Obbligazione Montreal Bank 0% ( US06367WPV99 ) in USD

Montreal Bank

100 USD ⇌

Canada

US06367WPV99 ( in USD )

31/12/2020 - Obbligazione è scaduto

Prospetto opuscolo dell'obbligazione Bank of Montreal US06367WPV99 in USD 0%, scaduta

1 000 USD

2 651 000 USD

06367WPV9

N/A

La Bank of Montreal (BMO) è una delle più grandi banche del Canada, con operazioni a livello globale nei settori bancari al dettaglio, commerciali e di investimento.

L'obbligazione Bank of Montreal (ISIN: US06367WPV99, CUSIP: 06367WPV9), emessa in Canada in USD per un totale di 2.651.000 unità con taglio minimo di 1.000, a tasso zero e scadenza 31/12/2020, con frequenza di pagamento 2, è giunta a scadenza ed è stata rimborsata al 100%; Moody's non ha assegnato un rating.

9/27/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm
424B2 1 c926193424b2.htm ARC 577

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$2,651,000

Autocallable Barrier Notes with Contingent Coupons due December 31, 2020

Linked to the Lesser Performing of the VanEck Vectors® Gold Miners ETF and the VanEck Vectors® Junior Gold Miners ETF

·
The notes are designed for investors who are seeking monthly contingent periodic interest payments (as described in more detail below), as well
as a return of principal if the closing price of both the VanEck Vectors® Gold Miners ETF and the VanEck Vectors® Junior Gold Miners ETF
(the "Underlying Assets") on any monthly Observation Date beginning on March 24, 2020 is greater than 100% of its Initial Stock Price (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 pay a Contingent Interest Payment on each monthly Contingent Interest Payment Date at the rate set forth below if the closing
price of each of the Underlying Assets on the applicable monthly Observation Date is greater than its Coupon Barrier. However, if the closing
price of either Underlying Asset is less than or equal to the Coupon Barrier on an Observation Date, the notes will not pay the Contingent Interest
Payment for that Observation Date.
·
If on any monthly Observation Date beginning on March 24, 2020, the closing price of each of each Underlying Asset is greater than its Call
Level, the notes will be automatically called. On the Call Settlement Date, for each $1,000 principal amount, investors will receive the principal
amount plus the Contingent 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 Stock Price of each of the Underlying Assets and whether the closing price of either Underlying Asset has declined from its
Initial Stock Price below its Trigger Price during the Monitoring Period (a "Trigger Event"), as described below.
·
If the notes are not automatically redeemed, a Trigger Event has occurred, and the Final Stock Price for either of the Underlying Assets is lower
than its Initial Stock Price on the Valuation Date, investors will be subject to one-for-one loss of the principal amount of the notes for any
percentage decrease from the Initial Stock Price to the Final Stock Price of the Lesser Performing Underlying Asset. 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 notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000.
·
Our subsidiary, BMO Capital Markets Corp. ("BMOCM"), is the agent for this offering. See "Supplemental Plan of Distribution (Conflicts of
Interest)" below. The notes will not be subject to conversion into our common shares or the common shares of any of our affiliates under
subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act (the "CDIC Act").
Terms of the Notes:
Pricing Date: September 25, 2019
Valuation Date: December 24, 2020
Settlement Date: September 30, 2019
Maturity Date: December 31, 2020

Specific Terms of the Notes:
Autocallable
Initial
Coupon
Contingent
Proceeds to
Note
Ticker Stock Barrier and
Interest
Principal Price to
Agent's
Bank of
Number
Underlying Asset Issuer
Symbol Price
Trigger Price
Rate
CUSIP
Amount Public(1) Commission(1)
Montreal
ARC577
VanEck Vectors® Gold Miners ETF GDX $28.43 $17.06, which is
11.30%
06367WPV9 $2,651,000
100%
2.25%
97.75%
60% of its Initial (0.94167%
US$59,647.50 US$2,591,352.50
Stock Price
per month)

VanEck Vectors® Junior Gold
GDXJ $38.91 $23.35, which is

Miners ETF
60% of its Initial
Stock Price
(1) Certain dealers that 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 $977.50 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-4 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, the estimated initial value of the notes is $957.20. As discussed in more detail in this preliminary pricing supplement, the actual value
of the notes at any time will reflect many factors and cannot be predicted with accuracy.

BMO Capital Markets Corp.
https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm
1/27

9/27/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm

https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm
2/27

9/27/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm

Key Terms of the Notes:

Underlying Assets:
VanEck Vectors® Gold Miners ETF (NYSE Arca symbol: GDX) and the VanEck Vectors® Junior
Gold Miners ETF (NYSE Arca symbol: GDXJ). See the section below entitled "The Underlying
Assets" for additional information.

Underlying Indices:
NYSE Arca Gold Miners Index and the MVIS® Global Junior Gold Miners Index.

Contingent Interest
Interest, if payable, will be paid on the last business day of each month beginning October 31, 2019,
Payment Dates:
to and including the Maturity Date, subject to the automatic redemption feature. The final
Contingent Interest Payment Date will be the Maturity Date.

Contingent Interest
If the price of each Underlying Asset on an Observation Date is greater than the Coupon Barrier, a
Payments:
Contingent Interest Payment will be paid on the Contingent Interest Payment Date, at the rate
specified on the cover page.

Contingent Interest
11.30% per annum (0.94167% of the principal amount per month) unless earlier redeemed.
Rate:
Accordingly, each Contingent Interest Payment, if payable, will equal $9.4167 for each $1,000 in
principal amount per month.

Coupon Barrier and
For each Underlying Asset, 60% of the Initial Stock Price (rounded to two decimal places), as set
Trigger Price:
forth on the cover page.

Automatic
If, on any monthly Observation Date beginning on March 24, 2020, the closing price of each
Redemption:
Underlying Asset is greater than its Call Level, the notes will be automatically redeemed.

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

Observation Dates:
Five trading days prior to the Contingent 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."

Call Settlement Dates:
The last business day of each month, beginning on March 31, 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 notes, unless (a) a Trigger Event has occurred with respect to either Underlying Asset and (b)
the Final Stock Price of the Lesser Performing Asset is less than its Initial Stock Price.

If a Trigger Event has occurred, and if the Final Stock Price of the Lesser Performing Underlying
Asset is less than its Initial Stock Price, 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.

In each case, you will also receive the final Contingent 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 price is
less than its Trigger Price on any trading day during the Monitoring Period.

Lesser Performing
The Underlying Asset that has the lowest Percentage Change.
Underlying Asset:
https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm
3/27

9/27/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm

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

Percentage Change:
Final Stock Price -- Initial Stock Price

, expressed as a percentage
Initial Stock Price

P-2

https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm
4/27

9/27/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm

Initial Stock Price:
With respect to each Underlying Asset, its closing price on the Pricing Date, as set forth on the
cover page. Each Initial Stock Price is subject to adjustment in certain circumstances. See "General
Terms of the Notes -- Payment at Maturity" and "-- Anti-dilution Adjustments" in the product
supplement for additional information about these adjustments.

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

Final Stock Price:
The closing price of the applicable Underlying Asset on the Valuation Date.

Pricing Date:
September 25, 2019

Settlement Date:
September 30, 2019

Valuation Date:
December 24, 2020

Maturity Date:
December 31, 2020

Physical Delivery
We will only pay cash on the maturity date, and you will have no right to receive any shares of any
Amount:
Underlying Asset.

Calculation Agent:
BMOCM

Selling Agent:
BMOCM

P-3

https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm
5/27

9/27/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.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/927971/000121465919006023/c926193424b2.htm
6/27

9/27/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.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. 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 the Final Stock Price of the Lesser Performing Underlying
Asset and whether a Trigger Event has occurred. If a Trigger Event has occurred, and if the Final Stock Price of the Lesser
Performing Underlying Asset is less than its Initial Stock Price, 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 Stock Price. 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, and your payments on the notes could be
limited to the Contingent Interest Payments, if any.

·
The protection provided by the Trigger Price may terminate on any day during the Monitoring Period. -- If the closing
price of the Lesser Performing Underlying Asset on any trading day during the Monitoring Period is less than its Trigger
Price, you will be fully exposed at maturity to any decrease in the price of the Lesser Performing Underlying Asset. Under
these circumstances, if the Percentage Change of the Lesser Performing Underlying Asset 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 applicable Final
Stock Price is less than its Initial Stock Price. You will be subject to this potential loss of principal even if, after the Trigger
Event, the price of the applicable Underlying Asset increases above the Trigger Price.

·
You may not receive any Contingent Interest Payments with respect to your notes. -- We will not necessarily make
periodic interest payments on the notes. If the closing price of either Underlying Asset on an Observation Date is less than its
Coupon Barrier, we will not pay you the Contingent Interest Payment applicable to that Observation Date. If the closing price
of any Underlying Asset is less than the Coupon Barrier on each of the Observation Dates, we will not pay you any
Contingent Interest Payments during the term of the notes, and you will not receive a positive return on the notes.
Furthermore, the non-payment of the Contingent Interest Payment as to the final Observation Date will coincide with a loss of
principal on the notes, because in such a case, the Final Stock Price of the Lesser Performing Underlying Asset will be less
than the Trigger Price.

·
Your notes are subject to automatic early redemption. -- We will redeem the notes if the closing price of each Underlying
Asset on any Observation Date beginning on March 24, 2020 is greater than its Call Level. Following an automatic
redemption, you will not receive any additional Contingent 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 Contingent Interest Payments, if any, 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 Contingent 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 Contingent Interest Payment, even if the closing price
of any Underlying Asset exceeds the Call Level by a substantial amount. Accordingly, your maximum return on the notes is
limited to the potential return represented by the Contingent Interest Payments.

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

·
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
Contingent Interest Payment on the notes if the closing price of both Underlying Assets on the applicable Observation Date
exceeds the applicable Coupon Barrier, even if the price of the other Underlying Asset has increased significantly. Similarly, if
a Trigger Event occurs with respect to any Underlying Asset, 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.
https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm
7/27

9/27/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm

P-5

https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm
8/27

9/27/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.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 Contingent 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 component, 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 any Contingent Interest Payments on the notes will depend on the price of both Underlying
Assets on each Observation Date, and your return at maturity will depend solely on the Final Level of the Lesser Performing
Underlying Asset.

·
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 Assets or the securities held by 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 price of the Underlying Assets and, therefore,
the market value of, and the payments on, the notes. We or one or more of our affiliates may also issue or underwrite other
securities or financial or derivative instruments with returns linked or related to changes in the performance of the 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 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 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.

P-6

https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm
9/27

9/27/2019
https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm

·
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 underwriting discount and selling concessions, and the hedging profits and estimated hedging
costs that are included in the price to public of the notes and that may be reflected on your account statements. In addition, any
such price is also likely to reflect a discount to account for costs associated with establishing or unwinding any related hedge
transaction, such as dealer discounts, mark-ups and other transaction costs. As a result, the price, if any, at which BMOCM or
any other party may be willing to purchase the notes from you in secondary market transactions, if at all, will likely be lower
than the price to public. Any sale that you make prior to the maturity date could result in a substantial loss to you.

·
Owning the notes is not the same as owning shares of the Underlying Assets or a security directly linked to the
Underlying Assets. -- The return on your notes will not reflect the return you would realize if you actually owned shares of
the Underlying Assets or a security directly linked to the performance of the Underlying Assets and held that investment for a
similar period. Your notes may trade quite differently from the Underlying Assets. Changes in the price of the Underlying
Assets may not result in comparable changes in the market value of your notes. Even if the prices of the Underlying Assets
increase during the term of the notes, the market value of the notes prior to maturity may not increase to the same extent. It is
also possible for the market value of the notes to decrease while the prices of the Underlying Assets increase. In addition, any
dividends or other distributions paid on the Underlying Assets will not be reflected in the amount payable on the notes. The
return on the notes may be less than the return on an investment in the Underlying Assets.

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

·
No Delivery of Shares of the Underlying Assets. -- The notes will be payable only in cash. You should not invest in the
notes if you seek to have the shares of the Underlying Assets delivered to you at maturity.

·
Changes that affect the Underlying Indices will affect the market value of the notes, whether the notes will be
automatically called, and the amount you will receive at maturity. -- The policies of the index sponsor of each
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 Assets, the amounts payable on the notes, whether the notes are automatically called, 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 Underlying Index, or if the index
sponsor discontinues or suspends the calculation or publication of the Underlying Index.

·
have no affiliation with the index sponsors of the Underlying Indices and will not be responsible for their actions. --
We The sponsors of the Underlying Indices are not our affiliates, and will not be involved in the offering of the notes in any way.
Consequently, we have no control over the actions of these index sponsors, including any actions of the type that would
require the calculation agent to adjust the payment to you at maturity. The index sponsors have no obligation of any sort with
respect to the notes. Thus, the index sponsors have no obligation to take your interests into consideration for any reason,
including in taking any actions that might affect the value of the notes. None of our proceeds from the issuance of the notes
will be delivered to the index sponsors.

·
Adjustments to the Underlying Assets could adversely affect the notes. -- The sponsor and advisor of each Underlying
Asset is responsible for calculating and maintaining that Underlying Asset. The sponsor and advisor of each Underlying Asset
can add, delete or substitute the stocks comprising an Underlying Asset or make other methodological changes that could
change the share price of the Underlying Assets 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 amounts payable on the notes and/or the market value of the notes.

P-7

https://www.sec.gov/Archives/edgar/data/927971/000121465919006023/c926193424b2.htm
10/27