PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-259205
Dated November 18, 2021
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Investment Description
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Features
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Key Dates
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£ |
Income — Regardless of the performance of the Reference Stock, we will pay you a monthly coupon. In exchange for receiving the monthly coupon payment on the Notes, you
are accepting the risk of receiving shares of the Reference Stock at maturity that are worth less than your principal amount and our credit risk for all payments under the Notes.
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£ |
Automatically Callable — If the closing price of the Reference Stock on any quarterly Observation Date is greater than or equal to the initial underlying price, we
will automatically call the Notes and pay you the principal amount per Note plus the applicable coupon payment for that date and no further amounts will be owed to you. If the Notes are not called, you may have downside market exposure
to the Reference Stock at maturity.
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£
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Contingent Repayment of Principal at Maturity — If the Notes are not previously called and the price of the Reference Stock does not
close below the conversion price on the final valuation date, we will pay you the principal amount at maturity, and you will not participate in any appreciation or depreciation in the value of the Reference Stock. If the price of
the Reference Stock closes below the conversion price on the final valuation date, we will deliver to you at maturity the share delivery amount for each of your Notes, which is expected to be worth less than your principal amount
and may have no value at all. The contingent repayment of principal only applies if you hold the Notes until maturity. Any payment on the Notes, including any repayment of principal, is subject to our creditworthiness.
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Trade Date
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November 18, 2021
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Settlement Date
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November 23, 2021
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Observation Dates1
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Quarterly
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Final Valuation Date1
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November 18, 2022
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Maturity Date1
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November 23, 2022
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NOTICE TO INVESTORS: THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. WE ARE NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT AT MATURITY,
AND THE NOTES CAN HAVE THE FULL DOWNSIDE MARKET RISK OF THE REFERENCE STOCK. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF ROYAL BANK OF CANADA. YOU SHOULD NOT PURCHASE THE NOTES IF YOU DO
NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS” BEGINNING ON PAGE 6, THE RISKS DESCRIBED UNDER “RISK FACTORS” BEGINNING ON PAGE PS-4 OF THE PRODUCT
PROSPECTUS SUPPLEMENT NO. ABYN-2 AND UNDER “RISK FACTORS” BEGINNING ON PAGE S-2 OF THE PROSPECTUS SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE
MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. IF THE NOTES ARE NOT CALLED, YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT.
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Note Offering
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Reference Stock
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Coupon Rate
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Initial Underlying
Price
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Conversion Price*
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CUSIP
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ISIN
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Common Stock of Ford Motor Company (F)
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5.00% per
annum
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$19.56
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$12.62, which is 64.50% of the initial
underlying price
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78014U806
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US78014U8062
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Price to Public
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Fees and Commissions (1)
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Proceeds to Us
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||||
Offering of the Notes
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Total
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Per Note
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Total
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Per Note
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Total
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Per Note
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Notes linked to the Common Stock of Ford Motor Company
(F)
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$3,005,000
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$1,000
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$37,262
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$12.40
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$2,967,738
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$987.60
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Additional Information About Royal Bank of Canada and the Notes
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♦ |
Product prospectus supplement no. ABYN-2 dated September 17, 2021:
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♦ |
Prospectus supplement dated September 14, 2021:
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♦ |
Prospectus dated September 14, 2021:
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Investor Suitability
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♦ |
You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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♦ |
You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the full downside market risk of an investment in the Reference Stock.
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♦ |
You are willing to accept the risks of investing in equities in general and in the Reference Stock in particular.
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♦ |
You believe the final underlying price of the Reference Stock is not likely to be below the conversion price and, if it is, you can tolerate receiving shares of the Reference Stock at maturity worth less
than your principal amount or that may have no value at all.
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♦ |
You understand and accept that you will not participate in any appreciation in the price of the Reference Stock and that your return on the Notes is limited to the coupons paid.
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♦ |
You are willing to forgo dividends or other benefits of owning shares of the Reference Stock.
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♦ |
You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations of the Reference Stock.
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♦ |
You are willing and able to invest in a security that will be called on any Observation Date on which the closing price of the Reference Stock is greater than or equal to the initial underlying price, and
you are otherwise able to hold the Notes to maturity.
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♦ |
You are willing to invest in Notes for which there may be little or no secondary market and you accept that the secondary market will depend in large part on the price, if any, at which RBC Capital Markets,
LLC, which we refer to as “RBCCM,” is willing to purchase the Notes.
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♦ |
You are willing to invest in the Notes based on the coupon rate set forth on the cover page of this pricing supplement.
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♦ |
You are willing to assume our credit risk for all payments under the Notes, and understand that if we default on our obligations, you may not receive any amounts due to you, including any repayment of principal.
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♦ |
You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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♦ |
You require an investment designed to provide a full return of principal at maturity.
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♦ |
You are unwilling to accept the risks of investing in equities in general or in the Reference Stock in particular.
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♦ |
You are not willing to make an investment that may have the full downside market risk of an investment in the Reference Stock.
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♦ |
You believe that the final underlying price of the Reference Stock is likely to be below the conversion price, which could result in a total loss of your initial investment.
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♦ |
You cannot tolerate receiving shares of the Reference Stock at maturity worth less than your principal amount or that may have no value at all.
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♦ |
You seek an investment that participates in the appreciation in the price of the Reference Stock or that has unlimited return potential.
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♦ |
You want to receive dividends or other distributions paid on the Reference Stock.
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♦ |
You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations of the Reference Stock.
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♦ |
You are unwilling to invest in the Notes based on the coupon rate set forth on the cover page of this pricing supplement.
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♦ |
You seek an investment for which there will be an active secondary market.
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♦ |
You are unable or unwilling to invest in a security that will be called on any Observation Date on which the closing price of the Reference Stock is greater than or equal to the initial underlying price, or
you are otherwise unable or unwilling to hold the Notes to maturity.
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♦ |
You are not willing to assume our credit risk for all payments under the Notes, including any repayment of principal.
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The suitability considerations identified above are not exhaustive. Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting, and other advisers have carefully considered the suitability of an investment in the Notes in light of your particular circumstances. You should also review carefully the “Key Risks” set forth in this pricing supplement and “Risk Factors” in the accompanying product prospectus supplement no. ABYN-2 for risks related to an investment in the Notes. For more information on the Reference Stock, see “Information About the Reference Stock” in this pricing supplement. |
Final Terms of the Notes1
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Issuer:
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Royal Bank of Canada
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Principal Amount per
Note:
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$1,000 per Note
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Term:
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Approximately 12 months, if not previously called
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Reference Stock:
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Ford Motor Company
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Closing Price:
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On any trading day, the last reported sale price of the Reference Stock on the principal national securities exchange on which it is listed for trading, as determined
by the calculation agent.
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Initial Underlying Price:
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The closing price of the Reference Stock on the Trade Date.
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Final Underlying Price:
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The closing price of the Reference Stock on the final valuation date.
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Coupon Payment:
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The coupon payments will be made in 12 equal installments regardless of the performance of the Reference Stock, unless the Notes were earlier called.
The coupon rate per annum is 5.00%.
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1st through 12th
Installment (if not
earlier called)
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Approximately $4.167 per $1,000 in principal amount.
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Coupon Payment Dates:
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Coupons will be paid in arrears in 12 equal monthly installments on the Coupon Payment Dates listed below, unless previously called.
December 22, 2021, January 20, 2022, February 23, 2022, March 22, 2022, April 20, 2022, May 20, 2022, June 23, 2022, July 20, 2022, August 22, 2022, September 21, 2022,
October 20, 2022 and the maturity date.
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Automatic Call Feature:
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The Notes will be automatically called if the closing price of the Reference Stock on any quarterly Observation Date is greater than or equal to the initial underlying
price.
If the Notes are called, we will pay you on the corresponding Coupon Payment Date (which will be the “Call Settlement Date”) a cash payment per Note equal to the
principal amount per Note plus the applicable coupon payment otherwise due on that day. No further amounts will be owed to you under the Notes.
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Observation Dates:
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February 18, 2022, May 18, 2022, August 18, 2022 and November 18, 2022 (the final valuation date).
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Call Settlement Dates:
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Two business days following the relevant Observation Date, except that the Call Settlement Date for the final valuation date
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1 |
Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the product prospectus supplement.
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2
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If you receive the share delivery amount at maturity, we will pay cash in lieu of delivering any fractional shares in an amount equal to that fraction
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will be the Maturity Date. Each Call Settlement Date will occur on a Coupon Payment Date for the Notes.
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Payment at Maturity:
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➢ If the Notes
are not automatically called prior to maturity, and the final underlying price of the Reference Stock is not below the conversion price on the final valuation date, we will pay you at maturity an amount in cash equal to $1,000 for
each $1,000 principal amount of the Notes, plus accrued and unpaid interest.
➢ If the Notes
are not automatically called prior to maturity, and the final underlying price of the Reference Stock is below the conversion price on the final valuation date, we will deliver to you at maturity a number of shares of the Reference
Stock equal to the share delivery amount (subject to adjustments) for each Note you own plus accrued and unpaid interest. The share delivery amount is expected to be worth less than the principal
amount and may have a value equal to $0.
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Share Delivery Amount:2
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79.2393 shares of the Reference Stock per $1,000 principal amount Note equal to $1,000 divided by the conversion price, as determined on the Trade Date. The share
delivery amount is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “General Terms of the Notes — Anti-dilution Adjustments” in product prospectus supplement no. ABYN-2.
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Conversion Price:
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64.50% of the initial underlying price, as set forth on the cover page of this document (as may be adjusted in the case of certain adjustment events as described under
“General Terms of the Notes — Anti-dilution Adjustments” in the product prospectus supplement).
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Investment Timeline
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Trade
Date:
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The closing price of the Reference Stock (initial underlying price) was observed, and the conversion price and share delivery amount were determined.
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Monthly
(including at
Maturity):
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We pay the applicable coupon payments.
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Quarterly:
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The Notes will be automatically called if the closing price of the Reference Stock on any Observation Date is greater than or equal to the initial underlying price. If the Notes are called, we will pay you
on the applicable Call Settlement Date a cash payment per Note equal to the principal amount of the Notes plus the applicable coupon payment otherwise due on that day and no further amounts will be due to you under the Notes.
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Maturity Date:
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If the Notes have not been previously called, the final underlying price is determined as of the final valuation date.
If the final underlying price is not below the conversion price on the final valuation date, we will pay you an amount in cash equal to $1,000 for each $1,000 principal amount of the Notes plus the
final coupon.
If the final underlying price is below the conversion price on the final valuation date, we will deliver to you a number of shares of the Reference Stock equal to the share delivery amount for each Note you
own, plus the final coupon.
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Key Risks
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♦ |
Your Investment in the Notes May Result in a Loss — The Notes differ from ordinary debt securities in that we will not necessarily pay the full principal amount of the
Notes at maturity. At maturity, if the Notes have not been previously called, we will only pay you the principal amount of your Notes if the final underlying price of the Reference Stock is greater than or equal to the conversion price. If
the final underlying price of the Reference Stock is below the conversion price, we will deliver to you a number of shares of the Reference Stock equal to the share delivery amount for each Note you then own. Therefore, if the Notes are not
automatically called and the final underlying price of the Reference Stock is below the conversion price, the value of the share delivery amount will decline by a proportionately higher percentage for each additional percentage the
Reference Stock declines below the conversion price. Because the conversion price is 64.50% of the initial underlying price, if the final underlying price is less than the conversion price, you will lose approximately 1.55% of your $1,000
principal amount Note at maturity for each additional 1% that the final underlying price is less than the conversion price, as measured from the initial underlying price. If you receive shares of the Reference Stock at maturity, you will be
exposed to any further decrease in the price of the Reference Stock from the final valuation date to the maturity date, and the value of those shares is expected to be less than the principal amount of the Notes or may have no value at all.
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♦ |
The Coupon Rate Per Annum Payable on the Notes Will Reflect in Part the Volatility of the Reference Stock, and May Not Be Sufficient to Compensate You for the Risk of Loss at
Maturity — “Volatility” refers to the frequency and magnitude of changes in the price of the Reference Stock. The greater the volatility of the Reference Stock, the more likely it is that the price of that stock could close below
its conversion price on the final valuation date, which would result in the loss of some or all of your principal. This risk will generally be reflected in a higher coupon rate per annum payable on the Notes than the interest rate payable
on our conventional debt securities with a comparable term and/or a lower conversion price than on otherwise comparable securities. Therefore a relatively higher coupon rate may indicate an increased risk of loss. Further, a relatively
lower conversion price may not necessarily indicate that the Notes have a greater likelihood of a return of principal at maturity. However, while the coupon rate and the conversion price were set on the Trade Date, the Reference Stock’s
volatility can change significantly over the term of the Notes, and may increase. The price of the Reference Stock could fall sharply as of the final valuation date, which could result in a significant loss of principal.
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♦ |
The Contingent Repayment of Principal Applies Only at Maturity — If the Notes are not automatically called, you should be willing to hold your Notes to maturity. If you
are able to sell your Notes prior to maturity in the secondary market, if any, you may have to do so at a loss relative to your initial investment, even if the price of the Reference Stock is above the conversion price.
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♦ |
The Notes Are Subject to Reinvestment Risk — If your Notes are automatically called prior to the Maturity Date, no further payments will be owed to you under the Notes.
Therefore, because the Notes could be called as early as the first Observation Date, the holding period over which you would receive the coupon payments could be as little as three months. There is no guarantee that you would be able to
reinvest the proceeds from an investment in the Notes at a comparable return for a similar level of risk in the event the Notes are automatically called prior to the Maturity Date.
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♦ |
An Investment in the Notes Is Subject to Our Credit Risk — The Notes are our unsubordinated, unsecured debt obligations, and are not, either directly or indirectly, an
obligation of any third party. Any payments to be made on the Notes, including payments in respect of an automatic call, coupon payments and any repayment of principal provided at maturity, depends on our ability to satisfy our obligations
as they come due. As a result, our actual and perceived creditworthiness may affect the market value of the Notes and, in the event we were to default on our obligations, you may not receive any amounts owed to you under the terms of the
Notes and you could lose your entire investment.
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♦ |
The Notes Will Be Subject to Risks, Including Non-Payment in Full, Under Canadian Bank Resolution Powers — Under Canadian bank resolution powers, the Canada Deposit
Insurance Corporation (“CDIC”) may, in circumstances where we have ceased, or are about to cease, to be viable, assume temporary control or ownership over us and may be granted broad powers by one or more orders of the Governor in Council
(Canada), including the power to sell or dispose of all or a part of our assets, and the power to carry out or cause us to carry out a transaction or a series of transactions the purpose of which is to restructure our business. See
“Description of Debt Securities — Canadian Bank Resolution Powers” in the accompanying prospectus for a description of the Canadian bank resolution powers, including the bail-in regime. If the CDIC
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♦ |
Holders of the Notes Should Not Expect to Participate in any Appreciation of the Reference Stock, and Your Potential Return on the Notes Is Expected to Be Limited to the Coupon
Payments Paid on the Notes — Despite being exposed to the risk of a decline in the price of the Reference Stock, you should not expect to participate in any appreciation in the price of the Reference Stock. Any positive return on
the Notes is expected to be limited to the coupon rate per annum. Accordingly, if the Notes are called prior to maturity, you will not participate in any of the Reference Stock's appreciation and your return will be limited to the principal
amount plus the Coupons paid up to and including the Call Settlement Date. Similarly, if the Notes are not called prior to the final valuation date and the final underlying price is greater than the initial underlying price, your return on
the Notes at maturity may be less than your return on a direct investment in the Reference Stock or on a similar security that allows you to participate in the appreciation of the price of the Reference Stock. In contrast, if the final
underlying price is less than the conversion price, you will be exposed to the decline of the Reference Stock and we will deliver to you at maturity for each Note you own shares of the Reference Stock which are expected to be worth less
than the principal amount as of the maturity date, in which case you may lose your entire investment. As a result, any positive return on the Notes is expected to be limited to the coupon rate per annum. In addition, if the Notes have not
been previously called and if the price of the Reference Stock is less than the initial underlying price, as the maturity date approaches and the remaining number of Observation Dates decreases, the Notes are less likely to be automatically
called, as there will be a shorter period of time remaining for the price of that Reference Stock to increase to the initial underlying price.
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♦ |
There Can Be No Assurance that the Investment View Implicit in the Notes Will Be Successful — It is impossible to predict whether and the extent to which the price of the
Reference Stock will rise or fall. The closing price of the Reference Stock will be influenced by complex and interrelated political, economic, financial and other factors that affect the Reference Stock. You should be willing to accept the
downside risks of owning equities in general and the Reference Stock in particular, and the risk of losing some or all of your initial investment.
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♦ |
The Tax Treatment of the Notes Is Uncertain — Significant aspects of the tax treatment of an investment in the Notes are uncertain. You should consult your tax adviser
about your tax situation.
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♦ |
The Initial Estimated Value of the Notes Is Less than the Price to the Public — The initial estimated value for the Notes that is set forth on the cover page of this
pricing supplement is less than the public offering price you pay for the Notes, does not represent a minimum price at which we, RBCCM or any of our other affiliates would be willing to purchase the Notes in any secondary market (if any
exists) at any time. If you attempt to sell the Notes prior to maturity, their market value may be lower than the price you paid for them and the initial estimated value. This is due to, among other things, changes in the price of the
Reference Stock, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to public of the underwriting discount and our estimated profit and the costs relating to our hedging of the Notes. These factors,
together with various credit, market and economic factors over the term of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any secondary market and will affect the value of the Notes in complex and
unpredictable ways. Assuming no change in market conditions or any other relevant factors, the price, if any, at which you may be able to sell your Notes prior to maturity may be less than the price to public, as any such sale price would
not be expected to include the underwriting discount and our estimated profit and the costs relating to our hedging of the Notes. In addition, any price at which you may sell the Notes is likely to reflect customary bid-ask spreads for
similar trades. In addition to bid-ask spreads, the value of the Notes determined for any secondary market price is expected to be based on a secondary market rate rather than the internal borrowing rate used to price the Notes and
determine the initial estimated value. As a result, the secondary market price will be less than if the internal borrowing rate was used. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and
willing to hold your Notes to maturity.
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♦ |
Our Initial Estimated Value of the Notes Is an Estimate Only, Calculated as of the Time the Terms of the Notes Were Set — The initial estimated value of the Notes is based
on the value of our obligation to make the payments on the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes. See “Structuring the Notes” below. Our estimate is based on a variety of assumptions,
including our credit spreads, expectations as to dividends, interest rates and volatility, and the expected term of the Notes. These assumptions are based on certain forecasts about future events, which may prove to be incorrect. Other
entities may value the Notes or similar securities at a price that is significantly different than we do.
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♦ |
The Notes Are Expected to Have a Limited Trading Market — The Notes will not be listed on any securities exchange. RBCCM intends to offer to purchase the Notes in the
secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the
Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which RBCCM is willing to buy the Notes.
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♦ |
The Terms of the Notes at Issuance and Their Market Value Prior to Maturity Will Be Influenced by Many Unpredictable Factors — Many economic and market factors influenced
the terms of the Notes at issuance and their value prior to maturity. These factors are similar in some ways to those that could affect the value of a combination of instruments that might be used to replicate the payments on the Notes,
including a combination of a bond with one or more options or other derivative instruments. For the market value of the Notes, we expect that, generally, the price of the Reference Stock on any day will affect the value of the Notes more
than any other single factor. However, you should not expect the value of the Notes in the secondary market to vary in proportion to changes in the price of the Reference Stock. The value of the Notes will be affected by a number of other
factors that may either offset or magnify each other, including:
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♦ |
the actual and expected volatility of the price of the Reference Stock;
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♦ |
the time remaining to maturity of the Notes;
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♦ |
the dividend rate on the Reference Stock;
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♦ |
interest and yield rates in the market generally;
|
♦ |
a variety of economic, financial, political, regulatory or judicial events;
|
♦ |
the occurrence of certain events relating to the Reference Stock that may or may not require an adjustment to the terms of the Notes; and
|
♦ |
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
♦ |
An Investment in the Notes Is Subject to Single Stock Risk — The price of the Reference Stock can rise or fall sharply due to factors specific to that Reference Stock and
its issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general stock market
volatility and levels, interest rates and economic and political conditions. You, as an investor in the Notes, should make your own investigation into the Reference Stock issuer and the Reference Stock for your Notes. For additional
information about the Reference Stock and its issuer, please see “Information about the Reference Stock” in this pricing supplement and the Reference Stock issuer’s SEC filings referred to in those sections. We urge you to review financial and other information filed periodically by the Reference Stock issuer with the SEC.
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♦ |
Owning the Notes Is Not the Same as Owning the Reference Stock — The return on your Notes may not reflect the return you would realize if you actually owned the Reference
Stock. For instance, you will not receive or be entitled to receive any dividend payments or other distributions over the term of the Notes. As an owner of the Notes, you will not have voting rights or any other rights that holders of the
Reference Stock may have. Further, the Reference Stock may appreciate over the term of the Notes and you will not participate in any such appreciation, which could be significant, even though you may be exposed to the decline of the
Reference Stock at maturity.
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♦ |
There Is No Affiliation Between the Reference Stock Issuer and Us, UBS and Our Respective Affiliates, and We Are Not Responsible for Any Disclosure by that Issuer — We, UBS
and our respective affiliates are not affiliated with the Reference Stock issuer. However, we, UBS and our respective affiliates may currently, or from time to time in the future engage in
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♦ |
The Anti-Dilution Protection for the Reference Stock Is Limited — The calculation agent will make adjustments to the initial underlying price and the conversion price for
certain events affecting the shares of the Reference Stock. However, the calculation agent will not be required to make an adjustment in response to all events that could affect the Reference Stock. If an event occurs that does not require
the calculation agent to make an adjustment, the value of the Notes and the payments on the Notes may be materially and adversely affected.
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♦ |
Our Activities and Those of UBS May Adversely Affect the Value of the Notes — Trading or other transactions by us, UBS and our respective affiliates in the Reference
Stock, or in futures, options, exchange-traded funds or other derivative products on the Reference Stock may adversely affect the market value of the Reference Stock, the closing price of the Reference Stock, and, therefore, the market
value of the Notes.
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♦ |
We and Our Affiliates Will Have Potential Conflicts of Interest in Connection with the Notes — We and our affiliates play a variety of roles in connection with the
issuance of the Notes, including hedging our obligations under the Notes. 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.
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♦ |
Potentially Inconsistent Research, Opinions or Recommendations by RBCCM, UBS or Their Respective Affiliates May Adversely Affect the Value of the Notes — RBCCM, UBS or
their respective affiliates may publish research, express opinions or provide recommendations as to the Reference Stock that are inconsistent with investing in or holding the Notes, and which may be revised at any time. Any such research,
opinions or recommendations could affect the value of the Reference Stock, and therefore, the market value of the Notes.
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Hypothetical Examples
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Principal Amount:
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$1,000
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|
Term:
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Approximately 12 months
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|
Observation Dates
|
Quarterly
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Hypothetical initial underlying price of the Reference Stock*:
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$10.00 per share
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Hypothetical conversion price*:
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$6.45 (which is 64.50% of the hypothetical initial underlying price)
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Hypothetical share delivery amount*:
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155.04 shares per Note ($1,000 / conversion price of $6.45) (rounded
to two decimal places)
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|
Coupon rate per annum**:
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5% (approximately $4.167 per month)
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|
Hypothetical dividend yield on the Reference Stock***:
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1.50% over the term of the Notes (1.50% per annum)
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Payment upon automatic call:
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$1,000
|
|
Coupons:
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$12.50 ($4.167 x 3 = approximately $12.50)
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Total:
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$1,012.50
|
|
Total Return on the Notes:
|
1.25%
|
Payment upon automatic call:
|
$1,000
|
|
Coupons:
|
$37.50 ($4.167 x 9 = approximately $37.50)
|
|
Total:
|
$1,037.50
|
|
Total Return on the Notes:
|
3.750%
|
Payment at Maturity:
|
$1,000
|
|
Coupons:
|
$50.00 ($4.167 x 12 = approximately $50.00)
|
|
Total:
|
$1,050.00
|
|
Total Return on the Notes:
|
5.00%
|
Payment at Maturity:
|
$1,000
|
|
Coupons:
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$50.00 ($4.167 x 12 = approximately $50.00)
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Total:
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$1,050.00
|
|
Total Return on the Notes:
|
5.00%
|
Value of shares received:
|
$620.16 (155.04 shares x $4.00)
|
|
Coupons:
|
$50.00 ($4.167 x 12 = approximately $50.00)
|
|
Total:
|
$670.16
|
|
Total Return on the Notes:
|
-32.984%
|
Hypothetical Return Table at Maturity
|
Principal Amount:
|
$1,000
|
|
Term:
|
Approximately 12 months
|
|
Observation Dates:
|
Quarterly
|
|
Hypothetical initial underlying price of the Reference Stock*:
|
$10.00 per share
|
|
Hypothetical conversion price*:
|
$6.45 (which is 64.50% of the hypothetical initial underlying price)
|
|
Hypothetical share delivery amount*:
|
155.04 shares per Note ($1,000 / conversion price of $6.45) (rounded to two decimal places)
|
|
Coupon rate per annum**:
|
5% (approximately $4.167 per month)
|
|
Hypothetical dividend yield on the Reference Stock***:
|
1.50% over the term of the Notes (1.50% per annum)
|
Reference Stock
|
Conversion Event Does Not Occur(1) and
There Was No Prior Automatic Call
|
Conversion Event Occurs(2) and There Was No Prior Automatic
Call
|
|||||
Final Underlying
Price(3)
|
Stock Price Return
|
Total Return on the
Reference Stock at
Maturity(4)
|
Payment at
Maturity + Coupon
Payments(5)
|
Total Return on the
Notes at Maturity(6)
|
Value of the Share
Delivery Amount(7)
|
Payment at
Maturity + Coupon
Payments(8)
|
Total Return on the
Notes at Maturity(6)
|
$15.00
|
50.00%
|
51.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$14.50
|
45.00%
|
46.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$14.00
|
40.00%
|
41.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$13.50
|
35.00%
|
36.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$12.50
|
25.00%
|
26.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$12.00
|
20.00%
|
21.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$11.50
|
15.00%
|
16.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$11.00
|
10.00%
|
11.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$10.50
|
5.00%
|
6.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$10.00
|
0.00%
|
1.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$9.50
|
-5.00%
|
-3.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$9.00
|
-10.00%
|
-8.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$8.50
|
-15.00%
|
-13.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$8.00
|
-20.00%
|
-18.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$7.50
|
-25.00%
|
-23.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$7.00
|
-30.00%
|
-28.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$6.50
|
-35.00%
|
-33.50%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$6.45
|
-35.50%
|
-34.00%
|
$1,050.00
|
5.00%
|
n/a
|
n/a
|
n/a
|
$6.00
|
-40.00%
|
-38.50%
|
n/a
|
n/a
|
$930.24
|
$980.24
|
-1.98%
|
$5.50
|
-45.00%
|
-43.50%
|
n/a
|
n/a
|
$852.72
|
$902.72
|
-9.73%
|
$5.00
|
-50.00%
|
-48.50%
|
n/a
|
n/a
|
$775.20
|
$825.20
|
-17.48%
|
$4.50
|
-55.00%
|
-53.50%
|
n/a
|
n/a
|
$697.68
|
$747.68
|
-25.23%
|
$4.00
|
-60.00%
|
-58.50%
|
n/a
|
n/a
|
$620.16
|
$670.16
|
-32.98%
|
$3.50
|
-65.00%
|
-63.50%
|
n/a
|
n/a
|
$542.64
|
$592.64
|
-40.74%
|
$3.00
|
-70.00%
|
-68.50%
|
n/a
|
n/a
|
$465.12
|
$515.12
|
-48.49%
|
What Are the Tax Consequences of the Notes?
|
Reference Stock
|
Coupon Rate per Annum
|
Interest on Debt Component
per Annum
|
Put Option Component per
Annum
|
|
Ford Motor Company (F)
|
5.00%
|
0.25%
|
4.75%
|
Information About the Reference Stock
|
Ford Motor Company
|
■ conversion price = 64.50% of the initial underlying price
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
Structuring the Notes
|
Terms Incorporated in Master Note
|
Validity of the Notes
|