Registration Statement No.333-264388
Filed Pursuant to Rule 424(b)(2)
Pricing Supplement dated March 05, 2025 to the Prospectus dated May 26, 2022,
the Prospectus Supplement dated May 26, 2022 and the Product Supplement dated July 22, 2022
US$2,001,000
Senior Medium-Term Notes, Series I
Barrier Notes due March 10, 2027
Linked to the Least Performing of the shares of Consumer Discretionary Select Sector SPDR® Fund and the shares of SPDR® S&P®
Retail ETF
| · | The notes are designed for investors who seek periodic interest payments at the interest rate (the "Interest
Rate") of 2.075% per quarter (approximately 8.30% per annum). Investors should be willing to forego any potential to participate
in the appreciation of the shares of Consumer Discretionary Select Sector SPDR® Fund and the shares of SPDR® S&P® Retail
ETF (each, a "Reference Asset" and, collectively, the "Reference Assets") , and be willing to lose some or all of
their principal at maturity. |
| · | The notes will pay a Coupon on each Coupon Payment Date at the Interest Rate. |
| · | The notes do not guarantee any return of principal at maturity. Instead, the payment at maturity will
be based on the Final Level of the Least Performing Reference Asset (as defined below) and whether the Final Level of any Reference Asset
has declined from its Initial Level to below its Trigger Level on the Valuation Date (a “Trigger Event”), as described below.
|
| · | If a Trigger Event has occurred you will receive a cash amount at maturity that is less than the principal
amount, together with the final Coupon. Specifically, the value of the cash amount that you receive will decrease 1% for each 1% decrease
in the level of the Least Performing Reference Asset from its Initial Level to its Final Level. Even with Interest payments, the return
on the notes may be negative. |
| · | Investing in the notes is not equivalent to a direct investment in the Reference Assets. |
| · | The notes will not be listed on any securities exchange. |
| · | All payments on the notes are subject to the credit risk of Bank of Montreal. |
| · | The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000. |
| · | Our subsidiary, BMO Capital Markets Corp. (“BMOCM”), is the agent for this offering. See
“Supplemental Plan of Distribution (Conflicts of Interest)” below. |
| · | The notes will not be subject to conversion into our common shares or the common shares of any of our
affiliates under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act (the “CDIC Act”). |
Terms of the Notes:
| Strike Date: |
March 04, 2025 |
|
|
|
| Pricing Date: |
March 05, 2025 |
|
Valuation Date: |
March 05, 2027 |
| Settlement Date: |
March 10, 2025 |
|
Maturity Date: |
March 10, 2027 |
Specific Terms of the Notes:
Series
Number |
Reference
Assets |
Ticker
Symbol |
Initial
Level |
Interest Rate |
Trigger
Level* |
CUSIP |
Principal
Amount |
Price to
Public1 |
Agent’s
Commission1 |
Proceeds to
Bank of
Montreal1 |
| 4723 |
The shares of Consumer Discretionary Select Sector SPDR® Fund |
XLY |
$208.24 |
2.075% per quarter (approximately 8.30% per annum)
|
$135.36, 65.00% of its Initial Level |
06376DHA5 |
$2,001,000.00 |
100% |
0.40%
$8,004.00
|
99.60%
$1,992,996.00
|
| The shares of SPDR® S&P® Retail ETF |
XRT |
$70.82 |
$46.03, 65.00% of its Initial Level |
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 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 $996.00 and $1,000 per $1,000
in principal amount.
* Rounded to two decimal places.
Investing in the notes involves risks, including
those described in the “Selected Risk Considerations” section beginning on page P-5 hereof, the “Additional Risk Factors
Relating to the Notes” section beginning on page PS-6 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 $984.10 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 Assets: |
The shares of Consumer Discretionary Select Sector SPDR® Fund (ticker symbol "XLY") and the shares of SPDR® S&P® Retail ETF (ticker symbol "XRT"). See "The Reference Assets" below for additional information. |
| |
|
| Underlying Index: |
With respect to the Consumer Discretionary Select Sector SPDR® Fund, the Consumer Discretionary Select Sector Index and with respect to the SPDR® S&P® Retail ETF, the S&P® Retail Select Industry Index. |
| |
|
| Coupons: |
A Coupon will be paid on the corresponding Coupon Payment Date at the Interest Rate. |
| |
|
| Interest Rate: |
2.075% per quarter (approximately 8.30% per annum). Accordingly, each Coupon will equal $20.75 for each $1,000 in principal amount. |
| |
|
| Coupon Payment Dates:1 |
Interest will be paid on the 10th day of each June, September, December, and March (or, if such day is not a business day, the next following business day), beginning on June 10, 2025 and ending on the Maturity Date. |
| |
|
| Payment at Maturity: |
You will receive $1,000 for each $1,000 in principal amount of the note,
unless a Trigger Event has occurred.
If a Trigger Event has occurred, you will receive at maturity, for each
$1,000 in principal amount of your notes, a cash amount equal to:
$1,000 + [$1,000 x Percentage Change of the Least
Performing Reference Asset]
This amount will be less than the principal amount
of your notes, and may be zero.
You will also receive the final Coupon. Even with Coupons, the return
on the notes may be negative. |
| |
|
| Trigger Event: |
A Trigger Event will be deemed to occur if the Final Level of any Reference Asset is less than its Trigger Level on the Valuation Date. |
| |
|
| Least Performing Reference Asset: |
The Reference Asset with the lowest Percentage Change. |
| |
|
| Percentage Change: |
With respect to each Reference Asset, the quotient, expressed as a percentage,
of the following formula:
(Final Level - Initial Level)
Initial Level |
| |
|
| Initial Level:2 |
As set forth on the cover hereof |
| |
|
| Trigger Level:2 |
$135.36 with respect to XLY, and $46.03 with respect to XRT, each of which is 65.00% of the respective Initial Level (rounded to two decimal places). |
| |
|
| Final Level:2 |
With respect to each Reference Asset, the closing level of that Reference Asset on the Valuation Date. |
| |
|
| Strike Date: |
March 04, 2025 |
| |
|
| Pricing Date: |
March 05, 2025 |
| |
|
| Settlement Date: |
March 10, 2025 |
| |
|
| Valuation Date:1 |
March 05, 2027 |
| |
|
| Maturity Date:1 |
March 10, 2027 |
| |
|
| Physical Delivery Amount: |
We will only pay cash on the Maturity Date, and you will have no right to receive any shares of any Reference Asset. |
| |
|
| Calculation Agent: |
BMOCM |
| |
|
| Selling Agent: |
BMOCM |
1 Subject to the occurrence of a market disruption event,
as described in the accompanying product supplement.
2 As determined by the calculation agent and subject to adjustment
in certain circumstances. See "General Terms of the Notes — Anti-dilution Adjustments to a Reference Asset that is an Equity
Security (Including Any ETF)" and "— Adjustments to a Reference Asset that Is an ETF" in the product supplement for
additional information.
Additional Terms of the Notes
You should read this document together with the
product supplement dated July 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 July 22, 2022:
https://www.sec.gov/Archives/edgar/data/927971/000121465922009102/r712220424b2.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 Assets. 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. The payment
at maturity will be based on the Final Level of the Least Performing Reference Asset and whether a Trigger Event has occurred. If the
Final Level of the Least Performing Reference Asset is less than its Trigger Level, a Trigger Event will occur and you will lose 1% of
the principal amount for each 1% that the Final Level of the Least Performing Reference Asset is less than its Initial Level. In such
a case, you will receive at maturity a cash payment that is less than the principal amount of the notes and may be zero. Accordingly,
even with Coupons, the return on the notes may be negative. |
| · | Your return on the notes is limited to the Coupons regardless of any increase in the level of any Reference Asset — You
will not receive a payment at maturity with a value greater than your principal amount plus the final Coupon. Accordingly, your maximum
return on the applicable notes is limited to the potential return represented by the Coupons. |
| · | Your payment at maturity may be determined solely by reference to the Least Performing Reference Asset, even if any other Reference
Assets perform better. — If a Trigger Event occurs with respect to any Reference Asset and the Final Level of any Reference
Asset is less than its Initial Level, your payment at maturity will be determined by reference to the performance of the Least Performing
Reference Asset. Even if the levels of any other Reference Assets have increased over the term of the notes, or have experienced a decline
that is less than that of the Least Performing Reference Asset, your return at maturity will only be determined by reference to the performance
of the Least Performing Reference Asset if a Trigger Event occurs. |
| · | The payments on the notes will be determined by reference to each Reference Asset individually, not to a basket, and the payments
on the notes will be based on the performance of the Least Performing Reference Asset. — The payment at maturity if a Trigger
Event occurs, will be determined only by reference to the performance of the least performing Reference Asset as of the Valuation Date,
regardless of the performance of any other Reference Assets. The notes are not linked to a weighted basket, in which the risk may be mitigated
and diversified among each of the basket components. For example, in the case of notes linked to a weighted basket, the return would depend
on the weighted aggregate performance of the basket components reflected as the basket return. As a result, a decrease of the level of
one basket component could be mitigated by the increase of the level of the other basket components, as scaled by the weighting of that
basket component. However, in the case of the notes, the individual performance of each Reference Asset will not be combined, and the
performance of one Reference Asset will not be mitigated by any positive performance of any other Reference Assets. Instead, your return
at maturity will depend solely on the Final Level of the Least Performing Reference Asset if a Trigger Event occurs. |
| · | 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.
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 Assets. Your investment may
not reflect the full opportunity cost to you when you take into account factors that affect the time value of money. |
| · | A higher Interest Rate or lower Trigger Levels may reflect greater expected volatility of the Reference Assets, and greater expected
volatility generally indicates an increased risk of loss at maturity. — The economic terms for the notes, including the Interest
Rate and Trigger Levels, are based, in part, on the expected volatility of the Reference Assets at the time the terms of the notes are
set. “Volatility” refers to the frequency and magnitude of changes in the level of a Reference Asset. The greater the expected
volatility of the Reference Assets as of the Pricing Date, the greater the expectation is as of that date that a Trigger Event could occur
and, as a consequence, an increased risk of loss. All things being equal, this greater expected volatility will generally be reflected
in a higher Interest Rate than the yield payable on our conventional debt securities with a similar maturity or on otherwise comparable
securities, and/or a lower Trigger Levels than those terms on otherwise comparable securities. Therefore, a relatively higher Interest
Rate may indicate an increased risk of loss. Further, a relatively lower Trigger Levels may not necessarily indicate that the notes have
a greater likelihood of a return of principal at maturity. You should be willing to accept the downside market risk of the Reference Assets
and the potential to lose a significant portion or all of your initial investment. |
Risks Related to the Reference Assets
| · | Owning the notes is not the same as owning shares of the Reference Assets or a security directly linked to the Reference Assets.
— The return on your notes will not reflect the return you would realize if you actually owned shares of the Reference Assets or
a security directly linked to the performance of the Reference Assets and held that investment for a similar period. Your notes may trade
quite differently from the Reference Assets. Changes in the level of a Reference Asset may not result in comparable changes in the market
value of your notes. Even if the levels of the Reference Assets 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 Reference Assets increase. In addition, any dividends or other distributions paid on the Reference Assets 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 a Reference Asset at maturity. —
Investing in your notes will not make you a holder of any shares of the Reference Assets. Neither you nor any other holder or owner of
the notes will have any voting rights, any right to receive dividends or other distributions, or any other rights with respect to the
Reference Assets. |
| · | No delivery of shares of the Reference Assets. — The notes will be payable only in cash. You should not invest in the
notes if you seek to have the shares of the Reference Asset delivered to you at maturity. |
| · | Changes that affect an Underlying Index will affect the market value of the notes, and the amount you will receive at maturity.
— With respect to each Reference Asset, the policies of the applicable index sponsor concerning the calculation of the applicable
Underlying Index, additions, deletions or substitutions of the components of the applicable Underlying Index and the manner in which changes
affecting those components, such as stock dividends, reorganizations or mergers, may be reflected in the applicable Reference Asset and,
therefore, could affect the share price of the Reference Asset, the amounts payable on the notes, and the market value of the notes prior
to maturity. The amount payable on the notes and their market value could also be affected if the applicable index sponsor changes these
policies, for example, by changing the manner in which it calculates the applicable Underlying Index, or if the applicable index sponsor
discontinues or suspends the calculation or publication of the applicable Underlying Index. |
| · | We have no affiliation with any index sponsor of any Underlying Index and will not be responsible for any index sponsor's actions.
— The sponsors of the Underlying Indices are not our affiliates and will not be involved in the offering of the notes in any way.
Consequently, we have no control over the actions of any index sponsor , including any actions of the type that would require the calculation
agent to adjust the payment to you at maturity. The index sponsors have no obligation of any sort with respect to the notes. Thus, the
index sponsors have no obligation to take your interests into consideration for any reason, including in taking any actions that might
affect the value of the notes. None of our proceeds from the issuance of the notes will be delivered to any index sponsor of any Underlying
Index. |
| · | Adjustments to a Reference Asset could adversely affect the notes. — The sponsor and advisor of each Reference Asset
is responsible for calculating and maintaining that Reference Asset. The sponsor and advisor of each Reference Asset can add, delete or
substitute the stocks comprising that Reference Asset or make other methodological changes that could change the share price of the applicable
Reference Asset at any time. If one or more of these events occurs, the calculation of the amount payable at maturity may be adjusted
to reflect such event or events. Consequently, any of these actions could adversely affect the amount payable at maturity and/or the market
value of the notes. |
| · | We and our affiliates do not have any affiliation with any applicable investment advisor or the any Reference Asset Issuer and
are not responsible for their public disclosure of information. — The investment advisor of each Reference Asset advises the
issuer of the applicable Reference Asset (each, a “Reference Asset Issuer” and, collectively, the “Reference Asset Issuers”)
on various matters, including matters relating to the policies, maintenance and calculation of the applicable Reference Asset. We and
our affiliates are not affiliated with the investment advisor of any Reference Asset or any Reference Asset Issuer in any way and have
no ability to control or predict their actions, including any errors in or discontinuance of disclosure regarding the methods or policies
relating to a Reference Asset. No investment advisor of a Reference Asset nor any Reference Asset Issuer is involved in the offerings
of the notes in any way and has no obligation to consider your interests as an owner of the notes in taking any actions relating to a
Reference Asset that might affect the value of the notes. Neither we nor any of our affiliates has independently verified the adequacy
or accuracy of the information about any investment advisor or any Reference Asset Issuer contained in any public disclosure of information.
You, as an investor in the notes, should make your own investigation into the Reference Asset Issuers. |
| · | The correlation between the performance of a Reference Asset and the performance of the applicable Underlying Index may be imperfect.
— The performance of each Reference Asset is linked principally to the performance of the applicable Underlying Index. However,
because of the potential discrepancies identified in more detail in the product supplement, the return on a Reference Asset may correlate
imperfectly with the return on the applicable Underlying Index. |
| · | The Reference Assets are subject to management risks. — The Reference Assets are subject to management risk, which is
the risk that the applicable investment advisor’s investment strategy, the implementation of which is subject to a number of constraints,
may not produce the intended results. For example, the applicable investment advisor may invest a portion of a Reference Asset Issuer’s
assets in securities not included in the relevant industry or sector but which the applicable investment advisor believes will help applicable
the Reference Asset track the relevant industry or sector. |
| · | You must rely on your own evaluation of the merits of an investment linked to the Reference Assets. — In the ordinary
course of their businesses, our affiliates from time to time may express views on expected movements in the prices of the Reference Assets
or the prices of the securities held by the Reference Assets. One or more of our affiliates have published, and in the future may publish,
research reports that express views on the Reference Assets 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 Assets at any time may have significantly different
views from those of our affiliates. You are encouraged to derive information concerning the Reference Assets from multiple sources, and
you should not rely on the views expressed by our affiliates.
Neither the offering of the notes nor any views which our affiliates from time to time may express in the ordinary course of their businesses
constitutes a recommendation as to the merits of an investment in the notes. |
Risks Related to the Consumer Staples Select Sector SPDR® Fund
| · | An investment in the notes is subject to risks associated with investments in securities in the consumer staples sector. —
All or substantially all of the securities tracked by the Consumer Staples Select Sector SPDR® Fund are issued by companies whose
primary line of business is directly associated with the consumer staples sector. As a result, the value of the notes may be subject to
greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than
a different investment linked to securities of a more broadly diversified group of issuers. Consumer staples companies are subject to
government regulation affecting their products, which may negatively impact these companies’ performance. For instance, government
regulations may affect the permissibility of using various food additives and production methods of companies that make food products,
which could affect company profitability. Tobacco companies may be adversely affected by the adoption of proposed legislation and/or by
litigation. Also, the success of food, beverage, household and personal product companies may be strongly affected by consumer interest,
marketing campaigns and other factors affecting supply and demand, including performance of the overall domestic and global economy, interest
rates, competition and consumer confidence and spending. These factors could affect the consumer staples sector and could affect the value
of the securities tracked by the Consumer Staples Select Sector SPDR® Fund and the price of the Consumer Staples Select Sector SPDR®
Fund during the term of the notes, which may adversely affect the value of your notes. |
Risks Related to the SPDR® S&P® Retail ETF
| · | An investment in the notes is subject to risks associated with the retail sector. — All or substantially all of the equity
securities held by the SPDR® S&P® Retail ETF are issued by companies whose primary line of business is directly associated
with retail and the consumer discretionary and consumer staples sectors. As a result, the value of the notes may be subject to greater
volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting these sectors than a different
investment linked to securities of a more broadly diversified group of issuers. The market prices of the constituent stocks are tied closely
to the performance of the overall global economy, interest rates, competition and consumer confidence. The success of the constituent
stocks depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes may also affect
the demand for, and success of, consumer products and services in the marketplace. Further, issuers of the constituent stocks are subject
to government regulation affecting their products, which may negatively impact such issuers’ performance, and the success of such
issuers engaged in the production and sale of food, beverages, and household and personal products may be adversely affected by consumer
interest, marketing campaigns and other factors affecting supply and demand, including performance of the overall domestic and global
economy, interest rates, competition and consumer confidence and spending. The SPDR® S&P® Retail ETF is also exposed to retail
companies risk, where issuers of the constituent stocks can be significantly affected by the performance of the domestic and international
economy, consumer confidence and spending, competition, changes in demographics, and changing consumer tastes and preferences. |
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 Reference Assets or the securities held by a 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 Assets 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 Assets. 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 Reference Assets, 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 may have carried out or may carry out hedging activities
related to the notes, including purchasing or selling shares of the Reference Assets or securities held by the Reference Assets, futures
or options relating to the Reference Assets or securities held by the Reference Assets or other derivative instruments with returns linked
or related to changes in the performance on the Reference Assets or securities held by the Reference Assets. We or our affiliates may
also trade in the Reference Assets, such securities, or instruments related to the Reference Assets 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
Assets 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 Payout for a $1,000 Investment in the
Notes
The following tables illustrate the hypothetical
payments on a note, assuming different scenarios. The hypothetical payments are based on a $1,000 investment, a hypothetical Initial Level
of $100.00 for each Reference Asset, a hypothetical Trigger Level of $65.00 for each Reference Asset (65.00% of the hypothetical Initial
Level), a hypothetical interest rate of 2.075% per quarter (approximately 8.30% per annum), and a range of hypothetical closing levels
of the Least Performing Reference Asset.
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 Least Performing Reference Asset. The numbers appearing in the following examples have been rounded for ease of analysis.
The table below illustrates the hypothetical total
Coupons per note over the term of the notes based on the hypothetical terms set forth above. The hypothetical total Coupons paid per note
over the term of the notes will be equal to the maximum amount shown in the table below.
| Number of Coupons |
Total Coupon Payments |
| 1 |
$20.75 |
| 2 |
$41.50 |
| 3 |
$62.25 |
| 4 |
$83.00 |
| 5 |
$103.75 |
| 6 |
$124.50 |
| 7 |
$145.25 |
| 8 |
$166.00 |
The following table illustrates the hypothetical
payments on a note at maturity.
Hypothetical Final Level of the
Least Performing Reference Asset |
Hypothetical Final Level of the
Least Performing Reference Asset
Expressed as a Percentage of its
Initial Level |
Payment at Maturity (Excluding
Coupons) |
| $200.00 |
200.00% |
$1,000.00 |
| $180.00 |
180.00% |
$1,000.00 |
| $160.00 |
160.00% |
$1,000.00 |
| $140.00 |
140.00% |
$1,000.00 |
| $120.00 |
120.00% |
$1,000.00 |
| $100.00 |
100.00% |
$1,000.00 |
| $90.00 |
90.00% |
$1,000.00 |
| $80.00 |
80.00% |
$1,000.00 |
| $70.00 |
70.00% |
$1,000.00 |
| $65.00 |
65.00% |
$1,000.00 |
| $64.99 |
64.99% |
$649.90 |
| $60.00 |
60.00% |
$600.00 |
| $40.00 |
40.00% |
$400.00 |
| $20.00 |
20.00% |
$200.00 |
| $0.00 |
0.00% |
$0.00 |
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 an investment unit consisting of a
Debt Portion and a Put Option (as such terms are defined in the accompanying product supplement) 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 an investment unit consisting of
a Debt Portion and a Put Option in respect of the Reference Assets for U.S. federal income tax purposes. The following table sets forth
the amount of stated interest on the notes and the portion that will be treated as an interest payment on the Debt Portion and as payment
for the Put Option for U.S. federal income tax purposes.
| Interest Rate per Annum |
Treated as an Interest Payment on
the Debt Portion |
Treated as Payment for the Put
Option |
| 8.300% |
[*]% |
[*]% |
Please see the discussion in the accompanying product
supplement under “Supplemental Tax Considerations—Supplemental U.S. Federal Income Tax Considerations — Notes Treated
as an Investment Unit Consisting of a Debt Portion and a Put Option, as a Pre-Paid Contingent Income-Bearing Derivative Contract, or as
a Pre-Paid Derivative Contract—Notes Treated as an Investment Unit Consisting of a Debt Portion and a Put Option,” which applies
to the notes, except the following disclosure which supplements, and to the extent inconsistent supersedes, the discussion in the product
supplement.
Under current Internal Revenue Service guidance,
withholding on "dividend equivalent" payments (as discussed in the product supplement), if any, will not apply to notes that
are issued as of the date of this pricing supplement unless such notes are "delta-one" instruments. Based on our determination
that the notes are not delta-one instruments, non-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.
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 Assets 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. 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.
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 page 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 Assets
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 Reference Asset Issuer and the Reference Asset 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 Reference Assets or any securities included in any Underlying Index. 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 Reference Assets 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 any Reference Asset, have
been or will be publicly disclosed. Subsequent disclosure of any events or the disclosure of or failure to disclose material future events
concerning any Reference Asset could affect the price of the shares of that Reference Asset on the Valuation Date, and therefore could
affect the payments on the notes.
The selection of a Reference Asset is not a recommendation
to buy or sell the shares of that Reference Asset. Neither we nor any of our affiliates make any representation to you as to the performance
of the shares of any Reference Asset. Information provided to or filed with the SEC under the Exchange Act and the Investment Company
Act of 1940 relating to the Reference Assets may be obtained through the SEC’s website at http://www.sec.gov.
We encourage you to review recent levels of the
Reference Assets prior to making an investment decision with respect to the notes.
The Consumer Discretionary Select Sector SPDR® Fund (“XLY”)
The Consumer Discretionary Select Sector SPDR®
Fund (the “XLY”) is an investment portfolio managed by SSgA Funds Management, Inc. (“SSFM”), the investment adviser
to the Consumer Discretionary Select Sector SPDR® Fund. The Consumer Discretionary Select Sector SPDR® Fund is an exchange-traded
fund that trades on the NYSE Arca, Inc. ("NYSE Arca") under the ticker symbol “XLY.”
Information provided to or filed with the SEC by
the Select Sector SPDR® Trust can be located by reference to SEC file numbers 333-57791 and 811-08837, respectively, through
the SEC’s website at http://www.sec.gov.
Investment Objective
The Consumer Discretionary Select Sector SPDR®
Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of publicly
traded equity securities of companies in the consumer discretionary sector, as represented by the Consumer Discretionary Select Sector
Index. The Consumer Discretionary Select Sector Index measures the performance of the consumer discretionary sector of the U.S. equity
market and includes companies in the following industries: retail (specialty, multiline, internet and direct marketing); hotels, restaurants
and leisure; textiles, apparel and luxury goods; household durables; automobiles; auto components; distributors; leisure products; and
diversified consumer services. The returns of the XLY may be affected by certain management fees and other expenses, which are detailed
in its prospectus.
Investment Strategy — Replication
The Consumer Discretionary Select Sector SPDR®
Fund pursues the indexing strategy of “replication” in attempting to approximate the performance of Consumer Discretionary
Select Sector Index. The Consumer Discretionary Select Sector SPDR® Fund will generally invest in substantially all of the equity
securities included in the Consumer Discretionary Select Sector Index in approximately the same proportions as the Consumer Discretionary
Select Sector Index. There may, however, be instances where SSFM may choose to overweight another stock in the Consumer Discretionary
Select Sector Index, purchase securities not included in the Consumer Discretionary Select Sector Index that SSFM believes are appropriate
to substitute for a security included in the Consumer Discretionary Select Sector Index or utilize various combinations of other available
investment techniques in seeking to track accurately the Consumer Discretionary Select Sector Index. The Consumer Discretionary Select
Sector SPDR® Fund will normally invest at least 95% of its total assets in common stocks that comprise the Consumer Discretionary
Select Sector Index. The Consumer Discretionary Select Sector SPDR® Fund may invest its remaining assets in money market instruments
(including repurchase contracts). Options and futures contracts (and convertible securities and structured notes) may be used by the Consumer
Discretionary Select Sector SPDR® Fund in seeking performance that corresponds to the Consumer Discretionary Select Sector Index and
managing cash flows. SSFM anticipates that, under normal circumstances, it may take several business days for additions and deletions
to the SPX to be reflected in the portfolio composition of the Consumer Discretionary Select Sector SPDR® Fund. The Board of Trustees
of the Select Sector SPDR® Trust may change the Consumer Discretionary Select Sector SPDR® Fund’s investment strategy and
other policies without shareholder approval.
Correlation
The Consumer Discretionary Select Sector Index is
a theoretical financial calculation, while the Consumer Discretionary Select Sector SPDR® Fund is an actual investment portfolio.
The performance of the Consumer Discretionary Select Sector SPDR® Fund and the Consumer Discretionary Select Sector Index will vary
somewhat due to transaction costs, asset valuations, market impact, corporate actions (such as mergers and spin-offs) and timing variances.
A figure of 100% would indicate perfect correlation. Any correlation of less than 100% is called “tracking error.” The Consumer
Discretionary Select Sector SPDR® Fund, using a replication strategy, can be expected to have a lesser tracking error than a fund
using representative sampling strategy. Representative sampling is a strategy in which a fund invests in a representative sample of securities
in a tracking index.
The Consumer Discretionary Select Sector Index
The Consumer Discretionary Select Sector Index is
a modified market capitalization-based index, intended to provide an indication of the pattern of common stock price movements of companies
that are components of the SPX and are involved in the consumer discretionary industry. The Consumer Discretionary Select Sector Index
is one of the nine Select Sector sub-indices of the SPX, each of which we refer to as a “Select Sector Index.”
The Index is also sponsored and compiled by S&P
DJI. S&P DJI determines the composition of the Index and relative weightings of the securities in the Index based on the Index methodology
(as the “Index Compilation Agent”). S&P DJI also publishes information regarding the market value of the Index (as the
“Index Provider”). S&P DJI is not affiliated with the Fund or the Adviser. The composition and weighting of the stocks
included in the Consumer Discretionary Select Sector Index will likely differ from the composition and weighting of stocks included in
any similar Select Sector Index that is published and disseminated by S&P. S&P’s only relationship to the Index Compilation
Agent is the licensing of certain trademarks and trade names of S&P and of the SPX which is determined, composed and calculated by
S&P without regard to the Index Compilation Agent.
The Select Sector Indices
Construction, Maintenance and Calculation of The
Select Sector Indices:
The Select Sector Index is developed and maintained
in accordance with the following criteria:
| · | Each of the component stocks in a Select Sector Index (the “Component Stocks”) has been selected from the universe of
companies defined by the SPX. |
| · | Each stock in the SPX is allocated to one and only one of the Select Sector Indices. |
| · | The Index Compilation Agent assigns each constituent stock of the S&P 500 Index to a Select Sector Index based on the Global Industry
Classification Standard (“GICS”). S&P DJI has sole control over the removal of stocks from the S&P 500 and the selection
of replacement stocks to be added to the S&P 500. |
| · | Each Select Sector Index is calculated using a base-weighted aggregate methodology; that means the level of the Select Sector Index
reflects the total market value of all of its Component Stocks relative to a particular base period. Statisticians refer to this type
of index, one with a set of combined variables (such as price and number of shares), as a composite index. |
| · | Each Select Sector Index is calculated using the same methodology utilized by S&P DJI in calculating the SPX, using a base-weighted
aggregate methodology. The daily calculation of each Select Sector Index is computed by dividing the total market value of the companies
in the Select Sector Index by a number called the “Index Divisor.” |
| · | Each Select Sector Index is weighted, on a quarterly basis, based on the float-adjusted market capitalization of each of the Component
Stocks, subject to the following asset diversification requirements: (i) the market capitalization-based weighted value of any single
Component Stock measured with prices as of the reference date and membership, shares outstanding and investable weight factors as of the
rebalancing effective date may not exceed 25% of the total value of its respective Select Sector Index; and (ii) the sum of the constituent
stocks with weight greater than 4.8% cannot exceed 50% of the total Index weight. |
| · | Rebalancing the Select Sector Indices to meet the asset diversification requirements will be the responsibility of S&P. If on
the second Friday of any calendar quarter-end month (a “Quarterly Qualification Date”), a Component Stock (or two or more
Component Stocks) approaches the maximum allowable value limits set forth above (the “Asset Diversification Limits”), the
percentage that such Component Stock (or Component Stocks) represents in the Select Sector Index will be reduced and the market capitalization-based
weighted value of such Component Stock (or Component Stocks) will be redistributed across the Component Stocks that do not closely approach
the Asset Diversification Limits in accordance with the following methodology: First, each Component Stock that exceeds 24% of the total
value of the Select Sector Index will be reduced to 23% of the total value of the Select Sector Index and the excess amount will be redistributed
proportionally across the remaining Component Stocks that each represent less than 23% of the total value of the Select Sector Index.
If as a result of this redistribution, another Component Stock then exceeds 23%, the redistribution will be repeated as necessary until
no company breaches the 23% weight cap. Second, if the sum of Component Stocks that each exceed 4.8% of the total value of the Select
Sector Index exceeds 50% of the total value of the Index, the Component Stocks will be ranked in descending order of their float-adjusted
market capitalization, and the first Component Stock to cause the 50% limit to be breached will be reduced to 4.5% and the excess amount
will be distributed proportionally across all remaining Component Stocks that represent less than 4.5% of the total value of the Select
Sector Index. This redistribution process will be repeated as necessary until at least 50% of the value of the Select Sector Index is
accounted for by Component Stocks representing no more than 4.8% of the total value of the Select Sector Index. If necessary, this reallocation
process may take place more than once to ensure that the Select Sector Index and the Select Sector SPDR Fund portfolio based upon it conform
to the requirements for qualification of the Select Sector SPDR Fund as a regulated investment company (“RIC”), under the
Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). |
This occurs at the closing prices of the second Friday of
March, June, September and December and becomes effective after the market close on the third Friday of March, June, September and December.
If, on the second to last business day of March, June, September,
or December a company has a weight greater than 24% or the sum of the companies with weights greater than 4.8% exceeds 50%, a secondary
rebalancing will be triggered with the rebalancing effective date being after the close of the last business day of the month. This secondary
rebalancing will use the closing prices as of the second to last business day of March, June, September, or December, and membership,
shares outstanding, and investable weight factors as of the rebalancing effective date.
The Index Compilation Agent at any time may determine
that a Component Stock which has been assigned to one Select Sector Index has undergone such a transformation in the composition of its
business that it should be removed from that Select Sector Index and assigned to a different Select Sector Index. In the event that the
Index Compilation Agent notifies the index calculation agent that a Component Stock’s Select Sector Index assignment should be changed,
the index calculation agent will disseminate notice of the change following its standard procedure for announcing index changes and will
implement the change in the affected Select Sector Indices on a date no less than one week after the initial dissemination of information
on the sector change to the maximum extent practicable. It is not anticipated that Component Stocks will change sectors frequently. Component
Stocks removed from and added to the SPX will be deleted from and added to the appropriate Select Sector Index on the same schedule used
by S&P for additions and deletions from the SPX insofar as practicable.
The SPDR® S&P 500® Retail ETF (“XRT”)
The XRT is an investment portfolio maintained and
managed by SSGA Funds Management, Inc. (“SSFM”). The SPDR® Series Trust is a registered investment company that consists
of numerous separate investment portfolios, including the XRT. The XRT seeks to provide investment results that correspond generally to
the price and yield performance, before fees and expenses, of the S&P® Retail Select Industry Index.
Information about the XRT filed with the SEC can
be found by reference to its SEC file numbers: 333-57793 and 811-08839 or its CIK Code: 0001064642. Shares of the XRT are listed on the
NYSE Arca, Inc. (“NYSE Arca”) under ticker symbol "XRT."
The S&P® Retail Select Industry Index
All information in this document regarding the S&P®
Retail Select Industry Index, including, without limitation, its make-up, method of calculation and changes in its components, is derived
from publicly available information. Such information reflects the policies of, and is subject to change by, S&P Dow Jones Indices
LLC ("S&P"), a division of S&P Global. Neither we nor any of our affiliates has undertaken any independent review or
due diligence of such information. The S&P® Retail Industry Index is maintained and published by S&P. S&P has
no obligation to continue to publish, and may discontinue the publication of, the S&P® Retail Select Industry Index.
The S&P® Retail Select Industry
Index is a modified equal-weighted index that is designed to measure the performance of the following sub-industries of the S&P Total
Market Index ("S&P TMI"): apparel retail, automotive retail, broadline retail, computer & electronic retail, consumer
staples merchandise retail, drug retail, food retailers, and other specialty retail. The S&P TMI includes all U.S. common equities
listed on the New York Stock Exchange, NYSE Arca, NYSE American, Nasdaq Global Select Market, Nasdaq Select Market, Nasdaq Capital Market,
Cboe BZX, Cboe BYX, Cboe EDGA, Cboe EDGX or Investors Exchange (IEX).
Eligible Constituents
In addition to being included in the S&P TMI
and one of the relevant Global Industry Classification Standard ("GICS") sub-industries, a stock must meet market capitalization
and liquidity requirements to be included in the S&P® Retail Select Industry Index. Specifically, companies must satisfy
one of the three following combined size and liquidity criteria:
| · | float-adjusted market capitalization above $500 million and float-adjusted liquidity ratio above 90%; |
| · | float-adjusted market capitalization above $400 million and float-adjusted liquidity ratio above 150%; or |
| · | for current constituents only, float adjusted market capitalization above $300 million and float-adjusted liquidity ratio greater
than or equal to 50%. |
All U.S. companies satisfying these requirements
are included in the S&P® Retail Select Industry Index. The total number of companies in the S&P®
Retail Select Industry Index should be at least 35. If there are fewer than 35 stocks, stocks from a supplementary list of highly correlated
sub-industries that meet the market capitalization and liquidity thresholds above are included in order of their float-adjusted market
capitalization to reach 35 constituents. Minimum market capitalization requirements may be relaxed to ensure there are at least 22 companies
in the S&P® Retail Select Industry Index as of each rebalancing effective date.
At the discretion of S&P, constituents with
shareholder ownership restrictions defined in company bylaws may be deemed ineligible for inclusion in the S&P® Retail
Select Industry Index. Ownership restrictions preventing entities from replicating the index weight of a company may be excluded from
the eligible universe or removed from the S&P® Retail Select Industry Index.
Eligible Constituents
The S&P® Retail Select Industry
Index is calculated by a divisor methodology and uses an adjusted equal-weighting methodology to weight constituent companies.
The initial divisor is set to have a base index
value of 1000 on December 17, 1999. The index value is simply the index market value divided by the index divisor, and, in order to maintain
index continuity, the divisor is adjusted at each rebalancing and for certain corporate actions. All index divisor adjustments are made
after the close of trading based on closing prices.
The weight for each constituent is subject to a
hard cap of 4.5% as well as a liquidity cap, where the excess weight is distributed proportionately among the remaining index constituents.
As stock prices move, the weights will shift and the modified weights will change, thus requiring rebalancing from time to time to re-establish
the proper weighting. Index membership is reviewed quarterly, and rebalancings occur after the closing on the third Friday of the quarter
ending month. The reference date for additions and deletions is after the closing of the last trading date of the previous month. At each
quarterly rebalancing, companies are initially equally-weighted using closing prices as of the second Friday of the last month of the
quarter. The liquidity cap is then applied, followed by the hard cap of 4.5%. Applying the caps and redistributing the excess weight among
the remaining index constituents is an iterative process, and as a result, the redistribution of excess weight following the application
of the hard cap may cause a stock to exceed the weight limit imposed by the liquidity cap. In such cases, no further adjustments will
be made.
Companies are added between rebalancings only if
a deletion in the S&P® Retail Select Industry Index causes the number of constituents in the index to fall below 22.
In those cases, each company deletion is accompanied by a company addition. The weight of the new company in the S&P®
Retail Select Industry Index will be the weight that the deleted company had before being removed. In the case of mergers involving at
least one index constituent, the merged company will remain in the S&P® Retail Select Industry Index if it meets all
of the eligibility requirements. The merged company will retain the weight the pre-merger company had as a constituent. If both companies
involved in a merger are index constituents prior to the merger, the merged company will be added at the weight of the company deemed
to be the acquirer in the merger. In the case of spin-offs, the S&P® Retail Select Industry Index will follow the S&P
TMI’s treatment of the action. If the S&P TMI treats the pre- and post-spun company as a deletion/addition action, using the
stock’s when-issued price, the S&P® Retail Select Industry Index will also treat the spin-off in the same way.
A company is deleted from S&P® Retail Select Industry Index if the S&P TMI drops the company. If a company’s
GICS classification changes so that the company no longer belongs to one of the applicable qualifying sub-industries after the classification
change, the company is removed from the S&P® Retail Select Industry Index at the next rebalancing.
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 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
filed with the SEC as an exhibit to a Current Report on Form 6-K on May 26, 2022.
18
424B2
EX-FILING FEES
0000927971
333-264388
0000927971
2025-03-07
2025-03-07
iso4217:USD
xbrli:pure
xbrli:shares
EX-FILING FEES
CALCULATION OF FILING FEE TABLES
F-3
BANK OF MONTREAL /CAN/
Narrative Disclosure
The maximum aggregate offering price of the securities to which the prospectus relates is $2,001,000.
The
prospectus is a final prospectus for the related offering.
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