On the date hereof, based on the terms set forth
above, the estimated initial value of the notes is $952.82 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.
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 securities (the “Basket” and the underlying equity securities, the “Basket Components”): |
| Component Levels2: |
Basket Component |
Bloomberg Ticker |
Weighting Percentage |
Initial Basket
Component Level* |
| |
The common stock of Analog Devices, Inc. |
ADI |
10.00% |
$192.38 |
| |
The Class A common stock of Amphenol Corporation |
APH |
10.00% |
$82.24 |
| |
The common stock of Edwards Lifesciences Corporation |
EW |
10.00% |
$90.19 |
| |
The common stock of Freeport-McMoRan Inc. |
FCX |
10.00% |
$40.41 |
| |
The common stock of Intuitive Surgical, Inc. |
ISRG |
10.00% |
$330.02 |
| |
The common stock of KLA Corporation |
KLAC |
10.00% |
$476.93 |
| |
The common stock of ServiceNow, Inc. |
NOW |
10.00% |
$539.96 |
| |
The common stock of Prologis, Inc. |
PLD |
10.00% |
$120.87 |
| |
The common stock of Schlumberger N.V. |
SLB |
10.00% |
$48.14 |
| |
The common stock of Synopsys, Inc. |
SNPS |
10.00% |
$426.78 |
| |
* With respect to each Basket Component, its closing level on the Pricing
Date. |
| Payment at Maturity: |
If the Final Level of the Basket is greater than its Initial Level 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 Final Level of the Basket is greater than or equal to its Initial
Level 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 x Upside Leverage
Factor)
If the Final Level of the Basket is less than its Initial Level, but
is not less than its Buffer Level, then investors will, for each $1,000 in principal amount of the notes, receive the principal amount
of $1,000 and no additional return.
If the Final Level of the Basket is less than its Buffer Level, 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 + Buffer Percentage)]
In this case, investors will lose 1% of their principal for each
1% that the Final Level of the Basket declines from its Initial Level in excess of 15.00%. You may lose up to 85.00% of the principal
amount of your notes.
|
| |
|
| Final Level: |
Initial Level x (1 + Percentage Change). |
| |
|
| Initial Level:2 |
100.00 |
| |
|
| Maximum Return: |
15.00% |
| |
|
| Maximum Redemption Amount: |
The payment at maturity will not exceed the Maximum Redemption Amount of $1,150.00 per $1,000 in principal amount of the notes. |
| |
|
| 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:2 |
With respect to each Basket Component, its closing price on the Valuation Date. |
| |
|
| Upside Leverage Factor: |
125.00% |
| |
|
| Buffer Level:2 |
85.00, which is 85.00% of the Initial Level. |
| |
|
| Buffer Percentage:2 |
15.00% Accordingly, you will receive the principal amount of your notes at maturity only if the level of the Basket does not decrease by more than 15.00% over the term of the notes. If the Final Level of the Basket is less than its Buffer Level, you will receive less than the principal amount of your notes at maturity and you could lose up to 85.00% of the principal amount of your notes. |
| |
|
| Pricing Date: |
June 27, 2023 |
| |
|
| Settlement Date: |
June 30, 2023 |
| |
|
| Valuation Date:1 |
September 25, 2024 |
| |
|
| Maturity Date:1 |
September 30, 2024 |
| |
|
| Physical Delivery Amount: |
We will only pay cash on the Maturity Date, and you will have no right to receive any shares of any Basket Component. |
| |
|
| Calculation Agent: |
BMOCM |
| |
|
| Selling Agent: |
BMOCM |
1 Subject to the occurrence of a market disruption event,
as described in the accompanying product supplement.
2As determined by the calculation agent and subject to adjustment
in certain circumstances. See “General Terms of the Notes — Anti-dilution Adjustments to a Reference Asset that Is an Equity
Security (Including Any ETF)” 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 125.00% Upside Leverage Factor, Maximum Return of 15.00% and Buffer Level of 85.00% of the Initial Level. 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 |
|
16.00%
12.00% |
125% Upside Exposure, subject to the Maximum
Return
|
15.00%
15.00% |
|
8.00%
4.00% |
125% Upside Exposure
|
10.00%
5.00% |
|
-10%
-15% |
Buffer Level of 85.00% of Initial Level
|
0%
0% |
|
-25%
-35% |
1x Loss Beyond Buffer Level
|
-10%
-20% |
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 investment in the notes may result in a loss. — The notes do not guarantee any return of principal. If the Final
Level of the Basket is less than its Buffer Level, you will lose 1% of the principal amount for each 1% that the Final Level of the Basket
is less than the Initial Level in excess of the Buffer Percentage. In such a case, you will receive at maturity a cash payment that is
less than the principal amount of the notes and may be significantly less than the principal amount of your notes. Accordingly, you
could lose up to 85.00% of the principal amount of your notes. |
| · | Your return on the notes is limited to the Maximum Redemption Amount, regardless of any appreciation in the level of the Basket.
— The return on your notes will not be greater than the Maximum Redemption Amount. This will be the case even if the Percentage
Change 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, which could be negative, 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
| · | Owning the notes is not the same as owning shares of the Basket Components, making a hypothetical direct investment in the Basket
Components or owning a security directly linked to the Basket Components. — The return on your notes will not reflect the return
you would realize if you actually owned shares of the Basket Components, made a hypothetical direct investment in the Basket Components,
or owned a security directly linked to the performance 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. In addition, any dividends or other distributions paid on a Basket Component will
not be reflected in the amount payable on the notes. |
| · | You will not have any shareholder rights and will have no right to receive any shares of the Basket Components at maturity.
— Investing in your notes will not make you a holder of any shares of 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 the Basket Components. |
| · | No delivery of shares of the Basket Components. — The notes will be payable only in cash. You should not invest in the
notes if you seek to have the shares of a Basket Component delivered to you at maturity. |
| · | Single equity risk. — The level of each Basket Component can rise or fall sharply due to factors specific to that Basket
Component and the issuer of that Basket Component (with respect to each Basket Component, the “Basket Component issuer”),
such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and
decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest rates and
economic and political conditions. We urge you to review financial and other information filed periodically with the SEC by each Basket
Component issuer. We are not affiliated with any Basket Component issuer and are not responsible for any Basket Component issuer’s
public disclosure of information, whether contained in SEC filings or otherwise. We have not undertaken any independent review or due
diligence of the SEC filings of any Basket Component issuer or of any other publicly available information regarding any Basket Component
issuer. |
| · | 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 Components. One
or more of our affiliates have published, and in the future may publish, research reports that express views on the Basket Components.
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. |
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 shares of 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 Basket Components, futures or options relating to the Basket Components or
other derivative instruments with return liked or related to changes in the performance on the Basket Components. We or our affiliates
may also trade in the Basket Components or instruments related to the Basket Components 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 level 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. |
| · | Significant aspects of the tax treatment of the notes are uncertain. — The tax treatment of the notes is uncertain. We
do not plan to request a ruling from the Internal Revenue Service or from any Canadian authorities regarding the tax treatment of the
notes, and the Internal Revenue Service or a court may not agree with the tax treatment described herein.
The Internal Revenue Service has released a notice that may affect the taxation of holders of “prepaid forward contracts”
and similar instruments. According to the notice, the Internal Revenue Service and the U.S. Treasury are actively considering whether
the holder of such instruments should be required to accrue ordinary income on a current basis. While it is not clear whether the notes
would be viewed as similar to such instruments, it is possible that any future guidance could materially and adversely affect the tax
consequences of an investment in the notes, possibly with retroactive effect.
Please read carefully the section entitled "U.S. Federal Tax Information" herein, the section entitled "Supplemental Tax
Considerations–Supplemental U.S. Federal Income Tax Considerations" in the accompanying product supplement, the section entitled
"United States Federal Income Taxation" in the accompanying prospectus and the section entitled "Certain Income Tax Consequences"
in the accompanying prospectus supplement. You should consult your tax advisor about your own tax situation. |
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, a hypothetical Buffer Level of 85.00 (85.00% of the hypothetical initial level), the Maximum Return of 15.00%, the Maximum Redemption
Amount of $1,150.00, 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 the Initial Level |
Hypothetical Payment at
Maturity |
Hypothetical Return on the
Notes |
| 200.00 |
200.00% |
$1,150.00 |
15.00% |
| 180.00 |
180.00% |
$1,150.00 |
15.00% |
| 160.00 |
160.00% |
$1,150.00 |
15.00% |
| 140.00 |
140.00% |
$1,150.00 |
15.00% |
| 120.00 |
120.00% |
$1,150.00 |
15.00% |
| 112.00 |
112.00% |
$1,150.00 |
15.00% |
| 110.00 |
110.00% |
$1,125.00 |
12.50% |
| 105.00 |
105.00% |
$1,062.50 |
6.25% |
| 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% |
| 84.99 |
84.99% |
$999.90 |
-0.01% |
| 80.00 |
80.00% |
$950.00 |
-5.00% |
| 40.00 |
40.00% |
$550.00 |
-45.00% |
| 20.00 |
20.00% |
$350.00 |
-65.00% |
| 0.00 |
0.00% |
$150.00 |
-85.00% |
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 80.00, representing a Percentage Change of –20.00%. Because the Percentage
Change of the Basket is negative and its hypothetical Final Level is less than its Buffer Level, the investor receives a payment at maturity
of $950.00 per $1,000 in principal amount of the notes, calculated as follows:
$1,000 + [$1,000 x (–20.00% + 15.00%)] = $950
Example 2: The level of the Basket decreases from the hypothetical
Initial Level of 100.00 to a hypothetical Final Level of 95.00, representing a Percentage Change of -5.00%. Although the Percentage
Change of the Basket is negative, because its hypothetical Final Level is greater than its Buffer Level, the investor receives a payment
at maturity equal to the principal amount of the notes.
Example 3: 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
Final Level of the Basket is greater than its hypothetical Initial Level and the Percentage Change multiplied by the Upside Leverage Factor
does not exceed the Maximum Return, the investor receives a payment at maturity of $1,125.00 per $1,000 in principal amount of the notes,
calculated as follows:
$1,000 + $1,000 x (10.00% x 125.00%) = $1,125.00
Example 4: 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
Final Level of the Basket is greater than its hypothetical Initial Level, and the Percentage Change multiplied by the Upside Leverage
Factor exceeds the Maximum Return, the investor receives a payment at maturity of $1,150.00 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
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
derivative contract for U.S. federal income tax purposes. In the opinion of our counsel, Mayer Brown LLP, it would generally be reasonable
to treat the notes as pre-paid derivative contracts in respect of the Basket 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 in the product supplement
dated September 22, 2022 under “Supplemental Tax Considerations—Supplemental U.S. Federal Income Tax Considerations—Notes
Treated as Pre-Paid Derivative Contracts,” which applies to 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. We or one
of our affiliates will pay a structuring fee of 0.35% of the principal amount to one or more dealers or other entities.
Certain dealers who purchase the notes for sale
to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions. The public offering price
for investors purchasing the notes in these accounts may be less than 100% of the principal amount, as set forth on the cover page of
this document. Investors that hold their notes in these accounts may be charged fees by the investment advisor or manager of that account
based on the amount of assets held in those accounts, including the notes.
We will deliver the notes on a date that is greater
than two business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended (the “Exchange
Act”), 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 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.
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.
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.
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.
Switzerland. The notes may not be distributed
to retail investors in Switzerland. This pricing supplement shall not be dispatched, copied to or otherwise made available to any person
in Switzerland, and the notes may not be offered for sale to any person in Switzerland, except in accordance with Swiss law.
The notes are not offered, sold or advertised, directly
or indirectly, in, into or from Switzerland on the basis of a public offering and will not be listed on the SIX Swiss Exchange or any
other offering or regulated trading facility in Switzerland. Accordingly, neither this pricing supplement or any other marketing material
constitute a prospectus as defined in article 652a or article 1156 of the Swiss Code of Obligations or a listing prospectus as defined
in article 32 of the Listing Rules of the SIX Swiss Exchange or any other regulated trading facility in Switzerland. Any sales or resales
of the notes may only be undertaken on a private basis to selected individual investors in compliance with Swiss law. By accepting this
pricing supplement or by purchasing the notes, investors are deemed to have acknowledged and agreed to abide by these restrictions.
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
We have derived the following information from publicly
available documents. We have not independently verified the accuracy or completeness of the following information. We are not affiliated
with any Basket Component issuer and the Basket Component issuers will have no obligations with respect to the notes. This document relates
only to the notes and does not relate to the shares of the Basket Components. Neither we nor any of our affiliates participates in the
preparation of the publicly available documents described below. Neither we nor any of our affiliates has made any due diligence inquiry
with respect to the Basket Components in connection with the offering of the notes. There can be no assurance that all events occurring
prior to the date hereof, including events that would affect the accuracy or completeness of the publicly available documents described
below and that would affect the trading price of the shares of the Basket Components, have been or will be publicly disclosed. Subsequent
disclosure of any events or the disclosure of or failure to disclose material future events concerning the Basket Components could affect
the price of the shares of the Basket Components on the Valuation Date, and therefore could affect the payments on the notes.
The selection of a Basket Component is not a recommendation
to buy or sell the shares of that Basket Component. Neither we nor any of our affiliates make any representation to you as to the performance
of the shares of the Basket Components. Information provided to or filed with the SEC under the Exchange Act relating to the Basket Components
may be obtained through the SEC’s website at http://www.sec.gov.
Analog Devices, Inc. is a semiconductor company.
Information filed by the company with the SEC under the Exchange Act can be located by reference to its SEC file number: 001-7819, or
its CIK Code: 0000006281. Its common stock is listed on the Nasdaq Global Select Market under the ticker symbol “ADI”.
Amphenol Corporation is a designer, manufacturer
and marketer of connectors and interconnect systems, antennas solutions, sensors and high-speed cable. Information filed by the company
with the SEC under the Exchange Act can be located by reference to its SEC file number: 001-10879, or its CIK Code: 0000820313. Its common
stock is listed on the New York Stock Exchange under the ticker symbol “APH”.
Edwards Lifesciences Corporation is a medical technology
company that provides products and technologies for structural heart disease and critical care monitoring. Information filed by the company
with the SEC can be located by reference to its SEC file number: 1-15525, or its CIK Code: 0001099800. Its common stock is listed on the
New York Stock Exchange under the ticker symbol “EW”.
Freeport-McMoRan Inc. is an international mining
company. Information filed by the company with the SEC can be located by reference to its SEC file number: 001-11307-01, or its CIK Code:
0000831259. Its common stock is listed on the Nasdaq Global Select Market under the ticker symbol “FCX”.
Intuitive Surgical, Inc. develops, manufactures,
and markets minimally invasive surgery products. Information filed by the company with the
SEC can be located by reference to its SEC file number: 000-30713, or its CIK Code: 0001035267. Its common stock is listed on the Nasdaq
Global Select Market under the ticker symbol “ISRG”.
KLA Corporation provides process control and process-enabling
solutions for industries, including semi-conductors, printed circuit boards and displays. Information filed by the company with the SEC
under the Exchange Act can be located by reference to its SEC file number: 000-09992, or its CIK Code: 0000319201. Its common stock is
listed on the Nasdaq Global Select Market under the ticker symbol “KLAC”.
ServiceNow, Inc. provides enterprise cloud computing
solutions to digitize workflows. Information filed by the company with the SEC can be located by reference to its SEC file number: 001-35580,
or its CIK Code: 0001373715. Its common stock is listed on the New York Stock Exchange under the ticker symbol "NOW".
Prologis, Inc. is a real estate investment trust
that invests in logistics facilities. Information filed by the company with the SEC can be located by reference to its SEC file number:
001-13545, or its CIK Code: 0001045609. Its common stock is listed on the New York Stock Exchange under the ticker symbol "PLD".
Schlumberger N.V. provides technology for reservoir
characterization, drilling, production and processing to the oil and gas industry. Information filed by the company with the SEC can be
located by reference to its SEC file number: 001-04601, or its CIK Code: 0000087347. Its common stock is listed on the New York Stock
Exchange under the ticker symbol “SLB”.
Synopsys, Inc. is an electronic design automation
company. Information filed by the company with the SEC can be located by reference to its SEC file number: 0-19807, or its CIK Code: 0000883241.
Its common stock is listed on the Nasdaq Global Select Market under the ticker symbol "SNPS".
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.
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