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August 2022
MSELN518-SPX
Registration Statement No. 333-259205
Pricing Supplement
Dated August 12, 2022
Filed Pursuant to Rule 424(b)(2)
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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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S&P 500® Index
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Aggregate principal amount:
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$14,283,700
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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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August 12, 2022
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Issue date:
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August 17, 2022
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Valuation date:
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August 12, 2024, subject to adjustment for non-trading days and certain market disruption events
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Maturity date:
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August 15, 2024
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Payment at maturity:
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If the final index level is greater than the initial index level,
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$10 + upside payment
In no event will the payment at maturity in this scenario exceed the maximum upside payment at maturity.
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If the final index level is less than or equal to the initial index level but is greater than or equal to the trigger level,
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$10 + ($10 × absolute index return)
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In this scenario, you will receive a 1% positive return on the securities for each 1% negative return on the underlying index. In no event will this amount exceed the stated principal amount
plus $2.50.
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If the final index level is less than the trigger level,
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$10 × index performance factor
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Under these circumstances, the payment at maturity will be less than $7.50. You will lose at least 25% and possibly all of the stated principal amount if the final index level is less than the
trigger level.
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Maximum upside payment at
maturity:
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$12.57 per security (125.70% of the stated principal amount)
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Upside payment:
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$10 × underlying index return
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Underlying index return:
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(final index level – initial index level) / initial index level
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Absolute index return:
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The absolute value of the underlying index return. For example, a -5% underlying index return will result in a +5% absolute index return
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Index performance factor:
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Final index level / initial index level
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Trigger level:
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3,210.11, which is 75% of the initial index level (rounded to two decimal places)
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Initial index level:
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4,280.15, which was the closing level of the underlying index on the pricing date
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Final index level:
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The closing level of the underlying index on the valuation date
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CUSIP / ISIN:
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78016D422 / US78016D4227
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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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$0.20(1)
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$0.05(2)
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$9.75
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$285,674
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$71,418.50
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Total
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$14,283,700
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$13,926,607.50
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(1) |
RBCCM, acting as agent for Royal Bank of Canada, will receive a fee of $0.25 per $10 stated principal amount and will pay to Morgan Stanley Wealth Management (“MSWM”) a fixed sales commission of
$0.20 for each security that MSWM sells. See “Supplemental Information Regarding Plan of Distribution; Conflicts of Interest.”
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(2) |
Of the amount per $10 stated principal amount received by RBCCM, acting as agent for Royal Bank of Canada, RBCCM will pay MSWM a structuring fee of $0.05 for each security.
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|
Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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As an alternative to direct exposure to the underlying index that provides a positive return for a limited range of positive performance of the underlying index.
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To obtain a positive return for a limited range of negative performance of the underlying index.
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Maturity:
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Approximately 2 years
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Trigger level:
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75% of the initial index level
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Maximum upside payment at
maturity: |
$12.57 per security (125.70% of the stated principal amount)
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Minimum payment at maturity:
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None. Investors may lose their entire initial investment in the securities.
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Coupon:
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None
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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Upside
Performance |
The securities offer investors an opportunity to receive a one-for-one return linked to a direct investment in the underlying index within a certain range of positive
performance.
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Absolute Return
Feature
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The securities enable investors to obtain a positive return if the final index level is less than or equal to the initial index level but
is greater than or equal to the trigger level.
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Upside Scenario if
the Underlying
Index Appreciates
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The final index level is greater than the initial index level, and, at maturity, we will pay the stated principal amount of $10 plus the underlying index return, subject to
the maximum upside payment at maturity of $12.57 per security (125.70% of the stated principal amount). For example, if the final index level is 5% greater than the initial index level, the securities will provide a total return of 5% at
maturity.
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Absolute Return
Scenario
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The final index level is less than or equal to the initial index level but is greater than or equal to the trigger level, which is 75% of the initial index level. In this case, you receive a 1%
positive return on the securities for each 1% negative return on the underlying index. For example, if the final index level is 10% less than the initial index level, the securities will provide a total positive return of 10% at maturity.
The maximum return you may receive in this scenario is a positive 25% return at maturity.
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Downside Scenario
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The final index level is less than the trigger level, and, at maturity, we will pay less than the stated principal amount by an amount that is proportionate to the percentage
decrease in the level of the underlying index from the initial index level. Under these circumstances, the payment at maturity will be less than $7.50 per security. For example, if the final index level is 70% less than the initial index
level, the securities will be redeemed at maturity for a loss of 70% of principal at $3 per security, or 30% of the stated principal amount. There is no minimum payment at maturity on the securities, and you could lose your entire
investment.
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|
Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
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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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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Stated principal amount:
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$10 per security
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Trigger level:
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75% of the initial index level
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Maximum upside payment at maturity:
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$12.57 per security (125.70% of the stated principal amount)
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Minimum payment at maturity:
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None
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Securities Payoff Diagram
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■ The Securities
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■ The Underlying Index
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Upside Scenario if the Underlying Index Appreciates. If the final index level is greater than the initial index level, then investors would receive the $10 stated principal amount
plus a return reflecting the appreciation of the underlying index over the term of the securities, subject to the maximum upside payment at maturity.
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If the level of the underlying index appreciates by 10%, the investor would receive a 10% return, or $11.00 per security.
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If the level of the underlying index appreciates by 30%, the investor would receive only the maximum upside payment at maturity of $12.57 per security, or 125.70% of the stated principal amount.
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Absolute Return Scenario. If the final index level is less than or equal to the initial index level but is greater than or equal to the trigger level of 75% of the initial index
level, the investor would receive a 1% positive return on the securities for each 1% negative return on the underlying index.
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If the level of the underlying index depreciates by 10%, the investor would receive a 10% return, or $11.00 per security.
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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The maximum return you may receive in this scenario is a positive 25% return at maturity.
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Downside Scenario. If the final index level is less than the trigger level, the investor would receive an amount less than the $10 stated principal amount, based on a 1% loss of
principal for each 1% decline in the underlying index. Under these circumstances, the payment at maturity will be less than $7.50 per security. There is no minimum payment at maturity on the securities.
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If the level of the underlying index depreciates by 70%, the investor would lose 70% of the investor’s principal and receive only $3.00 per security at maturity, or 30% of the stated principal amount.
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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Risks Relating to the Terms and Structure of the Securities
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The securities do not pay interest and you may lose all or a portion of the principal amount at maturity. The terms of the securities differ from those of ordinary debt
securities in that the securities do not pay interest, and you may lose some or all of the principal amount at maturity. If the final index level has declined from the initial index level by an amount greater than 25%, the payout at maturity
will be an amount in cash that is less than the $10 stated principal amount of each security by an amount proportionate to the decrease in the level of the underlying index. You may lose the entire principal amount of the securities.
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The appreciation potential of the securities is limited, whether the level of the underlying index increases or decreases. The appreciation potential of the securities if
the level of the underlying index increases is limited by the maximum payment at maturity of $12.57 per security, or 125.70% of the stated principal amount. In addition, even though the securities will pay more than the principal amount if
the level of the underlying index decreases, because the trigger level is set to 75% of the initial index level, the maximum positive return on the securities that would be paid if the level of the underlying index decreases is 125% of the
principal amount.
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The amount payable on the securities is not linked to the level of the underlying index at any time other than the valuation date. The final index level will be based on the
closing level of the underlying index on the valuation date, subject to adjustment for non-trading days and certain market disruption events. For example, even if the level of the underlying index appreciates prior to the valuation date but
then decreases on the valuation date to a level that is less than the initial index level, the payment at maturity will be less, and may be significantly less than it would have been had the payment at maturity been linked to the level of the
underlying index prior to that decrease. Although the actual level of the underlying index on the maturity date or at other times during the term of the securities may be higher than the final index level, the payment at maturity will be
based solely on the closing level of the underlying index on the valuation date.
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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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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.
The IRS has issued a notice indicating that it and the U.S. Treasury Department are actively considering whether, among other issues, a holder should be required to accrue interest over the
term of an instrument such as the securities even though that holder will not receive any payments with respect to the securities until maturity and
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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whether all or part of the gain a holder may recognize upon sale, exchange or maturity of an instrument such as the securities should be treated as ordinary
income. The outcome of this process is uncertain and could apply on a retroactive basis.
Please read carefully the sections entitled “Canadian Federal Income Tax Consequences” and “Supplemental Discussion of U.S. Federal Income Tax Consequences” in this document, the section
entitled “Tax Consequences” in the accompanying prospectus and the section entitled “Certain Income Tax Consequences” in the accompanying prospectus supplement. You should consult your tax advisor about your own tax situation.
Risks Relating to the Initial Estimated Value of the Securities
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The initial estimated value of the securities is less than the price to the public. The initial estimated value that is set forth on the cover page of this pricing
supplement 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 pricing date. 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.
The value of the securities at any time after the pricing date will vary based on many factors, including changes in market conditions, and cannot be predicted with accuracy. As a result, the
actual value you would receive if you sold the securities in any secondary market, if any, should be expected to differ materially from the initial estimated value of your securities.
Risks Relating to the Secondary Market for the Securities
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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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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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less, and possibly significantly less, than the stated principal amount per security if you sell your security prior to maturity.
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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, the cost of unwinding any related hedging positions, the time remaining to maturity and the likelihood that it will be able to resell the securities. Even if there is a secondary market, it may not provide
enough liquidity to allow you to trade or sell the securities easily. Because we do not expect that other broker-dealers will participate significantly in the 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 transact. If, at any time, RBCCM were not to make a market in the securities, it is likely that there would be no secondary market for the securities.
Accordingly, you should be willing to hold your securities to maturity.
Risks Relating to the Underlying Index
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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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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.
Risks Relating to Conflicts of Interest
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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 on or prior
to the pricing date could have affected the initial index level and, therefore, could have increased the level at or above which the underlying index must close on the valuation date 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 valuation date, could adversely affect the closing level of the underlying index on the valuation date 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.
We and our affiliates may presently or from time to time engage in business with one or more of the issuers of the securities represented by the underlying index. This business may include
extending loans to, or making equity
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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investments in, such companies or providing advisory services to such companies, including merger and acquisition advisory services. In the course of
business, we and our affiliates may acquire non-public information relating to these companies, which we have no obligation to disclose to you, and, in addition, one or more of our affiliates may publish research reports about these
companies. Neither we nor the agent have made any independent investigation regarding any matters whatsoever relating to the issuers of the securities represented by the underlying index.
Moreover, we and our affiliates may have published, and in the future expect to publish, research reports with respect to the underlying index or the
securities which it represents. This research is modified from time to time without notice and may express opinions or provide recommendations that are inconsistent with purchasing or holding the securities. Any of these activities by us or
one or more of our affiliates may affect the level of the underlying index and, therefore, the market value of the 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 determined the initial index level, and will determine the final index level and the underlying index return, and will calculate the amount of cash, if
any, 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 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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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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Additional Provisions
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Postponement of the
valuation date:
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If the valuation date occurs on a day that is not a trading day or on a day on which the calculation agent has determined that a market disruption event (as defined below) has occurred or
is continuing, then the valuation date will be postponed until the next succeeding trading day on which the calculation agent determines that a market disruption event does not occur or is not continuing; provided that in no event will the
valuation date be postponed by more than five trading days. If the valuation date is postponed by five trading days, and a market disruption event occurs or is continuing on that fifth trading day, then the calculation agent may determine, in
its good faith and reasonable judgment, what the closing level of the underlying index would have been in the absence of the market disruption event. If the valuation date is postponed, then the maturity date will be postponed by an equal
number of business days. No interest shall accrue or be payable as a result of such postponement.
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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:
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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• 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,
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 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: |
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 the valuation 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 the valuation 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, the
valuation 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
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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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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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 valuation date.
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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
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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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) 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) who 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) who is, or who 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) who presents such security 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 security 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) who 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 deduction 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) who
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
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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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.
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 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.
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Form of securities:
|
Book-entry
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Trustee:
|
The Bank of New York Mellon
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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.
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Terms incorporated in the
master note:
|
All of the terms in “Summary Terms” (except the item captioned “Commissions and issue price”) and the terms above the item captioned “Contact” in “Additional Terms of the Securities” of this
pricing supplement, and the section “Supplemental Discussion of U.S. Federal Income Tax Consequences.”
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
|
Bloomberg Symbol:
|
SPX
|
52 Weeks Ago:
|
4,460.83
|
Current Index Level:
|
4,280.15
|
52 Week High (on 01/03/2022):
|
4,796.56
|
52 Week Low (on 06/16/2022):
|
3,666.77
|
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
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The S&P 500® Index
|
High
|
Low
|
2017
|
||
First Quarter
|
2,395.96
|
2,257.83
|
Second Quarter
|
2,453.46
|
2,328.95
|
Third Quarter
|
2,519.36
|
2,409.75
|
Fourth Quarter
|
2,690.16
|
2,529.12
|
2018
|
||
First Quarter
|
2,872.87
|
2,581.00
|
Second Quarter
|
2,786.85
|
2,581.88
|
Third Quarter
|
2,930.75
|
2,713.22
|
Fourth Quarter
|
2,925.51
|
2,351.10
|
2019
|
||
First Quarter
|
2,854.88
|
2,447.89
|
Second Quarter
|
2,954.18
|
2,744.45
|
Third Quarter
|
3,025.86
|
2,840.60
|
Fourth Quarter
|
3,240.02
|
2,887.61
|
2020
|
||
First Quarter
|
3,386.15
|
2,237.40
|
Second Quarter
|
3,232.39
|
2,470.50
|
Third Quarter
|
3,580.84
|
3,115.86
|
Fourth Quarter
|
3,756.07
|
3,269.96
|
2021
|
||
First Quarter
|
3,974.54
|
3,700.65
|
Second Quarter
|
4,297.50
|
4,019.87
|
Third Quarter
|
4,536.95
|
4,258.49
|
Fourth Quarter
|
4,793.06
|
4,300.46
|
2022
|
||
First Quarter
|
4,796.56
|
4,170.70
|
Second Quarter
|
4,582.64
|
3,666.77
|
Third Quarter (through August 12, 2022)
|
4,280.15
|
3,790.38
|
|
Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
|
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Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
|
|
Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
|
|
Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
|
|
Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
|
|
Dual Directional Participation Securities Based on the Performance of the S&P 500® Index due August 15, 2024
Principal at Risk Securities
|