Obligation Montreal Bank 0% ( US06367TZ947 ) en USD

Société émettrice Montreal Bank
Prix sur le marché 100 %  ⇌ 
Pays  Canada
Code ISIN  US06367TZ947 ( en USD )
Coupon 0%
Echéance 31/08/2021 - Obligation échue



Prospectus brochure de l'obligation Bank of Montreal US06367TZ947 en USD 0%, échue


Montant Minimal 1 000 USD
Montant de l'émission 929 000 USD
Cusip 06367TZ94
Notation Standard & Poor's ( S&P ) N/A
Notation Moody's N/A
Description détaillée 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 de la Bank of Montreal (ISIN : US06367TZ947, CUSIP : 06367TZ94), émise au Canada en USD pour un montant total de 929 000 unités avec un prix unitaire minimum de 1000 USD, à un taux d'intérêt de 0%, est arrivée à échéance le 31 août 2021 et a été intégralement remboursée à 100% de sa valeur nominale.







424B2 1 b227180424b2.htm ELN 1059

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

Pricing Supplement dated February 27, 2018 to the Prospectus dated April 27, 2017, the Prospectus Supplement
dated April 27, 2017 and the Product Supplement dated May 1, 2017
US$929,000
Senior Medium-Term Notes, Series D
Buffered Bullish Digital Return Notes due August 31, 2021
Linked to the Russell 2000® Index

·
The notes are designed for investors who seek a fixed positive return equal to the Digital Return (as defined below) if the level of the Russell 2000®
Index (the "Underlying Asset") increases, or does not decrease by more than 15%. Investors should be willing to forgo periodic interest, and be
willing to lose 1% of their principal amount for each 1% that the level of the Underlying Asset decreases by more than 15% from its level on the
Pricing Date.

·
Investors in the notes may lose up to 85% of their principal amount at maturity.

·
The Digital Return is 17.50%. Accordingly, the maximum amount payable on the notes is $1,175 for each $1,000 in principal amount.

·
Any payment at maturity is subject to the credit risk of Bank of Montreal.

·
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 February 23, 2018, and the notes will settle through the facilities of The Depository Trust Company on February 28, 2018.

·
The notes are scheduled to mature on August 31, 2021.

·
The CUSIP number of the notes is 06367TZ94.

·
Our subsidiary, BMO Capital Markets Corp. ("BMOCM"), is the agent for this offering. See "Supplemental Plan of Distribution (Conflicts of
Interest)" below.

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 $934.00 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





100%
2.75%
97.25%
Per Note
US$1,000
US$27.50
US$972.50




Total
US$929,000.00
US$25,547.50
US$903,452.50

(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 may be between $972.50 and $1,000 per $1,000 in principal amount.
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BMO CAPITAL MARKETS



Key Terms of the Notes:

Underlying Asset:
The Russell 2000® Index (ticker symbol: RTY). See the section below entitled "The Underlying Asset" for
additional information about the Underlying Asset.


Payment at Maturity:
(i) If the Percentage Change is positive, zero, or negative (but is not less than -15%), then the amount that the
investors will receive at maturity for each $1,000 in principal amount of the notes will equal:

Principal Amount + (Principal Amount x Digital Return)



(ii) If the Percentage Change is less than -15%, then the payment at maturity will equal:



Principal Amount + [Principal Amount × (Percentage Change + Buffer Percentage)]


Digital Return:
17.50%


Initial Level:
1,549.186, which was the closing level of the Underlying Asset on the February 23, 2018.


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


Buffer Level:
1,316.808, which is 85% of the Initial Level (rounded to three decimal places).


Buffer Percentage:
15%. Accordingly, you will receive a positive return on your notes at maturity only if the level of the
Underlying Asset does not decrease by more than 15%. If the Final Level is less than the Buffer Level, you will
receive less than the principal amount of your notes at maturity, and you could lose up to 85% of the principal
amount of your notes.


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


Pricing Date:
February 23, 2018


Settlement Date:
February 28, 2018


Valuation Date:
August 26, 2021


Maturity Date:
August 31, 2021


Automatic Redemption:
Not applicable


Calculation Agent:
BMOCM


Selling Agent:
BMOCM


P-2




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Payoff Example

The following table shows the hypothetical payout profile of an investment in the notes reflecting the Buffer Level of 85% and the Digital Return of
17.50%. Please see the hypothetical examples below for more detailed examples.



P-3

Additional Terms of the Notes

You should read this pricing supplement together with the product supplement dated May 1, 2017, the prospectus supplement dated April
27, 2017 and the prospectus dated April 27, 2017. 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, 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 May 1, 2017:
https://www.sec.gov/Archives/edgar/data/927971/000121465917002865/c427172424b5.htm

·
Prospectus supplement dated April 27, 2017:
https://www.sec.gov/Archives/edgar/data/927971/000119312517142764/d381374d424b5.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 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 Asset.
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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 15%. The payment at maturity
will be based on the Final Level, and whether the Final Level of the Underlying Asset on the Valuation Date has declined from the Initial
Level to a level that is less than the Buffer Level. If the Final Level is less than the Buffer Level you will lose 1% of the principal amount
of your notes for each 1% that the Final Level is less than the Buffer Level. Accordingly, you could lose up to 85% of the principal
amount of the notes.

·
Your return on the notes is limited to the Digital Return, regardless of any appreciation in the level of the Underlying Asset. -- The
return on your notes will not be greater than the Digital Return. This will be the case even if the Percentage Change exceeds the Digital
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.

·
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 securities included in
the Underlying 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
Underlying Asset and, therefore, the market value of 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 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 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.

·
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 is derived using our internal pricing
models. This value is based on market conditions and other relevant factors, which include volatility of the Underlying 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 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 agent's
commission 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.

P-5

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·
You will not have any shareholder rights and will have no right to receive any shares of any company included in the Underlying
Asset at maturity. -- Investing in your notes will not make you a holder of any shares of any company included in the Underlying 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 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 to adverse developments
related to their products or services.

·
Changes that affect the Underlying Asset will affect the market value of the notes and the amount you will receive at maturity. --
The policies of FTSE Russell, the sponsor of the Underlying Asset, concerning the calculation of the Underlying Asset, additions, deletions
or substitutions of the components of the Underlying Asset and the manner in which changes affecting those components, such as stock
dividends, reorganizations or mergers, may be reflected in the Underlying Asset and, therefore, could affect the level of the 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 FTSE Russell changes these policies, for example, by changing the manner in which it
calculates the Underlying Asset, or if FTSE Russell discontinues or suspends the calculation or publication of the Underlying Asset.

·
We have no affiliation with FTSE Russell and will not be responsible for any actions taken by FTSE Russell. -- FTSE Russell is not
an affiliate of ours and will not be involved in the offering of the notes in any way. Consequently, we have no control over the actions of
FTSE Russell, including any actions of the type that would require the calculation agent to adjust the payment to you at maturity. FTSE
Russell has no obligation of any sort with respect to the notes. Thus, FTSE Russell 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 FTSE Russell.

·
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 Asset, or futures or options relating to the Underlying Asset, or
other derivative instruments with returns linked or related to changes in the performance of the Underlying Asset. We or our affiliates may
also engage in trading relating to the Underlying Asset 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 level of the Underlying 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 Underlying Asset. -- In the ordinary course of their
businesses, our affiliates from time to time may express views on expected movements in the level of the Underlying Asset or the prices of
the securities included in the Underlying Asset. One or more of our affiliates have published, and in the future may publish, research
reports that express views on the Underlying 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 Underlying Asset at any time may have significantly different views
from those of our affiliates. You are encouraged to derive information concerning the Underlying Asset from multiple sources, and you
should not rely on the views expressed by our affiliates.

P-6

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.

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·
Significant aspects of the tax treatment of the notes are uncertain. -- The tax treatment of the notes is uncertain. We do not plan to
request a ruling from the Internal Revenue Service or from any Canadian authorities regarding the tax treatment of the notes, and the
Internal Revenue Service or a court may not agree with the tax treatment described 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.

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 return at maturity on a $1,000 investment in the notes. 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, a Buffer Percentage of 15% (the
Buffer Level is 85% of the Initial Level), and the Digital Return of 17.50%. 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.

Hypothetical Final Level
Hypothetical Percentage Change
Hypothetical Return on the Notes
2,000.00
100.00%
17.50%
1,500.00
50.00%
17.50%
1,250.00
25.00%
17.50%
1,200.00
20.00%
17.50%
1,175.00
17.50%
17.50%
1,150.00
15.00%
17.50%
1,100.00
10.00%
17.50%
1,050.00
5.00%
17.50%
1,000.00
0.00%
17.50%
950.00
-5.00%
17.50%
900.00
-10.00%
17.50%
850.00
-15.00%
17.50%
800.00
-20.00%
-5.00%
700.00
-30.00%
-15.00%
500.00
-50.00%
-35.00%
300.00
-70.00%
-55.00%
0.00
-100.00%
-85.00%

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 Underlying Asset decreases from the hypothetical Initial Level of 1,000 to a hypothetical Final Level of 700,
representing a Percentage Change of -30%. Because the Percentage Change is negative and the hypothetical Final Level is less than the
hypothetical Initial Level by more than the Buffer Percentage of 15%, the investor receives a payment at maturity of $850 per $1,000 in principal
amount of the notes, calculated as follows:

$1,000 + [$1,000 x (-30% + 15%)] = $850

Example 2: The level of the Underlying Asset decreases from the hypothetical Initial Level of 1,000 to a hypothetical Final Level of 950,
representing a Percentage Change of -5%. Although the Percentage Change is negative, because the hypothetical Final Level is less than the
hypothetical Initial Level by not more than the Buffer Percentage of 15%, the investor receives a payment at maturity of $1,175 per $1,000 in
principal amount of the notes, representing a positive return equal to the Digital Return, even though the Percentage Change is negative.
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Example 3: The level of the Underlying Asset increases from the hypothetical Initial Level of 1,000 to a hypothetical Final Level of 1,050,
representing a Percentage Change of 5%. Because the hypothetical Final Level is greater than the hypothetical Initial Level and the Percentage
Change of 5% is positive, the investor receives a payment at maturity of $1,175 per $1,000 in principal amount of the notes, representing a positive
return equal to the Digital Return.

Example 4: The level of the Underlying Asset increases from the hypothetical Initial Level of 1,000 to a hypothetical Final Level of 1,500,
representing a Percentage Change of 50%. Because the hypothetical Final Level is greater than the hypothetical Initial Level and the Percentage
Change of 50% is positive, the investor receives a payment at maturity of $1,175 per $1,000 in principal amount of the notes, representing a positive
return equal to the Digital Return. In this case, the return on the notes would be less than the Percentage Change.

P-8

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, except that the following disclosure supplements, and to the extent inconsistent supersedes, the discussion in the product
supplement.

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 the 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.

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 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.

Delivery of the notes will be made against payment for 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
Asset or as to the suitability of an investment in the notes.

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
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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 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.

No Prospectus (as defined in Directive 2003/71/EC (as amended, the "Prospectus Directive")) will be prepared in connection with the
notes. Accordingly, the notes may not be offered to the public in any member state of the European Economic Area (the "EEA"), and any purchaser
of the notes who subsequently sells any of the notes in any EEA member state must do so only in accordance with the requirements of the
Prospectus Directive, as implemented in that member state.

P-9

The notes are not intended to be offered, sold or otherwise made available to, and should not be offered, sold or otherwise made available
to, any retail investor in the EEA. For these purposes, the expression "offer" includes the communication in any form and by any means of sufficient
information on the terms of the offer and the notes to be offered so as to enable an investor to decide to purchase or subscribe the notes, and a "retail
investor" means a person who is one (or more) of: (a) a retail client, as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended,
"MiFID II"); or (b) a customer, within the meaning of Insurance Distribution Directive 2016/97/EU, as amended, where that customer would not
qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (c) not a qualified investor as defined in the Prospectus
Directive. Consequently, no key information document required by Regulation (EU) No 1286/2014 (as amended, the "PRIIPs Regulation") for
offering or selling the notes or otherwise making them available to retail investors in the EEA has been prepared, and therefore, offering or selling
the notes or otherwise making them available to any retail investor in the EEA may be unlawful under the PRIIPs Regulation.

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.

P-10

The Underlying Asset

All disclosures contained in this pricing supplement regarding the Underlying Asset, including, without limitation, its make-up, method of
calculation, and changes in its components, have been derived from publicly available sources. The information reflects the policies of, and is
subject to change by, FTSE Russell. FTSE Russell, which owns the copyright and all other rights to the Underlying Asset, has no obligation to
continue to publish, and may discontinue publication of, the Underlying Asset. The consequences of FTSE Russell discontinuing publication of the
Underlying Asset are discussed in the section of the product prospectus supplement entitled "General Terms of the Notes--Unavailability of the
Level of the Underlying Asset on a Valuation Date." Neither we nor BMOCM accepts any responsibility for the calculation, maintenance or
publication of the Underlying Asset or any successor index.

The RTY was developed by Russell Investments ("Russell") before FTSE International Limited ("FTSE") and Russell combined in 2015
to create FTSE Russell, which is wholly owned by London Stock Exchange Group. Russell began dissemination of the RTY (Bloomberg L.P. index
symbol "RTY") on January 1, 1984. The RTY was set to 135 as of the close of business on December 31, 1986. FTSE Russell calculates and
publishes the RTY. The RTY is designed to track the performance of the small capitalization segment of the U.S. equity market. As a subset of the
Russell 3000® Index, the RTY consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 3000® Index measures
the performance of the largest 3,000 U.S. companies. The RTY is determined, comprised, and calculated by FTSE Russell without regard to the
notes.

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Selection of Stocks Comprising the Underlying Asset

All companies eligible for inclusion in the RTY must be classified as a U.S. company under FTSE Russell's country-assignment
methodology. If a company is incorporated, has a stated headquarters location, and trades in the same country (American Depositary Receipts and
American Depositary Shares are not eligible), then the company is assigned to its country of incorporation. If any of the three factors are not the
same, FTSE Russell defines three Home Country Indicators ("HCIs"): country of incorporation, country of headquarters, and country of the most
liquid exchange (as defined by a two-year average daily dollar trading volume) ("ADDTV") from all exchanges within a country. Using the HCIs,
FTSE Russell compares the primary location of the company's assets with the three HCIs. If the primary location of its assets matches any of the
HCIs, then the company is assigned to the primary location of its assets. If there is insufficient information to determine the country in which the
company's assets are primarily located, FTSE Russell will use the primary country from which the company's revenues are primarily derived for the
comparison with the three HCIs in a similar manner. FTSE Russell uses the average of two years of assets or revenues data to reduce potential
turnover. If conclusive country details cannot be derived from assets or revenues data, FTSE Russell will assign the company to the country of its
headquarters, which is defined as the address of the company's principal executive offices, unless that country is a Benefit Driven Incorporation
"BDI" country, in which case the company will be assigned to the country of its most liquid stock exchange. BDI countries include: Anguilla,
Antigua and Barbuda, Aruba, Bahamas, Barbados, Belize, Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook
Islands, Curacao, Faroe Islands, Gibraltar, Guernsey, Isle of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten, and
Turks and Caicos Islands. For any companies incorporated or headquartered in a U.S. territory, including countries such as Puerto Rico, Guam, and
U.S. Virgin Islands, a U.S. HCI is assigned.

All securities eligible for inclusion in the RTY must trade on a major U.S. exchange. Bulletin board, pink sheets, and over-the-counter
("OTC") traded securities are not eligible for inclusion. Stocks must have a closing price at or above $1.00 on their primary exchange on the last
trading day in July to be eligible for inclusion during annual reconstitution. However, in order to reduce unnecessary turnover, if an existing
member's closing price is less than $1.00 on the last day of July, it will be considered eligible if the average of the daily closing prices (from its
primary exchange) during the month of July is equal to or greater than $1.00. Initial public offerings must have a closing price at or above $1.00 on
the last day of their eligibility period in order to qualify for index inclusion. If an existing stock does not trade on the "rank day" (typically the last
trading day in July but a confirmed timetable is announced each spring), but does have a closing price at or above $1.00 on another eligible U.S.
exchange, that stock will be eligible for inclusion. Companies with a total market capitalization of less than $30 million are not eligible for the RTY.
Similarly, companies with only 5% or less of their shares available in the marketplace are not eligible for the RTY.

Royalty trusts, limited liability companies, closed-end investment companies (companies that are required to report Acquired Fund Fees
and Expenses, as defined by the SEC, including business development companies, are not eligible), blank check companies, special-purpose
acquisition companies, exchange traded funds, mutual funds and limited partnerships are ineligible for inclusion. Preferred and convertible preferred
stock, redeemable shares, participating preferred stock, warrants, rights, installment receipts and trust receipts are not eligible for inclusion in the
RTY.

Annual reconstitution is a process by which the RTY is completely rebuilt. On the rank day of July, all eligible securities are ranked by their
total market capitalization. The largest 4,000 become the Russell 3000E Index, and the other FTSE Russell indexes are determined from that set of
securities. Reconstitution of the RTY occurs on the last Friday in June or, when the last Friday in June is the 29th or 30th, reconstitution occurs on
the prior Friday. In addition, FTSE Russell adds initial public offerings to the RTY on a quarterly basis based on total market capitalization ranking
within the market-adjusted capitalization breaks established during the most recent reconstitution.

P-11
After membership is determined, a security's shares are adjusted to include only those shares available to the public. This is often referred
to as "free float." The purpose of the adjustment is to exclude from market calculations the capitalization that is not available for purchase and is not
part of the investable opportunity set.

License Agreement

"Russell 2000®" and "Russell 3000®" are trademarks of FTSE Russell and have been licensed for use by us.

The notes are not sponsored, endorsed, sold or promoted by FTSE Russell. FTSE Russell makes no representation or warranty, express or
implied, to the owners of the notes or any member of the public regarding the advisability of investing in securities generally or in the Notes
particularly or the ability of the RTY to track general stock market performance or a segment of the same. FTSE Russell's publication of the RTY in
no way suggests or implies an opinion by FTSE Russell as to the advisability of investment in any or all of the securities upon which the RTY is
based. FTSE Russell's only relationship to the Issuer is the licensing of certain trademarks and trade names of FTSE Russell and of the RTY which is
determined, composed and calculated by FTSE Russell without regard to the Issuer or the notes. FTSE Russell is not responsible for and has not
reviewed the notes nor any associated literature or publications and FTSE Russell makes no representation or warranty express or implied as to their
accuracy or completeness, or otherwise. FTSE Russell reserves the right, at any time and without notice, to alter, amend, terminate or in any way
change the RTY. FTSE Russell has no obligation or liability in connection with the administration, marketing or trading of the notes.
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FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE RTY OR ANY DATA
INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS
THEREIN. FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER,
INVESTORS, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RTY OR ANY DATA
INCLUDED THEREIN. FTSE RUSSELL MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL
WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE RTY OR ANY
DATA INCLUDED HEREIN WITHOUT LIMITING ANY OF THE FOREGOING. IN NO EVENT SHALL FTSE RUSSELL HAVE ANY
LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF
NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

P-12

Historical Performance of the Underlying Asset

The following table sets forth the quarter-end high and low closing levels for the Underlying Asset from the first quarter of 2008 through
the Pricing Date.

The historical levels of the Underlying Asset are provided for informational purposes only. You should not take the historical levels of the
Underlying Asset as an indication of its future performance, which may be better or worse than the levels set forth below.

Closing Levels of the Russell 2000® Index



High

Low
2008
First Quarter
753.548

643.966

Second Quarter
763.266

686.073

Third Quarter
754.377

657.718

Fourth Quarter
671.590

385.308




2009
First Quarter
514.710

343.260

Second Quarter
531.680

429.158

Third Quarter
620.695

479.267

Fourth Quarter
634.072

562.395




2010
First Quarter
690.303

586.491

Second Quarter
741.922

609.486

Third Quarter
677.642

590.034

Fourth Quarter
792.347

669.450




2011
First Quarter
843.549

773.184

Second Quarter
865.291

777.197

Third Quarter
858.113

643.421

Fourth Quarter
765.432

609.490




2012
First Quarter
846.129

747.275

Second Quarter
840.626

737.241

Third Quarter
864.697

767.751

Fourth Quarter
852.495

769.483




2013
First Quarter
953.068

872.605

Second Quarter
999.985

901.513

Third Quarter
1,078.409

989.535

Fourth Quarter
1,163.637

1,043.459




2014
First Quarter
1,208.651

1,093.594

Second Quarter
1,192.964

1,095.986

Third Quarter
1,208.150

1,101.676

Fourth Quarter
1,219.109

1,049.303




2015
First Quarter
1,266.373

1,154.709
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Document Outline