Obligation Montreal Bank 9.3% ( US06367WQN64 ) en USD

Montreal Bank

100 % ▲

Canada

US06367WQN64 ( en USD )

9.3% par an ( paiement semestriel )

30/11/2020 - Obligation échue

Prospectus brochure de l'obligation Bank of Montreal US06367WQN64 en USD 9.3%, échue

1 000 USD

3 844 850 USD

06367WQN6

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 US06367WQN64, paye un coupon de 9.3% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 30/11/2020

11/2/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm
424B2 1 c1031190424b2.htm ARC 583

X`

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

Pricing Supplement dated October 30, 2019 to the Prospectus dated April 27, 2017,
the Prospectus Supplement dated September 23, 2018 and the Product Supplement dated May 1, 2017

US$3,870,000
Autocallable Cash-Settled Notes with Contingent Interest Payments due November 30, 2020
Linked to the Lesser Performing of the NASDAQ 100® Index and the Russell 2000® Index

·
This pricing supplement relates to an offering of Autocallable Cash-Settled Notes with Contingent Interest Payments linked to the
Lesser Performing of the NASDAQ 100® Index and the Russell 2000® Index (the "Underlying Assets").
·
The notes are designed for investors who are seeking conditional interest payments equal to 0.775% (or 9.30% per annum) of the
principal amount per month, as well as a return of principal if the Closing Level of each Underlying Asset on any Call Date beginning
on April 23, 2020 is greater than or equal to 100% of its Initial Level (the "Call Level"). Investors should be willing to have their notes
automatically redeemed prior to maturity and be willing to lose some or all of their principal at maturity.
·
The notes will bear interest at a rate equal to 0.775% of the principal amount per month ($7.75 per $1,000 in principal amount) if the
price of each Underlying Asset is greater than or equal to its Coupon Barrier Level as of the applicable monthly Observation Date. Any
interest will be payable on the last business day of each month, beginning on November 29, 2019, and until the maturity date, subject to
the automatic redemption feature.
·
If on any Call Date beginning on April 23, 2020, the Closing Level of each Underlying Asset is greater than or equal to its Call Level,
the notes will be automatically called. On the applicable Call Settlement Date, for each $1,000 principal amount, investors will receive
the principal amount plus the applicable interest payment.
·
The notes do not guarantee any return of principal at maturity. Instead, if the notes are not automatically called, the payment at maturity
will be based on the Final Level of each Underlying Asset and whether the Closing Level of any Underlying Asset has declined from
its Initial Level below its Trigger Level during the Monitoring Period (a "Trigger Event"), as described below.
·
If the notes are not automatically redeemed, and a Trigger Event occurs with respect to any Underlying Asset and the Final Level of
any Underlying Asset is less than its Initial Level, investors will be subject to one-for-one loss of the principal amount of the notes for
any percentage decrease in the Lesser Performing Underlying Asset from its Initial Level to its Final Level. In such a case, you will
receive a cash amount at maturity that is less than the principal amount.
·
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 offering priced on October 30, 2019, and the notes will settle through the facilities of The Depository Trust Company on
November 4, 2019.
·
The notes are scheduled to mature on November 30, 2020.
·
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").

Coupon Barrier
Levels and
Autocallable
Trigger Levels
Proceeds to
Note
Ticker
Initial (70.00% of the
Principal Price to
Agent's
Bank of
Number
Underlying Assets
Symbols Levels Initial Levels*)
CUSIP
Amount Public(1) Commission(1)
Montreal
ARC583
NASDAQ 100® Index
NDX 8,083.113
5,658.179
06367WQN6 $3,870,000 100.00%
0.65%
99.35%
RTY 1,572.847
1,100.993

US$25,155
US$3,844,845
Russell 2000® Index

* Rounded to three decimal places.
(1) 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 between $993.50 and $1,000 per $1,000 in principal amount.
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-6 of the product supplement, and the "Risk Factors" sections
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 the 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, based on the terms set forth above, the estimated initial value of the notes is $986.20 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.

BMO CAPITAL MARKETS
https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm
1/24

11/2/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm

https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm
2/24

11/2/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm

Key Terms of the Notes:

Underlying Assets:
The NASDAQ 100® Index (ticker symbol: NDX) and the Russell 2000® Index (ticker symbol: RTY). See
the section below entitled "The Underlying Assets" for additional information about the Underlying Assets.

Conditional Coupon:
If the Closing Level of each Underlying Asset is greater than or equal to its respective Coupon Barrier
Level as of the applicable monthly Observation Date, investors will receive an interest payment for that
month. Holders of the notes may not receive any interest payments during the term of the notes.

Interest Rate:
0.775% of the principal amount per month, if payable, unless earlier redeemed. Accordingly, each interest
payment, if payable, will equal $7.75 for each $1,000 in principal amount per month.

Observation Dates:
The fifth (5th) scheduled trading day prior to the applicable interest payment date. Each Observation Date is
subject to postponement, as set forth in the product supplement in the section "General Terms of the Notes
--Market Disruption Events."

Interest Payment Dates:
Interest, if payable, will be paid on the last business day of each month, beginning on November 29, 2019
until November 30, 2020, subject to the automatic redemption feature.

Automatic Redemption:
If, on any monthly Call Date beginning on April 23, 2020, the Closing Level of each Underlying Asset is
greater than or equal to its Call Level, the notes will be automatically redeemed.

Payment upon Automatic If the notes are automatically redeemed, then, on the applicable Call Settlement Date, for each
Redemption:
$1,000 principal amount, investors will receive the principal amount plus the applicable interest payment.

Call Dates:
The fifth (5th) business day prior to a Call Settlement Date, beginning on April 23, 2020. Each Call Date is
subject to postponement, as set forth in the product supplement in the section "General Terms of the Notes
--Market Disruption Events."

Call Settlement Dates:
The last business day of each month, beginning on April 30, 2020. The Call Settlement Date for the final
Call Date will be the maturity date.

Payment at Maturity:
If the notes are not automatically redeemed, the payment at maturity for the notes is based on the
performance of the Underlying Assets. You will receive $1,000 for each $1,000 in principal amount of the
note, unless (a) a Trigger Event has occurred with respect to any Underlying Asset and (b) the Final Level
of any Underlying Asset is less than its Initial Level.

However, holders of the notes are subject to potential loss of principal at maturity. If a Trigger Event has
occurred with respect to any Underlying Asset, and if the Final Level of any Underlying Asset is less than
its Initial Level, 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 Lesser Performing Underlying Asset)]

This amount will be less than the principal amount of your notes, and may be zero.

You will also receive the final interest payment at maturity, if payable.

Trigger Event:
A Trigger Event will be deemed to occur with respect to an Underlying Asset if its Closing Level is less
than its Trigger Level on any trading day during the Monitoring Period.

Monitoring Period:
The period from the Pricing Date to and including the Valuation Date.

Lesser Performing
The Underlying Asset that has the lowest Percentage Change.
Underlying Asset:

Percentage Changes:
With respect to each Underlying Asset,

Final Level -- Initial Level
, expressed as a percentage
Initial Level

Initial Levels:
With respect to each Underlying Asset, its Closing Level on the Pricing Date, as specified on the cover
page.
https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm
3/24

11/2/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm

Call Levels:
With respect to each Underlying Asset, 100% of its Initial Level.

Final Levels:
With respect to each Underlying Asset, its Closing Level on the Valuation Date.

Coupon Barrier and
With respect to each Underlying Asset, 70.00% of its Initial Level, as specified on the cover page.
Trigger Levels:

Pricing Date:
October 30, 2019

Settlement Date:
November 4, 2019

P-2

https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm
4/24

11/2/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm

Valuation Date:
November 20, 2020

Maturity Date:
November 30, 2020

Calculation Agent:
BMOCM

Selling Agent:
BMOCM

P-3

https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm
5/24

11/2/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm

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):

·
Product supplement dated May 1, 2017:
http://www.sec.gov/Archives/edgar/data/927971/000121465917002863/p427170424b5.htm

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

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

Please note that references in the product supplement to the prospectus supplement will be deemed to refer 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

https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm
6/24

11/2/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm

Selected Risk Considerations

An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the
Underlying Assets or their components. 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. -- The notes do not guarantee any return of principal. If the notes are
not automatically redeemed, the payment at maturity will be based on whether a Trigger Event has occurred with respect
to any Underlying Asset, and whether the Final Level of any Underlying Asset is less than its Initial Level. If a Trigger
Event has occurred with respect to any Underlying Asset, and if the Final Level of any Underlying Asset is less than its
Initial Level, you will be subject to a one-for-one loss of the principal amount of the notes for any Percentage Change of
the Lesser Performing Underlying Asset from 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, you could lose up to the entire
principal amount of your notes.

·
You may not receive any conditional interest payments with respect to your notes. -- If the Closing Level of any
Underlying Asset is less than or equal to its respective Coupon Barrier Level as of the applicable monthly Observation
Date, you will not receive a monthly interest payment on the applicable interest payment date. You may not receive any
interest payments during the term of the notes.

·
The protection provided by the Trigger Level of an Underlying Asset may terminate on any day during the
Monitoring Period. -- If the Closing Level of any Underlying Asset on any trading day during the Monitoring Period is
less than its Trigger Level and the Final Level of any Underlying Asset is less than its Initial Level, you will be fully
exposed at maturity to any decrease in the value of the Lesser Performing Underlying Asset. Under these circumstances,
if the Percentage Change of the Lesser Performing Underlying Asset on the Valuation Date is less than zero, you will lose
1% (or a fraction thereof) of the principal amount of your investment for every 1% (or a fraction thereof) that the Final
Level of the Lesser Performing Underlying Asset is less than its Initial Level. You will be subject to this potential loss of
principal even if, after the Trigger Event occurs with respect to any Underlying Asset, the value of each Underlying Asset
increases above its Trigger Level.

·
Your notes are subject to automatic early redemption. -- We will redeem the notes if the Closing Level of each
Underlying Asset on any Call Date specified above is greater than its Call Level. Following an automatic redemption, you
will not receive any additional conditional interest payments on the notes, and you may not be able to reinvest your
proceeds in an investment with returns that are comparable to the notes.

·
Your return on the notes is limited to the conditional interest payments, regardless of any appreciation in the value
of any Underlying Asset. -- You will not receive a payment at maturity with a value greater than your principal amount
plus the final interest payment, if payable. In addition, if the notes are automatically called, you will not receive a
payment greater than the principal amount plus the applicable conditional interest payment, even if the Final Level of an
Underlying Asset exceeds its Call Level by a substantial amount. Accordingly, your maximum return for each $1,000 in
principal amount of the notes is equal to the potential monthly payments over the term of the notes.

·
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 all 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.

·
Whether interest is payable on the notes, and your payment at maturity may be determined solely by reference to
the Lesser Performing Underlying Asset, even if the other Underlying Asset performs better. -- We will only make
each interest payment on the notes if the Closing Level of each of the Underlying Assets on the applicable Observation
Date exceeds the applicable Coupon Barrier, even if the levels of the other Underlying Asset has increased significantly.
Similarly, if a Trigger Event occurs with respect to any Underlying Asset and the Final Level of any Underlying Asset is
less than its Initial Level, your payment at maturity will be determined by reference to the performance of the Lesser
Performing Underlying Asset. Even if the other Underlying Asset has appreciated in value compared to its Initial Level,
or has experienced a decline that is less than that of the Lesser Performing Underlying Asset, your return at maturity will
only be determined by reference to the performance of the Lesser Performing Underlying Asset if a Trigger Event occurs.

P-5

https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm
7/24

11/2/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm

·
The payments on the notes will be determined by reference to each Underlying Asset individually, not to a basket,
and the payments on the notes will be based on the performance of the Lesser Performing Underlying Asset. --
Whether each interest payment is payable, and the payment at maturity if a Trigger Event occurs, will be determined only
by reference to the performance of the Lesser Performing Underlying Asset, regardless of the performance of the other
Underlying Asset. 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, the
depreciation of one basket component could be mitigated by the appreciation 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 Underlying
Asset would not be combined, and the depreciation of an Underlying Asset would not be mitigated by any appreciation of
the other Underlying Asset. Instead, your receipt of interest payments on the notes will depend on the level of each
Underlying Asset on each Observation Date, and your return at maturity will depend solely on the Final Level of the
Lesser Performing Underlying Asset if a Trigger Event occurs.

·
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 securities included in the Underlying Assets 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 an 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 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 will exceed 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 was derived
using our internal pricing models. This value is based on market conditions and other relevant factors, which include
volatility of the Underlying 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 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 may be lower than the price to public. This is because any secondary market prices
may 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, may 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-6

https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm
8/24

11/2/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm

·
You will not have any shareholder rights and will have no right to receive any shares of any company included in
any Underlying Asset at maturity. -- Investing in your notes will not make you a holder of any shares of any company
included in any 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 those securities.

·
Changes that affect an Underlying Asset may adversely affect the market value of the notes and the amount you
will receive at maturity. -- The policies of NASDAQ OMX Group, Inc. ("NASDAQ"), the sponsor of the NDX, and
FTSE Russell, the sponsor of the RTY (each, an "Index Sponsor"), concerning the calculation of the applicable
Underlying Asset, additions, deletions or substitutions of the components of the applicable Underlying Asset and the
manner in which changes affecting those components, such as stock dividends, reorganizations or mergers, may be
reflected in the applicable Underlying Asset and, therefore, could affect the level of the applicable 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 any Index Sponsor changes these policies, for example, by changing
the manner in which it calculates the applicable Underlying Asset, or if any Index Sponsor discontinues or suspends the
calculation or publication of the applicable Underlying Asset.

·
We have no affiliation with any Index Sponsor and will not be responsible for any actions taken by any Index
Sponsor. -- No Index Sponsor is an affiliate of ours or will 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. No Index Sponsor has any obligation of any sort
with respect to the notes. Thus, no Index Sponsor has any 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.

·
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 securities included in an Underlying Asset, or futures or options
relating to an Underlying Asset, or other derivative instruments with returns linked or related to changes in the
performance of an Underlying Asset. We or our affiliates may also engage in trading relating to an Underlying Asset 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 level of each
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 Assets. -- In the
ordinary course of their businesses, our affiliates from time to time may express views on expected movements in the
levels of the Underlying Assets or the prices of the securities included in the Underlying Assets. One or more of our
affiliates have published, and in the future may publish, research reports that express views on the Underlying 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 Underlying Assets at any time may have significantly different views from those of our
affiliates. You are encouraged to derive information concerning the Underlying Assets from multiple sources, and you
should not rely on the views expressed by our affiliates.

P-7

https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm
9/24

11/2/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm

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 capitalization. --
The RTY 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
level of the RTY may be more volatile than that of a market measure that does not track solely small-capitalization stocks.
Stock prices of small-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 companies may be
thinly traded, and be less attractive to many investors if they do not pay dividends. In addition, small 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 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.

·
An investment in the notes linked to the NASDAQ 100® Index is subject to risks associated with foreign securities
markets. -- The NDX tracks the value of certain foreign equity securities. You should be aware that investments in
securities linked to the value of foreign equity securities involve particular risks. The foreign securities markets
comprising the NDX may have less liquidity and may be more volatile than U.S. or other securities markets and market
developments may affect foreign markets differently from U.S. or other securities markets. Direct or indirect government
intervention to stabilize these foreign securities markets, as well as cross-shareholdings in foreign companies, may affect
trading prices and volumes in these markets. Also, there is generally less publicly available information about foreign
companies than about those U.S. companies that are subject to the reporting requirements of the U.S. Securities and
Exchange Commission, and foreign companies are subject to accounting, auditing and financial reporting standards and
requirements that differ from those applicable to U.S. reporting companies.

Prices of securities in foreign countries are subject to political, economic, financial and social factors that apply in those
geographical regions. These factors, which could negatively affect those securities markets, include the possibility of
recent or future changes in a foreign government's economic and fiscal policies, the possible imposition of, or changes in,
currency exchange laws or other laws or restrictions applicable to foreign companies or investments in foreign equity
securities and the possibility of fluctuations in the rate of exchange between currencies, the possibility of outbreaks of
hostility and political instability and the possibility of natural disaster or adverse public health developments in the region.
Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in important respects such as
growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.

·
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 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 "Supplemental U.S. Federal Income Tax Considerations" in this pricing
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-8

https://www.sec.gov/Archives/edgar/data/927971/000121465919006801/c1031190424b2.htm
10/24