Bond Montreal Bank 7.235% ( US06367WAY93 ) in USD

Issuer Montreal Bank
Market price 100 %  ▲ 
Country  Canada
ISIN code  US06367WAY93 ( in USD )
Interest rate 7.235% per year ( payment 2 times a year)
Maturity 30/06/2021 - Bond has expired



Prospectus brochure of the bond Bank of Montreal US06367WAY93 in USD 7.235%, expired


Minimal amount 1 000 USD
Total amount 440 000 USD
Cusip 06367WAY9
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
Detailed description Bank of Montreal (BMO) is a major Canadian multinational bank offering a wide range of financial services including personal and commercial banking, wealth management, and investment banking, operating across North America and internationally.

The Bond issued by Montreal Bank ( Canada ) , in USD, with the ISIN code US06367WAY93, pays a coupon of 7.235% per year.
The coupons are paid 2 times per year and the Bond maturity is 30/06/2021







424B2 1 g828181424b2.htm BTN 85
Registration Statement No. 333-217200
Filed Pursuant to Rule 424(b)(2)

Pricing Supplement dated August 24, 2018
(To the Prospectus dated April 27, 2017 and
the Prospectus Supplement dated April 27, 2017)
$440,000
Notes Linked to the Raymond James CEFR Domestic Equity Price Return Index,
due June 30, 2021


· The notes are linked to the Raymond James CEFR Domestic Equity Price Return Index (the "Index").

· The Index consists of certain closed-end funds that are included in either the Morningstar U.S. Sector Equity category or the Morningstar
U.S. Equity category (each, a "Reference Fund"). The weighting of these Reference Funds is subject to liquidity adjustments as further
described in "The Index." The Reference Funds that comprise the Index are selected by the Closed-End Fund Research Department at
Raymond James & Associates, Inc. ("Raymond James"). Bank of Montreal and its affiliates have no involvement in the creation, calculation
or maintenance of the Index.

· The notes may pay interest on the third business day of each January, April, July and October, beginning on October 3, 2018, and ending on
the maturity date. The amount of any interest to be paid on the notes is not fixed, and will depend upon the dividends paid on the Reference
Funds during the preceding quarter, as described in more detail below.

· On the maturity date, the amount that we will pay to you for each $1,000 in principal amount of the notes (the "Redemption Amount") will
depend upon the performance of the Index over the term of the notes. As described in more detail below, the Redemption Amount will be less
than the price to the public set forth below if the "Percentage Change" (as defined below) is not at least approximately 105.26%. In addition,
you may lose all or a portion of the principal amount of your notes at maturity. We describe in more detail below how the payment at
maturity will be determined.

·
All payments on the notes are subject to our credit risk.

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

· The CUSIP number of the notes is 06367WAY9.

·
Our subsidiary, BMO Capital Markets Corp. ("BMOCM"), is the agent for this offering. See "Supplemental Plan of Distribution--Conflicts
of Interest" below.

Investing in the notes involves risks, including those described in the "Risk Factors" section beginning on page PS-6 of this pricing
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 these notes or
passed upon the accuracy of this pricing 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 August 24, 2018 ("the pricing date"), the initial value of the notes is $939.70 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
Agent's Commission(1)
Proceeds to Us
Per $1,000 of the Notes
US$1,000.00
US$25.00
US$975.00
Total
US$440,000.00
US$11,000.00
US$429,000.00

(1) $25.00 per $1,000 in principal amount per note will be received by Raymond James for its services acting as an agent in connection with the
distribution of the notes. Please see "Supplemental Plan of Distribution (Conflicts of Interest)" in this pricing supplement.
https://www.sec.gov/Archives/edgar/data/927971/000121465918005766/g828181424b2.htm[8/28/2018 4:14:28 PM]


BMO Capital Markets







KEY TERMS OF THE NOTES

This section summarizes the terms of the notes, and should be read together with the additional information in this pricing
supplement, including the information set forth below under the captions "Risk Factors" and "Description of the Notes."

Pricing Date:
August 24, 2018


Issue Date:
August 31, 2018


Issue Price:
$1,000 per $1,000 in principal amount of the notes.


Index:
The Raymond James CEFR Domestic Equity Price Return Index (Bloomberg Ticker: RJCEFPR). For
additional information about the Index and its methodology, please see the section below, "The Index."


Payments of Interest:



Interest Payment Dates:
The third business day of each January, April, July and October, beginning on October 3, 2018. However, the
final interest payment date will occur on the maturity date.


Interest Calculation
In each case, the final business day of March, June, September and December of each year, beginning in
Dates:
September 2018. However, the final interest calculation date will occur on the final valuation date.


Calculation of Interest
The amount of each interest payment, if any, will depend upon the amount of dividends paid on each
Payments:
Reference Fund, and will equal, for each $1,000 in principal amount, the sum of the Dividend Amounts (as
defined below) for each of the Reference Funds.

These interest calculations are intended to provide to noteholders approximately the amount of dividends
they would have received had they been owners of the Reference Funds included in the Index during the
applicable Interest Calculation Period, as reduced by the Participation Rate.


Interest Calculation
The first Interest Calculation Period will commence on the second Averaging Date and end on the first
Period:
Interest Calculation Date.

Each subsequent Interest Calculation Period will begin on the trading day following an Interest Calculation
Date and end on the next Interest Calculation Date. The final Interest Calculation Date will occur on the Final
Valuation Date.


Dividend Amounts:
The Dividend Amounts will be determined as set forth in the section below, "Description of the Notes--
Calculation of Dividend Amounts." Each Dividend Amount will be rounded to the nearest four decimal
places.


Payment at Maturity:



Redemption Amount:
The amount that you will receive at maturity for each $1,000 in principal amount of the notes will depend
upon the performance of the Index. The Redemption Amount will equal the product of (a) $1,000, (b) the
Percentage Change, and (c) the Participation Rate.

As discussed in more detail below, the Percentage Change must exceed approximately 105.26% in order for
you to receive a Redemption Amount per $1,000 in principal amount of the notes that exceeds the principal
amount. In addition, the Redemption Amount could be substantially less than the principal amount of the
notes.


Initial Level:
The average of the closing levels of the Index on the Averaging Dates. We will make the Initial Level
https://www.sec.gov/Archives/edgar/data/927971/000121465918005766/g828181424b2.htm[8/28/2018 4:14:28 PM]


available to investors in the notes after the final Averaging Date.


The average of the closing levels of the Index on the Valuation Dates.
Final Level:


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


General Information:



Participation Rate:
95%. Because the Participation Rate is less than 100%, the Percentage Change must exceed approximately
105.26% in order for you to receive a Redemption Amount per $1,000 in principal amount of the notes that
exceeds the principal amount of the notes.


Averaging Dates:
The five scheduled consecutive trading days commencing on the pricing date.


Valuation Dates:
The five scheduled consecutive trading days ending on June 23, 2021 (the "Final Valuation Date").



PS-2




Maturity Date:
June 30, 2021


Calculation Agent:
BMO Capital Markets Corp. ("BMOCM")


CUSIP:
06367WAY9


Distribution:
The notes are not intended for purchase by any investor that is not a United States person, as that term is
defined for U.S. federal income tax purposes, and no dealer may make offers of the notes to any such
investor.



PS-3




HYPOTHETICAL PAYMENTS ON THE NOTES AT MATURITY

The following hypothetical examples are provided for illustration purposes only and are hypothetical; they do not purport to be
representative of every possible scenario concerning increases or decreases in the value of the Basket and the related effect on the
Redemption Amount. The following hypothetical examples illustrate the payment you would receive on the maturity date if you
purchased $1,000 in principal amount of the notes. Numbers appearing in the examples below have been rounded for ease of analysis.
The examples below assume a Participation Rate of 95.00%. These examples do not reflect any interest payments that may be payable on
the notes.

Basket Level
Redemption Amount per $1,000 in
Percentage Gain (or Loss) per
Percentage
Principal Amount
$1,000 in Principal Amount
140.00%
$1,330.00
33.00%
130.00%
$1,235.00
23.50%
120.00%
$1,140.00
14.00%
110.00%
$1,045.00
4.50%
105.26% (1)
$1,000.00
0.00%
100.00%(2)
$950.00
-5.00%
90.00%
$ 855.00
-14.50%
https://www.sec.gov/Archives/edgar/data/927971/000121465918005766/g828181424b2.htm[8/28/2018 4:14:28 PM]


80.00%
$ 760.00
-24.00%
70.00%
$ 665.00
-33.50%
60.00%
$ 570.00
-43.00%

(1) For you to receive a Redemption Amount greater than the principal amount of the notes, the Percentage Change must be greater than
approximately 105.26% due to the effect of the Participation Rate being only 95.00%.
(2) If the Percentage Change is not at least approximately 105.26%, you will lose some or all of the principal amount of the notes.

Please see the sections below, "Risk Factors--General Risks Relating to the Notes--Your investment may result in a loss" and
"--The notes will not reflect the full performance of the Index, which may negatively impact your return on the notes."



PS-4



ADDITIONAL TERMS OF THE NOTES

You should read this pricing supplement together with the prospectus supplement dated April 27, 2017 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 "Risk Factors" in this pricing 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):

·
Prospectus supplement dated April 27, 2017:
https://www.sec.gov/Archives/edgar/data/927971/000119312517142764/d381374d424b5.htm

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

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.


PS-5



RISK FACTORS

An investment in the notes involves risks. This section describes significant risks relating to the terms of the notes. The notes are a riskier
investment than ordinary debt securities. In addition, the notes are not equivalent to investing directly in the Reference Funds. Before investing in
the notes, you should read the following information about these risks, together with the other information contained in or incorporated by
reference in the prospectus supplement and prospectus.

General Risks Relating to the Notes

Your investment in the notes may result in a loss. The notes do not guarantee any return of principal. The amount payable on the notes
at maturity will depend on the performance of the Index and the dividends paid on the Reference Funds. The return on the notes may be less, and
possibly significantly less, than your initial investment. If the level of the Index decreases, or does not increase by at least 105.26%, the return on
the notes will be less than the principal amount. In addition, because the Participation Rate is only 95%, the Percentage Change must exceed
approximately 105.26% in order for you to receive a Redemption Amount that exceeds the principal amount. You may lose all or a substantial
portion of the amount that you invested to purchase the notes. You may incur a loss, even if the Percentage Return is positive (but less than
approximately 105.26%). Please also see "--The notes will not reflect the full performance of the Index, which may negatively impact your return
https://www.sec.gov/Archives/edgar/data/927971/000121465918005766/g828181424b2.htm[8/28/2018 4:14:28 PM]


on the notes."

The notes may not pay interest and your return may be lower than the return on a conventional debt security of comparable
maturity. There are no guaranteed periodic interest payments on the notes as there would be on a conventional fixed-rate or floating-rate debt
security having the same maturity. The yield that you will receive on your notes, which could be negative, may be less than the yield you could
earn if you purchased a standard senior debt security of Bank of Montreal with the same maturity date. Your investment may not reflect the full
opportunity cost to you when you take into account factors that affect the time value of money.

The Initial Level will not be known at the time you make your investment decision. The Initial Level will not be determined until
after the Averaging Dates. Accordingly, you will not know the Initial Level at the time you make a decision to purchase the notes.

Owning the notes is not the same as owning shares of the Reference Funds or a security directly linked to the performance of the
Reference Funds. The return on your notes will not reflect the return you would realize if you actually owned shares of the Reference Funds or a
security directly linked to the performance of the Reference Funds or the Index and held that investment for a similar period. Your notes may trade
quite differently from the Reference Funds or the Index. Changes in the prices and dividend yields of the Reference Funds may not result in
comparable changes in the market value of your notes. Even if the prices and dividend yields of the Reference Funds 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 level of the Index increases, and/or the prices and dividend yields of the Reference Funds increase.

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, among other things, 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 agent's commission, and the profits that we and our affiliates expect to realize for assuming the risks in hedging our obligations
under the notes and the estimated cost of hedging these obligations.

Our initial estimated value does not represent any future value of the notes, and may also differ from the estimated value of any
other party. Our initial estimated value of the notes as of the pricing date was derived using our internal pricing models. This value is based on
market conditions, interest rates, and other relevant factors. 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. 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.


PS-6



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.

The notes may not have an active trading market. Your notes will not be listed on any securities exchange, and there may be little or
no secondary market for your notes. Even if a secondary market for your notes develops, it may not provide significant liquidity. We expect that
transaction costs in any secondary market would be high. As a result, the difference between bid and ask prices for your notes in any secondary
market could be substantial. If you sell your notes before maturity, you may suffer substantial losses.

The notes will not reflect the full performance of the Index, which may negatively impact your return on the notes. Because the
calculation of the Redemption Amount includes a Participation Rate of less than 100%, the return, if any, on the notes will not reflect the full
performance of the Index. Therefore, the yield to maturity based on the methodology for calculating the Redemption Amount will be less than the
https://www.sec.gov/Archives/edgar/data/927971/000121465918005766/g828181424b2.htm[8/28/2018 4:14:28 PM]


Percentage Return of the Index. The Percentage Change must be at least approximately 105.26% for the Redemption Amount to exceed the
principal amount.

The market value of your notes may be influenced by many unpredictable factors. The following factors, many of which are beyond
our control, may influence the market value of your notes:

·
the level of the Index;

·
the dividend yields of the Reference Funds;

·
economic, financial, political, military, regulatory, legal and other events that affect the securities markets generally and the U.S.
markets in particular, and which may affect the level of the Index; and

·
interest rates in the market.

These factors may influence the market value of your notes if you sell your notes before maturity. Our creditworthiness, as represented by
our credit ratings or as otherwise perceived in the market will also affect the market value of your notes. If you sell your notes prior to maturity,
you may receive less than your initial investment.

Payments on the notes are subject to our credit risk, and changes in our credit ratings may adversely affect the market value of
the notes. The notes are our senior unsecured debt securities. The payment due on the maturity date is dependent upon our ability to repay our
obligations at that time. This will be the case even if the level and the dividend yield of the Index increases as of the Valuation Dates. No assurance
can be given as to what our financial condition will be at any time during the term of the notes.

The Final Level may be less than the closing levels of the Index prior to the Valuation Dates. The Final Level will be calculated
based on the closing levels of the Index on the Valuation Dates. The levels of the Index prior to the Valuation Dates will not be used to determine
the Redemption Amount. Therefore, no matter how high the level of the Index may be during the term of the notes, only the closing level of the
Index on the Valuation Dates will be used to calculate the Final Level and the Redemption Amount payable to you at maturity.

You must rely on your own evaluation of the merits of an investment linked to the Index. In the ordinary course of their business,
BMOCM, Raymond James and our respective affiliates may have expressed views on expected movements in the level of the Index or the
Reference Funds, and may do so in the future. These views or reports may be communicated to our clients, Raymond James' clients, and clients of
our respective affiliates. However, these views are subject to change from time to time. Moreover, other professionals who transact business in
markets relating to the Index and the Reference Funds may at any time have significantly different views from those of our respective affiliates.
For these reasons, you are encouraged to derive information concerning the Index and the Reference Funds from multiple sources, and you should
not rely solely on views expressed by us or our respective affiliates.


PS-7



Our trading and other transactions relating to the Index, futures, options or other derivative products may adversely affect the
market value of the notes. As described below under "Use of Proceeds and Hedging," we or our affiliates may hedge our obligations under the
notes by purchasing or selling shares of the Reference Funds, futures or options relating to the Index or the Reference Funds, or other derivative
instruments with returns linked or related to changes in the performance of the Index. We may adjust these hedges by, among other things,
purchasing or selling those assets at any time. Although they are not expected to do so, any of these hedging activities may adversely affect the
level of the Index, and therefore, the market value of the notes, and the amount payable at maturity. It is possible that we or one or more of our
affiliates could receive substantial returns from these hedging activities, even though the market value of the notes decreases.

We, Raymond James, or one or more of our respective affiliates may also engage in trading relating to the Index or the Reference Funds
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, including block trades. Any of these activities could adversely affect the level of the Index or the
Reference Funds and, therefore, the market value of the notes. We, Raymond James, or one or more of our respective 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 Index or the
Reference Funds. 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 business activities and the business activities of our affiliates may create conflicts of interest. As noted above, we, Raymond
James, or one or more of our respective affiliates expect to engage in trading activities related to the Reference Funds that are not for the account of
https://www.sec.gov/Archives/edgar/data/927971/000121465918005766/g828181424b2.htm[8/28/2018 4:14:28 PM]


holders of the notes or on their behalf. These trading activities may present a conflict between the holders' interests in the notes and the interests we
and our affiliates will have in their proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for their
customers and in accounts under their management. These trading activities, if they influence the prices of the Reference Funds, could be adverse
to the interests of the holders of the notes. We, Raymond James, or one or more of our respective affiliates may, at present or in the future, engage
in business with the Reference Funds or their advisors or sponsors, or the issuers of any securities that are held by the Reference Funds, including
making loans to or providing advisory services to those companies. These services could include investment banking and merger and acquisition
advisory services. These activities may present a conflict between our or one or more of our affiliates' obligations and your interests as a holder of
the notes. Moreover, we, Raymond James and our respective affiliates have published, and in the future expect to publish, research reports and
other materials with respect to the Index, and/or to most or even all of the Reference Funds. Our views are modified from time to time without
notice and may express opinions or provide recommendations that are inconsistent with purchasing or holding the notes. Any of these activities by
us or one or more of our affiliates may affect the level of the Index and, therefore, the market value of the notes.

As calculation agent, BMOCM will have the authority to make determinations that could affect the value of your notes and your
payment at maturity. As calculation agent for your notes, BMOCM will have discretion in making various determinations that affect your notes,
including determining the Initial Level, the Final Level, the Dividend Amounts, the Redemption Amount and whether any market disruption event
has occurred. The calculation agent also has discretion in making certain determinations if the Index is modified or discontinued. The exercise of
this discretion by BMOCM could adversely affect the value of your notes and may present BMOCM, which is our wholly owned subsidiary, with a
conflict of interest.

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. Although the U.S. federal income tax
treatment of the interest payments is uncertain, we intend to take the position that such interest payments constitute taxable ordinary income to a
United States holder at the time received or accrued in accordance with the holder's regular method of accounting.

The Internal Revenue Service has issued a notice that it and the Treasury Department are actively considering whether, among other
issues, a holder of an instrument such as the notes should be required to accrue ordinary income on a current basis (in addition to the interest
payments) on a current basis. The outcome of this process is uncertain and could apply on a retroactive basis.

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.


PS-8



Insurance companies and employee benefit plans should carefully review the legal issues of an investment in the notes. Any
insurance company or fiduciary of a pension plan or other employee benefit plan that is subject to the prohibited transaction rules of the Employee
Retirement Income Security Act of 1974, as amended, which we call "ERISA," or the Internal Revenue Code of 1986, as amended (the "Code"),
including an IRA or Keogh plan (or a governmental plan to which similar prohibitions apply), and that is considering purchasing the notes with the
assets of the insurance company or the assets of such plan, should consult with its counsel regarding whether the purchase or holding of the notes
could become a "prohibited transaction" under ERISA, the Code or any substantially similar prohibition in light of the representations a purchaser
or holder in any of the above categories is deemed to make by purchasing and holding the notes. These issues are discussed in more detail in the
section "Employee Retirement Income Security Act" below.

Additional Risks Relating to the Index

We have no involvement in the operation of the Index. The Index is a proprietary index created by Raymond James & Associates, Inc.
(the "Index Sponsor"). We have no involvement in the creation of the Index, its calculation, or the selection of the securities that are included in the
Index. The Index Sponsor's policies concerning the calculation of the Index, additions, deletions or substitutions of the components of the Index
and the manner in which changes affecting those components, such as stock dividends, reorganizations or mergers may be reflected in the Index,
could affect the level of the Index, the amount payable on the notes at maturity, and the market value of the notes prior to maturity. The amounts
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 Index, or if it discontinues or suspends the calculation or publication of the 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 an affiliate of ours 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
https://www.sec.gov/Archives/edgar/data/927971/000121465918005766/g828181424b2.htm[8/28/2018 4:14:28 PM]


consideration for any reason, including in taking any actions that might affect the value of the notes. As described below in the section
"Description of the Notes," certain events involving the termination or the modification of the Index may result in an early redemption of the notes.

There are uncertainties regarding the Index because of its limited performance history. The Index began generating performance
data on April 10, 2015. Because the Index is of recent origin and limited actual historical performance data exists with respect to it, your
investment in the notes may involve a greater risk than investing in securities linked to an index with a more established record of performance.
Past performance of the Index is not indicative of future results.

The constituents of the Index are selected according to the criteria set forth in the Index. There can be no assurance that these criteria will
result in the selection of index constituents that will perform well, or that will perform better than index constituents that could have been selected
by means of a different methodology.

The Index may, at times, lack industry, market capitalization or geographic diversification. The methodology of the Index does not
require diversity in any particular industry, geographic area or market capitalization of any particular Reference Fund. Consequently, from time to
time, the Index may be concentrated in funds that invest in a particular industry, sector or geographic area (which may be outside of the U.S.), and
also may contain a high percentage of companies with a similar market capitalization, daily average trading value and discount to net asset value.
These potential concentrations may have an adverse effect on the level of the Index if, for example, a negative event occurs in a particular industry,
segment or geographic area.

You will not have any shareholder rights and will have no right to receive any shares of any Reference Fund included in the Index
at maturity. Investing in your notes will not make you a holder of any shares of any Reference Fund included in the Index. 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.

Extraordinary events may require an adjustment to the calculation of the Index. At any time during the term of the notes, the daily
calculation of the level of the Index may be adjusted in the event that the Index Calculation Agent (as defined below) determines that an
extraordinary event has occurred. Any such extraordinary event may have an adverse impact on the level of the Index or the manner in which it is
calculated. See "The Index--Index Maintenance."

Investors should investigate the Reference Funds as if investing in them directly. Investors should conduct their own diligence of the
Reference Funds as an investor would if it were directly investing in the Reference Funds. We make no representation or warranty with respect to
the accuracy, validity or completeness of any information provided by the Index Sponsor or the Reference Funds. Furthermore, we cannot give any
assurance that all events occurring prior to the date of this document or the pricing date will have been properly disclosed. Subsequent disclosure of
any such events or the disclosure or failure to disclose material future events concerning the Reference Funds could affect the payments in the
notes. Investors should not conclude that our sale of the notes is any form of investment recommendation by us or any of our affiliates to invest in
the Reference Funds.


PS-9



Your investment in the notes is subject to risks associated with the Reference Funds. The payments on the notes, if any, are linked to
the performance of the Reference Funds. Accordingly, certain risk factors applicable to investors who invest directly in the Reference Funds are
also applicable to an investment in the notes, to the extent that such risk factors could adversely affect the performance of the notes. Examples of
such risk factors include, without limitation, portfolio management risk, debt securities risk, senior loan risk, high-yield / junk bond risk, liquidity
risk, credit risk, interest rate risk, foreign securities risk, currency risk, government securities risk, mortgage-related securities risk, and derivatives
risk. As a result of these and other risks, the Reference Funds may not achieve their investment objectives. A description of these and other risks
applicable each Reference Fund can be found in the offering documents published by each Reference Fund manager and may be obtained from the
website for each Reference Fund.

Investors should recognize that it is impossible to know whether the value of the assets held by the Reference Funds will rise or fall and
whether the investment decisions of the Reference Fund managers will prove to be successful. Trading prices of such assets will be affected by
many factors that interrelate in complex ways, including economic, financial, political, military, regulatory, legal and other events.

There is no affiliation between any Reference Fund manager or the Index Sponsor and us, and we are not responsible for any
disclosure by any of the Reference Fund managers or the Index Sponsor. We and our affiliates may currently, or from time to time in the
future, engage in business with the Reference Funds. Nevertheless, none of us or our affiliates assumes any responsibility for the accuracy or the
completeness of any information about the Index or any of the Reference Funds. Before investing in the notes you should make your own
investigation into the Index and the Reference Funds. See the section below entitled "The Index" in this pricing supplement for additional
information about the Index.
https://www.sec.gov/Archives/edgar/data/927971/000121465918005766/g828181424b2.htm[8/28/2018 4:14:28 PM]



The Reference Funds are not equally weighted in the Index and changes in the values of the Reference Funds may offset each
other. Because the Reference Funds are not equally weighted in the Index, the same percentage change in two or more Reference Funds will have
different effects on the level of the Index. Please see the table of Reference Funds set forth in the section "The Index." Any decrease in the price of
a Reference Fund with a higher weighting will have a significantly greater effect on the level of the Index than a comparable percentage increase in
the value of Reference Funds with a lower weight. In addition, although the weight of each Reference Fund is subject to a cap, the weights of the
Reference Funds may vary between quarterly Index rebalancings. See "The Index" in this pricing supplement.

Additional Risks Relating to Closed-End Funds

Investments in closed-end funds involve certain risks. Because the notes are linked to the performance of an index comprised solely of
closed-end funds, you should carefully consider the following risks associated with investments in closed-end funds generally as well as the
strategic risks and sector risks associated with investing in funds with specialized investment strategies, as described below:

·
The Reference Funds may trade at fluctuating discounts from (or premiums to) their net asset values, and this may adversely affect
your return. Shares of closed-end funds often trade in the open market at discounts from their net asset value ("NAV"). The levels of
such discounts may fluctuate significantly over time in response to supply and demand, which are influenced by various factors. This risk
is separate and distinct from the risk that a Reference Fund's NAV could decrease as a result of its investment activities. In addition, one
or more Reference Funds may trade a premium to their respective NAVs. The level of the Index, and thus the return on the notes, will be
adversely affected if the Reference Funds experience decreases in premiums or increases in discounts, which is a separate risk from the
risk of a decline in the value of the notes due to decreases in the NAVs of the Reference Funds.

·
The Reference Funds are subject to market risk. The prices of shares of closed-end funds are sensitive to general movements in the
stock market. A drop in the stock market may depress the prices of shares of closed-end funds. Share prices, like other investments, may
move up or down, sometimes rapidly and unpredictably. In addition, market prices of the shares of closed-end funds may be affected by
investors' perceptions regarding closed-end funds generally or their underlying investments. Events that have an adverse effect on the
stock market as a whole could have a similarly adverse effect on the value of the Reference Funds, the Index and the notes, and such
adverse effects may not be predictable.


PS-10



·
The Reference Funds are subject to management and issuer risk. The success of the strategy of any closed-end fund is subject to the
ability of the fund manager to achieve the fund's investment objective. The Reference Funds may not be managed by individuals who are
able to achieve their specific investment objectives, and even previously successful fund managers may be unable, due to general
financial, economic and political conditions or due to other factors beyond their control, to achieve their respective investment objectives.
Past success in meeting investment objectives does not necessarily indicate that the fund manager will be able to continue to do so. If the
fund manager of one or more of the Reference Funds is unable to achieve the relevant fund's investment objective, the NAV of the fund
may decrease, and the level of the Index and the value of the notes may be adversely affected.

Further, certain Reference Funds may invest in corporate income-producing securities. The value of these securities may decline for a
number of reasons which directly relate to the issuer of those securities, such as management performance, financial leverage and reduced
demand for the issuer's goods and services. Such a decline may adversely affect the value of the Reference Fund, the Index and the value
of your notes.

·
Shares of closed-end funds do not assure dividend payments. Closed-end funds do not guarantee the payment of dividends. Dividends
are paid only when declared by the boards of directors of closed-end funds, and the level of dividends may vary over time. If a Reference
Fund reduces or eliminates the level of its regular dividends, this may cause the market price of its shares and the level of the Index, and
therefore the value of the notes, to fall.

·
Certain Reference Funds may be classified as "non-diversified." Certain closed-end funds, including some Reference Funds, may be
classified as "non-diversified" under the Investment Company Act of 1940, as amended (the "1940 Act"). A non-diversified fund has the
ability to invest more of its assets in securities of a single issuer than if it were classified as a "diversified" fund, which may increase its
volatility. If a closed-end fund's investment in one or more particular issuers represents a relatively significant percentage of the closed-
end fund's portfolio, the value of the portfolio will be more impacted by a loss on that investment than if the portfolio were more
diversified. If the investments of the Reference Funds are concentrated in a particular issuer or set of issuers that experiences a loss, the
value of the notes could be affected.

·
The value of a closed-end fund may not accurately track the value of the securities in which that closed-end fund invests. Although the
https://www.sec.gov/Archives/edgar/data/927971/000121465918005766/g828181424b2.htm[8/28/2018 4:14:28 PM]


trading characteristics and valuations of a closed-end fund will usually mirror the characteristics and valuations of the securities in which
such closed-end fund invests, its value may not accurately track the value of such securities. The value of a closed-end fund will also
reflect transaction costs and fees (including, without limitation, investment advisory fees, audit fees and the fees of an independent board
of direct0rs) in addition to any such fees incurred in connection with individual portfolio investments or that are not associated with such
individual portfolio investments. Accordingly, the performance of a Reference Fund may not be equal to the performance of its individual
investments during the term of the notes.

·
The organizational documents of the Reference Funds may contain anti-takeover provisions. The organizational documents of certain
of the Reference Funds may include provisions that could limit the ability of other entities or persons to acquire control of such fund or to
change the composition of its board. These provisions could limit the ability of shareholders to sell their shares at a premium to prevailing
market prices by discouraging a third party from seeking to obtain control of the relevant closed-end fund.

There Are Strategic Risks Associated with Closed-End Funds

Closed-end funds employ various strategies to achieve their investment objectives. The following outlines the key risks of strategies that
may be pursued by one or more of the Reference Funds. Please note that the Reference Funds included in the Index are expected to change during
the term of the notes, and these risks do not reflect all of the risks that these Reference Funds may face at any point in time.

·
There are risks associated with corporate loans. Some of the Reference Funds may invest in corporate loans, and therefore the notes are
subject to risks associated with corporate loans. Corporate loans in which the Reference Funds may invest may not be rated by a
nationally recognized statistical rating organization ("NRSRO") at the time of investment, generally will not be registered with the SEC
and generally will not be listed on a securities exchange. The amount of public information available with respect to these corporate loans
generally will be less extensive than that available for more widely rated, registered and exchange-listed securities. In addition, because
the interest rates of corporate loans reset frequently, if market interest rates fall, the loans' interest rates will be reset to lower levels,
potentially reducing the income earned by a Reference Fund. No active trading market currently exists for many corporate loans in which
a Reference Fund may invest and, thus, they are relatively illiquid. As a result, corporate loans generally are more difficult to value than
more liquid securities for which a trading market exists.


PS-11



Reference Funds may also purchase a participation interest in a corporate loan and by doing so acquire some or all of the interest of a
bank or other lending institution in a loan to a corporate borrower. A participation interest typically will result in such Reference Fund
having a contractual relationship only with the lender, not the borrower. In this instance, the closed-end fund will have the right to receive
payments of principal, interest and any fees to which it is entitled only from the lender selling the participation and only upon receipt by
the lender of the payments from the borrower. If the Reference Fund only acquires a participation in the loan made by a third party, the
closed-end fund may not be able to control the exercise of any remedies that the lender would have under the terms of the corporate loan.
Such third-party participation arrangements are designed to give corporate loan investors preferential treatment over high-yield investors
in the event of a deterioration in the credit quality of the applicable issuer. Even when these arrangements exist, however, there can be no
assurance that the principal and interest owed on a corporate loan will be repaid in full.

·
There are risks associated with investing in small-cap and mid-cap companies. One or more Reference Funds may hold significant
holdings in small-capitalization (or micro-cap) or mid-capitalization companies, which would present particular investment risks. These
companies may have limited product lines and markets, as well as shorter operating histories, less experienced management and more
limited financial resources than larger companies, and may be more vulnerable to adverse general market or economic developments.
Stocks of these companies may be less liquid than those of larger companies, and may experience greater price fluctuations than larger
companies. In addition, small-cap or mid-cap company securities may not be widely followed by investors, which may result in reduced
demand.

·
There are risks associated with investments in master limited partnerships ("MLPs"). One or more Reference Funds may hold units of
MLPs, which involves some risks that differ from an investment in the common stock of a corporation. For example, as compared to
common stockholders of a corporation, holders of MLP units have more limited control, and limited rights to vote on matters affecting the
partnership. In addition, there may be certain tax risks associated with an investment in MLP units, and conflicts of interest may exist
between common unit holders and the general partner, including those arising from different types of distribution payments on an MLP.

A portion of the benefit a Reference Fund derives from its investment in units of MLPs is a result of MLPs generally being treated as
partnerships for U.S. federal income tax purposes. A change in current tax law, or a change in the business of a given MLP, could result
in an MLP being treated as a corporation for U.S. federal income tax purposes, which would materially reduce the after-tax return to the
Reference Fund from its investment in such MLPs which could cause the level of the Index, and therefore, the value of the notes, to
https://www.sec.gov/Archives/edgar/data/927971/000121465918005766/g828181424b2.htm[8/28/2018 4:14:28 PM]


Document Outline