Obligation Montreal Bank 12.7% ( US06367WTX10 ) en USD

Montreal Bank

100 % ▲

Canada

US06367WTX10 ( en USD )

12.7% par an ( paiement semestriel )

30/04/2021 - Obligation échue

Prospectus brochure de l'obligation Bank of Montreal US06367WTX10 en USD 12.7%, échue

1 000 USD

2 690 000 USD

06367WTX1

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'Obligation émise par Montreal Bank ( Canada ) , en USD, avec le code ISIN US06367WTX10, paye un coupon de 12.7% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 30/04/2021

2/4/2020
https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm
424B2 1 j23203424b2.htm ARC 629

Registration Statement No.333-217200
Filed Pursuant to Rule 424(b)(2)

Pricing Supplement dated January 30, 2020 to the Prospectus dated April 27, 2017,
the Prospectus Supplement dated September 23, 2018 and the Product Supplement dated October 21, 2019

US$2,690,000
Senior Medium-Term Notes, Series E
Autocallable Barrier Notes with Contingent Coupons due April 30, 2021
Linked to the shares of SPDR® S&P® Oil & Gas Exploration & Production ETF

·
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 the SPDR® S&P® Oil & Gas Exploration & Production ETF (the "Reference Asset") on any monthly Observation Date beginning
in July 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 the appreciation of the shares of the Reference Asset 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 1.058% per month (approximately 12.70%
per annum) if the closing level of the Reference Asset on the applicable monthly Observation Date is greater than its Coupon Barrier Level. However, if the closing
level of the 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 July 24, 2020, if on any Observation Date, the closing level of the 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 the Reference Asset and whether the closing level of that Reference Asset has declined from its Initial Level to below its Trigger Level on any
trading day during the Monitoring Period (a "Trigger Event"), as described below.
·
If the notes are not automatically redeemed, a Trigger Event has occurred and the Final Level of the Underlying Asset is less than its Initial Level, investors will
lose 1% of the principal amount for each 1% decrease in the level of the Reference Asset 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 direct investment in the Reference Asset.
·
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:
January 30, 2020

Valuation Date:
April 23, 2021
Settlement Date:
February 4, 2020

Maturity Date:
April 30, 2021

Specific Terms of the Notes:

Autocallable
Reference
Ticker
Initial
Contingent
Coupon Trigger
Price to Agent's
Proceeds to
Number
Asset
Symbol
Level
Interest Rate
Barrier
1
1
Bank of
Level*
Level*
CUSIP
Principal
Amount
Public
Commission
Montreal
SPDR®
S&P® Oil &
1.058% per month $12.76,
$12.76,
ARC 629
Gas
(approximately 65.00% of 65.00% of
99.25%
Exploration &
XOP
$19.63
12.70% per
its Initial its Initial 06367WTX1 $2,690,000.00
100%
0.75%
$20,175.00
$2,669,825.00
Production
annum)
Level
Level
ETF
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.
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 $980.50 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

https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm
1/18

2/4/2020
https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm

Key Terms of the Notes:

Reference Asset:
The SPDR® S&P® Oil & Gas Exploration & Production ETF (ticker symbol "XOP"). See "The Reference
Asset" below for additional information.

Underlying Index:
S&P® Oil & Gas Exploration & Production Select Industry® Index

Contingent Coupons:
If the closing level of the 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:
1.058% per month (approximately 12.70% per annum), if payable. Accordingly, each Contingent Coupon, if
payable, will equal $10.58 for each $1,000 in principal amount.

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

Contingent Coupon Payment
Interest, if payable, will be paid on the last business day of each month, beginning on March 02, 2020 and
Dates:1
ending on the Maturity Date, subject to the automatic redemption feature.

Automatic Redemption:
Beginning on July 24, 2020, if, on any Observation Date, the closing level of the 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 Asset.

You will receive $1,000 for each $1,000 in principal amount of the note, unless (a) a Trigger Event has occurred
and (b) the Final Level of the Reference Asset is less than its Initial Level.

If a Trigger Event has occurred and the Final Level of the Reference Asset is less than its Initial Level, 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]

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:
A Trigger Event will be deemed to occur if the closing level of the Reference Asset is less than its Trigger Level
on any trading day during the Monitoring Period.

Monitoring Period:
The period from the Pricing Date to and including the Valuation Date.

Percentage Change:
The quotient, expressed as a percentage, of the following formula:

(Final Level - Initial Level)
Initial Level

Initial Level:2
As set forth on the cover hereof.

Coupon Barrier Level:2
$12.76, which is 65% of the Initial Level (rounded to two decimal places).

Trigger Level: 2
$12.76, which is 65% of the Initial Level (rounded to two decimal places).

Call Level:2
100% of the Initial Level.
https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm
2/18

2/4/2020
https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm

Final Level:
The closing level of the Reference Asset on the Valuation Date.

Pricing Date:1
January 30, 2020.

Settlement Date:1
February 4, 2020

Valuation Date:1
April 23, 2021

2

https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm
3/18

2/4/2020
https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm

Maturity Date:1
April 30, 2021

Physical Delivery Amount:
We will only pay cash on the Maturity Date, and you will have no right to receive any shares of the Reference
Asset.

Calculation Agent:
BMOCM

Selling Agent:
BMOCM

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

2 As determined by the calculation agent and subject to adjustment in certain circumstances. See "General Terms of the Notes -- Anti-dilution
Adjustments" and "-- Adjustments to an ETF" in the product supplement for additional information about these adjustments.

3

https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm
4/18

2/4/2020
https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm

Additional Terms of the Notes

You should read this document together with the product supplement dated October 21, 2019, the prospectus supplement dated September
23, 2018 and the prospectus dated April 27, 2017. 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 October 21, 2019:
https://www.sec.gov/Archives/edgar/data/927971/000121465919006556/d101190424b2.htm

Prospectus supplement dated September 23, 2018:
https://www.sec.gov/Archives/edgar/data/927971/000119312518280416/d624491d424b5.htm

Prospectus dated April 27, 2017:
https://www.sec.gov/Archives/edgar/data/927971/000119312517142728/d254784d424b2.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.

4

https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm
5/18

2/4/2020
https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm

Selected Risk Considerations

An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Reference Asset.
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 and whether a Trigger Event has occurred. If the closing level is less than its
Trigger Level on any trading day during the Monitoring Period, a Trigger Event will occur. If a Trigger Event occurs and the Final Level of the
Reference Asset is less than its Initial Level, you will lose 1% of the principal amount for each 1% that the Final Level is less than the 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.
·
The Protection provided by the Trigger Level may terminate on any trading day during the Monitoring Period. -- If the closing level of
the Reference Asset is less than its Trigger Level on any trading day during the Monitoring Period and the Final Level of the Reference Asset is
less than its Initial Level, you will suffer a 1% loss on your investment for each 1% that the Final Level is less than the Initial Level. You will be
subject to this potential loss of principal even if, after the Trigger Event occurs, the level of the Reference Asset increases above its Trigger
Level.
·
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 the 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 the 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 the 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 appreciation in the value 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 exceeds the 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.
·
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 Asset. 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 Level or Coupon Barrier Level may reflect greater expected volatility of the
Reference Asset, 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 Level and Trigger Level, are based, in part, on the expected volatility of the
Reference Asset at the time the terms of the notes are set. "Volatility" refers to the frequency and magnitude of changes in the level of the
Reference Asset. The greater the expected volatility of the Reference Asset as of the Pricing Date, the greater the expectation is as of that date
that the closing level of the 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 Level and/or Coupon Barrier
Level than those terms on otherwise comparable securities. Therefore, a relatively higher Contingent Interest Rate may indicate an increased risk
of loss. Further, a relatively lower Trigger Level and/or Coupon Barrier 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
Asset 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.
·
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 shares of the Reference Asset or the
securities held by the 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 Asset 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
https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm
6/18

2/4/2020
https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm
Asset. 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.

5

https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm
7/18

2/4/2020
https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm

·
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 Asset, 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 owning shares of the Reference Asset or a security directly linked to the Reference Asset. -- The
return on your notes will not reflect the return you would realize if you actually owned shares of the Reference Asset or a security directly linked
to the performance of the Reference Asset and held that investment for a similar period. Your notes may trade quite differently from the
Reference Asset. Changes in the level of the Reference Asset may not result in comparable changes in the market value of your notes. Even if the
level of the Reference Asset increases 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 level of the Reference Asset increases. In addition, any dividends
or other distributions paid on the Reference Asset will not be reflected in the amount payable on the notes.
·
You will not have any shareholder rights and will have no right to receive any shares of the Reference Asset (or any company included in
the Reference Asset) at maturity. -- Investing in your notes will not make you a holder of any shares of the Reference Asset or any securities
held by the Reference Asset. 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 the Reference Asset or such underlying securities.
·
No delivery of shares of the Reference Asset. -- The notes will be payable only in cash. You should not invest in the notes if you seek to have
the shares of the Reference Asset delivered to you at maturity.
·
Changes that affect the applicable Underlying Index will affect the market value of the notes, whether the notes will be automatically
redeemed, and the amount you will receive at maturity. -- The policies of the applicable index sponsor concerning the calculation of the
applicable Underlying Index, additions, deletions or substitutions of the components of the applicable Underlying Index 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 share price of the Reference Asset, the amounts payable on the notes, whether the notes are automatically redeemed,
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 the
applicable index sponsor changes these policies, for example, by changing the manner in which it calculates the applicable Underlying Index, or
if the applicable index sponsor discontinues or suspends the calculation or publication of the applicable Underlying Index.
·
We have no affiliation with the index sponsor of the applicable Underlying Index and will not be responsible for its actions. -- The
sponsor of the applicable Underlying Index is not our affiliate and will not be involved in the offering of the notes in any way. Consequently, we
have no control over the actions of the index sponsor of the applicable Underlying Index, 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
applicable index sponsor has 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 the index sponsor of the applicable
Underlying Index.
·
Adjustments to the Reference Asset could adversely affect the notes. -- The sponsor and advisor of the Reference Asset is responsible for
calculating and maintaining the Reference Asset. The sponsor and advisor of the Reference Asset can add, delete or substitute the stocks
comprising the Reference Asset or make other methodological changes that could change the share price of the Reference Asset at any time. If
one or more of these events occurs, the calculation of the amount payable at maturity may be adjusted to reflect such event or events.
Consequently, any of these actions could adversely affect the amount payable at maturity and/or the market value of the notes.
·
We and our affiliates do not have any affiliation with the applicable investment advisor or the Reference Asset Issuer and are not
responsible for their public disclosure of information. -- The investment advisor of the Reference Asset advises the issuer of the Reference
Asset (the "Reference Asset Issuer") on various matters, including matters relating to the policies, maintenance and calculation of the Reference
Asset. We and our affiliates are not affiliated with the applicable investment advisor or the Reference Asset Issuer in any way and have no ability
to control or predict its actions, including any errors in or discontinuance of disclosure regarding the methods or policies relating to the Reference
Asset. Neither the applicable investment advisor nor the Reference Asset Issuer is involved in the offerings of the notes in any way and has no
obligation to consider your interests as an owner of the notes in taking any actions relating to the Reference Asset that might affect the value of
the notes. Neither we nor any of our affiliates has independently verified the adequacy or accuracy of the information about the applicable
https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm
8/18

2/4/2020
https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm
investment advisor or the Reference Asset contained in any public disclosure of information. You, as an investor in the notes, should make your
own investigation into the Reference Asset Issuer.
·
The correlation between the performance of the Reference Asset and the performance of the applicable Underlying Index may be
imperfect. -- The performance of the Reference Asset is linked principally to the performance of the applicable Underlying Index. However,
because of the potential discrepancies identified in more detail in the product supplement, the return on the Reference Asset may correlate
imperfectly with the return on the applicable Underlying Index.

6

https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm
9/18

2/4/2020
https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm

·
The Reference Asset is subject to management risks. -- The Reference Asset is subject to management risk, which is the risk that the
applicable investment advisor's investment strategy, the implementation of which is subject to a number of constraints, may not produce the
intended results. For example, the applicable investment advisor may invest a portion of the Reference Asset Issuer's assets in securities not
included in the relevant industry or sector but which the applicable investment advisor believes will help the Reference Asset track the relevant
industry or sector.
·
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 shares of the Reference Asset or securities held by the Reference Asset, futures or options relating to the
Reference Asset or securities held by the Reference Asset or other derivative instruments with return liked or related to changes in the
performance on the Reference Asset or securities held by the Reference Asset. We or our affiliates may also trade in the Reference Asset, such
securities, or instruments related to the Reference Asset 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.
·
Many economic and market factors will influence the value of the notes. -- In addition to the price of each Reference Asset 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 Asset. -- In the ordinary course of their
businesses, our affiliates from time to time may express views on expected movements in the prices of the Reference Asset or the prices of the
securities held by the Reference Asset. One or more of our affiliates have published, and in the future may publish, research reports that express
views on the Reference Asset 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 Asset at any time may have significantly different views from those of our affiliates. You are
encouraged to derive information concerning the Reference Asset 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, "Supplemental Tax ConsiderationsSupplemental 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 SPDR® S&P® Oil & Gas Exploration & Production ETF

·
The SPDR® S&P® Oil & Gas Exploration & Production ETF, and therefore an investment in the notes, is subject to risks associated
with concentration in the oil and gas industry. -- All or substantially all of the equity securities held by the SPDR® S&P® Oil & Gas
Exploration & Production ETF are issued by companies in the oil and gas exploration and production sector. As a result, the stocks that will
determine the performance of the SPDR® S&P® Oil & Gas Exploration & Production ETF are concentrated in one sector, and an investment in
the notes will be subject to certain risks associated with a direct equity investment in companies in the oil and gas exploration and production
sector. Accordingly, by investing in the notes, you will not benefit from the diversification which could result from an investment linked to
companies that operate in multiple sectors.
The issuers of the stocks held by the SPDR® S&P® Oil & Gas Exploration & Production ETF develop and produce, among other things, crude
oil and natural gas, and provide, among other things, drilling services and other services related to oil and gas production and distribution. Stock
prices for these types of companies are affected by supply and demand both for their specific product or service and for oil and gas products in
general. The price of oil and gas, exploration and production spending, government regulation, world events and economic conditions will
likewise affect the performance of these companies. Correspondingly, the stocks of companies in this sector are subject to swift price fluctuations
caused by events relating to international politics, energy conservation, the success of exploration projects and tax and other governmental
regulatory policies. Weak demand for the companies' products or services or for oil and gas products and services in general, as well as negative
developments in these other areas, would adversely impact the value of the stocks held by the SPDR® S&P® Oil & Gas Exploration &
Production ETF, the market price of the SPDR® S&P® Oil & Gas Exploration & Production ETF, and the value of the notes.

7

https://www.sec.gov/Archives/edgar/data/927971/000121465920000846/j23203424b2.htm
10/18