Registration Statement No.333-264388
Filed Pursuant to Rule 424(b)(2)
Pricing Supplement dated July 05, 2024 to the Prospectus
dated May 26, 2022,
the Prospectus Supplement dated May 26, 2022 and the Product Supplement dated September 22, 2022
US$2,000,000
Senior Medium-Term Notes, Series I
Market Linked Notes due October 04, 2028
Linked to the Dow Jones Industrial Average®
| · | The notes provide a return based on the performance of the Reference Asset as measured based on the Final Level compared to the Initial
Level. |
| · | The Initial Level will equal the arithmetic average of the closing levels of the Reference Asset on each trading day in the period
from, and including, July 02, 2024 to, and including, September 30, 2024, and the Final Level will equal the arithmetic average of the
closing levels of the Reference Asset on each trading day in the period from, and including, July 03, 2028 to, and including, the Final
Valuation Date (each trading day in such periods, a “Valuation Date”). |
| · | The payment at maturity will not exceed the Maximum Redemption Amount. The Maximum Redemption Amount is $1,428.85 for each $1,000
in principal amount (a 42.885% return on the notes). |
| · | If the Final Level of the Reference Asset is greater than 90.00% of its Initial Level (the “Lower Strike Level”), investors
will receive a cash amount at maturity that is greater than the principal amount. |
| · | If the Reference Asset decreases by more than 10.00% from its Initial Level, investors will lose 1% of
the principal amount for each 1% decrease in the level of the Reference Asset from its Initial Level to its Final Level in excess of 10.00%.
In such a case, you will receive a cash amount at maturity that is less than the principal amount, and may lose up to 90.00% of your principal
amount at maturity. |
| · | Investing in the notes is not equivalent to a hypothetical direct investment in the Reference Asset. |
| · | 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 06376AZL7. |
| · | 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:
| Strike Date: |
July 02, 2024 |
|
|
|
| Pricing Date: |
July 05, 2024 |
|
Final Valuation Date: |
September 29, 2028 |
| Settlement Date: |
July 10, 2024 |
|
Maturity Date: |
October 04, 2028 |
| |
Price to Public1 |
Agent’s Commission1 |
Proceeds to Bank of Montreal1 |
|
Per Note
Total |
100%
$2,000,000.00 |
0.25%
$5,000.00 |
99.75%
$1,995,000.00 |
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 $997.50 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 0.15% 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 $974.23 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: |
The Dow Jones Industrial Average® (ticker symbol "INDU"). See "The Reference Asset" below for additional information. |
| |
|
| Payment at Maturity: |
If the Final Level of the Reference Asset is greater than or equal to
its Cap Level, 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 Reference Asset is greater than or equal to
its Upper Strike Level but less than its Cap 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 Second Interval Return)
If the Final Level of the Reference Asset is greater than or equal to
its Lower Strike Level but less than its Upper Strike 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 First Interval Return)
If the Final Level of the Reference Asset 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 of the Reference
Asset + Buffer Percentage)]
In this case, investors will lose 1% of their principal for each
1% that the Final Level of the Reference Asset declines from its Initial Level in excess of 10.00%. You may lose up to 90.00% of the principal
amount of your notes. |
| |
|
| Second Interval Return: |
An amount, expressed as a percentage, equal to:
(Second Adjusted Percentage Change of the Reference Asset x Second Upside
Leverage Factor) + Maximum Return |
| |
|
| First Interval Return: |
An amount, expressed as a percentage, equal to:
(First Adjusted Percentage Change of the Reference Asset x First Upside
Leverage Factor) |
| |
|
| First Upside Leverage Factor: |
262.00% |
| |
|
| Second Upside Leverage Factor: |
48.50% |
| |
|
| Maximum Return: |
42.885% |
| |
|
| Maximum Redemption Amount: |
The payment at maturity will not exceed the Maximum Redemption Amount of $1,428.85 per $1,000 in principal amount of the notes. |
| |
|
| Percentage Change: |
The quotient, expressed as a percentage, of the following formula:
(Final Level - Initial Level)
Initial Level |
| |
|
| First Adjusted Percentage Change: |
The quotient, expressed as a percentage, of the following formula:
(Final Level – Buffer Level)
Initial Level |
| |
|
Second Adjusted Percentage
Change: |
The quotient, expressed as a percentage, of the following formula:
(Final Level – Cap Level)
Initial Level |
| |
|
| Initial Level:2 |
The arithmetic average of the closing levels of the Reference Asset on each trading day in the period from, and including, July 02, 2024 to, and including, September 30, 2024. |
| |
|
| Cap Level:2 |
130.00% of the Initial Level. |
| |
|
| Buffer Level:2 |
90.00% of the Initial Level. |
| |
|
| Buffer Percentage:2 |
10.00% Accordingly, you will receive the principal amount of your notes at maturity only if the level of the Reference Asset does not decrease by more than 10.00% over the term of the notes. If the Final Level of the Reference Asset 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 90.00% of the principal amount of your notes. |
| |
|
| Lower Strike Level:2 |
90.00% of the Initial Level. |
| |
|
| Upper Strike Level:2 |
101.00% of the Initial Level. |
| |
|
| Final Level: |
The arithmetic average of the closing levels of the Reference Asset on each trading day in the period from, and including, July 03, 2028 to, and including, the Final Valuation Date. |
| |
|
| Strike Date:1 |
July 02, 2024 |
| |
|
| Pricing Date:1 |
July 05, 2024 |
| |
|
| Settlement Date:1 |
July 10, 2024 |
| |
|
| Final Valuation Date:1 |
September 29, 2028 |
| |
|
| Maturity Date:1 |
October 04, 2030 |
| |
|
| Calculation Agent: |
BMOCM |
| |
|
| Selling Agent: |
BMOCM |
1 Subject to the occurrence of a market disruption event,
as described in the accompanying product supplement.
2As determined by the calculation agent and subject to adjustment
in certain circumstances. See "General Terms of the Notes - Adjustments to a Reference Asset that Is an Index" in the product
supplement for additional information.
Payoff Example
The following table shows the hypothetical payout
profile of an investment in the notes based on various hypothetical Initial Levels and Final Levels (and the corresponding Percentage
Change) of the Reference Asset, reflecting the 262.00% First Upside Leverage Factor, 48.50% Second Upside Leverage Factor, Maximum Return
of 42.885%, Buffer Level of 90.00% of the Initial Level, Lower Strike Level of 90.00% of the Initial Level, Upper Strike Level of 101.00%
of the Initial Level, and Cap Level of 130.00% 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 Reference Asset
|
Participation in Percentage
Change |
Hypothetical Return of the
Notes |
|
80.00%
60.00%
|
Maximum Return |
42.885%
42.885% |
|
20.00%
10.00%
|
48.50% Participation |
38.035%
33.185% |
|
-3.00%
-5.00%
|
262.00% Participation |
18.34%
13.10% |
|
-40.00%
-60.00%
|
1x Loss Beyond Buffer Level |
-30.00%
-50.00% |
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 Reference Asset. 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 is less than its Buffer Level, you will lose 1% of the principal amount for each 1% that the Final Level 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 90.00%
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 levels of the Reference
Asset. — The return on your notes will not be greater than the Maximum Redemption Amount. This will be the case even if the
level of the Reference Asset increases dramatically during the term of the notes. |
| · | The Initial Level will be determined after the Pricing Date. The Initial Level will be determined based on the arithmetic
average of the closing levels of the Reference Asset on certain specified dates set forth herein. Many of these days will occur after
the Pricing Date and Issue Date, and, as a result, the Initial Level will not be determined, and you will therefore not know such value,
until after the Issue Date. If there are any increases in the closing levels of the Reference Asset on any relevant dates used to determine
the Initial Level that occur after the Pricing Date, and such increases result in the Initial Level being higher than the closing level
on the Pricing Date, this will establish higher levels that the Reference Asset must achieve for you to attain a positive return on your
investment or to avoid a loss of principal at maturity. |
| · | Your return on the notes will be based on the Initial Level and Final Level which will be calculated as set forth herein and may
be less favorable than if the Initial Level and Final Level were determined based on the closing level on a single Valuation Date.
— Your investment in the notes may not perform as well as an investment the return of which is based solely on the performance of
the Reference Asset on the Pricing Date and a single day shortly before maturity. Your ability to earn a positive return on the notes
at maturity may be limited by the averaging convention used to calculate the Initial Level and Final Level, especially if there is significant
volatility in the closing level during the term of the notes. |
| · | 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 Reference Asset. Your investment
may not reflect the full opportunity cost to you when you take into account factors that affect the time value of money. |
Risks Related to the Reference Asset
| · | Owning the notes is not the same as a hypothetical direct investment in the Reference Asset or a security directly linked to the
Reference Asset. — The return on your notes will not reflect the return you would realize if you made a hypothetical direct
investment in the Reference Asset or the underlying securities of the Reference Asset or a security directly linked to the performance
of the Reference Asset or the underlying securities of the Reference Asset and held that investment for a similar period. Your notes may
trade quite differently from the Reference Asset. Changes in the level of the Reference Asset may not result in comparable changes in
the market value of your notes. Even if the level of the Reference Asset increases during the term of the notes, the market value of the
notes prior to maturity may not increase to the same extent. It is also possible for the market value of the notes to decrease while the
level of the Reference Asset increases. |
| · | You will not have any shareholder rights and will have no right to receive any shares of any company included in the Reference
Asset at maturity. — Investing in your notes will not make you a holder of any securities included in the Reference Asset.
Neither you nor any other holder or owner of the notes will have any voting rights, any right to receive dividends or other distributions,
or any other rights with respect to such underlying securities. |
| · | We have no affiliation with the index sponsor and will not be responsible for the index sponsor's actions. — The sponsor
of the Reference Asset is not our affiliate and will not be involved in the offering of the notes in any way. Consequently, we have no
control over the actions of the index sponsor, including any actions of the type that would require the calculation agent to adjust the
payment to you at maturity. The index sponsor has no obligation of any sort with respect to the notes. Thus, the index sponsor has no
obligation to take your interests into consideration for any reason, including in taking any actions that might affect the value of the
notes. None of our proceeds from the issuance of the notes will be delivered to the index sponsor. |
| · | You must rely on your own evaluation of the merits of an investment linked to the Reference Asset. — In the ordinary
course of their businesses, our affiliates from time to time may express views on expected movements in the levels of the Reference Asset
or the prices of the securities included in the Reference Asset. One or more of our affiliates have published, and in the future may publish,
research reports that express views on the Reference Asset or these securities. However, these views are subject to change from time to
time. Moreover, other professionals who deal in the markets relating to the Reference Asset at any time may have significantly different
views from those of our affiliates. You are encouraged to derive information concerning the Reference Asset from multiple sources, and
you should not rely on the views expressed by our affiliates. Neither the offering of the notes nor any views which our affiliates from
time to time may express in the ordinary course of their businesses constitutes a recommendation as to the merits of an investment in
the notes. |
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 Reference Asset on a regular basis as part of our general broker-dealer and other businesses, for proprietary
accounts, for other accounts under management or to facilitate transactions for our customers. Any of these activities could adversely
affect the level of the Reference Asset and, therefore, the market value of, and the payments on, the notes. We or one or more of our
affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to changes
in the performance of the Reference Asset . By introducing competing products into the marketplace in this manner, we or one or more of
our affiliates could adversely affect the market value of the notes. |
| · | Our initial estimated value of the notes is lower than the price to public. — Our initial estimated value of the notes
is only an estimate, and is based on a number of factors. The price to public of the notes exceeds our initial estimated value, because
costs associated with offering, structuring and hedging the notes are included in the price to public, but are not included in the estimated
value. These costs include any underwriting discount and selling concessions, the profits that we and our affiliates expect to realize
for assuming the risks in hedging our obligations under the notes and the estimated cost of hedging these obligations. |
| · | 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 Pricing Date is derived using our internal pricing models.
This value is based on market conditions and other relevant factors, which include volatility of the Reference Asset , dividend rates
and interest rates. Different pricing models and assumptions could provide values for the notes that are greater than or less than our
initial estimated value. In addition, market conditions and other relevant factors after the Pricing Date are expected to change, possibly
rapidly, and our assumptions may prove to be incorrect. After the Pricing Date, the value of the notes could change dramatically due to
changes in market conditions, our creditworthiness, and the other factors set forth herein and in the product supplement. These changes
are likely to impact the price, if any, at which we or BMOCM would be willing to purchase the notes from you in any secondary market transactions.
Our initial estimated value does not represent a minimum price at which we or our affiliates would be willing to buy your notes in any
secondary market at any time. |
| · | The terms of the notes were not determined by reference to the credit spreads for our conventional fixed-rate debt. —
To determine the terms of the notes, we used an internal funding rate that represents a discount from the credit spreads for our conventional
fixed-rate debt. As a result, the terms of the notes are less favorable to you than if we had used a higher funding rate. |
| · | Certain costs are likely to adversely affect the value of the notes. — Absent any changes in market conditions, any
secondary market prices of the notes will likely be lower than the price to public. This is because any secondary market prices will likely
take into account our then-current market credit spreads, and because any secondary market prices are likely to exclude all or a portion
of any underwriting discount and selling concessions, and the hedging profits and estimated hedging costs that are included in the price
to public of the notes and that may be reflected on your account statements. In addition, any such price is also likely to reflect a discount
to account for costs associated with establishing or unwinding any related hedge transaction, such as dealer discounts, mark-ups and other
transaction costs. As a result, the price, if any, at which BMOCM or any other party may be willing to purchase the notes from you in
secondary market transactions, if at all, will likely be lower than the price to public. Any sale that you make prior to the Maturity
Date could result in a substantial loss to you. |
| · | 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 securities included in the Reference Asset, futures or options relating to the
Reference Asset or securities included in the Reference Asset or other derivative instruments with returns linked or related to changes
in the performance on the Reference Asset or securities included in the Reference Asset. We or our affiliates may also trade in the securities
included in the Reference Asset or instruments related to the Reference Asset or such securities from time to time. Any of these hedging
or trading activities on or prior to the Pricing Date and during the term of the notes could adversely affect the payments on the notes. |
| · | Many economic and market factors will influence the value of the notes. — In addition to the levels of the Reference
Asset and interest rates on any trading day, the value of the notes will be affected by a number of economic and market factors that may
either offset or magnify each other, and which are described in more detail in the product supplement. |
| · | 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 90.00 (90.00% of the hypothetical Initial Level), a hypothetical Lower Strike Level of 90.00 (90.00%
of the hypothetical Initial Level), a hypothetical Upper Strike Level of 101.00 (101.00% of the hypothetical Initial Level), a hypothetical
Cap Level of 130.00 (130.00% of the hypothetical Initial Level), a First Upside Leverage Factor of 262.00%, a Second Upside Leverage Factor
of 48.50%, a hypothetical Maximum Return of 42.885%, a hypothetical Maximum Redemption Amount of $1,428.85, 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 Reference Asset. You may lose some or all of the principal amount at maturity.
| Hypothetical Final Level |
Hypothetical Final Level
Expressed as a Percentage of the
Initial Level |
Hypothetical Payment at
Maturity |
Hypothetical Return on the
Notes |
| 180.00 |
180.00% |
$1,428.85 |
42.885% |
| 160.00 |
160.00% |
$1,428.85 |
42.885% |
| 130.00 |
130.00% |
$1,428.85 |
42.885% |
| 120.00 |
120.00% |
$1,380.35 |
38.035% |
| 115.00 |
115.00% |
$1,356.10 |
35.610% |
| 110.00 |
110.00% |
$1,331.85 |
33.185% |
| 101.00 |
101.00% |
$1,288.20 |
28.820% |
| 100.00 |
100.00% |
$1,262.00 |
26.200% |
| 97.00 |
97.00% |
$1,183.40 |
18.340% |
| 95.00 |
95.00% |
$1,131.00 |
13.100% |
| 90.00 |
90.00% |
$1,000.00 |
0.000% |
| 89.99 |
89.99% |
$999.90 |
-0.010% |
| 60.00 |
60.00% |
$700.00 |
-30.000% |
| 40.00 |
40.00% |
$500.00 |
-50.000% |
| 20.00 |
20.00% |
$300.00 |
-70.000% |
| 0.00 |
0.00% |
$100.00 |
-90.000% |
The following examples illustrate how the returns
set forth in the table above are calculated.
Example 1: The level of the Reference Asset decreases from the hypothetical
Initial Level of 100.00 to a hypothetical Final Level of 60.00, representing a Percentage Change of -40.00%. Because the Percentage
Change of the Reference Asset is negative and its hypothetical Final Level is less than its hypothetical Buffer Level, the investor receives
a payment at maturity of $700.00 per $1,000 in principal amount of the notes, calculated as follows:
$1,000 + [$1,000 x (-40.00% + 10.00%)] = $700.00
Example 2: The level of the Reference Asset decreases from the hypothetical
Initial Level of 100.00 to a hypothetical Final Level of 95.00, representing a Percentage Change of -5.00% and a First Adjusted Percentage
Change of 5.00%. Because the hypothetical Final Level of the Reference Asset is less than its hypothetical Upper Strike Level but
greater than its hypothetical Lower Strike Level, the return will be based on the First Interval Return and the investor receives a payment
at maturity of $1,131.00 per $1,000 in principal amount of the notes, calculated as follows:
First Interval Return = (5.00% x 262.00%) = 13.10%
Payment at Maturity = $1,000 + ($1,000 x 13.10%)
= $1,131.00
Example 3: The level of the Reference Asset increases from the hypothetical
Initial Level of 100.00 to a hypothetical Final Level of 120.00, representing a Percentage Change of 20.00% and a Second Adjusted Percentage
Change of -10.00%. Because the hypothetical Final Level of the Reference Asset is greater than its Upper Strike Level and but less
than its hypothetical Cap Level, the return will be based on the Second Interval Return and the investor receives a payment at maturity
of $1,380.35 per $1,000 in principal amount of the notes, calculated as follows:
Second Interval Return = (-10.00% x 48.50%) + 42.885%
= 38.035%
Payment at Maturity = $1,000 + ($1,000 x 38.035%)
= $1,380.35
Example 4: The level of the Reference Asset increases from the hypothetical
Initial Level of 100.00 to a hypothetical Final Level of 180.00, representing a Percentage Change of 80.00%. Because the hypothetical
Final Level of the Reference Asset is greater than its hypothetical Cap Level, the investor receives a payment at maturity of $1,428.85
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 Reference Asset.
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 Reference Asset 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.
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 Reference Asset or as to the suitability of an investment in
the notes.
BMOCM may, but is not obligated to, make a market
in the notes. BMOCM will determine any secondary market prices that it is prepared to offer in its sole discretion.
We may use this pricing supplement in the initial
sale of the notes. In addition, BMOCM or another of our affiliates may use this pricing supplement in market-making transactions in any
notes after their initial sale. Unless BMOCM or we inform you otherwise in the confirmation of sale, this pricing supplement is being
used by BMOCM in a market-making transaction.
For a period of approximately three months following
issuance of the notes, the price, if any, at which we or our affiliates would be willing to buy the notes from investors, and the value
that BMOCM may also publish for the notes through one or more financial information vendors and 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 Reference Asset
All disclosures contained in this pricing supplement
regarding the Reference Asset, 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 sponsor. The information
reflects the policies of, and is subject to change by, the sponsor. The sponsor owns the copyrights and all rights to the Reference Asset.
The sponsor is under no obligation to continue to publish, and may discontinue publication of, the Reference Asset. Neither we nor BMO
Capital Markets Corp. accepts any responsibility for the calculation, maintenance or publication of the Reference Asset or any successor.
We encourage you to review recent levels of the Reference Asset prior to making an investment decision with respect to the notes.
The Dow Jones Industrial Average® (“INDU”)
The INDU is a price-weighted index, which means
an underlying stock’s weight in the INDU is based on its price per share rather than the total market capitalization of the issuer.
The INDU is designed to provide an indication of the composite performance of 30 common stocks of corporations representing a broad cross-section
of U.S. industry. The corporations represented in the INDU tend to be market leaders in their respective industries and their stocks are
typically widely held by individuals and institutional investors.
The INDU is maintained by an Averages Committee
comprised of three representatives of S&P Dow Jones Indices and two representatives of The Wall Street Journal (“WSJ”).
The Averages Committee was created in March 2010, when Dow Jones Indexes became part of CME Group Index Services, LLC, a joint venture
company owned by CME Group Inc. and by Dow Jones & Company. Generally, composition changes occur only after mergers, corporate acquisitions
or other dramatic shifts in a component's core business. When such an event necessitates that one component be replaced, the entire INDU
is reviewed. As a result, when changes are made they typically involve more than one component. While there are no rules for component
selection, a stock typically is added only if the company has an excellent reputation, demonstrates sustained growth and is of interest
to a large number of investors.
Changes in the composition of the INDU are made
entirely by the Averages Committee without consultation with the corporations represented in the INDU, any stock exchange, any official
agency or us. Unlike most other indices, which are reconstituted according to a fixed review schedule, constituents of the INDU are reviewed
on an as-needed basis. Changes to the common stocks included in the INDU tend to be made infrequently, and the underlying stocks of the
INDU may be changed at any time for any reason. Constituent changes are typically announced one to five days before they are scheduled
to be implemented. The companies currently represented in the INDU are incorporated and headquartered in the United States and its territories
and their stocks are listed on the New York Stock Exchange and Nasdaq.
The INDU initially consisted of 12 common stocks
and was first published in the WSJ in 1896. The INDU was increased to include 20 common stocks in 1916 and to 30 common stocks in 1928.
The number of common stocks in the INDU has remained at 30 since 1928, and, in an effort to maintain continuity, the constituent corporations
represented in the INDU have been changed on a relatively infrequent basis.
Computation of the INDU
The level of the INDU is the sum of the primary
exchange prices of each of the 30 component stocks included in the INDU, divided by a divisor that is designed to provide a meaningful
continuity in the level of the INDU. Because the INDU is price-weighted, stock splits or changes in the component stocks could result
in distortions in the index level. In order to prevent these distortions related to extrinsic factors, the divisor is periodically changed
in accordance with a mathematical formula that reflects adjusted proportions within the INDU. The current divisor of the INDU is published
daily in the WSJ and other publications. In addition, other statistics based on the INDU may be found in a variety of publicly available
sources.
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 INDU, in connection with certain securities, including the notes. The INDU 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 Trademark Holdings LLC, 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 INDU to track general market performance. S&P Dow Jones Indices’ only relationship
to us with respect to the INDU 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 INDU 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 INDU. 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 INDU 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 INDU. 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 INDU 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 INDU 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. “Dow Jones®”, “DJIA®”, “Dow Jones Industrial Average®”
and “The Dow®” are trademarks of Dow Jones Trademark Holdings LLC. The notes are not sponsored, endorsed, sold or promoted
by S&P Dow Jones Indices and S&P Dow Jones Indices 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.
16
Exhibit 107.1
The pricing supplement to which this Exhibit is attached
is a final prospectus for the related offering. The maximum aggregate offering price of that offering is $2,000,000.
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