Obligation Montreal Bank 12.25% ( US06367WQ973 ) en USD

Montreal Bank

100 % ▲

Canada

US06367WQ973 ( en USD )

12.25% par an ( paiement semestriel )

27/09/2021 - Obligation échue

Prospectus brochure de l'obligation Bank of Montreal US06367WQ973 en USD 12.25%, échue

1 000 USD

10 054 000 USD

06367WQ97

N/A

N/A

La Banque de Montréal (BMO) est une institution financière multinationale canadienne offrant une vaste gamme de services bancaires de détail, de gestion de patrimoine, de marchés des capitaux et de services bancaires aux entreprises à l'échelle mondiale.

L'instrument financier analysé est une obligation émise par la Banque de Montréal, identifiée par le code ISIN US06367WQ973 et le code CUSIP 06367WQ97. La Banque de Montréal (BMO), émetteur de cette obligation, est l'une des plus anciennes et des plus grandes institutions financières du Canada, fondée en 1817; elle opère à l'échelle mondiale, offrant une gamme complète de services bancaires aux particuliers et aux entreprises, de gestion de patrimoine et de marchés des capitaux, et sa solide réputation et sa stabilité financière en font un acteur majeur sur les marchés obligataires internationaux. Cette obligation, émise depuis le Canada mais libellée en dollars américains (USD), présentait un taux d'intérêt annuel de 12,25%, avec une fréquence de paiement semestrielle. Le montant total de l'émission s'élevait à 10 054 000 USD, avec une taille minimale d'achat fixée à 1 000 USD pour les investisseurs. Sur le marché, le prix de cette obligation se maintenait à 100% de sa valeur nominale. Il est crucial de souligner que cette obligation a atteint sa maturité le 27 septembre 2021 et a été intégralement remboursée à cette date, confirmant le respect des engagements de l'émetteur envers ses porteurs.

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424B2 1 r625200424b2.htm ARC 804

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

Pricing Supplement dated June 23, 2020 to the Prospectus dated April 20, 2020,
the Prospectus Supplement dated April 20, 2020 and the Product Supplement dated April 21, 2020

US$10,054,000
Senior Medium-Term Notes, Series F
Autocallable Barrier Notes with Contingent Coupons due September 27, 2021
Linked to the Least Performing of the S&P 500® Index and the NASDAQ 100® Index

·
The notes are designed for investors who are seeking monthly contingent periodic interest payments (as described in more detail below), as well as a return of
principal if the closing level of each of the S&P 500® Index and the NASDAQ 100® Index (each, a "Reference Asset" and, collectively, the "Reference Assets") on
any monthly Observation Date beginning in December 2020 is greater than 100% of its Initial Level (the "Call Level"). Investors should be willing to have their
notes automatically redeemed prior to maturity, be willing to forego any potential to participate in any increase in the level of the Reference Assets and be willing
to lose some or all of their principal at maturity.
·
The notes will pay a Contingent Coupon on each Contingent Coupon Payment Date at the Contingent Interest Rate of 1.021% per month (approximately 12.25%
per annum) if the closing level of each Reference Asset on the applicable monthly Observation Date is greater than its Coupon Barrier Level. However, if the
closing level of any Reference Asset is less than or equal to its Coupon Barrier Level on an Observation Date, the notes will not pay the Contingent Coupon for that
Observation Date.
·
Beginning on December 22, 2020, if on any Observation Date, the closing level of each Reference Asset is greater than its Call Level, the notes will be
automatically redeemed. On the following Contingent Coupon Payment Date (the "Call Settlement Date"), investors will receive their principal amount plus the
Contingent Coupon otherwise due. After the notes are redeemed, investors will not receive any additional payments in respect of the notes.
·
The notes do not guarantee any return of principal at maturity. Instead, if the notes are not automatically redeemed, the payment at maturity will be based on the
Final Level of each Reference Asset and whether the Final Level of any Reference Asset has declined from its Initial Level to below its Trigger Level on the
Valuation Date (a "Trigger Event"), as described below.
·
If the notes are not automatically redeemed and a Trigger Event has occurred, investors will lose 1% of the principal amount for each 1% decrease in the level of
the Least Performing Reference Asset (as defined below) from its Initial Level to its Final Level. In such a case, you will receive a cash amount at maturity that is
less than the principal amount, together with the final Contingent Coupon, if payable.
·
Investing in the notes is not equivalent to a hypothetical direct investment in the Reference Assets.
·
The notes will not be listed on any securities exchange.
·
All payments on the notes are subject to the credit risk of Bank of Montreal.
·
The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000.
·
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").

Terms of the Notes:

Pricing Date:
June 23, 2020

Valuation Date:
September 22, 2021
Settlement Date:
June 26, 2020

Maturity Date:
September 27, 2021
Specific Terms of the Notes:

Autocallable
Reference
Ticker
Coupon
Trigger
Price to
Agent's
Proceeds to
Number
Assets
Symbol
Initial Level
Contingent
Interest Rate
Barrier
1
1
Bank of
Level*
Level*
CUSIP
Principal
Amount
Public
Commission
Montreal
The S&P
2,191.90,
2,191.90,
70.00% of
70.00% of
500®
SPX
3,131.29
1.021% per
its Initial
its Initial
Index
month
Level
Level
804
(approximately
06367WQ97 $10,054,000.00
100%
0.75%
99.25%
The
12.25% per
7,146.874,
7,146.874,
$75,405.00
$9,978,595.00
NASDAQ
NDX
10,209.820
annum)
70.00% of
70.00% of
100®
its Initial
its Initial
Index
Level
Level
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 $992.50 and $1,000 per $1,000 in principal amount.
*Rounded to two decimal places with respect to the SPX.
Investing in the notes involves risks, including those described in the "Selected Risk Considerations" section beginning on page P-5 hereof, the "Additional Risk Factors Relating to the Notes" section beginning
on page PS-4 of the product supplement, and the "Risk Factors" section beginning on page S-1 of the prospectus supplement and on page 8 of the prospectus.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these notes or passed upon the accuracy of this document, the product supplement, the prospectus
supplement or the prospectus. Any representation to the contrary is a criminal offense. The notes will be our unsecured obligations and will not be savings accounts or deposits that are insured by the United States Federal
Deposit Insurance Corporation, the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency or instrumentality or other entity.
On the date hereof, based on the terms set forth above, the estimated initial value of the notes is $973.20 per $1,000 in principal amount. However, as discussed in more detail below, the actual value of the notes at any
time will reflect many factors and cannot be predicted with accuracy.

BMO CAPITAL MARKETS

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Key Terms of the Notes:

Reference Assets:
The S&P 500® Index (ticker symbol "SPX") and the NASDAQ 100® Index (ticker symbol "NDX") . See "The
Reference Assets" below for additional information.

Contingent Coupons:
If the closing level of each Reference Asset on an Observation Date is greater than its Coupon Barrier Level, a
Contingent Coupon will be paid on the corresponding Contingent Coupon Payment Date at the Contingent
Interest Rate, subject to the automatic redemption feature.

Contingent Interest Rate:
1.021% per month (approximately 12.25% per annum), if payable. Accordingly, each Contingent Coupon, if
payable, will equal $10.21 for each $1,000 in principal amount.

Observation Dates:1
Three trading days prior to each scheduled Contingent Coupon Payment Date.

Contingent Coupon Payment
Interest, if payable, will be paid on the 27th day of each month (or, if such day is not a business day, the next
Dates:1
following business day), beginning on July 27, 2020 and ending on the Maturity Date, subject to the automatic
redemption feature.

Automatic Redemption:
Beginning on December 22, 2020, if, on any Observation Date, the closing level of each Reference Asset is
greater than its Call Level, the notes will be automatically redeemed. No further amounts will be owed to you
under the Notes.

Payment upon Automatic
If the notes are automatically redeemed, then, on the Call Settlement Date, investors will receive their principal
Redemption:
amount plus the Contingent Coupon otherwise due.

Call Settlement Date:1
If the notes are automatically redeemed, the Contingent Coupon Payment Date immediately following the
relevant Observation Date.

Payment at Maturity:
If the notes are not automatically redeemed, the payment at maturity for the notes is based on the performance of
the Reference Assets.

You will receive $1,000 for each $1,000 in principal amount of the note, unless a Trigger Event has occurred.

If a Trigger Event has occurred , you will receive at maturity, for each $1,000 in principal amount of your notes,
a cash amount equal to:

$1,000 + [$1,000 x Percentage Change] of the Least Performing Reference Asset

This amount will be less than the principal amount of your notes, and may be zero.

You will also receive the final Contingent Coupon, if payable.

Trigger Event:2
A Trigger Event will be deemed to occur if the Final Level of any Reference Asset is less than its Trigger Level
on the Valuation Date.

Least Performing Reference Asset: The Reference Asset with the lowest Percentage Change.

Percentage Change:
With respect to each Reference Asset, the quotient, expressed as a percentage, of the following formula:

(Final Level - Initial Level)
Initial Level

Initial Level:2
With respect to each Reference Asset, as set forth on the cover hereof.

Coupon Barrier Level:2
2,191.90 with respect to SPX and 7,146.874 with respect to NDX, each of which is 70.00% of the respective
Initial Level (rounded to two decimal places with respect to SPX).

Trigger Level:2
2,191.90 with respect to SPX and 7,146.874 with respect to NDX, each of which is 70.00% of the respective
Initial Level (rounded to two decimal places with respect to SPX).

Call Level:2
With respect to each Reference Asset, 100% of its Initial Level.
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Final Level:
With respect to each Reference Asset, the closing level of that Reference Asset on the Valuation Date.

Pricing Date:1
June 23, 2020

Settlement Date:1
June 26, 2020

Valuation Date:1
September 22, 2021

2

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Maturity Date:1
September 27, 2021

Calculation Agent:
BMOCM

Selling Agent:
BMOCM

1 Subject to the occurrence of a market disruption event, as described in the accompanying product supplement.

2As determined by the calculation agent and subject to adjustment in certain circumstances. See "General Terms of the Notes -- Adjustments to a
Reference Asset that Is an Index" in the product supplement and "Selected Risk Considerations Changes that affect a Reference Asset that is an
index could adversely affect the notes" herein for additional information.

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Additional Terms of the Notes

You should read this document together with the product supplement dated April 21, 2020, the prospectus supplement dated April 20, 2020
and the prospectus dated April 20, 2020. This document, together with the documents listed below, contains the terms of the notes and
supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative
pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational
materials of ours or the agent. You should carefully consider, among other things, the matters set forth in Additional Risk Factors Relating to the
Notes in the product supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.

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

Product supplement dated April 21, 2020:
https://www.sec.gov/Archives/edgar/data/927971/000121465920003552/p420206424b2.htm

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

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

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

We have filed a registration statement (including a prospectus) with the SEC for the offering to which this document relates. Before you
invest, you should read the prospectus in that registration statement and the other documents that we have filed with the SEC for more complete
information about us and this offering. You may obtain these documents free of charge by visiting the SEC's website at http://www.sec.gov.
Alternatively, we will arrange to send to you the prospectus (as supplemented by the prospectus supplement and product supplement) if you request it
by calling our agent toll-free at 1-877-369-5412.

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Selected Risk Considerations

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

·
Your investment in the notes may result in a loss. -- The notes do not guarantee any return of principal. If the notes are not automatically
redeemed, the payment at maturity will be based on the Final Level of each Reference Asset and whether a Trigger Event has occurred. If the
Final Level of any Reference Asset is less than its Trigger Level, a Trigger Event will occur, and you will lose 1% of the principal amount for
each 1% that the Final Level of the Least Performing Reference Asset is less than its Initial Level. In such a case, you will receive at maturity a
cash payment that is less than the principal amount of the notes and may be zero. Accordingly, you could lose your entire investment in the
notes.
·
You may not receive any Contingent Coupons with respect to your notes. -- We will not necessarily make periodic interest payments on the
notes. If the closing level of any Reference Asset on an Observation Date is less than its Coupon Barrier Level, we will not pay you the
Contingent Coupon applicable to that Observation Date. If the closing level of a Reference Asset is less than its Coupon Barrier Level on each of
the Observation Dates, we will not pay you any Contingent Coupons during the term of the notes, and you will not receive a positive return on
the notes. Generally, this non-payment of any Contingent Coupons will coincide with a greater risk of principal loss on your notes.
·
Your notes are subject to automatic early redemption. -- We will redeem the notes if the closing level of each Reference Asset on any
Observation Date is greater than its Call Level. Following an automatic redemption, you will not receive any additional Contingent Coupons and
may not be able to reinvest your proceeds in an investment with returns that are comparable to the notes. Furthermore, to the extent you are able
to reinvest such proceeds in an investment with a comparable return for a similar level of risk, you may incur transaction costs such as dealer
discounts and hedging costs built into the price of the new notes.
·
Your return on the notes is limited to the Contingent Coupons, if any, regardless of any increase in the level of any Reference Asset. --
You will not receive a payment at maturity with a value greater than your principal amount plus the final Contingent Coupon, if payable. In
addition, if the notes are automatically redeemed, you will not receive a payment greater than the principal amount plus the applicable
Contingent Coupon, even if the Final Level of one or more Reference Assets exceeds its Call Level by a substantial amount. Accordingly, your
maximum return on the applicable notes is limited to the potential return represented by the Contingent Coupons.
·
Whether you receive any Contingent Coupons and your payment at maturity may be determined solely by reference to the least
performing Reference Asset, even if any other Reference Assets perform better. - We will only make each Contingent Coupon payment on
the notes if the closing level of each Reference Asset on the applicable Observation Date exceeds the applicable Coupon Barrier, even if the
levels of any other Reference Assets have increased significantly. Similarly, if a Trigger Event occurs with respect to any Reference Asset and the
Final Level of any Reference Asset is less than its Initial Level, your payment at maturity will be determined by reference to the performance of
the Least Performing Reference Asset. Even if the levels of any other Reference Assets have increased over the term of the notes, or have
experienced a decline that is less than that of the Least Performing Reference Asset, your return at maturity will only be determined by reference
to the performance of the Least Performing Reference Asset if a Trigger Event occurs.
·
The payments on the notes will be determined by reference to each Reference Asset individually, not to a basket, and the payments on
the notes will be based on the performance of the least performing Reference Asset. -- Whether each Contingent Coupon is payable, and the
payment at maturity if a Trigger Event occurs, will be determined only by reference to the performance of the least performing Reference Asset
as of the applicable Observation Date and/or Valuation Date, regardless of the performance of any other Reference Assets. The notes are not
linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components. For example, in the case
of notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket components reflected as the
basket return. As a result, a decrease of the level of one basket component could be mitigated by the increase of the level of the other basket
components, as scaled by the weighting of that basket component. However, in the case of the notes, the individual performance of each
Reference Asset will not be combined, and the performance of one Reference Asset will not be mitigated by any positive performance of any
other Reference Assets. Instead, your receipt of Contingent Coupon payments on the notes will depend on the level of each Reference Asset on
each Observation Date, and your return at maturity will depend solely on the Final Level of the Least Performing Reference Asset if a Trigger
Event occurs.
·
Your return on the notes may be lower than the return on a conventional debt security of comparable maturity. -- The return that you
will receive on your notes, which could be negative, may be less than the return you could earn on other investments. The notes do not provide
for fixed interest payments and you may not receive any Contingent Coupons over the term of the notes. Even if you do receive one or more
Contingent Coupons and your return on the notes is positive, your return may be less than the return you would earn if you bought a conventional
senior interest bearing debt security of ours with the same maturity or if you invested directly in the Reference Assets. Your investment may not
reflect the full opportunity cost to you when you take into account factors that affect the time value of money.
·
A higher Contingent Interest Rate or lower Trigger Levels or Coupon Barrier Levels may reflect greater expected volatility of the
Reference Assets, and greater expected volatility generally indicates an increased risk of loss at maturity. -- The economic terms for the
notes, including the Contingent Interest Rate, Coupon Barrier Levels and Trigger Levels, are based, in part, on the expected volatility of the
Reference Assets at the time the terms of the notes are set. "Volatility" refers to the frequency and magnitude of changes in the level of a
Reference Asset. The greater the expected volatility of the Reference Assets as of the Pricing Date, the greater the expectation is as of that date
that the closing level of a Reference Asset could be less than its Coupon Barrier Level on any Observation Date and that a Trigger Event could
occur and, as a consequence, indicates an increased risk of not receiving a Contingent Coupon and an increased risk of loss, respectively. All
things being equal, this greater expected volatility will generally be reflected in a higher Contingent Interest Rate than the yield payable on our
conventional debt securities with a similar maturity or on otherwise comparable securities, and/or a lower Trigger Levels and/or Coupon Barrier
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Levels than those terms on otherwise comparable securities. Therefore, a relatively higher Contingent Interest Rate may indicate an increased
risk of loss. Further, relatively lower Trigger Levels and/or Coupon Barriers may not necessarily indicate that the notes have a greater likelihood
of a return of principal at maturity and/or paying Contingent Coupons. You should be willing to accept the downside market risk of the Reference
Assets and the potential to lose a significant portion or all of your initial investment.
·
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.
·
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.
·
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.
·
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 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.
·
Owning the notes is not the same as a hypothetical direct investment in the Reference Assets or a security directly linked to the Reference
Assets. -- The return on your notes will not reflect the return you would realize if you made a hypothetical direct investment in the Reference
Assets or the underlying securities of the Reference Assets or a security directly linked to the performance of the Reference Assets or the
underlying securities of the Reference Assets and held that investment for a similar period. Your notes may trade quite differently from the
Reference Assets. Changes in the level of a Reference Asset may not result in comparable changes in the market value of your notes. Even if the
levels of the Reference Assets increase during the term of the notes, the market value of the notes prior to maturity may not increase to the same
extent. It is also possible for the market value of the notes to decrease while the levels of the Reference Assets increase.
·
You will not have any shareholder rights and will have no right to receive any shares of any company included in a Reference Asset at
maturity. -- Investing in your notes will not make you a holder of any securities included in the Reference Assets. Neither you nor any other
holder or owner of the notes will have any voting rights, any right to receive dividends or other distributions, or any other rights with respect to
such underlying securities.
·
We have no affiliation with any index sponsor and will not be responsible for any index sponsor's actions. -- The sponsors of the
Reference Assets are not our affiliates and will not be involved in the offering of the notes in any way. Consequently, we have no control over the
actions of any index sponsor, including any actions of the type that would require the calculation agent to adjust the payment to you at maturity.
The index sponsors have no obligation of any sort with respect to the notes. Thus, the index sponsors have no obligation to take your interests
into consideration for any reason, including in taking any actions that might affect the value of the notes. None of our proceeds from the issuance
of the notes will be delivered to any index sponsor.
·
Changes that affect a Reference Asset could adversely affect the notes. -- The policies of the sponsor of each Reference Asset with respect to
the applicable Reference Asset concerning the calculation of the applicable Reference Asset, additions, deletions or substitutions of the
components of the applicable Reference Asset and the manner in which changes affecting those components, such as stock dividends,
reorganizations or mergers, may be reflected in the applicable Reference Asset and, therefore, could affect the level of the applicable Reference
Asset, the amount payable on the notes at maturity and the market value of the notes prior to maturity. The amount payable on the notes and their
market value could also be affected if an index sponsor changes these policies, for example, by changing the manner in which it calculates the
applicable Reference Asset, or if an index sponsor discontinues or suspends the calculation or publication of the applicable Reference Asset. If an
index sponsor discontinues publication of a Reference Asset, the calculation agent may select a successor index (and make any corresponding
adjustments to the applicable Initial Level, Coupon Barrier Level, Trigger Level and Call Level) which will be used as a substitute for the
relevant Reference Asset for all purposes with respect to the notes.
·
Lack of liquidity. -- The notes will not be listed on any securities exchange. BMOCM may offer to purchase the notes in the secondary market,
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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 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.
·
You must rely on your own evaluation of the merits of an investment linked to the Reference Assets. -- In the ordinary course of their
businesses, our affiliates from time to time may express views on expected movements in the levels of the Reference Assets or the prices of the
securities included in the Reference Assets. One or more of our affiliates have published, and in the future may publish, research reports that
express views on the Reference Assets or these securities. However, these views are subject to change from time to time. Moreover, other
professionals who deal in the markets relating to the Reference Assets at any time may have significantly different views from those of our
affiliates. You are encouraged to derive information concerning the Reference Assets from multiple sources, and you should not rely on the views
expressed by our affiliates. Neither the offering of the notes nor any views which our affiliates from time to time may express in the ordinary
course of their businesses constitutes a recommendation as to the merits of an investment in the notes.
·
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.

Risks Relating to the NASDAQ 100® Index

·
An investment in the notes is subject to risks associated with foreign securities markets. -- The NASDAQ 100® Index tracks the value of
certain foreign equity securities. You should be aware that investments in securities linked to the value of foreign equity securities involve
particular risks. The foreign securities markets comprising the NASDAQ 100® Index may have less liquidity and may be more volatile than U.S.
or other securities markets and market developments may affect foreign markets differently from U.S. or other securities markets. Direct or
indirect government intervention to stabilize these foreign securities markets, as well as cross-shareholdings in foreign companies, may affect
trading prices and volumes in these markets. Also, there is generally less publicly available information about foreign companies than about
those U.S. companies that are subject to the reporting requirements of the U.S. Securities and Exchange Commission, and foreign companies are
subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies.
Prices of securities in foreign countries are subject to political, economic, financial and social factors that apply in those geographical regions.
These factors, which could negatively affect those securities markets, include the possibility of recent or future changes in a foreign
government's economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions
applicable to foreign companies or investments in foreign equity securities and the possibility of fluctuations in the rate of exchange between
currencies, the possibility of outbreaks of hostility and political instability and the possibility of natural disaster or adverse public health
developments in the region. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in important respects such
as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.

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