Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-259205 (To Prospectus dated September 14, 2021, Prospectus Supplement dated September 14, 2021
and Product Supplement EQUITY LIRN-1 dated
January 25, 2022)
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1,723,518 Units
$10 principal amount per unit
CUSIP No. 78015B542
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Pricing Date
Settlement Date
Maturity Date
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June 23, 2022
June 30, 2022
June 28, 2024
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Capped Leveraged Index Return Notes® Linked to the Russell 2000® Index
■ Maturity of approximately two years
■ 2-to-1 upside exposure to increases in the Index, subject to a capped return of 27.22%
■ 1-to-1 downside exposure to decreases in the Index beyond a 10.00% decline, with up to 90.00% of
your principal at risk
■ All payments occur at maturity and are subject to the credit risk of Royal Bank of Canada
■ No periodic interest payments
■ In addition to the underwriting discount set forth below, the notes include a hedging-related
charge of $0.075 per unit. See “Structuring the Notes”
■ Limited secondary market liquidity, with no exchange listing
■ The notes are unsecured debt securities and are not savings accounts or insured deposits of a
bank. The notes are not insured or guaranteed by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation, or any other governmental agency of Canada or the United States
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Per Unit
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Total
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Public offering price
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$ 10.00
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$17,235,180.00
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Underwriting discount
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$ 0.20
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$ 344,703.60
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Proceeds, before expenses, to RBC
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$ 9.80
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$16,890,476.40
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Are Not FDIC Insured
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Are Not Bank Guaranteed
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May Lose Value
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Capped Leveraged Index Return Notes®
Linked to the Russell 2000® Index, due June 28, 2024 |
Terms of the Notes
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Issuer:
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Royal Bank of Canada (“RBC”)
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Principal Amount:
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$10.00 per unit
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Term:
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Approximately two years
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Market Measure:
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The Russell 2000® Index (Bloomberg symbol: “RTY”), a price return index.
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Starting Value:
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1,711.673
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Ending Value:
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The average of the closing levels of the Market Measure on each calculation day occurring during the Maturity Valuation Period. The scheduled calculation days are
subject to postponement in the event of Market Disruption Events, as described beginning on page PS-24 of product supplement EQUITY LIRN-1.
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Threshold Value:
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1,540.506 (90% of the Starting Value, rounded to three decimal places).
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Participation
Rate:
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200%
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Capped Value:
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$12.722 per unit, which represents a return of 27.22% over the principal amount.
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Maturity Valuation
Period:
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June 18, 2024, June 20, 2024, June 21, 2024, June 24, 2024 and June 25, 2024
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Fees and Charges:
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The underwriting discount of $0.20 per unit listed on the cover page and the hedging related charge of $0.075 per unit described in “Structuring the Notes” below.
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Calculation
Agent:
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BofA Securities, Inc. (“BofAS”).
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Redemption Amount Determination
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On the maturity date, you will receive a cash payment per unit determined as follows:
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Capped Leveraged Index Return Notes®
Linked to the Russell 2000® Index, due June 28, 2024 |
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Product supplement EQUITY LIRN-1 dated January 25, 2022:
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Series I MTN prospectus supplement dated September 14, 2021:
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Prospectus dated September 14, 2021:
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You anticipate that the Index will increase moderately from the Starting Value to the Ending Value.
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You are willing to risk a loss of principal and return if the Index decreases from the Starting Value to an Ending Value that is below the Threshold Value.
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You accept that the return on the notes will be capped.
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You are willing to forgo the interest payments that are paid on conventional interest bearing debt securities.
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You are willing to forgo dividends or other benefits of owning the stocks included in the Index.
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You are willing to accept a limited or no market for sales prior to maturity, and understand that the market prices for the notes, if any, will be affected by various factors, including our actual and perceived creditworthiness,
our internal funding rate and fees and charges on the notes.
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You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
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You believe that the Index will decrease from the Starting Value to the Ending Value or that it will not increase sufficiently over the term of the notes to provide you with your desired return.
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You seek 100% principal repayment or preservation of capital.
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You seek an uncapped return on your investment.
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You seek interest payments or other current income on your investment.
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You want to receive dividends or other distributions paid on the stocks included in the Index.
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You seek an investment for which there will be a liquid secondary market.
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You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
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Capped Leveraged Index Return Notes®
Linked to the Russell 2000® Index, due June 28, 2024 |
Ending Value
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Percentage Change from the
Starting Value to the Ending
Value
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Redemption Amount per Unit
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Total Rate of Return on the
Notes
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0.00
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-100.00%
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$1.000
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-90.00%
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50.00
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-50.00%
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$6.000
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-40.00%
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80.00
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-20.00%
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$9.000
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-10.00%
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90.00(1)
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-10.00%
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$10.000
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0.00%
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94.00
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-6.00%
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$10.000
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0.00%
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95.00
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-5.00%
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$10.000
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0.00%
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97.00
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-3.00%
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$10.000
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0.00%
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100.00(2)
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0.00%
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$10.000
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0.00%
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102.00
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2.00%
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$10.400
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4.00%
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104.00
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4.00%
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$10.800
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8.00%
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105.00
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5.00%
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$11.000
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10.00%
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110.00
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10.00%
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$12.000
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20.00%
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113.61
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13.61%
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$12.722(3)
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27.22%
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120.00
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20.00%
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$12.722
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27.22%
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130.00
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30.00%
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$12.722
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27.22%
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140.00
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40.00%
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$12.722
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27.22%
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150.00
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50.00%
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$12.722
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27.22%
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160.00
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60.00%
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$12.722
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27.22%
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(1) |
This is the hypothetical Threshold Value.
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(2) |
The hypothetical Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual Starting Value is 1,711.673, which was the closing level of the Market
Measure on the pricing date.
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(3) |
The Redemption Amount per unit cannot exceed the Capped Value.
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Capped Leveraged Index Return Notes®
Linked to the Russell 2000® Index, due June 28, 2024 |
Example 1
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The Ending Value is 80.00, or 80.00% of the Starting Value:
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Starting Value:
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100.00
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Threshold Value:
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90.00
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Ending Value:
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80.00
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Redemption Amount per unit
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Example 2
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The Ending Value is 95.00, or 95.00% of the Starting Value:
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Starting Value:
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100.00
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Threshold Value:
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90.00
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Ending Value:
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95.00
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Redemption Amount (per unit) = $10.00, the principal amount, since the Ending Value is less than the Starting Value but equal to or greater than the Threshold Value.
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Example 3
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The Ending Value is 104.00, or 104.00% of the Starting Value:
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Starting Value:
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100.00
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Ending Value:
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104.00
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= $10.80 Redemption Amount per unit
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Example 4
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The Ending Value is 130.00, or 130.00% of the Starting Value:
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Starting Value:
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100.00
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Ending Value:
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130.00
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= $16.00, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $12.722 per unit
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Capped Leveraged Index Return Notes®
Linked to the Russell 2000® Index, due June 28, 2024 |
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Depending on the performance of the Index as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return of principal.
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Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of comparable maturity.
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Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your
entire investment.
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Your investment return is limited to the return represented by the Capped Value and may be less than a comparable investment directly in the stocks included in the Index.
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The initial estimated value of the notes is an estimate only, determined as of a particular point in time by reference to our and our affiliates’ pricing models. These pricing models consider certain assumptions and variables, including
our credit spreads, our internal funding rate on the pricing date, mid-market terms on hedging transactions, expectations on interest rates and volatility, price-sensitivity analysis, and the expected term of the notes. These pricing models
rely in part on certain forecasts about future events, which may prove to be incorrect.
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The public offering price you pay for the notes exceeds the initial estimated value. If you attempt to sell the notes prior to maturity, their market value may be lower than the price you paid for them and lower than the initial
estimated value. This is due to, among other things, changes in the level of the Index, our internal funding rate, and the inclusion in the public offering price of the underwriting discount and the hedging related charge, all as further
described in “Structuring the Notes” below. 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.
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The initial estimated value does not represent a minimum or maximum price at which we, MLPF&S, BofAS or any of our affiliates would be willing to purchase your notes in any secondary market (if any exists) at any time. The value of
your notes at any time after issuance will vary based on many factors that cannot be predicted with accuracy, including the performance of the Index, our creditworthiness and changes in market conditions.
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A trading market is not expected to develop for the notes. None of us, MLPF&S or BofAS is obligated to make a market for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any
price in any secondary market.
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Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trades in shares of companies included in the Index), and any hedging and trading activities we, MLPF&S, BofAS or
our respective affiliates engage in for our clients’ accounts, may affect the market value and return of the notes and may create conflicts of interest with you.
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There may be potential conflicts of interest involving the calculation agent, which is BofAS. We have the right to appoint and remove the calculation agent.
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The Index sponsor may adjust the Index in a way that affects its level, and has no obligation to consider your interests.
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You will have no rights of a holder of the securities represented by the Index, and you will not be entitled to receive securities or dividends or other distributions by the issuers of those securities.
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While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the Index, we, MLPF&S, BofAS and our respective affiliates do not control any company included in the Index, and
have not verified any disclosure made by any other company.
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The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See “Summary of U.S. Federal Income Tax Consequences” below and “U.S. Federal Income Tax Summary” beginning on page PS-39
of product supplement EQUITY LIRN-1. For a discussion of the Canadian federal income tax consequences of investing in the notes, see “Tax Consequences—Canadian Taxation” in the prospectus dated September 14, 2021.
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Capped Leveraged Index Return Notes®
Linked to the Russell 2000® Index, due June 28, 2024 |
Capped Leveraged Index Return Notes®
Linked to the Russell 2000® Index, due June 28, 2024 |
Capped Leveraged Index Return Notes®
Linked to the Russell 2000® Index, due June 28, 2024 |
Capped Leveraged Index Return Notes®
Linked to the Russell 2000® Index, due June 28, 2024 |
Capped Leveraged Index Return Notes®
Linked to the Russell 2000® Index, due June 28, 2024 |
Capped Leveraged Index Return Notes®
Linked to the Russell 2000® Index, due June 28, 2024 |
Capped Leveraged Index Return Notes®
Linked to the Russell 2000® Index, due June 28, 2024 |
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There is no statutory, judicial, or administrative authority directly addressing the characterization of the notes.
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You agree with us (in the absence of a statutory, regulatory, administrative, or judicial ruling to the contrary) to characterize and treat the notes for all tax purposes as pre-paid cash-settled derivative contracts in respect of the
Index.
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Under this characterization and tax treatment of the notes, a U.S. holder (as defined on page 42 of the prospectus) generally will recognize capital gain or loss upon the sale or maturity of the notes. This capital gain or loss generally
will be long-term capital gain or loss if you held the notes for more than one year.
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No assurance can be given that the Internal Revenue Service or any court will agree with this characterization and tax treatment.
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Capped Leveraged Index Return Notes®
Linked to the Russell 2000® Index, due June 28, 2024 |