1,075

P-8

Example 4: The level of the Lesser Performing Underlying Asset increases from the hypothetical Initial Level of 1,000.00 to a hypothetical
Final Level of 1,500.00, representing a Percentage Change of 50%. Because the hypothetical Final Level of the Lesser Performing Underlying
Asset is greater than its hypothetical Initial Level, and the Percentage Change multiplied by the Upside Leverage Factor exceeds the Maximum
Return, the investor receives a payment at maturity of $1,250 per $1,000 in principal amount of the notes, the Maximum Redemption Amount.
However, in this case, the return on the notes would be less than the Percentage Change of the Lesser Performing Underlying Asset.

P-9

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 cash-settled 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 Morrison &
Foerster LLP) in the product supplement under "Supplemental Tax Considerations--Supplemental U.S. Federal Income Tax Considerations,"
which applies to the notes.

Under current Internal Revenue Service guidance, withholding on "dividend equivalent" payments (as discussed in the product
supplement), if any, will not apply to notes that are issued as of the date of this pricing supplement unless such notes are "delta-one" instruments.
Based on our determination that the notes are not delta-one instruments, non-U.S. holders should not generally be subject to withholding on
dividend equivalent payments, if any, under the notes.

Supplemental Plan of Distribution (Conflicts of Interest)

BMOCM will purchase the notes from us at a purchase price reflecting the commission set forth on the cover page of this pricing
supplement. BMOCM has informed us that, as part of its distribution of the notes, it will reoffer the notes to other dealers who will sell them. Each
such dealer, or each additional dealer engaged by a dealer to whom BMOCM reoffers the notes, will receive a commission from BMOCM, which
will not exceed the commission set forth on the cover page. This commission includes a selling concession of up to 1.60% of the principal amount
that we or one of our affiliates will pay to one or more dealers in connection with the distribution of the notes.

Certain dealers who purchase the notes for sale to certain fee-based advisory accounts may forego some or all of their selling concessions,
fees or commissions. The public offering price for investors purchasing the notes in these accounts may be less than 100% of the principal amount,
as set forth on the cover page of this document. Investors that hold their notes in these accounts may be charged fees by the investment advisor or
manager of that account based on the amount of assets held in those accounts, including the notes.

We will deliver the notes on a date that is greater than two business days following the pricing date. Under Rule 15c6-1 of the Securities
Exchange Act of 1934, trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than two business days prior to the issue date will be
required to specify alternative settlement arrangements to prevent a failed settlement.

We own, directly or indirectly, all of the outstanding equity securities of BMOCM, the agent for this offering. In accordance with FINRA
Rule 5121, BMOCM may not make sales in this offering to any of its discretionary accounts without the prior written approval of the customer.

You should not construe the offering of the notes as a recommendation of the merits of acquiring an investment linked to the Underlying
Assets or as to the suitability of an investment in the notes.
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BMOCM may, but is not obligated to, make a market in the notes. BMOCM will determine any secondary market prices that it is
prepared to offer in its sole discretion.

We may use this pricing supplement in the initial sale of the notes. In addition, BMOCM or another of our affiliates may use this pricing
supplement in market-making transactions in any notes after their initial sale. Unless BMOCM or we inform you otherwise in the confirmation of
sale, this pricing supplement is being used by BMOCM in a market-making transaction.

For a period of approximately three months following issuance of the notes, the price, if any, at which we or our affiliates would be
willing to buy the notes from investors, and the value that BMOCM may also publish for the notes through one or more financial information
vendors and which could be indicated for the notes on any brokerage account statements, will reflect a temporary upward adjustment from our
estimated value of the notes that would otherwise be determined and applicable at that time. This temporary upward adjustment represents a
portion of (a) the hedging profit that we or our affiliates expect to realize over the term of the notes and (b) the underwriting discount and selling
concessions paid in connection with this offering. The amount of this temporary upward adjustment will decline to zero on a straight-line basis
over the three-month period.

P-10

Additional Information Relating to the Estimated Initial Value of the Notes

Our estimated initial value of the notes that is set forth on the cover page of this pricing supplement equals the sum of the values of the
following hypothetical components:

·
a fixed-income debt component with the same tenor as the notes, valued using our internal funding rate for structured notes; and

·
one or more derivative transactions relating to the economic terms of the notes.

The internal funding rate used in the determination of the initial estimated value generally represents a discount from the credit spreads
for our conventional fixed-rate debt. The value of these derivative transactions are derived from our internal pricing models. These models are
based on factors such as the traded market prices of comparable derivative instruments and on other inputs, which include volatility, dividend rates,
interest rates and other factors. As a result, the estimated initial value of the notes on the pricing date was determined based on market conditions
on the pricing date.

The Underlying Assets

All disclosures contained in this pricing supplement regarding the Underlying Assets, including, without limitation, their make-up, method
of calculation, and changes in their components, have been derived from publicly available sources. The information reflects the policies of, and is
subject to change by, the applicable Index Sponsor. The Index Sponsors, who own the copyright and all other rights to the applicable Underlying
Asset, have no obligation to continue to publish, and may discontinue publication of, the Underlying Assets. Neither we nor BMOCM accepts any
responsibility for the calculation, maintenance or publication of any Underlying Asset or any successor index.

We encourage you to review recent levels of the Underlying Assets prior to making an investment decision with respect to the notes.

The S&P 500® Index

The S&P 500® Index is intended to provide an indication of the pattern of common stock price movement. The calculation of the level of
this Underlying 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 Underlying Asset by reference to the prices of the constituent stocks of this Underlying 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 SPX constituent stocks and received the dividends paid on those stocks.

Computation of the S&P 500® Index

®
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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.

P-11

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 will be 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
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