Registration Statement No.333-264388
Filed Pursuant to Rule 424(b)(2)
Pricing Supplement dated August 28, 2024 to the Prospectus dated May 26, 2022,
the Prospectus Supplement dated May 26, 2022 and the Product Supplement dated September 22, 2022
US$2,110,000
Senior Medium-Term Notes, Series I
Market Linked Notes due September 02, 2027
Linked to a Basket of Two Indices
| · | The notes are designed for investors who are seeking 1-to-1 positive return based on any appreciation in the level of an equally-weighted
basket (the “Basket”) consisting of the EURO STOXX 50® Index and the S&P 500® Index (each, a “Basket Component”),
subject to the Maximum Redemption Amount (as defined below). Investors must be willing to accept that the payment at maturity will not
exceed the Maximum Redemption Amount. |
| · | The Maximum Redemption Amount is $1,290.00 for each $1,000 in principal amount (a 29.00% return on the
notes). |
| · | If the Final Level of the Reference Asset decreases from its Initial Level, investors will receive a
cash amount at maturity that is equal to the principal amount. |
| · | Investing in the notes is not equivalent to a hypothetical direct investment in the Basket Components. |
| · | The notes do not bear interest. 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. |
| · | The CUSIP number of the notes is 06376BKF4. |
| · | 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: |
August 28, 2024 |
|
Valuation Date: |
August 30, 2027 |
Settlement Date: |
September 03, 2024 |
|
Maturity Date: |
September 02, 2027 |
|
Price to Public1 |
Agent’s Commission1 |
Proceeds to Bank of Montreal1 |
Per Note
Total |
100%
$2,110,000.00 |
2.10%
$44,310.00 |
97.90%
$2,065,690.00 |
1 The total “Agent’s Commission” and “Proceeds
to Bank of Montreal” specified above reflect the aggregate amounts at the time Bank of Montreal established its hedge positions
on or prior to the Pricing Date, which may have been variable and fluctuated depending on market conditions at such times. 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 $979.00 and $1,000 per $1,000
in principal amount. In addition, the “Agent’s Commission” also includes a structuring fee of up to 0.10% and a selling
commission of up to 2.00% of the principal amount per note.
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-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 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 $965.74 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
Key Terms of the Notes:
Reference Asset; Basket
Components; Weighting
Percentages; Initial Basket |
The Reference Asset is an equally weighted basket consisting of the following equity indices (the “Basket”
and the underlying equity securities, the “Basket Components”): |
Component Levels:2 |
Basket Component |
Bloomberg Ticker |
Weighting Percentage
(rounded to two
decimal places) |
Initial Basket
Component Level* |
|
The EURO STOXX 50®
Index |
SX5E |
50.00% |
4,913.03 |
|
The S&P 500® Index |
SPX |
50.00% |
5,592.18 |
Payment at Maturity: |
If the Percentage Change of the Basket is positive and the Percentage
Change of the Basket multiplied by the Upside Leverage Factor is greater than or equal to the Maximum Return, the payment at maturity
for each $1,000 in principal amount of the notes will equal the Maximum Redemption Amount.
If the Percentage Change of the Basket is positive and the Percentage
Change of the Basket multiplied by the Upside Leverage Factor is less than the Maximum Return, then the amount that investors will receive
at maturity for each $1,000 in principal amount of the notes will equal:
$1,000 + [$1,000 x (Percentage Change of the Basket
x Upside Leverage Factor)]
If the Percentage Change of the Basket is zero or negative, then investors
will, for each $1,000 in principal amount of the notes, receive the principal amount of $1,000 and no additional return. |
|
|
Upside Leverage Factor: |
100.00% |
|
|
Maximum Return: |
29.00% |
|
|
Maximum Redemption
Amount: |
The payment at maturity will not exceed the Maximum Redemption Amount of $1,290.00 per $1,000 in principal amount of the notes. |
|
|
Initial Level:2 |
100.00 |
|
|
Final Level: |
Initial Level x (1 + Percentage Change) |
|
|
Percentage Change: |
The sum of the Weighted Percentage Change for each Basket Component. |
|
|
Weighted Percentage
Change: |
With respect to each Basket Component, the product of (a) its Weighting Percentage and (b) its Component Change. |
|
|
Component Change: |
With respect to each Basket Component,
the quotient, expressed as a percentage, of the following formula:
(Final
Basket Component Level - Initial Basket Component Level)
Initial Basket Component Level |
|
|
Final Basket Component
Level: |
With respect to each Basket Component, its closing level on the Valuation Date. |
|
|
Pricing Date: |
August 28, 2024 |
|
|
Settlement Date: |
September 03, 2024 |
|
|
Valuation Date:1 |
August 30, 2027 |
|
|
Maturity Date:1 |
September 02, 2027 |
|
|
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 - Adjustments to a Reference Asset that is an Index" and
“— Adjustments Relating to Notes Linked to a Basket” in the product supplement for additional information.
Payoff Example
The following table shows the hypothetical payout
profile of an investment in the notes based on various hypothetical Final Levels (and the corresponding Percentage Change) of the Basket,
reflecting the 100.00% Upside Leverage Factor, and Maximum Return of 29.00%. Please see “Examples of the Hypothetical Payment at
Maturity for a $1,000 Investment in the Notes” below for more detailed examples.
Hypothetical Percentage Change
of the Basket
|
Participation in Percentage
Change |
Hypothetical Return of the
Notes |
34.00%
29.00%
|
100% Upside Exposure, subject to the Maximum
Return
|
29.00%
29.00% |
20.00%
10.00%
|
100% Upside Exposure
|
20.00%
10.00% |
-10%
-100%
|
No Upside Payment
|
0%
0% |
Additional Terms of the Notes
You should read this document together with the
product supplement dated September 22, 2022, the prospectus supplement dated May 26, 2022 and the prospectus dated May 26, 2022. 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 September 22, 2022:
https://www.sec.gov/Archives/edgar/data/927971/000121465922011396/j922220424b2.htm
Prospectus supplement dated May 26, 2022 and prospectus dated
May 26, 2022:
https://www.sec.gov/Archives/edgar/data/0000927971/000119312522160519/d269549d424b5.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.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Basket Components. These risks are explained in more detail
in the “Additional Risk Factors Relating to the Notes” section of the product supplement.
Risks Related to the Structure or Features of the Notes
| · | Your return on the notes is limited to the Maximum Redemption Amount, regardless of any appreciation in the levels of any Basket
Components. — The return on your notes will not be greater than the Maximum Redemption Amount. This will be the case even if
the Percentage Change of the Basket multiplied by the Upside Leverage Factor exceeds the Maximum Return. |
| · | Changes in the level of one or more Basket Components may be offset by changes in the level
of one or more other Basket Components. A change in the levels of one or more Basket Components may not correlate with changes in
the levels of one or more other Basket Components. The level of one or more Basket Components may increase, while the level of one or
more other Basket Components may not increase as much, or may even decrease. Therefore, in determining the level of the Basket as of any
time, increases in the level of one Basket Component may be moderated, or wholly offset, by lesser increases or decreases in the level
of one or more other Basket Components. |
| · | 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 may be less than the return you could earn on other investments. The notes do not provide for
interest payments and the payment you receive at maturity, if any, may be less than the principal amount of the notes. Even if 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 Basket Components. Your investment may not reflect the
full opportunity cost to you when you take into account factors that affect the time value of money. |
Risks Related to the Basket Components
| · | Owning the notes is not the same as a hypothetical direct investment in the Basket or owning
a security directly linked to the Basket or Basket Components. — The return on your notes will not reflect the return you would
realize if you made a hypothetical direct investment in the Basket or owned the underlying securities of the Basket Components or a security
directly linked to the performance of the Basket Components or the underlying securities of the Basket Components and held that investment
for a similar period. Your notes may trade quite differently from the Basket Components. Changes in the level of a Basket Component may
not result in comparable changes in the market value of your notes. Even if the levels of the Basket Components 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 Basket Components increase. |
| · | You will not have any shareholder rights and will have no right to receive any shares of
any company included in a Basket Component at maturity. — Investing in your notes will not make you a holder of any securities
included in the Basket Components. 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 Basket Components 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. |
| · | You must rely on your own evaluation of the merits of an investment linked to the Basket.
— In the ordinary course of their businesses, our affiliates from time to time may express views on expected movements in the
level of the Basket or the prices of the securities included in the Basket Components. One or more of our affiliates have published, and
in the future may publish, research reports that express views on the Basket Components 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 Basket Components at any time
may have significantly different views from those of our affiliates. You are encouraged to derive information concerning the Basket Components
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. |
Risks Relating to the EURO STOXX 50® Index
| · | An investment in the notes is subject to risks associated with foreign securities markets. — The EURO STOXX 50®
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 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 SEC, 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. |
| · | An investment in the notes is subject to foreign currency exchange rate risk. — The value of the EURO STOXX 50® Index
will fluctuate based in part upon changes in the value of the currencies in which the relevant stocks are traded. Accordingly, investors
in the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the stocks represented by
the EURO STOXX 50® Index are traded. An investor’s net exposure will depend on the extent to which these currencies strengthen
or weaken against the U.S. dollar. |
General Risk Factors
| · | 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 securities included in the Basket Components 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 Basket Components 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 Basket Components. 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 Basket Components, 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. |
| · | 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 have carried out
or may carry out hedging activities related to the notes, including purchasing or selling shares of the securities included in the Basket
Components, futures or options relating to the Basket Components or securities included in the Basket Components or other derivative instruments
with returns linked or related to changes in the performance on the Basket Components or securities included in the Basket Components.
We or our affiliates may also trade in the securities included in the Basket Components or instruments related to the Basket Components
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 levels of the Basket Components
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. |
| · | U.S. taxpayers will be required to pay taxes on the notes each year. — The notes will likely be treated as debt instruments
subject to special rules governing contingent payment debt instruments for U.S. federal income tax purposes. If you are a United States
holder (as defined in the accompanying prospectus), you generally will be required to pay taxes on ordinary income over the term of the
notes based on the comparable yield for the notes, even though you will not receive any payments from us until maturity. This comparable
yield is determined solely to calculate the amounts you will be taxed on prior to maturity and is neither a prediction nor a guarantee
of what the actual yield will be. Any gain you may recognize on the sale or maturity of the notes will be ordinary income. Any loss you
may recognize upon the sale of the notes will generally be ordinary loss to the extent of the interest you included as income in the current
or previous taxable years in respect of the notes and thereafter will be capital loss. |
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.
Examples of the Hypothetical Payment at Maturity for a $1,000 Investment
in the Notes
The following table illustrates the hypothetical
payments on a note at maturity. The hypothetical payments are based on a $1,000 investment in the note, a hypothetical Initial Level of
100.00, the Maximum Return of 29.00%, the Maximum Redemption Amount of $1,290.00, and a range of hypothetical Final Levels and the effect
on the payment at maturity.
The hypothetical examples shown below are intended
to help you understand the terms of the notes. The actual cash amount that you will receive at maturity will depend upon the Final Level
of the Basket. You may lose some or all of the principal amount at maturity.
Hypothetical Final Level of the
Basket |
Hypothetical Final Level of the
Basket Expressed as a
Percentage of its Initial Level |
Hypothetical Payment at
Maturity |
Hypothetical Return on the
Notes |
200.00 |
200.00% |
$1,290.00 |
29.00% |
180.00 |
180.00% |
$1,290.00 |
29.00% |
160.00 |
160.00% |
$1,290.00 |
29.00% |
140.00 |
140.00% |
$1,290.00 |
29.00% |
120.00 |
120.00% |
$1,290.00 |
29.00% |
112.10 |
112.10% |
$1,290.00 |
29.00% |
110.00 |
110.00% |
$1,100.00 |
10.00% |
105.00 |
105.00% |
$1,050.00 |
5.00% |
100.00 |
100.00% |
$1,000.00 |
0.00% |
95.00 |
95.00% |
$1,000.00 |
0.00% |
90.00 |
90.00% |
$1,000.00 |
0.00% |
85.00 |
85.00% |
$1,000.00 |
0.00% |
80.00 |
80.00% |
$1,000.00 |
0.00% |
75.00 |
75.00% |
$1,000.00 |
0.00% |
0.00 |
0.00% |
$1,000.00 |
0.00% |
The following examples illustrate how the returns
set forth in the table above are calculated.
Example 1: The level of the Basket decreases from the hypothetical
Initial Level of 100.00 to a hypothetical Final Level of 90.00, representing a Percentage Change of –10.00%. Because the Percentage
Change of the Basket is negative, the investor receives a payment at maturity of $1,000.00 per $1,000 in principal amount of the notes.
Example 2: The level of the Basket increases from the hypothetical
Initial Level of 100.00 to a hypothetical Final Level of 110.00, representing a Percentage Change of 10.00%. Because the hypothetical
Percentage Change is positive and the Percentage Change of the Basket multiplied by the Upside Leverage Factor does not exceed the Maximum
Return, the investor receives a payment at maturity of $1,100.00 per $1,000 in principal amount of the notes, calculated as follows:
$1,000 + $1,000 x (10.00% x 100.00%) = $1,100.00
Example 3: The level of the Basket increases from the hypothetical
Initial Level of 100.00 to a hypothetical Final Level of 120.00, representing a Percentage Change of 20.00%. Because the hypothetical
Percentage Change of the Basket is positive and the Percentage Change multiplied by the Upside Leverage Factor exceeds the Maximum Return,
the investor receives a payment at maturity of $1,290.00 per $1,000 in principal amount of the notes (the Maximum Redemption Amount).
The return on the notes in this example is less than the Percentage Change of the Basket.
U.S. Federal Tax Information
We intend to treat the notes, and in the opinion
of our counsel, Mayer Brown LLP, the notes should be treated, as debt instruments subject to the special rules governing contingent payment
debt instruments for U.S. federal income tax purposes. Please see the discussion in the product supplement dated September 22, 2022 under
“Supplemental Tax Considerations—Supplemental U.S. Federal Income Tax Considerations—Notes Treated as Indebtedness—Where
the Term of the Notes Exceeds One Year,” which applies to the notes.
Under current Internal Revenue Service guidance,
withholding on "dividend equivalent" payments (as discussed in the product supplement), if any, will not apply to notes that
are issued as of the date of this pricing supplement unless such notes are "delta-one" instruments. Based on our determination
that the notes are not delta-one instruments, non-United States holders (as defined in the product supplement) should not generally be
subject to withholding on dividend equivalent payments, if any, under the notes.
Supplemental Plan of Distribution (Conflicts of Interest)
BMOCM will purchase the notes from us at a purchase
price reflecting the commission set forth on the cover hereof. 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. The commission
set forth on the cover page also includes a structuring fee and selling commission in the amount set forth on the cover hereof.
Certain dealers who purchase the notes for sale
to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions. The public offering price
for investors purchasing the notes in these accounts may be less than 100% of the principal amount, as set forth on the cover page of
this document. Investors that hold their notes in these accounts may be charged fees by the investment advisor or manager of that account
based on the amount of assets held in those accounts, including the notes.
We will deliver the notes on a date that is greater
than one business day following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended (the “Exchange
Act”), trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than one business day 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 Basket Components 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 which could be indicated for the notes
on any brokerage account statements, will reflect a temporary upward adjustment from our estimated value of the notes that would otherwise
be determined and applicable at that time. This temporary upward adjustment represents a portion of (a) the hedging profit that we or
our affiliates expect to realize over the term of the notes and (b) any underwriting discount and the 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.
The notes and the related offer to purchase notes
and sale of notes under the terms and conditions provided herein do not constitute a public offering in any non-U.S. jurisdiction, and
are being made available only to individually identified investors pursuant to a private offering as permitted in the relevant jurisdiction.
The notes are not, and will not be, registered with any securities exchange or registry located outside of the United States and have
not been registered with any non-U.S. securities or banking regulatory authority. The contents of this document have not been reviewed
or approved by any non-U.S. securities or banking regulatory authority. Any person who wishes to acquire the notes from outside the United
States should seek the advice or legal counsel as to the relevant requirements to acquire these notes.
Brazil. The notes have not been, and will
not be issued nor publicly placed, distributed, offered or negotiated in the Brazilian capital markets and, as a result, have not been
and will not be registered with the Comissão de Valores Mobiliáros (“CVM”). Any public offering or distribution,
as defined under Brazilian laws and regulations, of the notes in Brazil is not legal without prior registration under Law 6,385/76, and
CVM applicable regulation. Documents relating to the offering of the notes, as well as information contained therein, may not be supplied
to the public in Brazil (as the offering of the notes is not a public offering of securities in Brazil), nor be used in connection with
any offer for subscription or sale of the notes to the public in Brazil. Persons wishing to offer or acquire the notes within Brazil should
consult with their own counsel as to the applicability of registration requirements or any exemption therefrom.
British Virgin Islands. The notes have not
been, and will not be, registered under the laws and regulations of the British Virgin Islands, nor has any regulatory authority in the
British Virgin Islands passed comment upon or approved the accuracy or adequacy of this document. This pricing supplement and the related
documents shall not constitute an offer, invitation or solicitation to any member of the public in the British Virgin Islands for the
purposes of the Securities and Investment Business Act, 2010, of the British Virgin Islands.
Cayman Islands. Pursuant to the Companies
Law (as amended) of the Cayman Islands, no invitation may be made to the public in the Cayman Islands to subscribe for the notes by or
on behalf of the issuer unless at the time of such invitation the issuer is listed on the Cayman Islands Stock Exchange. The issuer is
not presently listed on the Cayman Islands Stock Exchange and, accordingly, no invitation to the public in the Cayman Islands is to be
made by the issuer (or by any dealer on its behalf). No such invitation is made to the public in the Cayman Islands hereby.
Chile. Neither the issuer nor the notes have
been registered with the Comisión Para el Mercado Financiero pursuant to Law No. 18.045, the Ley de Mercado de Valores and regulations
thereunder, so they cannot be publicly offered in Chile. This pricing supplement (and the related prospectus supplement and prospectus)
do not constitute an offer of, or an invitation to subscribe for or purchase, the notes in the republic of Chile, other than to individually
identified buyers pursuant to a private offering within the meaning of Article 4 of the Ley de Mercado de Valores (an offer that is not
addressed to the public at large or to a certain sector or specific group of the public).
Dominican Republic. Nothing in this pricing
supplement constitutes an offer of securities for sale in the Dominican Republic. The notes have not been, and will not be, registered
with the Superintendence of Securities Market of the Dominican Republic (Superintendencia del Mercado de Valores), under Dominican Securities
Market Law No. 249-17 (“Securities Law 249-17”), and the notes may not be offered or sold within the Dominican Republic or
to, or for the account or benefit of, Dominican persons (as defined under Securities Law 249-17 and its regulations). Failure to comply
with these directives may result in a violation of Securities Law 249-17 and its regulations.
Hong Kong. WARNING: The contents of this
document have not been reviewed by any regulatory authority in Hong Kong. You are advised to exercise caution in relation to the offer.
If you are in any doubt about any of the contents of this document, you should obtain independent professional advice.
Please note that (1) the notes may not be offered
or sold in Hong Kong by means of this document or any other document other than: (i) to “professional investors” within the
meaning of Part 1 of Schedule 1 to the Securities and Futures Ordinance of Hong Kong (Cap. 571) (SFO) and any rules made thereunder; or
(ii) in other circumstances which do not result in the document being a “prospectus” as defined in the Companies (Winding
Up and Miscellaneous Provisions) Ordinance of Hong Kong (Cap. 32) (CWUMPO) or which do not constitute an offer or invitation to the public
for the purposes of the CWUMPO or the SFO, and (2) no person shall issue, or possess for the purposes of issue, whether in Hong Kong or
elsewhere, any advertisement, invitation or document relating to the notes which is directed at, or the contents of which are likely to
be assessed or read by, the public in Hong Kong (except if permitted to do so under the securities laws of Hong Kong) other than with
respect to the notes which are or are intended to be disposed of only to persons outside Hong Kong or only to such “professional
investors” (as set out above).
Israel. This pricing supplement is intended
solely for investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended. A prospectus has not been prepared
or filed, and will not be prepared or filed, in Israel relating to the notes offered hereunder. The notes cannot be resold in Israel other
than to investors listed in the First Supplement of the Israeli Securities Law of 1968, as amended.
No action will be taken in Israel that would permit
an offering of the notes or the distribution of any offering document or any other material to the public in Israel. In particular, no
offering document or other material has been reviewed or approved by the Israel Securities Authority. Any material provided to an offeree
in Israel may not be reproduced or used for any other purpose, nor be furnished to any other person other than those to whom copies have
been provided directly by us or the selling agents.
Nothing in this pricing supplement or any other
offering material relating to the notes, should be considered as the rendering of a recommendation or advice, including investment advice
or investment marketing under the Law For Regulation of Investment Advice, Investment Marketing and Investment Portfolio Management, 1995,
to purchase any note. The purchase of any note will be based on an investor’s own understanding, for the investor’s own benefit
and for the investor’s own account and not with the aim or intention of distributing or offering to other parties. In purchasing
the notes, each investor declares that it has the knowledge, expertise and experience in financial and business matters so as to be capable
of evaluating the risks and merits of an investment in the notes, without relying on any of the materials provided.
Mexico. The notes have not been registered
with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or
sold publicly in Mexico. This pricing supplement and the related documents may not be publicly distributed in Mexico. The notes may only
be offered in a private offering pursuant to Article 8 of the Securities Market Law.
Panama. The notes have not been and will
not be registered with the Superintendency of Securities Market of the Republic of Panama under Decree Law N°1 of July 8, 1999 (the
“Panamanian Securities Act”) and may not be publicly offered or sold within Panama, except in certain limited transactions
exempt from the registration requirements of the Panamanian Securities Act, including the private placement rule based on number 2 of
Article 83 of Law Decree 1 of July 8, 1999 (or number 2 of Article 129 of the Unified Text of Law Decree 1 of July 8, 1999). The notes
do not benefit from the tax incentives provided by the Panamanian Securities Act and are not subject to regulation or supervision by the
Superintendency of Securities Market of the Republic of Panama.
Paraguay. The sale of the notes qualifies
as a private placement pursuant to Law No. 5810/17 “Stock Market”. The notes must not be offered or sold to the public in
Paraguay, except under circumstances which do not constitute a public offering in accordance with Paraguayan regulations. The notes are
not and will not be registered before the Paraguayan securities supervisory body Comisión Nacional de Valores (“CNV”)
the Paraguayan private stock exchange Bolsa de Valores y Productos de Asunción (“BVPASA”). The issuer is also not registered
before the CNV or the BVPASA. In no case may notes not registered before the CNV be offered to the general public via mass media such
as press, radio, television, or internet when such media are publicly accessible in the Republic of Paraguay, regardless of the location
from where they are issued.
The privately placed notes are not registered with
the National Securities Commission, and therefore do not have tax benefits and are not negotiable through the BVPASA. Privately placed
securities may have less liquidity, making it difficult to sell such securities in the secondary market, which could also affect the sale
price. Private securities of issuers not registered before the CNV may not have periodic financial information or audited financial statements,
which could generate greater risk to the investor due to the asymmetry of information. It is the responsibility of the investor to ascertain
and assess the risk assumed in the acquisition of the security.
Peru. The notes have not been and will not
be registered with the Capital Markets Public Registry of the Capital Markets Superintendence (“SMV”) nor the Lima Stock Exchange
Registry (“RBVL”) for their public offering in Peru under the Peruvian Capital Markets Law (Law No. 861/ Supreme Decree No.
093-2002) and the decrees and regulations thereunder. Consequently, the notes may not be offered or sold, directly or indirectly, nor
may this pricing supplement or the related prospectus supplement, the prospectus or any other material relating to the notes be distributed
or caused to be distributed in Peru to the general public. The notes may only be offered in a private offering under Peruvian regulation
and without using mass marketing, which is defined as a marketing strategy utilizing mass distribution and mass media to offer, negotiate
or distribute notes to the whole market. Mass media includes newspapers, magazines, radio, television, mail, meetings, social networks,
Internet servers located in Peru, and other media or technology platforms.
Switzerland. This pricing supplement is not
intended to constitute an offer or solicitation to purchase or invest in any notes. Neither this pricing supplement nor any other offering
or marketing material relating to the notes constitutes a prospectus compliant with the requirements of articles 35 et seq. of the Swiss
Financial Services Act ("FinSA")) for a public offering of the notes in Switzerland and no such prospectus has been or will
be prepared for or in connection with the offering of the notes in Switzerland.
Neither this pricing supplement nor any other offering
or marketing material relating to the notes has been or will be filed with or approved by a Swiss review body (Prüfstelle). No application
has been or is intended to be made to admit the notes to trading on any trading venue (SIX Swiss Exchange or on any other exchange or
any multilateral trading facility) in Switzerland. Neither this pricing supplement nor any other offering or marketing material relating
to the notes may be publicly distributed or otherwise made publicly available in Switzerland.
The notes may not be publicly offered, directly
or indirectly, in Switzerland within the meaning of FinSA except (i) in any circumstances falling within the exemptions to prepare a prospectus
listed in article 36 para. 1 FinSA or (ii) where such offer does not qualify as a public offer in Switzerland, provided always that no
offer of notes shall require the Issuer or any offeror to publish a prospectus pursuant to article 35 FinSA in respect to such offer and
that such offer shall comply with the additional restrictions set out below (if applicable). The Issuer has not authorised and does not
authorise any offer of notes which would require the Issuer or any offeror to publish a prospectus pursuant to article 35 FinSA in respect
of such offer. For purposes of this provision "public offer" shall have the meaning as such term is understood pursuant to article
3 lit. g and h FinSA and the Swiss Financial Services Ordinance ("FinSO").
The notes do not constitute participations in a
collective investment scheme within the meaning of the Swiss Collective Investment Schemes Act. They are not subject to the approval of,
or supervision by, the Swiss Financial Market Supervisory Authority ("FINMA"), and investors in the notes will not benefit from
protection under CISA or supervision by FINMA.
Prohibition of Offer to Private Clients in Switzerland
- No Key Information Document pursuant to article 58 FinSA (Basisinformationsblatt für Finanzinstrumente) or equivalent document
under foreign law pursuant to article 59 para. 2 FinSA has been or will be prepared in relation to the notes. Therefore, the following
additional restriction applies: Notes qualifying as "debt securities with a derivative character" pursuant to article 86 para.
2 FinSO may not be offered within the meaning of article 58 para. 1 FinSA, and neither this pricing supplement nor any other offering
or marketing material relating to such notes may be made available, to any retail client (Privatkunde) within the meaning of FinSA in
Switzerland.
Uruguay. The sale of the notes qualifies
as a private placement pursuant to section 2 of Uruguayan law 18,627. The notes must not be offered or sold to the public in Uruguay,
except in circumstances which do not constitute a public S-31 offering or distribution under Uruguayan laws and regulations. The notes
are not and will not be registered with the Financial Services Superintendency of the Central Bank of Uruguay.
Venezuela. The notes have not been registered
with the Superintendencia Nacional de Valores de Venezuela and are not being publicly offered in Venezuela. No document related to the
offering of the notes, including this prospectus supplement and the accompanying prospectus, shall be interpreted to constitute an offer
of securities or an offer or the rendering of any investment advice, securities brokerage, and/or banking services in Venezuela. Investors
wishing to acquire the notes may use only funds located outside of Venezuela.
The notes may also be sold in the following jurisdictions,
provided, in each case, any sales are made in accordance with all applicable laws in such jurisdiction:
Additional Information Relating to the Estimated Initial Value of
the Notes
Our estimated initial value of the notes on the
date hereof that is set forth on the cover hereof, equals the sum of the values of the following hypothetical components:
| · | 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 is derived from our internal pricing models. These models are based on factors such as the traded market
prices of comparable derivative instruments and on other inputs, which include volatility, dividend rates, interest rates and other factors.
As a result, the estimated initial value of the notes on the Pricing Date was determined based on the market conditions on the Pricing
Date.
The Basket Components
All disclosures
contained in this pricing supplement regarding the Basket Components, including, without limitation, their make-up, method of calculation,
and changes in their components and their historical closing levels, have been derived from publicly available information prepared by
the applicable sponsors. The information reflects the policies of, and is subject to change by, the sponsors. The sponsors own the copyrights
and all rights to the Basket Components. The sponsors are under no obligation to continue to publish, and may discontinue publication
of, the Basket Components. Neither we nor BMO Capital Markets Corp. accepts any responsibility for the calculation, maintenance or publication
of any Basket Component or any successor. We encourage you to review recent levels of the Basket Components prior to making an investment
decision with respect to the notes.
The EURO STOXX 50® Index (“SX5E”)
The EURO STOXX 50® Index was created by STOXX
Limited, a joint venture between Deutsche Börse AG and SIX Group AG. Publication of the EURO STOXX 50® Index began in February
1998, based on an initial Index level of 1,000 at December 31, 1991. On March 1, 2010, STOXX announced the removal of the “Dow Jones”
prefix from all of its indices, including the EURO STOXX 50® Index. Additional information about the EURO STOXX 50® Index is available
on the STOXX Limited website: stoxx.com. However, information included in that website is not included or incorporated by reference in
this pricing supplement.
EURO STOXX 50® Index Composition and Maintenance
For each of the 20 EURO STOXX Supersector indices,
the stocks are ranked in terms of free-float market capitalization. The largest stocks are added to the selection list until the coverage
is close to, but still less than, 60% of the free-float market capitalization of the corresponding EURO STOXX TMI Supersector Index. If
the next highest-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list. All current
stocks in the index are then added to the selection list. All of the stocks on the selection list are then ranked in terms of free-float
market capitalization to produce the final index selection list. The largest 40 stocks on the selection list are selected; the remaining
10 stocks are selected from the largest remaining current stocks ranked between 41 and 60; if the number of stocks selected is still below
50, then the largest remaining stocks are selected until there are 50 stocks. In exceptional cases, STOXX Limited’s management board
can add stocks to and remove them from the selection list. The index stocks are subject to a capped maximum index weight of 10%, which
is applied on a quarterly basis.
The EURO STOXX 50® Index is composed of 50 component
stocks of market sector leaders from within the 20 EURO STOXX® Supersector indices, which represent the Eurozone portion of the STOXX
Europe 600® Supersector indices. The index stocks have a high degree of liquidity and represent the largest companies across a wide
range of market sectors.
Composition and Maintenance of the EURO STOXX 50® Index
The composition of the EURO STOXX 50® Index
is reviewed annually, based on the closing stock data on the last trading day in August. Changes in the composition of the EURO STOXX
50® Index are made to ensure that it includes the 50 market sector leaders from within the EURO STOXX Index.
The free float factors for each component stock
used to calculate the EURO STOXX 50® Index, as described below, are reviewed, calculated, and implemented on a quarterly basis and
are fixed until the next quarterly review.
The EURO STOXX 50® Index is subject to a “fast
exit rule.” The index stocks are monitored for any changes based on the monthly selection list ranking. A stock is deleted from
the EURO STOXX 50® Index if: (a) it ranks 75 or below on the monthly selection list and (b) it ranked 75 or below on the selection
list of the previous month. The highest-ranked non-component will be selected. Changes will be implemented on the close of the fifth trading
day of the month, and are effective the next trading day.
The EURO STOXX 50® Index is also subject to
a “fast entry rule.” All stocks on the latest selection lists and initial public offering (IPO) stocks are reviewed for a
fast-track addition on a quarterly basis. A stock is added, if (a) it qualifies for the latest blue-chip selection list generated end
of February, May, August or November and (b) it ranks within the “lower buffer” (ranks 1-25) on this selection list.
The EURO STOXX 50® Index is also reviewed on
an ongoing basis. Corporate actions (including initial public offerings, mergers and takeovers, spin-offs, delistings, and bankruptcy)
that affect the EURO STOXX 50® Index composition are immediately reviewed. Any changes are announced, implemented, and effective in
line with the type of corporate action and the magnitude of the effect.
Calculation of the EURO STOXX 50® Index
The EURO STOXX 50® Index is calculated with
the “Laspeyres formula,” which measures the aggregate price changes against a fixed base quantity weight. The formula for
calculating the EURO STOXX 50® Index value can be expressed as follows:
Index = free float market capitalization of the
index at the time
divisor of the index at the time
The “free float market capitalization of the
index” is equal to the sum of the products of the closing price, number of shares, free float factor and the weighting cap factor
for each component company as of the time that the EURO STOXX 50® Index is being calculated.
The divisor of the EURO STOXX 50® Index is adjusted
to maintain the continuity of the EURO STOXX 50® Index’s values across changes due to corporate actions, such as the deletion
and addition of stocks, the substitution of stocks, stock dividends, and stock splits. Changes in weights due to corporate actions are
distributed proportionally across all index components and equal an investment into the portfolio.
License Agreement
We have entered into a non-exclusive license agreement
with STOXX, which grants us a license in exchange for a fee to use the EURO STOXX 50® Index in connection with the issuance of certain
securities, including the notes.
STOXX and its licensors (the “Licensors”)
have no relationship with us or BMOCM, other than the licensing of the EURO STOXX 50® Index and the related trademarks for use in
connection with the notes.
STOXX and its Licensors do not:
| · | sponsor, endorse, sell or promote the notes. |
| | |
| · | recommend that any person invest in the notes or any other securities. |
| | |
| · | have any responsibility or liability for or make any decisions about the timing, amount or pricing of the notes. |
| | |
| · | have any responsibility or liability for the administration, management or marketing of the notes. |
| | |
| · | consider the needs of the notes or the owners of the notes in determining, composing or calculating the EURO STOXX 50® Index or
have any obligation to do so.
|
| | |
STOXX and its Licensors will not have any liability
in connection with the notes. Specifically,
| · | STOXX and its Licensors do not make any warranty, express or implied, and disclaim any and all warranty about: |
| | |
| · | the results to be obtained by the notes, the owner of the notes or any other person in connection with the use of the EURO STOXX 50®
Index and the data included in the EURO STOXX 50® Index; |
| | |
| · | the accuracy or completeness of the EURO STOXX 50® Index and its data; |
| | |
| · | the merchantability and the fitness for a particular purpose or use of the EURO STOXX 50® Index or its data; |
| | |
| · | STOXX and its Licensors will have no liability for any errors, omissions or interruptions in the EURO STOXX 50® Index or its data;
and |
| | |
| · | any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX knows that they might occur. |
The licensing agreement among us, BMOCM and STOXX
is solely for the benefit of the parties thereto and not for the benefit of the owner of the notes or any other third parties.
The S&P 500® Index
The S&P
500® Index measures the performance of the large-cap segment of the U.S. market. The S&P 500® Index includes 500 leading companies
and covers approximately 80% of available market capitalization. The calculation of the level of the S&P 500® Index is based on
the relative value of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate
average market value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943.
S&P calculates
the S&P 500® Index by reference to the prices of the constituent stocks of the S&P 500® Index without taking account of
the value of dividends paid on those stocks. As a result, the return on the notes will not reflect the return you would realize if you
actually owned the constituent stocks of the S&P 500® Index and received the dividends paid on those stocks.
Computation
of the S&P 500® Index
While S&P
currently employs the following methodology to calculate the S&P 500® Index, no assurance can be given that S&P will not modify
or change this methodology in a manner that may affect the Payment at Maturity.
Historically,
the market value of any component stock of the S&P 500® Index was calculated as the product of the market price per share and
the number of then outstanding shares of such component stock. In March 2005, S&P began shifting the S&P 500® Index halfway
from a market capitalization weighted formula to a float-adjusted formula, before moving the S&P 500® Index to full float adjustment
on September 16, 2005. S&P’s criteria for selecting stocks for the S&P 500® Index did not change with the shift to float
adjustment. However, the adjustment affects each company’s weight in the S&P 500® Index.
Under float
adjustment, the share counts used in calculating the S&P 500® Index reflect only those shares that are available to investors,
not all of a company’s outstanding shares. Float adjustment excludes shares that are closely held by control groups, other publicly
traded companies or government agencies.
In September
2012, all shareholdings representing more than 5% of a stock’s outstanding shares, other than holdings by “block owners,”
were removed from the float for purposes of calculating the S&P 500® Index. Generally, these “control holders” will
include officers and directors, private equity, venture capital and special equity firms, other publicly traded companies that hold shares
for control, strategic partners, holders of restricted shares, ESOPs, employee and family trusts, foundations associated with the company,
holders of unlisted share classes of stock, government entities at all levels (other than government retirement/pension funds) and any
individual person who controls a 5% or greater stake in a company as reported in regulatory filings. However, holdings by block owners,
such as depositary banks, pension funds, mutual funds and ETF providers, 401(k) plans of the company, government retirement/pension funds,
investment funds of insurance companies, asset managers and investment funds, independent foundations and savings and investment plans,
will ordinarily be considered part of the float.
Treasury stock,
stock options, equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares
held in a trust to allow investors in countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares
are normally part of the float unless those shares form a control block.
For each stock,
an investable weight factor (“IWF”) is calculated by dividing the available float shares by the total shares outstanding.
Available float shares are defined as the total shares outstanding less shares held by control holders. This calculation is subject to
a 5% minimum threshold for control blocks. For example, if a company’s officers and directors hold 3% of the company’s shares,
and no other control group holds 5% of the company’s shares, S&P would assign that company an IWF of 1.00, as no control group
meets the 5% threshold. However, if a company’s officers and directors hold 3% of the company’s shares and another control
group holds 20% of the company’s shares, S&P would assign an IWF of 0.77, reflecting the fact that 23% of the company’s
outstanding shares are considered to be held for control. As of July 31, 2017, companies with multiple share class lines are no longer
eligible for inclusion in the S&P 500® Index. Constituents of the S&P 500® Index prior to July 31, 2017 with multiple
share class lines were grandfathered in and continue to be included in the S&P 500® Index. If a constituent company of the S&P
500® Index reorganizes into a multiple share class line structure, that company will remain in the S&P 500® Index at the discretion
of the S&P Index Committee in order to minimize turnover.
The S&P
500® Index is calculated using a base-weighted aggregate methodology. The level of the S&P 500® Index reflects the total market
value of all 500 component stocks relative to the base period of the years 1941 through 1943. An indexed number is used to represent the
results of this calculation in order to make the level easier to use and track over time. The actual total market value of the component
stocks during the base period of the years 1941 through 1943 has been set to an indexed level of 10. This is often indicated by the notation
1941-43 = 10. In practice, the daily calculation of the S&P 500® Index is computed by dividing the total market value of the component
stocks by the “index divisor.” By itself, the index divisor is an arbitrary number. However, in the context of the calculation
of the S&P 500® Index, it serves as a link to the original base period level of the S&P 500® Index. The index divisor
keeps the S&P 500® Index comparable over time and is the manipulation point for all adjustments to the S&P 500® Index,
which is index maintenance.
Index
Maintenance
Index maintenance
includes monitoring and completing the adjustments for company additions and deletions, share changes, stock splits, stock dividends,
and stock price adjustments due to company restructuring or spinoffs. Some corporate actions, such as stock splits and stock dividends,
require changes in the common shares outstanding and the stock prices of the companies in the S&P 500® Index, and do not require
index divisor adjustments.
To prevent
the level of the S&P 500® Index from changing due to corporate actions, corporate actions which affect the total market value
of the S&P 500® Index require an index divisor adjustment. By adjusting the index divisor for the change in market value, the
level of the S&P 500® Index remains constant and does not reflect the corporate actions of individual companies in the S&P
500® Index. Index divisor adjustments are made after the close of trading and after the calculation of the S&P 500® Index
closing level.
Changes in
a company’s total shares outstanding of 5% or more due to public offerings are made as soon as reasonably possible. Other changes
of 5% or more (for example, due to tender offers, Dutch auctions, voluntary exchange offers, company stock repurchases, private placements,
acquisitions of private companies or non-index companies that do not trade on a major exchange, redemptions, exercise of options, warrants,
conversion of preferred stock, notes, debt, equity participations, at-the-market stock offerings or other recapitalizations) are made
weekly, and are generally announced on Fridays for implementation after the close of trading the following Friday (one week later). If
a 5% or more share change causes a company’s IWF to change by five percentage points or more, the IWF is updated at the same time
as the share change. IWF changes resulting from partial tender offers are considered on a case-by-case basis.
License
Agreement
We and S&P
Dow Jones Indices LLC (“S&P”) have entered into a non-exclusive license agreement providing for the license to us and
certain of our affiliates, in exchange for a fee, of the right to use the S&P 500® Index, in connection with certain securities,
including the notes. The S&P 500® Index is owned and published by S&P.
The license
agreement between S&P and us provides that the following language must be set forth in this pricing supplement:
The notes
are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, Standard and Poor’s Financial Services
LLC or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation
or warranty, express or implied, to the holders of the notes or any member of the public regarding the advisability of investing in securities
generally or in the notes particularly or the ability of the S&P 500® Index to track general market performance. S&P Dow Jones
Indices’ only relationship to us with respect to the S&P 500® Index is the licensing of the Index and certain trademarks,
service marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The S&P 500® Index is determined,
composed and calculated by S&P Dow Jones Indices without regard to us or the notes. S&P Dow Jones Indices have no obligation to
take our needs or the needs of holders of the notes into consideration in determining, composing or calculating the S&P 500® Index.
S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of the notes
or the timing of the issuance or sale of the notes or in the determination or calculation of the equation by which the notes are to be
converted into cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading
of the notes. There is no assurance that investment products based on the S&P 500® Index will accurately track index performance
or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion of a
security or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security
or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its affiliates may
independently issue and/or sponsor financial products unrelated to the notes currently being issued by us, but which may be similar to
and competitive with the notes. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance
of the S&P 500® Index. It is possible that this trading activity will affect the value of the notes.
S&P DOW
JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P 500® INDEX OR ANY DATA RELATED
THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT
THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P
DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR
PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY US, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P
500® INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P
DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS
OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT,
TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES
INDICES AND US, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
S&P®
is a registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones
Trademark Holdings LLC. These trademarks have been licensed for use by Bank of Montreal. “Standard & Poor’s®”,
“S&P 500®” and “S&P®” are trademarks of S&P. The notes are not sponsored, endorsed, sold or
promoted by S&P and S&P makes no representation regarding the advisability of investing in the notes.
Validity of the Notes
In the opinion of Osler, Hoskin & Harcourt LLP,
the issue and sale of the notes has been duly authorized by all necessary corporate action of the Bank in conformity with the Senior Indenture,
and when this pricing supplement has been attached to, and duly notated on, the master note that represents the notes, the notes will
have been validly executed and issued and, to the extent validity of the notes is a matter governed by the laws of the Province of Ontario,
or the laws of Canada applicable therein, and will be valid obligations of the Bank, subject to the following limitations (i) the enforceability
of the Senior Indenture may be limited by the Canada Deposit Insurance Corporation Act (Canada), the Winding-up and Restructuring Act
(Canada) and bankruptcy, insolvency, reorganization, receivership, moratorium, arrangement or winding-up laws or other similar laws affecting
the enforcement of creditors’ rights generally; (ii) the enforceability of the Senior Indenture may be limited by equitable principles,
including the principle that equitable remedies such as specific performance and injunction may only be granted in the discretion of a
court of competent jurisdiction; (iii) pursuant to the Currency Act (Canada) a judgment by a Canadian court must be awarded in Canadian
currency and that such judgment may be based on a rate of exchange in existence on a day other than the day of payment; and (iv) the enforceability
of the Senior Indenture will be subject to the limitations contained in the Limitations Act, 2002 (Ontario), and such counsel expresses
no opinion as to whether a court may find any provision of the Senior Debt Indenture to be unenforceable as an attempt to vary or exclude
a limitation period under that Act. This opinion is given as of the date hereof and is limited to the laws of the Provinces of Ontario
and the federal laws of Canada applicable thereto. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the Indenture and the genuineness of signatures and certain factual matters, all as stated in
the letter of such counsel dated May 26, 2022, which has been filed as Exhibit 5.3 to Bank of Montreal’s Form 6-K filed with the
SEC and dated May 26, 2022.
In the opinion of Mayer Brown LLP, when this pricing
supplement has been attached to, and duly notated on, the master note that represents the notes, and the notes have been issued and sold
as contemplated herein, the notes will be valid, binding and enforceable obligations of Bank of Montreal, entitled to the benefits of
the Senior Indenture, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts
of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing
and the lack of bad faith). This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as
this opinion involves matters governed by the laws of the Province of Ontario, or the laws of Canada applicable therein, Mayer Brown LLP
has assumed, without independent inquiry or investigation, the validity of the matters opined on by Osler, Hoskin & Harcourt LLP,
Canadian legal counsel for the issuer, in its opinion expressed above. This opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the Senior Indenture and the genuineness of signatures and to such counsel’s reliance on
the Bank of Montreal and other sources as to certain factual matters, all as stated in the legal opinion of Mayer Brown LLP dated May
26, 2022, which has been filed with the SEC as an exhibit to a report on Form 6-K by the Bank of Montreal on May 26, 2022.
18
424B2
EX-FILING FEES
0000927971
333-264388
0000927971
2024-08-30
2024-08-30
iso4217:USD
xbrli:pure
xbrli:shares
EX-FILING FEES
CALCULATION OF FILING FEE TABLES
F-3
BANK OF MONTREAL /CAN/
Narrative Disclosure
The maximum aggregate offering price of the securities to which the prospectus relates is $2,110,000.
The
prospectus is a final prospectus for the related offering.
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