Obligation Jeffries & Co. 5% ( US47233JCR77 ) en USD

Jeffries & Co.

100 % ▲

Etas-Unis

US47233JCR77 ( en USD )

5% par an ( paiement semestriel )

29/11/2034

Prospectus brochure de l'obligation Jefferies Group US47233JCR77 en USD 5%, échéance 29/11/2034

1 000 USD

5 807 000 USD

47233JCR7

BBB ( Qualité moyenne inférieure )

Baa2 ( Qualité moyenne inférieure )

29/11/2025 ( Dans 80 jours )

Jefferies Group est une banque d'investissement mondiale fournissant des services de courtage, de banque d'investissement et de gestion de placements à une clientèle institutionnelle et de particuliers fortunés.

L'Obligation émise par Jeffries & Co. ( Etas-Unis ) , en USD, avec le code ISIN US47233JCR77, paye un coupon de 5% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 29/11/2034

L'Obligation émise par Jeffries & Co. ( Etas-Unis ) , en USD, avec le code ISIN US47233JCR77, a été notée Baa2 ( Qualité moyenne inférieure ) par l'agence de notation Moody's.

L'Obligation émise par Jeffries & Co. ( Etas-Unis ) , en USD, avec le code ISIN US47233JCR77, a été notée BBB ( Qualité moyenne inférieure ) par l'agence de notation Standard & Poor's ( S&P ).

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Filed pursuant to Rule 424(b)(2)
Registration No. 333-229494 and 333-229494-01
CALCULATION OF REGISTRATION FEE

Maximum
Title of Each Class of
Aggregate
Amount of
Securities Offered

Offering Price

Registration Fee (1)
Senior Fixed to Floating Rate Notes due November 29, 2034 Based on 3-Month USD LIBOR

$5,807,000

$753.75

(1)
Calculated pursuant to Rule 457(r) under the Securities Act of 1933, as amended.
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PRICING SUPPLEMENT
(to Prospectus dated February 1, 2019)
$5,807,000

Jefferies Group LLC
Senior Fixed to Floating Rate Notes due November 29, 2034
Based on 3-Month USD LIBOR
As further described below, interest wil accrue and be payable quarterly, in arrears, (i) from the Original Issue Date to, but excluding, November 29, 2022 at a rate of 5.00% per annum and (i ) from
and including November 29, 2022 to, but excluding, the stated maturity date (November 29, 2034), at a variable rate per annum equal to 3-Month USD LIBOR times the Leverage Factor, subject to
the Minimum Interest Rate of 0.00% per annum and the Maximum Interest Rate of 5.00% per annum.
SUMMARY OF TERMS
Issuers:
Jefferies Group LLC and Jefferies Group Capital Finance Inc., its whol y owned subsidiary.
Title of the Notes:
Senior Fixed to Floating Rate Notes due November 29, 2034 Based on 3-Month USD LIBOR
Aggregate Principal Amount:
$5,807,000. We may increase the Aggregate Principal Amount prior to the Original Issue Date but are not required to do so.
Issue Price:
At variable prices. The Notes were offered at a price equal to 100% of the Stated Principal Amount per Note until the initial pricing date,
which was November 25, 2019. Thereafter, the Notes wil be offered from time to time in one or more negotiated transactions at varying
prices to be determined at the time of each sale, which may be at market prices prevailing, at prices related to such prevailing prices or at
negotiated prices, subject to a maximum price of 100% of the Stated Principal Amount per Note.
Stated Principal Amount
$1,000 per note
Pricing Date:
November 25, 2019
Original Issue Date:
November 29, 2019 (3 Business Days after the Pricing Date)
Maturity Date:
November 29, 2034
Interest Accrual Date:
November 29, 2019
Payment at Maturity
The Payment at Maturity per Note wil be the Stated Principal Amount plus accrued and unpaid interest, if any.
Reference Rate
3-Month USD LIBOR. Please see "The Notes" below.
Interest Rate
From and including the Original Issue Date to, but excluding, November 29, 2022: 5.00% per annum.
From and including November 29, 2022 to, but excluding, November 29, 2034 (the "Floating Interest Rate Period"): a variable rate per
annum equal to the Reference Rate times the Leverage Factor, subject to the Minimum Interest Rate and the Maximum Interest Rate.
For the purposes of determining the level of the Reference Rate applicable to an Interest Payment Period, the level of the Reference Rate
wil be determined two (2) London Banking Days prior to the related Interest Reset Date at the start of such Interest Payment Period (each,
an "Interest Determination Date").
Interest for each Interest Payment Period during the Floating Interest Rate Period is subject to the Minimum Interest Rate of 0.00% per
annum and the Maximum Interest Rate of 5.00% per annum. Beginning November 29, 2022, it is possible that you could receive little or no
interest on the Notes.
Leverage Factor
3.0
Interest Determination Date
Two (2) London Banking Days prior to the related Interest Reset Date at the start of the applicable Interest Payment Period
Floating Interest Rate Period
From and including November 29, 2022 to, but excluding, the Maturity Date.
Interest Payment Period:
Quarterly (from and including the last calendar day of each February and the 29th calendar day of each May, August and November to, but
excluding, the last calendar day or 29th calendar day (as applicable) of the month occurring three months fol owing such month, beginning
November 29, 2019)
Interest Payment Dates
The last calendar day of each February and the 29th calendar day of each May, August and November, beginning February 29, 2020.
Interest Payment Period End Dates
Unadjusted
Interest Reset Dates
The last calendar day of each February and the 29th calendar day of each May, August and November, beginning November 29, 2022;
provided that such Interest Reset Dates shal not be adjusted for non-Business Days.
Minimum Interest Rate
0.00% per annum during the Floating Interest Rate Period.
Maximum Interest Rate
5.00% per annum during the Floating Interest Rate Period.
Day-count Convention:
30/360 (ISDA). Please see "The Notes" below.
Redemption:
Not applicable
Specified Currency:
U.S. dol ars
CUSIP/ISIN:
47233JCR7 / US47233JCR77
Book-entry or Certificated Note:
Book-entry
Business Day:
New York. If any Interest Payment Date or the Maturity Date occurs on a day that is not a Business Day, any payment owed on such date
wil be postponed as described in "The Notes" below.
Agent:
Jefferies LLC, a whol y-owned subsidiary of Jefferies Group LLC and an affiliate of Jefferies Group Capital Finance Inc. See "Supplemental
Plan of Distribution."
Calculation Agent:
Jefferies Financial Services Inc., a whol y owned subsidiary of Jefferies Group LLC and an affiliate of Jefferies Group Capital Finance Inc.
Trustee:
The Bank of New York Mel on
Estimated value on the Pricing Date
$961.32 per Note. Please see "The Notes" below.
Use of Proceeds:
General corporate purposes
Listing:
None
Conflict of Interest:
Jefferies LLC, the broker-dealer subsidiary of Jefferies Group LLC, is a member of FINRA and wil participate in the distribution of the notes
being offered hereby. Accordingly, the offering is subject to the provisions of FINRA Rule 5121 relating to conflicts of interest and wil be
conducted in accordance with the requirements of Rule 5121. See "Conflict of Interest."
The Notes wil be our senior unsecured obligations and wil rank equal y with our other senior unsecured indebtedness.
Investing in the Notes involves risks that are described in the "Risk Factors" section beginning on page PS-4 of this pricing supplement.

PER NOTE

TOTAL

Public Offering Price

At variable prices
At variable prices
Underwriting Discounts and Commissions

$
20
$
116,140
Proceeds to Jefferies Group LLC (Before Expenses)

$
980
$
5,690,860
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined if this pricing
supplement or the accompanying prospectus or either prospectus supplement is truthful or complete. Any representation to the contrary is a criminal offense.
We will deliver the Notes in book-entry form only through The Depository Trust Company on or about November 29, 2019 against payment in immediately available funds.
Jefferies
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Pricing supplement dated November 25, 2019.
You should read this document together with the related prospectus and prospectus supplement,
each of which can be accessed via the hyperlinks below, before you decide to invest.

Prospectus supplement dated February 1, 2019

Prospectus dated February 1, 2019
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TABLE OF CONTENTS

PAGE
PRICING SUPPLEMENT

SPECIAL NOTE ON FORWARD-LOOKING STATEMENTS
PS-i
THE NOTES
PS-1
HOW THE NOTES WORK
PS-3
RISK FACTORS
PS-4
HEDGING
PS-7
MATERIAL UNITED STATES FEDERAL INCOME TAX CONSEQUENCES
PS-8
SUPPLEMENTAL PLAN OF DISTRIBUTION
PS-12
CONFLICT OF INTEREST
PS-14
LEGAL MATTERS
PS-15
EXPERTS
PS-16

You should rely only on the information contained in or incorporated by reference in this pricing supplement and the accompanying
prospectus and prospectus supplement. We have not authorized anyone to provide you with different information. We are not making
an offer of these securities in any state where the offer is not permitted. You should not assume that the information contained in this
pricing supplement or the accompanying prospectus or prospectus supplement is accurate as of any date later than the date on the
front of this pricing supplement.

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SPECIAL NOTE ON FORWARD-LOOKING STATEMENTS
This pricing supplement and the accompanying prospectus and prospectus supplement contain or incorporate by reference "forward-looking
statements" within the meaning of the safe harbor provisions of Section 27A of the Securities Act of 1933 (the "Securities Act") and Section 21E of
the Securities Exchange Act of 1934. These forward-looking statements are not statements of historical fact and represent only our belief as of
the date such statements are made. There are a variety of factors, many of which are beyond our control, which affect our operations,
performance, business strategy and results and could cause actual reported results and performance to differ material y from the performance
and expectations expressed in these forward-looking statements. These factors include, but are not limited to, financial market volatility, actions
and initiatives by current and future competitors, general economic conditions, controls and procedures relating to the close of the quarter, the
effects of current, pending and future legislation or rulemaking by regulatory or self-regulatory bodies, regulatory actions, and the other risks and
uncertainties that are outlined in our Annual Report on Form 10-K for the fiscal year ended November 30, 2018 filed with the U.S. Securities and
Exchange Commission, or the SEC, on January 29, 2019 (the "Annual Report on Form 10-K") and in our Quarterly Reports on Form 10-Q for the
quarterly periods ended February 28, 2019, May 31, 2019 and August 31, 2019 filed with the SEC on April 9, 2019, July 10, 2019 and October 8,
2019, respectively. You are cautioned not to place undue reliance on forward-looking statements, which speak only as of the date they are made.
We do not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the date of the
forward-looking statements.

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THE NOTES
The Notes are joint and several obligations of Jefferies Group LLC and Jefferies Group Capital Finance Inc., its whol y-owned subsidiary. The
Aggregate Principal Amount of the Notes is $5,807,000. The Notes wil mature on November 29, 2034. From and including the Original Issue
Date to, but excluding, November 29, 2022, the Notes wil bear interest at the fixed rate of 5.00% per annum. From and including November 29,
2022 to, but excluding, the Maturity Date (the "Floating Interest Rate Period"), the Notes wil bear interest at a per annum floating rate equal to the
Reference Rate times the Leverage Factor, subject to the Minimum Interest Rate of 0.00% per annum and the Maximum Interest Rate of 5.00%
per annum. During the Floating Interest Rate Period, the interest rate wil be reset quarterly on the Interest Reset Dates set forth in the "Summary
of Terms" on the cover page of this pricing supplement. Interest on the Notes wil be payable on a quarterly basis on the Interest Payment Dates
set forth in the "Summary of Terms" on the cover page of this pricing supplement. We describe the basic features of these Notes in the sections of
the accompanying prospectus cal ed "Description of Securities We May Offer--Debt Securities" and the prospectus supplement cal ed
"Description of Notes", subject to and as modified by any provisions described below and in the "Summary of Terms" on the cover page of this
pricing supplement. Al payments on the Notes are subject to our credit risk.
If any Interest Payment Date or the Maturity Date occurs on a day that is not a Business Day, then the payment owed on such date wil be
postponed until the next succeeding Business Day. No additional interest wil accrue on the Notes as a result of such postponement, and no
adjustment wil be made to the length of the relevant Interest Payment Period.
"3-Month USD LIBOR" or "Reference Rate" means, with respect to any Interest Reset Date, the London interbank offered rate for 3-month
deposits in U.S. dol ars appearing on the Reuters screen "LIBOR01" page (or any successor thereto) as of approximately 11:00 A.M., London
time, on the relevant Interest Determination Date.
"30/360 (ISDA)" means the number of days in the Interest Payment Period in respect of which payment is being made divided by 360, calculated
on a formula basis as fol ows, as described in Section 4.16(f) of the 2006 ISDA Definitions published by the International Swaps and Derivatives
Association, without regard to any subsequent amendments or supplements:

[360 × (Y2 Y1)] + [30 × (M2 M1)] + (D2 D1)

360

where:
"Y1" is the year, expressed as a number, in which the first day of the Interest Payment Period fal s;
"Y2" is the year, expressed as a number, in which the day immediately fol owing the last day included in the Interest Payment Period fal s;
"M1" is the calendar month, expressed as a number, in which the first day of the Interest Payment Period fal s;
"M2" is the calendar month, expressed as a number, in which the day immediately fol owing the last day included in the Interest Payment
Period fal s;
"D1" is the first calendar day, expressed as a number, of the Interest Payment Period, unless such number would be 31, in which case D1
wil be 30; and
"D2" is the calendar day, expressed as a number, immediately fol owing the last day included in the Interest Payment Period, unless such
number would be 31 and D1 is greater than 29, in which case D2 wil be 30.
The "Interest Determination Date" for each quarterly Interest Reset Date during the Floating Interest Rate Period wil be the second London
Banking Day prior to the beginning of the applicable quarterly Interest Reset Date. A "London Banking Day" means each Monday, Tuesday,
Wednesday, Thursday and Friday that is not a day on which banking institutions in London general y are authorized or obligated by law, regulation
or executive order to close and dealings in U.S. dol ars are transacted in the London interbank market.
If, on any Interest Determination Date, the 3-Month USD LIBOR does not so appear on the Reuters screen "LIBOR01" page (or any successor
thereto), then the 3-Month USD LIBOR wil be determined on the basis of the rates at which 3-month deposits in U.S. dol ars are offered by four
major banks in the London interbank market selected by the calculation agent at approximately 11:00 A.M., London time, on the relevant Interest
Determination Date, to prime banks in the London interbank market, beginning on the relevant Interest Reset Date, and in a

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representative amount. The calculation agent wil request the principal London office of each of these major banks to provide a quotation of its
rate. If at least two quotations are provided, 3-Month USD LIBOR for the relevant Interest Reset Date wil be the arithmetic mean of the
quotations. If fewer than two of the requested quotations described above are provided, 3-Month USD LIBOR for the relevant Interest Reset Date
wil be the arithmetic mean of the rates quoted by major banks in New York City, selected by the calculation agent, at approximately 11:00 A.M.,
New York City time, on the relevant Interest Reset Date, for loans in U.S. dol ars to leading European banks for a period of 3 months, beginning
on the relevant Interest Reset Date, and in a representative amount. If no quotation is provided as described in the preceding sentence, then the
calculation agent wil determine the 3-Month USD LIBOR in good faith and in a commercial y reasonable manner.
The Stated Principal Amount of each Note is $1,000. The Issue Price wil equal 100% of the Stated Principal Amount per Note until the initial
pricing date and, thereafter, wil be variable, subject to a maximum price of 100% of the Stated Principal Amount per Note. This price includes
costs associated with issuing, sel ing, structuring and hedging the Notes, which are borne by you, and, consequently, the estimated value of the
Notes on the Pricing Date wil be less than the Issue Price. We estimate that the value of each Note on the Pricing Date is $961.32.
Valuation of the Notes
Jefferies LLC calculated the estimated value of the Notes set forth on the cover page of this pricing supplement based on its proprietary pricing
models at that time. Jefferies LLC's proprietary pricing models generated an estimated value for the Notes by estimating the value of a
hypothetical package of financial instruments that would replicate the payout on the Notes, which consists of a fixed-income bond (the "bond
component") and one or more derivative instruments underlying the economic terms of the Notes (the "derivative component"). Jefferies LLC
calculated the estimated value of the bond component using a discount rate based on our internal funding rate. Jefferies LLC calculated the
estimated value of the derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the
instruments that constitute the derivative component based on various inputs, including the factors described under "Risk Factors--The price at
which the Notes may be resold prior to maturity wil depend on a number of factors and may be substantial y less than the amount for which they
were original y purchased." below, but not including our creditworthiness. These inputs may be market-observable or may be based on
assumptions made by Jefferies LLC in its discretionary judgment.
The estimated value of the Notes is a function of the terms of the Notes and the inputs to Jefferies LLC's proprietary pricing models.
Since the estimated value of the Notes is a function of the underlying assumptions and construction of Jefferies LLC's proprietary derivative-
pricing model, modification to this model wil impact the estimated value calculation. Jefferies LLC's proprietary models are subject to ongoing
review and modification, and Jefferies LLC may change them at any time and for a variety of reasons. In the event of a model change, prior
descriptions of the model and computations based on the older model wil be superseded, and calculations of estimated value under the new
model may differ significantly from those under the older model. Further, model changes may cause a larger impact on the estimated value of a
note with a particular return formula than on a similar note with a different return formula. For example, to the extent a return formula contains
leverage, model changes may cause a larger impact on the estimated value of that note than on a similar note without such leverage.
The relationship between the estimated value on the Pricing Date and the secondary market price of the Notes
The price at which Jefferies LLC purchases the Notes in the secondary market, absent changes in market conditions, including those related to
interest rates and the Reference Rate, may vary from, and be lower than, the estimated value on the Pricing Date, because the secondary market
price takes into account our secondary market credit spread as wel as the bid-offer spread that Jefferies LLC would charge in a secondary
market transaction of this type, the costs of unwinding the related hedging transactions and other factors.
Jefferies LLC may, but is not obligated to, make a market in the Notes and, if it once chooses to make a market, may cease doing so at any time.

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HOW THE NOTES WORK
How to calculate the interest payments during the Floating Interest Rate Period.
The table below presents examples of hypothetical interest that would accrue on the Notes during any quarter in the Floating Interest Rate
Period. The examples below are for purposes of il ustration only. The examples of the hypothetical floating interest rate that would accrue on the
Notes are based on the level of the Reference Rate on the applicable Interest Determination Date.
The actual interest payment amounts during the Floating Interest Rate Period wil depend on the actual level of the Reference Rate on each
Interest Determination Date. The applicable Interest Rate for each quarterly Interest Payment Period wil be determined on a per-annum basis but
wil apply only to that Interest Payment Period. The table assumes that the Interest Payment Period contains 90 calendar days. The examples
below are for purposes of il ustration only and would provide different results if different assumptions were made.

REFERENCE RATE TIMES
HYPOTHETICAL QUARTERLY
REFERENCE RATE

LEVERAGE FACTOR*

INTEREST PAYMENT
-0.50%

0.00%

$0.00
-0.25%

0.00%

$0.00
0.00%

0.00%

$0.00
0.25%

0.75%

$1.88
0.50%

1.50%

$3.75
0.75%

2.25%

$5.63
1.00%

3.00%

$7.50
1.25%

3.75%

$9.38
1.50%

4.50%

$11.25
1.75%

5.00%

$12.50
2.00%

5.00%

$12.50
2.25%

5.00%

$12.50
2.50%

5.00%

$12.50
*Subject to the minimum interest rate of 0% and the maximum interest rate of 5%.

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RISK FACTORS
In addition to the other information contained and incorporated by reference in this pricing supplement and the accompanying prospectus and
prospectus supplement including the section entitled "Risk Factors" in our Annual Report on Form 10-K, you should consider careful y the
fol owing factors before deciding to purchase the Notes.
Risks Associated with the Offering
The historical level of 3-Month USD LIBOR is not an indication of the future level of 3-Month USD LIBOR.
In the past, the level of 3-Month USD LIBOR has experienced significant fluctuations. You should note that historical levels, fluctuations and
trends of 3-Month USD LIBOR is not necessarily indicative of future levels. Changes in the level of 3-Month USD LIBOR wil affect the trading
price of the Notes, but it is impossible to predict whether such level wil rise or fal . There can be no assurance that the Reference Rate level wil
be positive on any Interest Determination Date during the Floating Interest Rate Period. Furthermore, the historical performance of the Reference
Rate does not reflect the return the Notes would have had because they do not take into account the Leverage Factor or the Maximum Interest
Rate.
The estimated value of the Notes on the Pricing Date, based on Jefferies LLC proprietary pricing models at that time and our internal
funding rate, will be less than the Issue Price.
The difference is attributable to certain costs associated with sel ing, structuring and hedging the Notes that are included in the Issue Price. These
costs include (i) the sel ing concessions paid in connection with the offering of the Notes, (i ) hedging and other costs incurred by us and our
affiliates in connection with the offering of the Notes and (i i) the expected profit (which may be more or less than actual profit) to Jefferies LLC or
other of our affiliates in connection with hedging our obligations under the Notes. These costs adversely affect the economic terms of the Notes
because, if they were lower, the economic terms of the Notes would be more favorable to you. The economic terms of the Notes are also likely to
be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the Notes. See "The estimated value
of the Notes would be lower if it were calculated based on our secondary market rate" below.
The estimated value of the Notes was determined for us by our affiliate using proprietary pricing models.
Jefferies LLC derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models at that time.
In doing so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the 3-Month USD LIBOR rate and
interest rates. Jefferies LLC's views on these inputs and assumptions may differ from your or others' views, and as an agent in this offering,
Jefferies LLC's interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an
accurate reflection of the value of the Notes. Moreover, the estimated value of the Notes set forth on the cover page of this pricing supplement
may differ from the value that we or our affiliates may determine for the Notes for other purposes, including for accounting purposes. You should
not invest in the Notes because of the estimated value of the Notes. Instead, you should be wil ing to hold the Notes to maturity irrespective of the
initial estimated value.
Since the estimated value of the Notes is a function of the underlying assumptions and construction of Jefferies LLC's proprietary derivative-
pricing model, modifications to this model wil impact the estimated value calculation. Jefferies LLC's proprietary models are subject to ongoing
review and modification, and Jefferies LLC may change them at any time and for a variety of reasons. In the event of a model change, prior
descriptions of the model and computations based on the older model wil be superseded, and calculations of estimated value under the new
model may differ significantly from those under the older model. Further, model changes may cause a larger impact on the estimated value of a
note with a particular return formula than on a similar note with a different return formula. For example, to the extent a return formula contains
leverage, model changes may cause a larger impact on the estimated value of that note than on a similar note without such leverage.
The estimated value of the Notes would be lower if it were calculated based on our secondary market rate.
The estimated value of the Notes included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are wil ing to borrow funds through the issuance of the Notes. Our internal funding rate is general y lower than our secondary market rate,
which is the rate that Jefferies LLC wil use in determining the value of the Notes for purposes of any purchases of the Notes from you in the
secondary market. If

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the estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal funding rate, it would
likely be lower. We determine our internal funding rate based on factors such as the costs associated with the Notes, which are general y higher
than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not the same as
the interest that is payable on the Notes.
Because there is not an active market for traded instruments referencing our outstanding debt obligations, Jefferies LLC determines our
secondary market rate based on the market price of traded instruments referencing our debt obligations, but subject to adjustments that Jefferies
LLC makes in its sole discretion. As a result, our secondary market rate is not a market-determined measure of our creditworthiness, but rather
reflects the market's perception of our creditworthiness as adjusted for discretionary factors such as Jefferies LLC's preferences with respect to
purchasing the Notes prior to maturity.
The estimated value of the Notes is not an indication of the price, if any, at which Jefferies LLC or any other person may be willing to
buy the Notes from you in the secondary market.
Any such secondary market price wil fluctuate over the term of the Notes based on the market and other factors described in the next risk factor.
Moreover, unlike the estimated value included in this pricing supplement, any value of the Notes determined for purposes of a secondary market
transaction wil be based on our secondary market rate, which wil likely result in a lower value for the Notes than if our internal funding rate were
used. In addition, any secondary market price for the Notes wil be reduced by a bid-ask spread, which may vary depending on the aggregate
stated principal amount of the Notes to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging
transactions. As a result, it is likely that any secondary market price for the Notes wil be less than the Issue Price.
The price at which the Notes may be resold prior to maturity will depend on a number of factors and may be substantially less than the
amount for which they were originally purchased.
Some of these factors include, but are not limited to: (i) changes in the level of 3-Month USD LIBOR, (i ) volatility of 3-Month USD LIBOR,
(i i) changes in interest and yield rates, (iv) any actual or anticipated changes in our credit ratings or credit spreads and (v) time remaining to
maturity. General y, the longer the time remaining to maturity and the more tailored the exposure, the more the market price of the Notes wil be
affected by the other factors described in the preceding sentence. In addition, as indicated above, the proprietary derivative-pricing model we
employ to value the Notes may change, which could have a significant impact on valuation of the Notes. Each of these factors can lead to
significant adverse changes in the market price of securities like the Notes.
The amount of interest payable on the Notes is capped.
The Interest Rate on the Notes for each quarterly Interest Payment Period during the Floating Interest Rate Period is capped for that quarter at
the Maximum Interest Rate of 5.00% per annum, and you wil not get the benefit of any increase in 3-Month USD LIBOR above a level of
approximately 1.66% on any Interest Determination Date. Therefore, the maximum quarterly interest payment you can receive during the Floating
Interest Rate Period (assuming an Interest Payment Period of 90 calendar days) wil be $12.50 for each $1,000 stated principal amount of notes.
Accordingly, you could receive less than 5.00% per annum interest for any given ful year in the Floating Interest Rate Period even when 3-Month
USD LIBOR is much greater than approximately 1.66% on the Interest Determination Date for one quarterly Interest Payment Period during that
year if 3-Month USD LIBOR on the Interest Determination Date with respect to any other quarter is below approximately 1.66%.
You must rely on your own evaluation of the merits of an investment linked to 3-Month USD LIBOR.
In the ordinary course of their businesses, we or our affiliates may have expressed views on expected movements in 3-Month USD LIBOR and
related interest rates, and may do so in the future. These views or reports may be communicated to our clients and clients of our affiliates.
However, these views are subject to change from time to time. Moreover, other professionals who deal in markets relating to 3-Month USD LIBOR
may at any time have views that are significantly different from ours or those of our affiliates. For these reasons, you should consult information
about 3-Month USD LIBOR and related interest rates from multiple sources, and you should not rely on the views expressed by us or our
affiliates.
Neither the offering of the Notes nor any views which we or 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.

PS-5
https://www.sec.gov/Archives/edgar/data/1084580/000119312519302502/d833555d424b2.htm
10/22