Obligation Montreal Bank 0% ( US06367WQL09 ) en USD

Montreal Bank

100 % ⇌

Canada

US06367WQL09 ( en USD )

30/09/2021 - Obligation échue

Prospectus brochure de l'obligation Bank of Montreal US06367WQL09 en USD 0%, échue

1 000 USD

2 498 000 USD

06367WQL0

N/A

La Banque de Montréal (BMO) est une institution financière multinationale canadienne offrant une vaste gamme de services bancaires de détail, de gestion de patrimoine, de marchés des capitaux et de services bancaires aux entreprises à l'échelle mondiale.

L'Obligation émise par Montreal Bank ( Canada ) , en USD, avec le code ISIN US06367WQL09, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 30/09/2021

424B2 1 d926191424b2.htm ELN 1229

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

Pricing Supplement dated September 25, 2019 to the Prospectus dated April 27, 2017,
the Prospectus Supplement dated September 23, 2018 and the Product Supplement dated May 1, 2017

US$2,498,000
Buffered Bullish Enhanced Return Notes due September 30, 2021
Linked to the Vanguard® Extended Market ETF

· The notes are designed for investors who seek a 200% leveraged positive return based on any appreciation in the share price of the
Vangaurd® Extended Market ETF (the "Underlying Asset"). Investors should be willing to accept a payment at maturity that does not
exceed the Maximum Redemption Amount (as defined below), be willing to forgo periodic interest, and be willing to lose 1% of their
principal amount for each 1% that the closing price of the Underlying Asset decreases by more than 15% from its closing price on the Pricing
Date.

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

· The Maximum Redemption Amount will be $1,164 for each $1,000 in principal amount (a 16.40% return).

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

· The notes will not be listed on any securities exchange.

· The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000.

· The offering priced on September 25, 2019, and the notes will settle through the facilities of The Depository Trust Company on September
30, 2019.

· The notes are scheduled to mature on September 30, 2021.

· The CUSIP number of the notes is 06367WQL0.

· 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").
Investing in the notes involves risks, including those described in the "Selected Risk Considerations" section beginning on page P-5 of this
pricing supplement, the "Additional Risk Factors Relating to the Notes" section beginning on page PS-5 of the product supplement, and the "Risk
Factors" section beginning on page S-1 of the prospectus supplement and on page 8 of the prospectus.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these notes or passed
upon the accuracy of this pricing supplement, the product supplement, the prospectus supplement or the prospectus. Any representation to the
contrary is a criminal offense.
The notes will be our unsecured obligations and will not be savings accounts or deposits that are insured by the United States Federal Deposit
Insurance Corporation, the Deposit Insurance Fund, the Canada Deposit Insurance Corporation or any other governmental agency or instrumentality or
other entity.
On the date of this pricing supplement, the estimated initial value of the notes is $987.50 per $1,000 in principal amount. As discussed in more detail
in this pricing supplement, the actual value of the notes at any time will reflect many factors and cannot be predicted with accuracy.

Price to Public(1)
Agent's Commission(1)
Proceeds to Bank of Montreal

Per Note
US$1,000
US$2.50
US$997.50

Total
US$2,498,000
US$6,245
US$2,491,755
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(1) Certain dealers who purchased the notes for sale to certain fee-based advisory accounts may have foregone some or all of their selling concessions, fees
or commissions. The public offering price for investors purchasing the notes in these accounts was between $997.50 and $1,000 per $1,000 in principal
amount.

BMO CAPITAL MARKETS

Key Terms of the Notes:

Underlying Asset:
Vangaurd® Extended Market ETF (Bloomberg symbol: VXF). See the section below entitled "The
Underlying Asset" for additional information about the Underlying Asset.

Payment at Maturity:
(i) If the Percentage Change multiplied by the Upside Leverage Factor is greater than or equal to the
Maximum Return, the payment at maturity for each $1,000 in principal amount of the notes will equal the
Maximum Redemption Amount.

(ii) If the Percentage Change multiplied by the Upside Leverage Factor is positive but is less than the
Maximum Return, then the payment at maturity for each $1,000 in principal amount of the notes will be
calculated as follows:

Principal Amount + [Principal Amount × (Percentage Change x Upside Leverage Factor)]

(iii) If the Percentage Change is between 0% and 15%, then the payment at maturity will equal the
principal amount of the notes.

(iv) If the Percentage Change is less than 15%, then the payment at maturity will be calculated as follows:

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

If the Percentage Change is less than 15%, investors will lose up to 85% of the principal amount of the
notes.

Upside Leverage Factor:
200%

Maximum Return:
16.40%

Maximum Redemption
The payment at maturity will not exceed the Maximum Redemption Amount of $1,164 per $1,000 in
Amount:
principal amount of the notes.

Initial Level:
$117.87, which was the closing price of the Underlying Asset on the Pricing Date.

Final Level:
The closing price of one share of the Underlying Asset on the Valuation Date.

Buffer Level:
$100.19, which is 85% of the Initial Level (rounded to two decimal places).

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

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

Pricing Date:
September 25, 2019
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Settlement Date:
September 30, 2019

Valuation Date:
September 27, 2021

Maturity Date:
September 30, 2021

Automatic Redemption:
Not applicable.

Calculation Agent:
BMOCM

Selling Agent:
BMOCM

P-2

Payoff Example

The following table shows the hypothetical payout profile of an investment in the notes reflecting the 200% Upside Leverage Factor, the
Buffer Level of 85%, and the Maximum Return of 16.40%. Please see the hypothetical examples below for more detailed examples.

P-3

Additional Terms of the Notes

You should read this pricing supplement together with the product supplement dated May 1, 2017, the prospectus supplement dated
September 23, 2018 and the prospectus dated April 27, 2017. This pricing supplement, together with the documents listed below, contains the
terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets,
brochures or other educational materials of ours or the agent. You should carefully consider, among other things, the matters set forth in
"Additional Risk Factors Relating to the Notes" in the product supplement, as the notes involve risks not associated with conventional debt
securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.

You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings
for the relevant date on the SEC website):
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·
Product supplement dated May 1, 2017:
https://www.sec.gov/Archives/edgar/data/927971/000121465917002864/d427171424b5.htm

·
Prospectus supplement dated September 23, 2018:
https://www.sec.gov/Archives/edgar/data/927971/000119312518280416/d624491d424b5.htm

·
Prospectus dated April 27, 2017:
https://www.sec.gov/Archives/edgar/data/927971/000119312517142728/d254784d424b2.htm

References in the above product supplement to the prospectus supplement will be deemed to be references to the prospectus supplement
dated September 23, 2018.

Our Central Index Key, or CIK, on the SEC website is 927971. As used in this pricing supplement, "we," "us" or "our" refers to Bank of
Montreal.

P-4

Selected Risk Considerations

An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Underlying Asset.
These risks are explained in more detail in the "Additional Risk Factors Relating to the Notes" section of the product supplement.

·
Your investment in the notes may result in a loss. -- You may lose some or substantially all of your investment in the notes. The
minimum percentage of your principal that you are entitled to receive under the terms of the notes is only 15%. The payment at maturity
will be based on the Final Level, and whether the Final Level of the Underlying Asset on the Valuation Date has declined from the Initial
Level to a price that is less than the Buffer Level. You will lose 1% of the principal amount of your notes for each 1% that the Final Level
is less than the Buffer Level. Accordingly, you could lose up to 85% of the principal amount of the notes.

·
Your return on the notes is limited to the Maximum Redemption Amount, regardless of any appreciation in the share price of the
Underlying Asset. -- You will not receive a payment at maturity with a value greater than the Maximum Redemption Amount per
$1,000 in principal amount of the notes. This will be the case even if the Percentage Change multiplied by the Upside Leverage Factor
exceeds the Maximum Return.

·
Your investment is subject to the credit risk of Bank of Montreal. -- Our credit ratings and credit spreads may adversely affect the
market value of the notes. Investors are dependent on our ability to pay the amount due at maturity, and therefore investors are subject to
our credit risk and to changes in the market's view of our creditworthiness. Any decline in our credit ratings or increase in the credit
spreads charged by the market for taking our credit risk is likely to adversely affect the value of the notes.

·
Potential conflicts. -- We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as
calculation agent. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the notes. We or one or more of our affiliates may also engage in trading of shares of the
Underlying Asset or securities held by the Underlying Asset on a regular basis as part of our general broker-dealer and other businesses,
for proprietary accounts, for other accounts under management or to facilitate transactions for our customers. Any of these activities could
adversely affect the price of the Underlying Asset and, therefore, the market value of the notes. We or one or more of our affiliates may
also issue or underwrite other securities or financial or derivative instruments with returns linked or related to changes in the performance
of the Underlying Asset. By introducing competing products into the marketplace in this manner, we or one or more of our affiliates could
adversely affect the market value of the notes.

·
Our initial estimated value of the notes is lower than the price to public. -- Our initial estimated value of the notes is only an
estimate, and is based on a number of factors. The price to public of the notes exceeds our initial estimated value, because costs associated
with offering, structuring and hedging the notes are included in the price to public, but are not included in the estimated value. These costs
include the underwriting discount and selling concessions, the profits that we and our affiliates expect to realize for assuming the risks in
hedging our obligations under the notes, and the estimated cost of hedging these obligations.

·
Our initial estimated value does not represent any future value of the notes, and may also differ from the estimated value of any
other party. -- Our initial estimated value of the notes as of the date of this pricing supplement is derived using our internal pricing
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models. This value is based on market conditions and other relevant factors, which include volatility of the Underlying Asset, dividend
rates and interest rates. Different pricing models and assumptions could provide values for the notes that are greater than or less than our
initial estimated value. In addition, market conditions and other relevant factors after the Pricing Date are expected to change, possibly
rapidly, and our assumptions may prove to be incorrect. After the Pricing Date, the value of the notes could change dramatically due to
changes in market conditions, our creditworthiness, and the other factors set forth in this pricing supplement and the product supplement.
These changes are likely to impact the price, if any, at which we or BMOCM would be willing to purchase the notes from you in any
secondary market transactions. Our initial estimated value does not represent a minimum price at which we or our affiliates would be
willing to buy your notes in any secondary market at any time.

·
The terms of the notes were not determined by reference to the credit spreads for our conventional fixed-rate debt. -- To
determine the terms of the notes, we used an internal funding rate that represents a discount from the credit spreads for our conventional
fixed-rate debt. As a result, the terms of the notes are less favorable to you than if we had used a higher funding rate.

·
Certain costs are likely to adversely affect the value of the notes. -- Absent any changes in market conditions, any secondary market
prices of the notes will likely be lower than the price to public. This is because any secondary market prices will likely take into account
our then-current market credit spreads, and because any secondary market prices are likely to exclude all or a portion of the agent's
commission and the hedging profits and estimated hedging costs that are included in the price to public of the notes and that may be
reflected on your account statements. In addition, any such price is also likely to reflect a discount to account for costs associated with
establishing or unwinding any related hedge transaction, such as dealer discounts, mark-ups and other transaction costs. As a result, the
price, if any, at which BMOCM or any other party may be willing to purchase the notes from you in secondary market transactions, if at
all, will likely be lower than the price to public. Any sale that you make prior to the maturity date could result in a substantial loss to you.

P-5

·
Owning the notes is not the same as owning shares of the Underlying Asset or a security directly linked to the Underlying Asset.
-- The return on your notes will not reflect the return you would realize if you actually owned shares of the Underlying Asset or a
security directly linked to the performance of the Underlying Asset and held that investment for a similar period. Your notes may trade
quite differently from the Underlying Asset. Changes in the price of the Underlying Asset may not result in comparable changes in the
market value of your notes. Even if the price of the Underlying 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 price of the
Underlying Asset increases. In addition, any dividends or other distributions paid on the Underlying Asset will not be reflected in the
amount payable on the notes.

·
You will not have any shareholder rights and will have no right to receive any shares of the Underlying Asset at maturity. --
Investing in your notes will not make you a holder of the Underlying Asset or any securities held by the Underlying Asset. Neither you
nor any other holder or owner of the notes will have any voting rights, any right to receive dividends or other distributions or any other
rights with respect to the Underlying Asset or such other securities.

·
Changes that affect the Underlying Index may adversely affect the market value of the notes and the amount you will receive at
maturity. -- The policies of S&P Dow Jones Indices LLC (the "Index Sponsor"), the sponsor of the S&P® Completion Index (the
"Underlying Index"), concerning the calculation of the Underlying Index, additions, deletions or substitutions of the components of the
Underlying Index and the manner in which changes affecting those components, such as stock dividends, reorganizations or mergers, may
be reflected in the Underlying Index and, therefore, could affect the share price of the Underlying Asset, the amount payable on the notes
at maturity and the market value of the notes prior to maturity. The amount payable on the notes and their market value could also be
affected if the Index Sponsor changes these policies, for example, by changing the manner in which it calculates the Underlying Index, or
if the Index Sponsor discontinues or suspends the calculation or publication of the Underlying Index.

·
We have no affiliation with the Index Sponsor and will not be responsible for any actions taken by the Index Sponsor. -- The
Index Sponsor 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.

·
Adjustments to the Underlying Asset could adversely affect the notes. -- Vanguard Index Funds, as the sponsor and The Vanguard
Group, Inc. as the advisor (collectively with its affiliates, "Vanguard") of the Underlying Asset, is responsible for calculating and
maintaining the Underlying Asset. Vanguard can add, delete or substitute the stocks comprising the Underlying Asset or may make other
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methodological changes that could change the share price of the Underlying 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 the investment advisor of the Underlying Asset and are not responsible for
its public disclosure of information. -- The investment advisor of the Underlying Asset advises the Underlying Asset on various matters
including matters relating to the policies, maintenance and calculation of the Underlying Asset. We and our affiliates are not affiliated
with the investment advisor in any way and have no ability to control or predict its actions, including any errors in or discontinuance of
disclosure regarding its methods or policies relating to the Underlying Asset. The investment advisor is not involved in the offering 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 the Underlying
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 the investment advisor or the Underlying Asset contained in any public disclosure of information. You, as an
investor in the notes, should make your own investigation into the Underlying Asset.

·
The correlation between the performance of the Underlying Asset and the performance of the Underlying Index may be
imperfect. -- The performance of the Underlying Asset is linked principally to the performance of the Underlying Index. However,
because of the potential discrepancies identified in more detail in the product supplement, the return on the Underlying Asset may
correlate imperfectly with the return on the Underlying Index.

·
The Underlying Asset is subject to management risks. -- The Underlying Asset is subject to management risk, which is the risk that
the 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 investment advisor may invest a portion of the Underlying Asset's assets in securities not included in
the relevant industry or sector but which the investment advisor believes will help the Underlying Asset track the relevant industry or
sector.

P-6

·
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 Underlying Asset or securities held by the Underlying Asset, or futures or options
relating to the Underlying Asset, or other derivative instruments with returns linked or related to changes in the performance of the
Underlying Asset. We or our affiliates may also engage in trading of shares of the Underlying Asset or securities included in the
Underlying Index from time to time. Any of these hedging or trading activities on or prior to the Pricing Date and during the term of the
notes could adversely affect our payment to you at maturity.

·
Many economic and market factors will influence the value of the notes. -- In addition to the price of the Underlying Asset and
interest rates on any trading day, the value of the notes will be affected by a number of economic and market factors that may either offset
or magnify each other, and which are described in more detail in the product supplement.

·
You must rely on your own evaluation of the merits of an investment linked to the Underlying Asset. -- In the ordinary course of
their businesses, our affiliates from time to time may express views on expected movements in the price of the Underlying Asset or the
prices of the securities held by the Underlying Asset. One or more of our affiliates have published, and in the future may publish, research
reports that express views on the Underlying Asset or these securities. However, these views are subject to change from time to time.
Moreover, other professionals who deal in the markets relating to the Underlying Asset at any time may have significantly different views
from those of our affiliates. You are encouraged to derive information concerning the Underlying Asset from multiple sources, and you
should not rely on the views expressed by our affiliates.

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.

·
An investment in the notes is subject to risks associated in investing in stocks with a small market and micro market
capitalization. -- The VXF consists of stocks issued by companies with relatively small market capitalizations. These companies often
have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies. As a result, the price of the
VXF may be more volatile than that of a market measure that does not track solely small-capitalization and micro-capitalization stocks.
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Stock prices of small-capitalization and micro-capitalization companies are also generally more vulnerable than those of large-
capitalization companies to adverse business and economic developments, and the stocks of small-capitalization and micro-capitalization
companies may be thinly traded, and be less attractive to many investors if they do not pay dividends. In addition, small capitalization and
micro-capitalization companies are typically less well-established and less stable financially than large-capitalization companies and may
depend on a small number of key personnel, making them more vulnerable to loss of those individuals. Small capitalization and micro-
capitalization companies tend to have lower revenues, less diverse product lines, smaller shares of their target markets, fewer financial
resources and fewer competitive strengths than large-capitalization companies. These companies may also be more susceptible to adverse
developments related to their products or services.

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

The Internal Revenue Service has issued a notice indicating that it and the Treasury Department are actively considering whether, among
other issues, a holder should be required to accrue interest over the term of an instrument such as the notes even though that holder will
not receive any payments with respect to the notes until maturity and whether all or part of the gain a holder may recognize upon sale or
maturity of an instrument such as the notes could be treated as ordinary income. The outcome of this process is uncertain and could apply
on a retroactive basis.

Please read carefully the section entitled "U.S. Federal Tax Information" in this pricing supplement, the section entitled "Supplemental
Tax Considerations--Supplemental U.S. Federal Income Tax Considerations" in the accompanying product supplement, the section
entitled "United States Federal Income Taxation" in the accompanying prospectus and the section entitled "Certain Income Tax
Consequences" in the accompanying prospectus supplement. You should consult your tax advisor about your own tax situation.

P-7

Hypothetical Return on the Notes at Maturity

The following table and examples illustrate the hypothetical return at maturity on a $1,000 investment in the notes. The "return," as used
in this section is the number, expressed as a percentage, which results from comparing the payment at maturity per $1,000 in principal amount of
the notes to $1,000. The hypothetical total returns set forth below are based on a hypothetical Initial Level of $100.00, the Buffer Percentage of
15.00%, the Upside Leverage Factor of 200.00%, the Maximum Return of 16.40% and the Maximum Redemption Amount of $1,164.00. The
hypothetical returns set forth below are for illustrative purposes only and may not be the actual returns applicable to investors in the notes. The
numbers appearing in the following table and in the examples below have been rounded for ease of analysis.

Hypothetical Final Level
Hypothetical Percentage
Hypothetical Return on the
Change
Notes
$200.00
100.00%
16.40%
$150.00
50.00%
16.40%
$125.00
25.00%
16.40%
$110.00
10.00%
16.40%
$108.20
8.20%
16.40%
$105.00
5.00%
10.00%
$102.00
2.00%
4.00%
$100.00
0.00%
0.00%
$98.00
-2.00%
0.00%
$90.00
-10.00%
0.00%
$85.00
-15.00%
0.00%
$80.00
-20.00%
-5.00%
$75.00
-25.00%
-10.00%
$70.00
-30.00%
-15.00%
$60.00
-40.00%
-25.00%
$40.00
-60.00%
-45.00%
$20.00
-80.00%
-65.00%
$0.00
-100.00%
-85.00%

Hypothetical Examples of Amounts Payable at Maturity

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The following examples illustrate how the returns set forth in the table above are calculated.

Example 1: The price of the Underlying Asset decreases from the hypothetical Initial Level of $100.00 to a hypothetical Final Level of
$40.00, representing a Percentage Change of -60.00%. Because the Percentage Change is negative and the hypothetical Final Level of $40.00 is
less than the Initial Level by more than the Buffer Percentage of 15.00%, the investor receives a payment at maturity of $550.00 per $1,000 in
principal amount of the notes, calculated as follows:

$1,000 + [$1,000 x (-60.00% + 15.00%)] = $550.00

Example 2: The price of the Underlying Asset decreases from the hypothetical Initial Level of $100.00 to a hypothetical Final Level of
$98.00, representing a Percentage Change of -2.00%. Although the Percentage Change is negative, because the hypothetical Final Level of
$98.00 is less than the Initial Level by not more than the Buffer Percentage of 15.00%, the investor receives a payment at maturity of $1,000.00 per
$1,000 in principal amount of the notes.

Example 3: The price of the Underlying Asset increases from the hypothetical Initial Level of $100.00 to a hypothetical Final Level of
$102.00, representing a Percentage Change of 2.00%. Because the hypothetical Final Level of $102.00 is greater than the Initial Level, and the
Percentage Change of 2.00% multiplied by the Upside Leverage Factor of 200.00% does not exceed the Maximum Return of 16.40%, the investor
receives a payment at maturity of $1,040.00 per $1,000 in principal amount of the notes, calculated as follows:

$1,000 + [$1,000 x (2.00% x 200.00%)] = $1,040.00

Example 4: The price of the Underlying Asset increases from the hypothetical Initial Level of $100.00 to a hypothetical Final Level of
$150.00, representing a Percentage Change of 50.00%. Because the hypothetical Final Level of $150.00 is greater than the Initial Level, and the
Percentage Change of 50.00% multiplied by the Upside Leverage Factor of 200.00% exceeds the Maximum Return of 16.40%, the investor
receives a payment at maturity of $1,164.00 per $1,000 in principal amount of the notes, the hypothetical Maximum Redemption Amount.

P-8

U.S. Federal Tax Information

By purchasing the notes, each holder agrees (in the absence of a change in law, an administrative determination or a judicial ruling to the
contrary) to treat each note as a pre-paid cash-settled derivative contract for U.S. federal income tax purposes. However, the U.S. federal income
tax consequences of your investment in the notes are uncertain and the Internal Revenue Service could assert that the notes should be taxed in a
manner that is different from that described in the preceding sentence. Please see the discussion (including the opinion of our counsel Morrison &
Foerster LLP) in the product supplement under "Supplemental Tax Considerations--Supplemental U.S. Federal Income Tax Considerations,"
which applies to the notes, except that the following disclosure supplements, and to the extent inconsistent supersedes, the discussion in the product
supplement. The discussions below and in the accompanying product supplement do not apply to holders subject to special rules including holders
subject to Section 451(b) of the Code.

Under current Internal Revenue Service guidance, withholding on "dividend equivalent" payments (as discussed in the product
supplement), if any, will not apply to notes that are issued as of the date of this pricing supplement unless such notes are "delta-one" instruments.
Based on our determination that the notes are not delta-one instruments, non-U.S. holders should not generally be subject to withholding on
dividend equivalent payments, if any, under the notes.

The accompanying product supplement notes that FATCA withholding on payments of gross proceeds from a sale or redemption of notes
will only apply to payments made after December 31, 2018. That discussion is modified to reflect regulations proposed by the U.S. Treasury
Department in December 2018 indicating an intent to eliminate the requirement under FATCA of withholding on gross proceeds of the disposition
of financial instruments. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed regulations pending their
finalization. Prospective investors are urged to consult with their own tax advisors regarding the possible implications of FATCA on their
investment in 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 page of this pricing
supplement. BMOCM has informed us that, as part of its distribution of the notes, it will reoffer the notes to other dealers who will sell them. Each
such dealer, or each additional dealer engaged by a dealer to whom BMOCM reoffers the notes, will receive a commission from BMOCM, which
will not exceed the commission set forth on the cover page. Certain dealers who 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
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accounts may be less than 100% of the principal amount, as set forth on the cover page of this document. Investors that hold their notes in these
accounts may be charged fees by the investment advisor or manager of that account based on the amount of assets held in those accounts, including
the notes.

We will deliver the notes on a date that is greater than two business days following the pricing date. Under Rule 15c6-1 of the Securities
Exchange Act of 1934, trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than two business days prior to the issue date will be
required to specify alternative settlement arrangements to prevent a failed settlement.

We own, directly or indirectly, all of the outstanding equity securities of BMOCM, the agent for this offering. In accordance with FINRA
Rule 5121, BMOCM may not make sales in this offering to any of its discretionary accounts without the prior written approval of the customer.

You should not construe the offering of the notes as a recommendation of the merits of acquiring an investment linked to the Underlying
Asset or as to the suitability of an investment in the notes.

BMOCM may, but is not obligated to, make a market in the notes. BMOCM will determine any secondary market prices that it is
prepared to offer in its sole discretion.

We may use this pricing supplement in the initial sale of the notes. In addition, BMOCM or another of our affiliates may use this pricing
supplement in market-making transactions in any notes after their initial sale. Unless BMOCM or we inform you otherwise in the confirmation of
sale, this pricing supplement is being used by BMOCM in a market-making transaction.

For a period of approximately three months following issuance of the notes, the price, if any, at which we or our affiliates would be
willing to buy the notes from investors, and the value that BMOCM may also publish for the notes through one or more financial information
vendors and which could be indicated for the notes on any brokerage account statements, will reflect a temporary upward adjustment from our
estimated value of the notes that would otherwise be determined at that time. This temporary upward adjustment represents a portion of (a) the
hedging profit that we or our affiliates expect to realize over the term of the notes and (b) the underwriting discount and selling concessions paid in
connection with this offering. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
period.

P-9

The notes are not intended to be offered, sold or otherwise made available to, and should not be offered, sold or otherwise made available
to, any retail investor in the European Economic Area (the "EEA"). For these purposes, the expression "offer" includes the communication in any
form and by any means of sufficient information on the terms of the offer and the notes to be offered so as to enable an investor to decide to
purchase or subscribe the notes, and a "retail investor" means a person who is one (or more) of: (a) a retail client, as defined in point (11) of Article
4(1) of Directive 2014/65/EU, as amended ("MiFID II"); or (b) a customer, within the meaning of Insurance Distribution Directive 2016/97/EU, as
amended, where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (c) not a qualified
investor as defined in Regulation (EU) (2017/1129) (the "Prospectus Regulation"). Consequently, no key information document required by
Regulation (EU) No 1286/2014, as amended (the "PRIIPs Regulation"), for offering or selling the notes or otherwise making them available to
retail investors in the EEA has been prepared, and therefore, offering or selling the notes or otherwise making them available to any retail investor
in the EEA may be unlawful under the PRIIPs Regulation.

Additional Information Relating to the Estimated Initial Value of the Notes

Our estimated initial value that is set forth on the cover page of this pricing supplement equals the sum of the values of the following
hypothetical components:

·
a fixed-income debt component with the same tenor as the notes, valued using our internal funding rate for structured notes; and

·
one or more derivative transactions relating to the economic terms of the notes.

The internal funding rate used in the determination of the initial estimated value generally represents a discount from the credit spreads
for our conventional fixed-rate debt. The value of these derivative transactions are derived from our internal pricing models. These models are
based on factors such as the traded market prices of comparable derivative instruments and on other inputs, which include volatility, dividend rates,
interest rates and other factors. As a result, the estimated initial value of the notes on the Pricing Date was determined based on market conditions
on the Pricing Date.
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P-10

The Underlying Asset

We have derived the following information regarding the Vanguard® Extended Market ETF from publicly available documents. We have
not independently verified the accuracy or completeness of the following information. We are not affiliated with the Underlying Asset and the
Underlying Asset will have no obligations with respect to the notes. This pricing supplement relates only to the notes and does not relate to the
shares of the Underlying Asset or any securities included in the Underlying Index. Neither we nor our affiliates participate in the preparation of the
publicly available documents described below. Neither we nor our affiliates have made any due diligence inquiry with respect to the Underlying
Asset in connection with the offering of the notes. There can be no assurance that all events occurring prior to the date of this pricing supplement,
including events that would affect the accuracy or completeness of the publicly available documents described below, that would affect the trading
price of the shares of the Underlying 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 the Underlying Asset could affect the price of the shares of the Underlying Asset after the
Pricing Date, and therefore could affect the payment at maturity.

Investors in the notes are encouraged to review recent prices of the Underlying Asset prior to making an investment decision.

The selection of the Underlying Asset is not a recommendation to buy or sell the shares of the Underlying Asset. Neither we nor any of
our affiliates make any representation to you as to the performance of the shares of the Underlying Asset. Information provided to or filed with the
SEC under the Securities Exchange Act of 1934 and the Investment Company Act of 1940 relating to the Underlying Asset may be obtained
through the SEC's website at http://www.sec.gov. None of that information is included or incorporated by reference in this pricing supplement.

The Underlying Asset is issued by Vanguard Index Funds, a registered investment company. The Vanguard Group, Inc. is the investment
advisor to the Underlying Asset. The Underlying Asset seeks to provide investment results that, before expenses, correspond generally to the price
and yield performance of the S&P® Completion Index, which is described below. The Fund is listed on the NYSE Arca, Inc. under the ticker
symbol "VXF."

The S&P® Completion Index

The S&P® Completion Index ("the Underlying Index") is comprised of approximately 3,000 constituents and is intended to provide
investors broad exposure to mid-, small- and micro-cap companies. The Underlying Index is a sub-index of the S&P® Total Market Index (the
"TMI"), which is a benchmark that measures the performance of the United States equity market. The TMI offers broad market exposure to
companies of all market capitalizations, including all common equities listed on certain United States securities exchanges (as set forth below).
The Underlying Index measures the performance of all constituents included in the TMI except for the then-current constituents of the S&P 500®
Index (the "SPX").

Composition of the S&P® Completion Index

A company is immediately added to the Underlying Index if it is removed from the SPX for a reason other than an acquisition, delisting
from a major exchange, change in domicile or bankruptcy. Similarly, all companies added to the SPX are immediately removed from the
Underlying Index.

The Underlying Index includes all companies in the TMI, its parent index, except the then-current constituents of the SPX. Changes to
the Underlying Index's parent index are made annually, after the close of the third Friday in September, using a reference date of five weeks prior
to the rebalancing effective date. Share counts are updated quarterly and reflected in the index weights. In addition, initial public offerings (IPOs),
new listings on eligible exchanges, and issues moving from Pink Sheets or Bulletin Board or emerging from Bankruptcy Status are added to the
Underlying Index at the next quarterly update, effective after the close of the third Friday of March, June, September and December, if all eligibility
requirements are met. The reference date for inclusion is five weeks prior to the effective date.

Additions to the S&P® Completion Index.

Additions to the Underlying Index are evaluated based on the following eligibility criteria. These criteria are for additions to the
Underlying Index, not for continued membership. A stock may be removed from the Underlying Index if it violates the addition criteria and if
ongoing conditions warrant its removal as described below under "--Removal from the S&P® Completion Index."

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Document Outline

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