ISSUER FREE WRITING PROSPECTUS
Filed Pursuant to Rule 433
Registration Statement No. 333-259205
Dated May 16, 2022
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Investment Description
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Features
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Key Dates
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☐ |
Enhanced Growth Potential Up to the Maximum Gain — At maturity, if the Percentage Change is above -2%, we will pay you the principal amount plus a leveraged positive
return as described in this document, up to the Maximum Gain.
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☐ |
Contingent Repayment of Principal — If the Percentage Change is negative, but not below -7%, we will repay at least your principal amount. However, if the Percentage
Change is below -7%, but at or above -27%, we will pay less than the full principal amount, resulting in a leveraged loss of principal based on the percentage decline in the Underlying in excess of 7%. Further, if the Percentage Change
is below -27%, we will pay less than the full principal amount, resulting in a loss of principal that is proportionate to the percentage decline in the Underlying. Accordingly, you may lose up to 100% of the principal amount.
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Trade Date1
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May 16, 2022
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Initial Valuation Period1
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May 13, 2022 to June 22, 2022
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Settlement Date1
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May 19, 2022
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Final Valuation Period2
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March 29, 2028 to June 28, 2028
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Maturity Date2
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July 3, 2028
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1 |
Expected. If we make any change to the expected Trade Date and Settlement Date, the starting and ending dates of the Initial Valuation Period and the Final Valuation Period, and the Maturity Date, may be
changed so that the stated term of the Securities remains approximately the same.
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2 |
Subject to postponement if a market disruption event occurs, as described under “General Terms of the Securities — Payment at Maturity” in the accompanying product prospectus supplement UBS-IND-1.
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NOTICE TO INVESTORS: THE SECURITIES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. WE ARE NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT AT
MATURITY, AND THE SECURITIES CAN HAVE THE DOWNSIDE MARKET RISK THAT IS SIMILAR TO THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING OUR DEBT OBLIGATION. YOU SHOULD NOT PURCHASE THE SECURITIES IF
YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE SECURITIES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS” BEGINNING ON PAGE 6 OF THIS FREE WRITING PROSPECTUS AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-4 OF
THE ACCOMPANYING PRODUCT PROSPECTUS SUPPLEMENT UBS-IND-1 BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR
SECURITIES. YOU COULD LOSE UP TO 100% OF THE PRINCIPAL AMOUNT OF THE SECURITIES.
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Security Offering
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Underlying
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Maximum Gain
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Initial Underlying Level
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Downside Threshold
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Buffer Level
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CUSIP
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ISIN
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Russell 2000® Index (the “RTY”)
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99.70%
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To be determined after the Initial Valuation Period
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73% of the Initial Underlying Level
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93% of the Initial Underlying Level
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78016C853
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US78016C8534
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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 Securities
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Total
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Per Security
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Total
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Per Security
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Total
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Per Security
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Securities Linked to the Russell 2000® Index
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•
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$10.00
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•
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$0.025
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•
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$9.975
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UBS Financial Services Inc.
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RBC Capital Markets, LLC
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Additional Information About Royal Bank of Canada and the Securities
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♦
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Product prospectus supplement UBS-IND-1 dated September 14, 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 Securities, including the risk of loss of a substantial portion of your investment.
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♦ |
You can tolerate the loss of up to 100% of the principal amount of the Securities and are willing to make an investment that has potential leveraged downside market risk as compared to a hypothetical
investment in the Underlying.
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♦ |
You believe that the level of the Underlying will appreciate over the term of the Securities and that the return on the Securities, when calculated as described in this document, is will not exceed the
Maximum Gain.
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♦ |
You understand and accept that your potential return is limited by the Maximum Gain.
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You would be willing to invest in the Securities based on the Maximum Gain set forth on the cover page of this free writing prospectus.
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You can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the level of the Underlying.
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You do not seek current income from your investment and are willing to forgo dividends paid on the securities represented by the Underlying.
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You are willing to hold the Securities to maturity and accept that there may be little or no secondary market for the Securities.
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You are willing to assume our credit risk for all payments under the Securities, 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 fully understand and accept the risks associated with the Underlying.
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♦ |
You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of a substantial portion of your investment.
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♦ |
You cannot tolerate the loss of up to 100% of the principal amount of the Securities, and you are not willing to make an investment that has potential leveraged downside market risk as compared to a
hypothetical investment in the Underlying.
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♦ |
You believe that the level of the Underlying will decline over the term of the Securities, or you believe the level of the Underlying will appreciate over the term of the Securities so that, when applied to
the return formula described in this document, it will exceed the Maximum Gain.
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♦ |
You seek an investment that has unlimited return potential without a cap on appreciation.
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You would be unwilling to invest in the Securities based on the Maximum Gain set forth on the cover page of this free writing prospectus.
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You cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the level of the Underlying.
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You seek current income from this investment or prefer to receive the dividends paid on the securities represented by the Underlying.
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You are unable or unwilling to hold the Securities to maturity or you seek an investment for which there will be an active secondary market.
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You are not willing to assume our credit risk for all payments under the Securities, including any repayment of principal.
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You do not fully understand and accept the risks associated with the Underlying.
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The suitability considerations identified above are not exhaustive. Whether or not the Securities 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 Securities in
light of your particular circumstances. You should also review carefully the “Key Risks” in this free writing prospectus and “Risk Factors” in the accompanying product prospectus supplement UBS-IND-1 for risks related to an investment
in the Securities. In addition, you should review carefully the section below, “Information About the Underlying,” for more information about the Underlying.
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Indicative Terms of the Securities
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Issuer:
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Royal Bank of Canada
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Issue Price:
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$10 per Security (subject to a minimum purchase of 100 Securities).
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Principal Amount:
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$10 per Security.
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Term2:
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Approximately 6 years and 2 months
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Underlying:
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Russell 2000® Index
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Maximum Gain:
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99.70%, or $19.97 per $10 security
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Payment at
Maturity (per
$10.00 Security):
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If the Percentage Change is greater than or equal to 18%, we will pay you:
$10 + [$10 x (((Percentage Change -18%) x 2.0664) + 33.58%)]. However, the payment on the Securities will not
exceed the Maximum Gain.
If the Percentage Change is greater than -2%, but less than 18%, we will pay you:
$10 + [$10 x (Percentage Change + 2%) x 1.6788]
If the Percentage Change is greater than or equal to -7%, but less than or equal to -2%, we will pay you:
$10
If the Percentage Change is greater than or equal to -27%, but less than -7%, we will pay you:
$10 + [$10 x (Percentage Change + 7%) x Downside Gearing]
In this scenario, you will lose some or a significant portion of the principal amount of the Securities, and you will lose 1.35% of the principal amount for each 1%
that the Final Underlying Level is less than the Buffer Level.
If the Percentage Change is less than -27%, we will pay you:
$10 + ($10 x Percentage Change)
In this scenario, you will lose some or all of the principal amount of the Securities, and you will lose 1% of the principal amount for each 1% that the Final
Underlying Level is less than the Initial Underlying Level.
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Percentage
Change:
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Final Underlying Level – Initial Underlying Level
Initial Underlying Level
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Initial Underlying
Level:
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The average of the closing levels of the Underlying on each trading day during the Initial Valuation Period.
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Initial Valuation
Period:
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May 13, 2022 to June 22, 2022, inclusive
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Final Underlying
Level:
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The average of the closing levels of the Underlying on each trading day during the Final Valuation Period.
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Final Valuation
Period:
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March 29, 2028 to June 28, 2028, inclusive.
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Market Disruption
Events:
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If a market disruption event occurs on any trading day during the Initial Valuation Period or the Final Valuation Period, the closing level of the Underlying on that day may be disregarded
by the Calculation Agent in the determination of the Initial Underlying Level or Final Underlying Level, as applicable. Alternatively, the Calculation Agent may postpone the determination of the closing level of the Underlying on that
trading day until the next scheduled trading day on which a market disruption event does not occur or is not occurring.
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Downside
Gearing:
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1.35
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Downside
Threshold:
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73% of the Initial Underlying Level.
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Buffer Level:
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93% of the Initial Underlying Level
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1 |
Terms used in this free writing prospectus, but not defined herein, shall have the meanings ascribed to them in the product prospectus supplement.
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2 |
If we make any change to the expected Trade Date and Settlement Date, the starting and ending dates of the Initial Valuation Period and the Final Valuation Period, and the Maturity Date, may be changed to ensure
that the stated term of the Securities remains approximately the same.
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Investment Timeline
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Initial
Valuation
Period
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The Initial Underlying Level and Downside Threshold are determined.
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Final
Valuation
Period:
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The Final Underlying Level is determined.
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Maturity
Date: |
Your payment at maturity per $10.00 Security will be equal to:
If the Percentage Change is greater than or equal to 18%, we will pay you:
$10 + [$10 x (((Percentage Change -18%) x 2.0664) + 33.58%)]. However, the payment on the Securities will not
exceed the Maximum Gain.
If the Percentage Change is greater than -2%, but less than 18%, we will pay you:
$10 + [$10 x (Percentage Change + 2%) x 1.6788]
If the Percentage Change is greater than or equal to -7%, but less than or equal to -2%, we will pay you:
$10
If the Percentage Change is greater than or equal to -27%, but less than -7%, we will pay you:
$10 + [$10 x (Percentage Change + 7%) x Downside Gearing]
If the Percentage Change is less than -27%, we will pay you:
$10 + ($10 x Percentage Change)
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Key Risks
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♦ |
Your Investment in the Securities May Result in a Loss of Principal — The Securities differ from ordinary debt securities in that we are not necessarily obligated to repay
the full principal amount of the Securities at maturity. The return on the Securities at maturity is linked to the performance of the Underlying and will depend on whether, and the extent to which, the Percentage Change is positive or
negative. If the Final Underlying Level is less than or equal to 93% of the Initial Underlying Level (but greater than or equal to 73% of the Initial Underlying Level), you will be exposed to any negative Percentage Change beyond the Buffer
Level on a 1.35 times leveraged basis, and we will pay you less than your principal amount at maturity. Further, if the Final Underlying Level is less than the Downside Threshold, you will be exposed to any negative Percentage Change, and
we will pay you less than your principal amount at maturity, resulting in a loss of up to 100% of the principal of your Securities.
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♦ |
The Contingent Repayment of Principal Applies Only if You Hold the Securities to Maturity — You should be willing to hold your Securities to maturity. If you are able to
sell your Securities prior to maturity in the secondary market, you may have to sell them at a loss even if the level of the Underlying is above the Buffer Level at the time of sale.
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♦ |
The Payout at Maturity Described in this Document Applies Only if You Hold the Securities to Maturity — The application of the upside leverage described in this document
only applies at maturity. If you are able to sell your Securities prior to maturity in the secondary market, the price you receive will likely not reflect the full effect of that upside leverage.
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♦ |
The Appreciation Potential of the Securities Is Limited by the Maximum Gain — If the Percentage Change is above -2%, we will pay
you $10 per Security at maturity plus an additional return that will not exceed the Maximum Gain, regardless of the extent of any appreciation in the Underlying. Therefore, you will not benefit from any appreciation of the Underlying in
excess of an amount that, when the return formula described in this document is applied, exceeds the Maximum Gain. In addition, your return on the Securities may be less than your return would be on a hypothetical direct investment in the
component stocks of the Underlying.
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♦ |
The Securities Do Not Pay Interest — We will not pay any interest with respect to the Securities. You will not receive any payments on the Securities prior to maturity.
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♦ |
You Will Not Know the Initial Underlying Level Until After the Trade Date - The Initial Underlying Level will be determined after the Trade Date, and will not be known
until the end of trading on the last trading day of the Initial Valuation Period. Accordingly, you will not know the Initial Underlying Level until after you make your investment decision relating to the Securities. Similarly, you will not
know the applicable Downside Threshold until the Initial Underlying Level is determined.
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♦ |
The Initial Underlying Level, the Final Underlying Level, and Consequently, the Payment at Maturity, Will Be Based on Averaging over Valuation Periods — Because your
payment at maturity is based on the Initial Underlying Level and the Final Underlying Level, which are the arithmetic average of the closing levels of the Underlying each trading day during the Initial Valuation Period and the Final
Valuation Period, respectively, your return on the Securities may be lower than the percentage change in the level of the Underlying from, for example, May 13, 2022 to the last trading day in the Final Valuation Period, and could be
negative even if the level of the Underlying remained flat or appreciated between those two dates. Additionally, the secondary market value of the Securities, if any, may be adversely impacted by changes in the closing level of the
Underlying on any previous trading day during the Initial Valuation Period and the Final Valuation Period, in that those levels will impact the amount payable at maturity.
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♦ |
An Investment in the Securities Is Subject to Our Credit Risk — The Securities are our unsubordinated, unsecured debt obligations, and are not, either directly or
indirectly, an obligation of any third party. Any payment to be made on the Securities, including any repayment of principal at maturity, depends on our ability to satisfy our obligations as they come due. As a result, our actual and
perceived creditworthiness
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♦ |
The Securities 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 were to take action under the Canadian
bank resolution powers with respect to us, holders of the Securities could be exposed to losses.
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♦ |
Your Return on the Securities May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity — The return that you will receive on the Securities,
which could be negative, may be less than the return you could earn on other investments. Even if your return is positive, your return may be less than the return you could earn if you purchased one of our conventional senior interest
bearing debt securities with the same maturity date or if you were able to invest directly in the Underlying or the securities included in the Underlying. Your investment may not reflect the full opportunity cost to you when you take into
account factors that affect the time value of money.
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♦ |
Holders of the Securities Will Not Receive Any Dividend Payments or Have Any Voting Rights — Investing in the Securities is not equivalent to investing directly in any of
the component securities of the Underlying. As a holder of the Securities, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the equity securities represented by the
Underlying would have. The Underlying is a price return index, and the Percentage Change excludes any cash dividend payments paid on its component stocks.
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♦ |
The Tax Treatment of the Securities Is Uncertain — Significant aspects of the tax treatment of an investment in the Securities are uncertain. You should consult your tax
adviser about your tax situation.
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♦ |
The Initial Estimated Value of the Securities Will Be Less than the Price to the Public — The initial estimated value that will be set forth in the final pricing
supplement for the Securities, will be less than the public offering price you pay for the Securities, does not represent a minimum price at which we, RBCCM or any of our other affiliates would be willing to purchase the Securities in any
secondary market (if any exists) at any time. If you attempt to sell the Securities 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 level of the Underlying, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to the public of the underwriting discount and our estimated profit and the costs relating to our hedging of
the Securities. These factors, together with various credit, market and economic factors over the term of the Securities, are expected to reduce the price at which you may be able to sell the Securities in any secondary market and will
affect the value of the Securities 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 Securities 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 or our estimated profit and the costs relating to our hedging of the Securities. In addition, any price at which you may sell the
Securities is likely to reflect customary bid-ask spreads for similar trades. In addition to bid-ask spreads, the value of the Securities 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 Securities and determine the initial estimated value. As a result, the secondary price will be less than if the internal borrowing rate was used. The Securities are not designed to be
short-term trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity.
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♦ |
Our Initial Estimated Value of the Securities Is an Estimate Only, Calculated as of the Time the Terms of the Securities Are Set — The initial estimated value of the
Securities is based on the value of our obligation to make the payments on the Securities, together with the mid-market value of the derivative embedded in the terms of the Securities. See “Structuring the Securities” below. Our estimate is
based on a variety of
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♦ |
The Securities Are Expected to Have a Limited Trading Market — The Securities will not be listed on any securities exchange. RBC Capital Markets, LLC (“RBCCM”) intends to
offer to purchase the Securities 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 Securities easily. Because other dealers are
not likely to make a secondary market for the Securities, the price at which you may be able to trade your Securities is likely to depend on the price, if any, at which RBCCM is willing to buy the Securities.
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♦ |
The Terms of the Securities at Issuance and Their Market Value Prior to Maturity Will Be Influenced by Many Unpredictable Factors — Many economic and market factors will
influence the terms of the Securities at issuance and will affect 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 Securities, including a combination of a bond with one or more options or other derivative instruments. For the market value of the Securities, we expect that, generally, the level of the Underlying on any day will affect
the value of the Securities more than any other single factor. However, you should not expect the value of the Securities in the secondary market to vary in proportion to changes in the level of the Underlying. The value of the Securities
will be affected by a number of other factors that may either offset or magnify each other, including:
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♦ |
the actual or expected volatility of the Underlying;
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♦ |
the time remaining to maturity of the Securities;
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♦ |
the dividend rates on the equity securities included in the Underlying;
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♦ |
interest and yield rates in the market generally, as well as in each of the markets of the equity securities included in the Underlying;
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♦ |
a variety of economic, financial, political, regulatory or judicial events; and
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♦ |
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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♦ |
An Investment in the Securities Is Subject to Risks Associated with Investing in Stocks with a Small Market Capitalization —The stocks that constitute the Underlying are
issued by companies with relatively small market capitalization. These companies often have greater stock price volatility, lower trading volume and less liquidity than large capitalization companies. As a result, the Underlying may be more
volatile than that of an equity index that does not track solely small capitalization stocks. Stock prices of small capitalization companies are also generally more vulnerable than those of large capitalization companies to adverse business
and economic developments, and the stocks of small capitalization companies may be thinly traded, and be less attractive to many investors if they do not pay dividends. In addition, small capitalization companies are typically less
well-established and less stable financially than large capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of those individuals. Small capitalization companies tend to have lower
revenues, less diverse product lines, smaller shares of their target markets, fewer financial resources and fewer competitive
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♦ |
Changes Affecting the Underlying May Adversely Impact the Payment on the Securities — The policies of the index sponsor concerning additions, deletions and substitutions
of the stocks included in the Underlying and the manner in which the index sponsor takes account of certain changes affecting those stocks included in the Underlying may adversely affect its level. The policies of the index sponsor with
respect to the calculation of the Underlying could also adversely affect its level. The index sponsor may discontinue or suspend calculation or dissemination of the Underlying and has no obligation to consider your interests in the
Securities when taking any action regarding the Underlying. Any such actions could have an adverse effect on the value of the Securities and the amount that may be paid at maturity.
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♦ |
The Probability That the Underlying Will Fall Below the Buffer Level or the Downside Threshold Will Depend on the Volatility of the Underlying — “Volatility” refers to the
frequency and magnitude of changes in the level of the Underlying. Greater expected volatility with respect to the Underlying reflects a higher expectation as of the Trade Date that the Final Underlying Level could be below the Buffer Level
or the Downside Threshold, resulting in the loss of some or all f your investment. However, an Underlying's volatility can change significantly over the term of the Securities. The level of the Underlying could fall sharply, which could
result in a significant loss of principal.
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♦ |
We, UBS and Our Respective Affiliates Will Have Potential Conflicts of Interest in Connection with the Securities — We and our affiliates play a variety of roles in
connection with the issuance of the Securities, including hedging our obligations under the Securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours and those of UBS are
potentially adverse to your interests as an investor in the Securities.
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♦ |
Our Activities and Those of UBS May Adversely Affect the Value of the Securities — Trading or other transactions by us, UBS and our respective affiliates in the equity
securities included in the Underlying or in futures, options, exchange-traded funds or other derivative products on the equity securities included in the Underlying may adversely affect the market value of those equity securities, the level
of the Underlying and therefore, the market value of the Securities.
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♦ |
Potentially Inconsistent Research, Opinions or Recommendations by RBCCM, UBS or Their Affiliates — RBCCM, UBS or their respective affiliates may publish research, express
opinions or provide recommendations that are inconsistent with investing in or holding the Securities, and which may be revised at any time. Any such research, opinions or recommendations could affect the level of the Underlying or the
equity securities included in the Underlying, and therefore, the market value of the Securities.
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Hypothetical Examples and Return Table at Maturity
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Hypothetical Final
Underlying Level
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Hypothetical
Percentage
Change1
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Hypothetical Payment
at Maturity
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Hypothetical Total
Return on Securities2
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2,000.00
|
100.00%
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$19.97
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99.70%
|
1,800.00
|
80.00%
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$19.97
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99.70%
|
1,700.00
|
70.00%
|
$19.97
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99.70%
|
1,600,00
|
60.00%
|
$19.97
|
99.70%
|
1,500.00
|
50.00%
|
$19.97
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99.70%
|
1,400.00
|
40.00%
|
$17.90408
|
79.0408%
|
1,300.00
|
30.00%
|
$15.83768
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58.3768%
|
1,200.00
|
20.00%
|
$13.77128
|
37.7128%
|
1,180.00
|
18.00%
|
$13.35800
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33.5800%
|
1,100.00
|
10.00%
|
$12.01456
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20.1456%
|
1,000.00
|
0.00%
|
$10.33576
|
3.3576%
|
990.00
|
-1.00%
|
$10.16788
|
1.6788%
|
980.00
|
-2.00%
|
$10.00
|
0.00%
|
950.00
|
-5.00%
|
$10.00
|
0.00%
|
930.00
|
-7.00%
|
$10.00
|
0.00%
|
900.00
|
-10.00%
|
$9.595
|
-4.050%
|
800.00
|
-20.00%
|
$8.245
|
-17.550%
|
730.00
|
-27.00%
|
$7.300
|
-27.00%
|
700.00
|
-30.00%
|
$7.000
|
-30.00%
|
600.00
|
-40.00%
|
$6.000
|
-40.00%
|
500.00
|
-50.00%
|
$5.000
|
-50.00%
|
250.00
|
-75.00%
|
$2.500
|
-75.00%
|
0.00
|
-100.00%
|
$0.000
|
-100.00%
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What Are the Tax Consequences of the Securities?
|
Information About the Underlying
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
Structuring the Securities
|
Terms Incorporated in Master Note
|