July 2022
MSELN511-RTY
Registration Statement No. 333-259205
Preliminary Pricing Supplement
Dated July 1, 2022
Filed Pursuant to Rule 433
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SUMMARY TERMS
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Issuer:
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Royal Bank of Canada
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Underlying index:
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The Russell 2000® Index (Bloomberg symbol: “RTY Index”)
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Aggregate principal amount:
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$
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Stated principal amount:
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$10 per security
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Issue price:
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$10 per security
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Pricing date:
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July 5, 2022
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Issue date:
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July 8, 2022 (three business days after the pricing date)
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Maturity date:
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February 29, 2028, subject to adjustment as described in “Additional Terms of the Securities” below.
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Payment at maturity:
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If the percentage change is greater than or equal to 48%, we will repay the principal amount at maturity plus a return equal to the maximum return percentage.
If the percentage change is greater than 18%, but is less than 48%, we will repay the principal amount at maturity plus a return equal to the sum of the percentage change and -18%, multiplied by 2.60 (the
“upper leverage factor”), plus 18%.
If the percentage change is greater than or equal to -12%, but is less than or equal to 18%, we will repay the principal amount at maturity plus a return equal to the sum of the percentage change and 12%,
multiplied by 0.60 (the “lower leverage factor”).
If the percentage change is less than -12%, but is greater than or equal to -32%, we will pay less than the principal amount at maturity and you will lose 1.60% of the principal amount of your securities for
every 1% decline in the level of the underlying index by more than the buffer amount of 12%, up to a loss of 32% of your initial investment.
If the percentage change is less than -32%, we will pay less than the principal amount at maturity and you will lose 1% of the principal amount for every 1% decline in the percentage change, up to a loss of
100% of the principal amount.
We discuss the calculation of the payment at maturity in more detail below.
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Index closing value:
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The official closing level of the underlying index on any relevant day, as calculated and published by the index sponsor
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Percentage change:
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(final index level – initial index level) / initial index level
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Initial index level:
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The arithmetic average of the index closing values on each of the initial averaging dates
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Final index level:
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The arithmetic average of the index closing values on each of the final averaging dates
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Initial averaging dates:
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Each trading day on which there is no market disruption event during the period from and including June 30, 2022 to and including July 26, 2022.
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Final averaging dates:
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Each trading day on which there is no market disruption event during the approximately 3-month period from and including November 24, 2027 to and including February 24, 2028.
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Buffer amount:
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12%
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Maximum return percentage:
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96% of the stated principal amount
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CUSIP/ISIN:
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78016D281 / US78016D2817
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Listing:
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The securities will not be listed on any securities exchange.
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Agent:
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RBC Capital Markets, LLC (“RBCCM”).
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Commissions and issue price:
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Price to public
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Agent’s commissions
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Proceeds to issuer
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Per security
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$10.00
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$0.015(1)
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$
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$0.01(2)
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$9.975
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Total
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$
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$
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$
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Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
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◾ |
As an alternative to direct exposure to the underlying index that offers upside exposure for a certain range of averaged performance of the underlying index, subject to the maximum return percentage.
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To potentially obtain upside exposure to the underlying index in a bullish or moderately bearish scenario by taking advantage of the enhanced return feature.
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To obtain a buffer against a specified level of negative averaged performance in the underlying index.
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Maturity:
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Approximately 5 years and 8 months
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Buffer amount:
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12%, with 1.60-to-1 downside exposure below the buffer amount, up to a loss of 32% of the principal amount, if the percentage change is greater than or equal to -32%.
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Minimum payment:
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0%. Investors may lose up to 100% of the principal amount if the percentage change is less than -32%.
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Maximum return percentage:
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96%
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Coupon:
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None
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Upside scenarios:
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• If the percentage change is greater than or equal to 48%, the securities will pay for each $10 in principal
amount:
$10 + ($10 x maximum return percentage)
• If the percentage change is greater than 18%, but is less than 48%, the securities will pay for each $10 in
principal amount:
$10 + [$10 x (((percentage change + -18%) x upper leverage factor) + 18%)]
• If the percentage change is greater than -12%, but is less than or equal to 18%, the securities will pay for each
$10 in principal amount:
$10 + [$10 x ((percentage change + 12%) x lower leverage factor)]
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Par scenario:
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• If the percentage change is equal to -12%, the securities will pay $10 for each $10 in principal amount.
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Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
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Downside scenarios:
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• If the percentage change is less than -12%, but is greater than or equal to -32%, the securities will pay for
each $10 in principal amount:
$10 + [$10 x ((percentage change + buffer amount) x 1.60)]
The minimum return in this scenario is $6.80 per $10 in principal amount.
• If the percentage change is less than -32%, the securities pay for each $10 in principal amount:
$10 + ($10 x percentage change)
In this case, you will lose 1% of the principal amount of the securities for every 1% decline in the percentage change of the underlying index, up to a loss of 100% of the
principal amount.
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Percentage change:
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(final index level – initial index level) / initial index level
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Upper leverage factor:
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2.60
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Lower leverage factor:
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0.60
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Buffer amount:
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12%
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Index closing value:
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The official closing level of the underlying index on any relevant day, as calculated and published by the index sponsor
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Initial index level:
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The arithmetic average of the index closing values on each of the initial averaging dates
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Final index level:
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The arithmetic average of the index closing values on each of the final averaging dates
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Initial averaging
dates:
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Each trading day on which there is no market disruption event during the period from and including June 30, 2022 to and including July 26, 2022.
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Final averaging dates:
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Each trading day on which there is no market disruption event during the approximately 3-month period from and including November 24, 2027 to and including February 24, 2028.
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Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
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• |
Prospectus dated September 14, 2021:
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• |
Prospectus Supplement dated September 14, 2021:
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Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
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Stated principal amount:
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$10 per security
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Maximum return percentage:
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96%
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Buffer amount:
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12%
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Minimum payment at maturity:
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$0
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Enhanced Geared Buffered PLUS Payoff Diagram
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■ The securities
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■ The Underlying Index
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Upside Scenarios.
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If the percentage change is greater than or equal to 48%, investors will receive the $10 stated principal amount plus 96%, or $19.60 per security (or 196% of the stated principal amount).
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If the percentage change is greater than 18%, but is less than 48%, investors will receive the $10 stated principal amount at maturity plus a return equal to the sum of the percentage change and -18%, multiplied by the upper leverage
factor, plus 18%.
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For example, if the percentage change is 30%, investors will receive $14.92 per security.
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If the percentage change is greater than -12%, but is less than or equal to 18%, investors will receive the $10 stated principal amount at maturity plus a return equal to the sum of the percentage change and 12%, multiplied by the lower
leverage factor.
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For example, if the percentage change is 1%, investors will receive $10.78 per security.
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Par Scenario. If the percentage change is -12%, investors will receive the $10 stated principal amount.
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Downside Scenarios.
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If the percentage change is less than -12%, but is greater than or equal to -32%, investors will lose 1.60% of the principal amount for every 1% decline in the level of the underlying index by more than the buffer amount of 12%, up to a
loss of 32% of your initial investment.
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For example, if the percentage change is -20%, investors will receive $8.72 per security, for a 12.80% loss of principal.
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Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
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If the percentage change is less than -32%, investors will lose 1% of the principal amount for each 1% that the final index level: has decreased from the initial index level.
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For example, if the percentage change is -50%, investors will receive $5.00 per security, for a 50% loss of principal.
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Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
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The securities do not pay interest and do not provide a minimum payment at maturity. The terms of the securities differ from those of ordinary debt securities in that the securities do not pay
interest, and do not provide a minimum payment at maturity. If the percentage change is less than -12%, but is greater than or equal to -32%, investors will lose 1.60% of the principal amount for each 1% that the percentage change is less
than -12%, up to a loss of 32% of the principal amount. In addition, if the final index level is less than -32%, investors will lose 1% of the principal amount for each 1% that the final index level is less than the initial index level.
Accordingly, investors may lose up to 100% of the stated principal amount of the securities.
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The appreciation potential of the securities is limited by the maximum return percentage. The appreciation potential of the securities is limited by the maximum return percentage. Although the
securities provide potential positive returns if the percentage change is at or above -12%, because the payment at maturity will be limited to 196% of the stated principal amount for the securities, any increase in the percentage change
over 48% will not further increase the return on the securities.
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The securities are subject to the credit risk of Royal Bank of Canada, and any actual or anticipated changes to its credit ratings or credit spreads may adversely affect the market value of the
securities. You are dependent on Royal Bank of Canada’s ability to pay all amounts due on the securities at maturity and therefore you are subject to the credit risk of Royal Bank of Canada. If Royal Bank of Canada defaults on its
obligations under the securities, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the securities prior to maturity will be affected by changes in the market’s view of
Royal Bank of Canada’s creditworthiness. Any actual or anticipated decline in Royal Bank of Canada’s credit ratings or increase in the credit spreads charged by the market for taking Royal Bank of Canada credit risk is likely to adversely
affect the market value of the securities.
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You will not know the initial index level on the pricing date; the value of the underlying index on one or more initial averaging dates may adversely affect the initial index level. Because the
initial index level is calculated over daily initial averaging dates during the initial averaging period, the initial index level will not be determined until the last initial averaging date, and, accordingly, you will not know the initial
index level on the pricing date. It is possible that the underlying index may increase in value over the initial averaging dates, which will increase the initial index level. The initial index level may be higher than if it were based on
the closing value of the underlying index on the pricing date or on other dates. Investing in the securities is not the same as investing in securities that offer 1-to-1 upside exposure to the performance of the underlying index.
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The final index level is based on the arithmetic average of the index closing values on each of the final averaging dates during an approximately 3-month period, and therefore the payment at maturity may
be less than if it were based solely on the index closing value on the last final averaging date. The amount payable at maturity will be calculated by reference to the average of the index closing values on the final averaging
dates during the period from and including November 24, 2027 to and including February 24, 2028. Therefore, in calculating the final index level, any positive performance of the underlying index as of some averaging dates may be moderated,
or wholly offset, by lesser or negative performance as of other averaging dates. Similarly, the final index level, calculated based on the index closing value on each of the final averaging dates, may be less than the index closing value on
the last final averaging date, and as a result, the payment at maturity you receive may be less than if it were based solely on the index closing value on the last final averaging date. Investing in the securities is not the same as
investing in securities that offer 1-to-1 upside exposure to the performance of the underlying index.
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Investing in the securities is not equivalent to investing in the underlying index. Investing in the securities is not equivalent to investing in the underlying index or its component stocks.
Investors in the securities will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks that constitute the underlying index.
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Significant aspects of the tax treatment of the securities are uncertain. The tax treatment of an investment in the securities is uncertain. We do not plan to request a ruling from the Internal
Revenue Service (the “IRS”) or from the Canada Revenue Agency regarding the tax treatment of an investment in the securities, and the IRS, the Canada Revenue Agency or a court may not agree with the tax treatment described in this document.
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Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
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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, does
not represent a minimum price at which we, RBCCM or any of our 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 index, the borrowing rate we pay to issue securities of this kind, and the
inclusion in the price to the public of the agent’s commissions and the estimated 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 your original purchase price, as any such sale price would not be expected to include the agent’s commissions and the
hedging costs relating to the securities. In addition to bid-ask spreads, the value of the securities determined for any secondary market price is expected to be based on the secondary rate rather than the internal funding 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 funding 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
assumptions, including our credit spreads, expectations as to dividends, interest rates and volatility, and the expected term of the securities. These assumptions are based on certain forecasts about future events, which may prove to be
incorrect. Other entities may value the securities or similar securities at a price that is significantly different than we do.
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The market price of the securities will be influenced by many unpredictable factors. Many factors will influence the value of the securities in the secondary market and the price at which RBCCM may
be willing to purchase or sell the securities in the secondary market, including:
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the trading price and volatility (frequency and magnitude of changes in value) of the securities represented by the underlying index;
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dividend yields on the securities represented by the underlying index;
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market interest rates;
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our creditworthiness, as represented by our credit ratings or as otherwise perceived in the market;
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time remaining to maturity; and
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geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying index.
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The securities will not be listed on any securities exchange and secondary trading may be limited. The securities will not be listed on any securities exchange. Therefore, there may be little or no
secondary market for the securities. RBCCM may, but is not obligated to, make a market in the securities, and, if it chooses to do so at any time, it may cease doing so. When it does make a market, it will generally do so for transactions
of routine secondary market size at prices based on its estimate of the current value of the securities, taking into account its bid/offer spread, our credit spreads, market volatility, the notional size of the proposed sale,
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Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
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◾ |
Adjustments to the underlying index could adversely affect the value of the securities. The sponsor of the underlying index (the “index sponsor”) may add, delete or substitute the stocks
constituting the underlying index, or make other methodological changes. Further, the index sponsor may discontinue or suspend calculation or publication of the underlying index at any time. Any of these actions could affect the value of
and the return on the securities.
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We have no affiliation with the index sponsor and will not be responsible for any actions taken by the index sponsor. The index sponsor is not an affiliate of ours and will not be involved in the
offering of the securities in any way. Consequently, we have no control over the actions of the index sponsor, including any actions of the type that would require the calculation agent to adjust the payment to you at maturity. The index
sponsor has no obligation of any sort with respect to the securities. Thus, the index sponsor has no obligation to take your interests into consideration for any reason, including in taking any actions that might affect the value of the
securities. None of our proceeds from the issuance of the securities will be delivered to the index sponsor.
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An investment in the securities is subject to risks associated in investing in stocks with a small market capitalization. The RTY consists of stocks issued by companies with relatively small market
capitalizations. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies. As a result, the level of the RTY may be more volatile than that of a market measure
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 strengths than large-capitalization companies. These companies may also be more susceptible to adverse developments related to their products or
services.
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Historical levels of the underlying index should not be taken as an indication of its future levels during the term of the securities. The trading prices of the equity securities comprising the
underlying index will determine the level of the underlying index at any given time. As a result, it is impossible to predict whether the level of the underlying index will rise or fall. Trading prices of the equity securities comprising
the underlying index will be influenced by complex and interrelated political, economic, financial and other factors.
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Hedging and trading activity by us and our subsidiaries could potentially adversely affect the value of the securities. One or more of our subsidiaries and/or third party dealers expect to carry
out hedging activities related to the securities (and possibly to other instruments linked to the underlying index or the securities it represents), including trading in those securities as well as in other related instruments. Some of our
subsidiaries also may conduct trading activities relating to the underlying index on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities could potentially affect the
initial index level and, therefore, could increase the level at or above which the underlying index must close on the final averaging dates so that investors do not suffer a loss on their initial investment in the securities. Additionally,
such hedging or trading activities during the term of the securities, including on the final averaging dates, could adversely affect the closing level of the underlying index on the final averaging dates and, accordingly, the amount of cash
an investor will receive at maturity.
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Our business activities may create conflicts of interest. We and our affiliates may engage in trading activities related to the underlying index or the securities represented by the underlying
index that are not for the account of holders of the securities or on their behalf. These trading activities may present a conflict between the holders’ interest in the securities and the interests we and our affiliates will have in
proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for our customers and in accounts under our management. These trading activities could be adverse to the interests of the holders of
the securities.
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Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
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◾ |
The calculation agent, which is a subsidiary of the issuer, will make determinations with respect to the securities, which may create a conflict of interest. Our wholly owned subsidiary, RBCCM,
will serve as the calculation agent. As calculation agent, RBCCM will determine the initial index level, the final index level and the percentage change, and will calculate the amount of cash you will receive at maturity. Moreover, certain
determinations made by RBCCM, in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events and the selection
of a successor index or the calculation of the initial index level and the final index level in the event of a market disruption event or discontinuance of the underlying index. These potentially subjective determinations may adversely
affect the payout to you at maturity, if any. For further information regarding these types of determinations see “Additional Terms of the Securities” below.
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Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
|
Additional Provisions
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Initial averaging dates and
final averaging dates
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For purposes of determining the initial averaging dates and final averaging dates, any day falling in the relevant period corresponding to such initial averaging dates or final averaging
dates, as applicable, that is not a trading day and/or is a day on which a market disruption event has occurred or is continuing will not be counted for purposes of calculating the initial index level or final index level, as applicable.
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Market disruption events:
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With respect to the underlying index and any relevant successor index, a “market disruption event” means:
◾ a
suspension, absence or material limitation of trading of equity securities then constituting 20% or more of the level of the underlying index (or the relevant successor index) on the relevant exchanges (as defined below) for such
securities for more than two hours of trading during, or during the one hour period preceding the close of, the principal trading session on such relevant exchange; or
◾ a
breakdown or failure in the price and trade reporting systems of any relevant exchange as a result of which the reported trading prices for equity securities then constituting 20% or more of the level of the underlying index (or the
relevant successor index) during the one hour preceding the close of the principal trading session on such relevant exchange are materially inaccurate; or
◾ a
suspension, absence or material limitation of trading on the primary exchange or market for trading in futures or options contracts related to the underlying index (or the relevant successor index) for more than two hours of trading
during, or during the one hour period preceding the close of, the principal trading session on such exchange or market; or
◾ a
decision to permanently discontinue trading in the relevant futures or options contracts;
in each case as determined by the calculation agent in its sole discretion; and
◾ a
determination by the calculation agent in its sole discretion that the event described above materially interfered with our ability or the ability of any of our affiliates to adjust or unwind all or a material portion of any hedge with
respect to the securities.
For purposes of determining whether a market disruption event with respect to the underlying index (or the relevant successor index) exists at any time, if trading in a security included
in the underlying index (or the relevant successor index) is materially suspended or materially limited at that time, then the relevant percentage contribution of that security to the level of the underlying index (or the relevant
successor index) will be based on a comparison of (a) the portion of the level of the underlying index (or the relevant successor index) attributable to that security relative to (b) the overall
level of the underlying index (or the relevant successor index), in each case immediately before that suspension or limitation.
For purposes of determining whether a market disruption event with respect to the underlying index (or the relevant successor index) has occurred:
◾ a limitation on the hours or number of days of trading will not constitute a
market disruption event if it results from an announced change in the regular business hours of the relevant exchange, or the primary exchange or market for trading in futures or options contracts related to the underlying index (or the
relevant successor index);
◾ limitations pursuant to the rules of any relevant exchange similar to NYSE
Rule 80B (or any applicable rule or regulation enacted or promulgated by any other self-regulatory organization or any government agency of scope similar to NYSE Rule 80B as determined by the calculation agent) on trading during
significant market fluctuations will constitute a suspension, absence or material limitation of trading;
◾ a suspension of trading in futures or options contracts on the underlying
index (or the relevant successor index) by the primary exchange or market trading in such contracts by reason of:
◾ a price change exceeding limits set by
such exchange or market,
◾ an imbalance of orders
relating to such contracts, or
◾ a disparity in bid and ask quotes relating to such
contracts,
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Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
|
will, in each such case, constitute a suspension, absence or material limitation of trading in futures or options contracts related to the underlying index (or the relevant successor
index); and
◾ a
“suspension, absence or material limitation of trading” on any relevant exchange or on the primary exchange or market on which futures or options contracts related to the underlying index (or the relevant successor index) are traded will
not include any time when such exchange or market is itself closed for trading under ordinary circumstances.
“Relevant exchange” means, with respect to the underlying index or any successor index, the primary exchange or market of trading for any security (or any combination thereof) then
included in the underlying index or such successor index, as applicable.
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Discontinuation
of/adjustments to the
underlying index:
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If the index sponsor discontinues publication of the underlying index and the index sponsor or another entity publishes a successor or substitute index that the calculation agent
determines, in its sole discretion, to be comparable to the discontinued index (such index being referred to herein as a “successor index”), then the closing level of the underlying index on an initial averaging date or a final averaging
date will be determined by reference to the level of such successor index at the close of trading on the relevant exchange for the successor index on such day.
Upon any selection by the calculation agent of a successor index, the calculation agent will cause written notice to be promptly furnished to the Trustee, to us and to the holders of the
securities.
If the index sponsor discontinues publication of the underlying index prior to, and that discontinuation is continuing on an initial averaging date or a final averaging date, and the
calculation agent determines, in its sole discretion, that no successor index is available at that time or the calculation agent has previously selected a successor index and publication of that successor index is discontinued prior to,
and that discontinuation is continuing on, an initial averaging date or a final averaging date, then the calculation agent will determine the closing level of the underlying index for that date. The closing level of the underlying index
will be computed by the calculation agent in accordance with the formula for and method of calculating the underlying index or successor index, as applicable, last in effect prior to the discontinuation, using the closing price (or, if
trading in the relevant securities has been materially suspended or materially limited, the calculation agent’s good faith estimate of the closing price that would have prevailed but for the suspension or limitation) at the close of the
principal trading session on that date of each security most recently included in the underlying index or successor index, as applicable.
If at any time the method of calculating the underlying index or a successor index, or the level thereof, is changed in a material respect, or if the underlying index or a successor
index is in any other way modified so that the underlying index or successor index does not, in the opinion of the calculation agent, fairly represent the level of the underlying index or successor index had those changes or modifications
not been made, then the calculation agent will, at the close of business in New York City on the date on which the closing level of the underlying index is to be determined, make any calculations and adjustments as, in the good faith
judgment of the calculation agent, may be necessary in order to arrive at a level of a stock index comparable to the underlying index or successor index, as the case may be, as if those changes or modifications had not been made, and
calculate the closing level of the underlying index with reference to the underlying index or such successor index, as adjusted. Accordingly, if the method of calculating the underlying index or a successor index is modified so that the
level of the underlying index or such successor index is a fraction of what it would have been if there had been no such modification (e.g., due to a split in the underlying index), then the calculation agent will adjust its calculation
of the underlying index or such successor index in order to arrive at a level of the underlying index or such successor index as if there had been no such modification (e.g., as if such split had not occurred).
Notwithstanding these alternative arrangements, discontinuation the publication of or modification of the underlying index or successor index, as applicable, may adversely affect the
value of the securities.
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Business day:
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A business day means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in The City of New York generally are authorized or obligated by
law, regulation or executive order to close.
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Trading day:
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A trading day means a day, as determined by the calculation agent, on which trading is generally conducted on (i) the relevant exchanges for securities comprising the underlying index or
the successor index and (ii) the exchanges on which futures or options contracts related to the underlying index or the successor index are traded, other than a day on which trading on such relevant exchange or exchange on which such
futures or options contracts are traded is scheduled to close prior to its regular weekday closing time.
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Payment upon events of
default and acceleration:
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If the maturity of the securities is accelerated upon an event of default under the Indenture, the amount payable upon acceleration will be determined by the calculation agent. Such amount will be the
payment at maturity, calculated as if the date of declaration of acceleration were the last final averaging date.
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Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
|
However, if an event of default occurs before the final initial averaging date, then we will pay an amount per securities equal to its fair market value, as determined in the sole
discretion of the calculation agent.
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Minimum ticketing size:
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$1,000 / 100 securities
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Additional amounts:
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We will pay any amounts to be paid by us on the securities without deduction or withholding for, or on account of, any and all present or future income, stamp and other taxes, levies, imposts, duties,
charges, fees, deductions or withholdings (“taxes”) now or hereafter imposed, levied, collected, withheld or assessed by or on behalf of Canada or any Canadian political subdivision or authority that has the power to tax, unless the
deduction or withholding is required by law or by the interpretation or administration thereof by the relevant governmental authority. At any time a Canadian taxing jurisdiction requires us to deduct or withhold for or on account of taxes
from any payment made under or in respect of the securities, we will pay such additional amounts (“Additional Amounts”) as may be necessary so that the net amounts received by each holder (including Additional Amounts), after such
deduction or withholding, shall not be less than the amount the holder would have received had no such deduction or withholding been required.
However, no Additional Amounts will be payable with respect to a payment made to a holder of a security or of a right to receive payments in respect thereto (a “Payment Recipient”), which we refer to as an
“Excluded Holder,” in respect of any taxes imposed because the beneficial owner or Payment Recipient:
(i) is someone with whom we do not deal at arm’s length (within the
meaning of the Income Tax Act (Canada)) at the time of making such payment;
(ii) is subject to such taxes by reason of its being connected
presently or formerly with Canada or any province or territory thereof otherwise than by reason of the holder’s activity in connection with purchasing the securities, the holding of the securities or the receipt of payments thereunder;
(iii) is, or does not deal at arm’s length with a person who is, a
“specified shareholder” (within the meaning of subsection 18(5) of the Income Tax Act (Canada)) of Royal Bank of Canada (generally a person will be a “specified shareholder” for this purpose if that person, either alone or together with
persons with whom the person does not deal at arm’s length, owns 25% or more of (a) our voting shares, or (b) the fair market value of all of our issued and outstanding shares) or is a “specified entity” (as defined in proposed subsection
18.4(1) of the Income Tax Act (Canada) contained in proposals to amend such Act released on April 29, 2022 (the "April 2022 Proposal")) in respect of Royal Bank of Canada;
(iv) presents such securities for payment (where presentation is
required) more than 30 days after the relevant date (except to the extent that the holder thereof would have been entitled to such Additional Amounts on presenting a security for payment on the last day of such 30 day period); for this
purpose, the “relevant date” in relation to any payments on any securities means:
a. the due date for payment thereof, or
b. if the full amount of the monies payable on such date has not been received by
the Trustee on or prior to such due date, the date on which the full amount of such monies has been received and notice to that effect is given to holders of the securities in accordance with the Indenture;
(v) could lawfully avoid (but has not so avoided) such withholding or
deduction by complying, or requiring that any agent comply with, any statutory requirements necessary to establish qualification for an exemption from withholding or by making, or requiring that any agent make, a declaration of
non-residence or other similar claim for exemption to any relevant tax authority; or
(vi) is subject to deduction or withholding on account of any tax,
assessment, or other governmental charge that is imposed or withheld by reason of the application of Section 1471 through 1474 of the United States Internal Revenue Code of 1986, as amended (the “Code”) (or any successor provisions), any
regulation, pronouncement, or agreement thereunder, official interpretations thereof, or any law implementing an intergovernmental approach thereto, whether currently in effect or as published and amended from time to time.
For the avoidance of doubt, we will not have any obligation to pay any holders Additional Amounts on any tax which is payable otherwise than by deduction or withholding from payments made under or in respect
of the securities at maturity.
We will also make such withholding or deduction and remit the full amount deducted or withheld to the relevant authority in accordance with applicable law. We will furnish to the Trustee, within 30 days after the date the payment of
any Canadian taxes is due pursuant to applicable law, certified copies of
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Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
|
Canadian tax receipts evidencing that such payment has been made or other evidence of such payment satisfactory to the Trustee. We will indemnify and hold harmless each holder of the securities (other than
an Excluded Holder) and upon written request reimburse each such holder for the amount of (x) any Canadian taxes so levied or imposed and paid by such holder as a result of payments made under or with respect to the securities, and (y)
any Canadian taxes levied or imposed and paid by such holder with respect to any reimbursement under (x) above, but excluding any such taxes on such holder’s net income or capital.
For additional information, see the section entitled “Tax Consequences—Canadian Taxation” in the accompanying prospectus.
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|
Employee Retirement
Income Security Act:
|
If you are an insurance company or the fiduciary of a pension plan or an employee benefit plan (including a governmental plan, an IRA or a Keogh Plan) proposing to invest in the securities, please review the
section of the accompanying prospectus "Benefit Plan Investor Considerations." If you are an insurance company or the fiduciary of a pension plan or an employee benefit plan, and propose to invest in the securities, you should consult
your legal counsel.
|
Form of securities:
|
Book-entry
|
Trustee:
|
The Bank of New York Mellon
|
Calculation agent:
|
RBCCM. The calculation agent will make all determinations regarding the securities. Absent manifest error, all determinations of the calculation agent will be final and binding on you and us, without any liability on the part of the
calculation agent. You will not be entitled to any compensation from us for any loss suffered as a result of any of the above determinations or confirmations by the calculation agent.
|
Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
|
Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
|
Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
|
Bloomberg Ticker Symbol:
|
RTY
|
52 Weeks Ago:
|
2,308.837
|
||||
Current Index Level:
|
1,719.370
|
52 Week High (on 11/8/2021):
|
2,442.742
|
||||
52 Week Low (on 6/16/2022):
|
1,649.836
|
The Russell 2000® Index
|
High
|
Low
|
2017
|
||
First Quarter
|
1,413.635
|
1,345.598
|
Second Quarter
|
1,425.985
|
1,345.244
|
Third Quarter
|
1,490.861
|
1,356.905
|
Fourth Quarter
|
1,548.926
|
1,464.095
|
2018
|
||
First Quarter
|
1,610.706
|
1,463.793
|
Second Quarter
|
1,706.985
|
1,492.531
|
Third Quarter
|
1,740.753
|
1,653.132
|
Fourth Quarter
|
1,672.992
|
1,266.925
|
2019
|
||
First Quarter
|
1,590.062
|
1,330.831
|
Second Quarter
|
1,614.976
|
1,465.487
|
Third Quarter
|
1,585.599
|
1,456.039
|
Fourth Quarter
|
1,678.010
|
1,472.598
|
2020
|
||
First Quarter
|
1,705.215
|
991.160
|
Second Quarter
|
1,536.895
|
1,052.053
|
Third Quarter
|
1,592.287
|
1,398.920
|
Fourth Quarter
|
2,007.104
|
1,531.202
|
2021
|
||
First Quarter
|
2,360.168
|
1,945.914
|
Second Quarter
|
2,343.758
|
2,135.139
|
Third Quarter
|
2,329.359
|
2,130.680
|
Fourth Quarter
|
2,442.742
|
2,139.875
|
2022
|
||
First Quarter
|
2,272.557
|
1,931.288
|
Second Quarter (through June 29, 2022)
|
2,095.440
|
1,649.836
|
Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
|
The Russell 2000® Index – Historical Closing Levels
January 1, 2017 to June 29, 2022
|
Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
|
Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
|
Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
|
Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
|
Enhanced Geared Buffered PLUS Based on the Value of the Russell 2000® Index February 29, 2028
Principal at Risk Securities
|
July 2022
|
Page 23
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