Investment Description
|
Features
|
Key Dates
|
❑ |
Enhanced Growth Potential, Up to the Maximum Gain — At maturity, if the Underlying Return is positive, we will pay you the principal amount plus a return equal to the
Upside Gearing times the Underlying Return up to the Maximum Gain. If the Underlying Return is negative, investors may be exposed to the negative Underlying Return at maturity.
|
❑
|
Contingent Repayment of Principal at Maturity — If the Underlying Return is less than or equal to 0%, but is greater than or equal to
the Threshold Percentage, we will pay the full principal amount at maturity. However, if the Underlying Return is less than the Threshold Percentage, we will deliver to you a number of shares of the Underlying equal to the Share
Delivery Amount for each Security, which is expected to be worth less than the principal amount, and could have no value at all. Accordingly, you may lose some or all of the principal amount of the Securities.
|
Trade Date
|
August 12, 2022
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Settlement Date
|
August 17, 2022
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Final Valuation Date1
|
August 12, 2025
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Maturity Date1
|
August 15, 2025
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1
|
Subject to postponement if a market disruption event occurs, as described under “General Terms of the Securities — Payment at Maturity” in the accompanying product prospectus supplement UBS-EQUITY-1.
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NOTICE TO INVESTORS: THE SECURITIES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. WE ARE NOT NECESSARILY OBLIGATED TO REPAY THE FULL
PRINCIPAL AMOUNT OF THE SECURITIES AT MATURITY, AND THE SECURITIES MAY HAVE THE FULL DOWNSIDE MARKET RISK OF THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING OUR DEBT OBLIGATION. YOU SHOULD NOT
PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE SECURITIES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS” BEGINNING ON PAGE 5 OF THIS PRICING SUPPLEMENT AND
UNDER “RISK FACTORS” BEGINNING ON PAGE PS-4 OF THE ACCOMPANYING PRODUCT PROSPECTUS SUPPLEMENT UBS-EQUITY-1 BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE
MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES. YOU COULD LOSE SOME OR ALL OF THE PRINCIPAL AMOUNT OF THE SECURITIES.
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Security Offering
|
Underlying
|
Upside
Gearing
|
Maximum
Gain
|
Initial Underlying
Price
|
Conversion Price
|
Threshold
Percentage
|
Share
Delivery
Amount*
|
CUSIP
|
ISIN
|
SPDR® S&P
500® ETF
Trust (SPY)
|
1.5
|
38.75%
|
$427.10
|
$341.68, which is 80% of the Initial Underlying Price
|
-20%
|
2.9267
|
78016D406
|
US78016D4060
|
Price to Public
|
Fees and Commissions(1)
|
Proceeds to Us
|
||||
Offering of the Securities
|
Total
|
Per Security
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Total
|
Per Security
|
Total
|
Per Security
|
Securities Linked to the SPDR® S&P 500® ETF Trust (SPY)
|
$3,044,000
|
$1,000
|
$76,100
|
$25
|
$2,967,900
|
$975
|
UBS Financial Services Inc.
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RBC Capital Markets, LLC
|
Additional Information About Royal Bank of Canada and the Securities
|
♦
|
Product prospectus supplement UBS-EQUITY-1 dated October 6, 2021:
|
♦ |
Prospectus supplement dated September 14, 2021:
|
♦ |
Prospectus dated September 14, 2021:
|
Investor Suitability
|
♦ |
You fully understand the risks inherent in an investment in the Securities, including the risk of receiving shares of the Underlying at maturity that are worth less than the principal amount, and which could be worth $0.
|
♦ |
You can tolerate the loss of some or all of your initial investment and you are willing to make an investment that may have the full downside market risk of the Underlying.
|
♦ |
You believe that the price of the Underlying will appreciate over the term of the Securities and that the appreciation, when multiplied by the Upside Gearing, is unlikely to exceed the Maximum Gain.
|
♦ |
You understand and accept that your potential return is limited by the Maximum Gain and you are willing to invest in the Securities based on the Maximum Gain set forth on the cover page of this pricing supplement.
|
♦ |
You can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the price of the Underlying.
|
♦ |
You do not seek current income from your investment and are willing to forgo dividends paid on the securities represented by the Underlying.
|
♦ |
You are willing to hold the Securities to maturity and accept that there may be little or no secondary market for the Securities.
|
♦ |
You are willing to assume our credit risk for all payments under the Securities, and understand that if we default on our obligations, you may not receive any amounts due to you, including any repayment of principal.
|
♦
|
You fully understand and accept the risks associated with the Underlying.
|
♦ |
You do not fully understand the risks inherent in an investment in the Securities, including the risk of receiving shares of the Underlying at maturity that are worth less than the principal amount, and which could be worth $0.
|
♦ |
You require an investment designed to provide a full return of principal at maturity.
|
♦ |
You cannot tolerate the loss of some or all of the principal amount of the Securities, and you are not willing to make an investment that may have the full downside market risk as an investment in the Underlying.
|
♦ |
You believe that the price of the Underlying will decline over the term of the Securities, or you believe the price of the Underlying will appreciate over the term of the Securities by a percentage that, when multiplied by the Upside
Gearing, exceeds the Maximum Gain.
|
♦ |
You seek an investment that has unlimited return potential without a cap on appreciation.
|
♦ |
You are unwilling to invest in the Securities based on the Maximum Gain set forth on the cover page of this pricing supplement.
|
♦ |
You cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the price of the Underlying.
|
♦ |
You seek current income from this investment or prefer to receive the dividends paid on the securities represented by the Underlying.
|
♦ |
You are unable or unwilling to hold the Securities to maturity or you seek an investment for which there will be an active secondary market.
|
♦ |
You are not willing to assume our credit risk for all payments under the Securities, including any repayment of principal.
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♦
|
You do not fully understand and accept the risks associated with the Underlying.
|
Final Terms of the Securities1
|
Issuer:
|
Royal Bank of Canada
|
||
Issue Price:
|
$1,000 per Security
|
||
Principal
Amount:
|
$1,000 per Security.
|
||
Term:
|
Approximately 3 years
|
||
Underlying:
|
SPDR® S&P 500® ETF Trust
|
||
Upside
Gearing:
|
1.5
|
||
Maximum
Gain:
|
38.75%
|
||
Threshold
Percentage:
|
-20%
|
||
Payment at
Maturity (per
$1,000
Security):
|
If the Underlying Return is zero or positive, we will pay you:
$1,000 + ($1,000 x the lesser of (i) Upside Gearing x Underlying Return and (ii) Maximum Gain)
If the Underlying Return is negative but is greater than or equal to the Threshold Percentage, we will pay you:
$1,000
If the Underlying Return is less than the Threshold Percentage, we will deliver to you:
the Share Delivery Amount
In this scenario, we will deliver to you at maturity a number of shares of the Underlying equal to the Share Delivery Amount (with cash paid in lieu of
any fractional shares), which are expected to be worth less than the principal amount and may have no value at all.
|
||
Underlying
Return:
|
Final Underlying Price – Initial Underlying Price
Initial Underlying Price
|
||
Initial
Underlying
Price:
|
The closing price of the Underlying on the Trade Date, as set forth on the cover page of this pricing supplement.
|
||
Final
Underlying
Price:
|
The closing price of the Underlying on the Final Valuation Date.
|
||
Conversion
Price:
|
80% of the Initial Underlying Price, as set forth on the cover page of this pricing supplement.
|
||
Share
Delivery
Amount:
|
A number of shares of the Underlying equal to (1) the principal amount of $1,000 divided by (2) the Conversion Price, rounded to four decimal places, as set forth on the
cover page of this pricing supplement.
Any fractional shares included in the Share Delivery Amount will be paid in cash at an
|
amount equal to that fraction multiplied by the Final Underlying Price.
The Share Delivery Amount is subject to adjustment upon the occurrence of certain corporate events affecting the Underlying, as described in the product prospectus
supplement, in the sole discretion of the calculation agent. If the calculation agent determines that we are unable to deliver the Share Delivery Amount on commercially reasonable terms, we will have the option to pay an amount of cash
that is equal to the value of the Share Delivery Amount on the Final Valuation Date.
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Investment Timeline
|
|||
Trade Date:
|
The Initial Underlying Price and the Conversion Price was determined. The Maximum Gain was set.
|
||
Maturity Date:
|
The Final Underlying Price and Underlying Return are determined.
If the Underlying Return is zero or positive, we will pay you a cash payment per $1,000 Security that provides you with your principal amount plus a return equal to the
Underlying Return multiplied by the Upside Gearing, subject to the Maximum Gain. Your payment at maturity per $1,000 Security will be equal to:
$1,000 + ($1,000 x the lesser of (i) Upside Gearing x Underlying Return and (ii) Maximum Gain)
If the Underlying Return is negative but is greater than or equal to the Threshold Percentage, we will pay you:
$1,000
If the Underlying Return is less than the Threshold Percentage, we will deliver to you:
the Share Delivery Amount
In this scenario, we will deliver to you at maturity a number of shares of the Underlying equal to the Share Delivery Amount (with cash paid in lieu of
any fractional shares).
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INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF THE PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO OUR CREDITWORTHINESS.
IF WE DEFAULT ON OUR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
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Key Risks
|
♦ |
Your Investment in the Securities May Result in a Loss of Principal—The Securities differ from ordinary debt securities in that we are not necessarily obligated to repay the
full principal amount of the Securities at maturity. The return on the Securities at maturity is linked to the performance of the Underlying and will depend on whether, and the extent to which, the Underlying Return is positive or negative.
If the Underlying Return is less than the Threshold Percentage, we will deliver to you a number of shares of the Underlying equal to the Share Delivery Amount for each Security. Therefore, if the Final Price is less than the Conversion Price,
the value of the Share Delivery Amount will decrease by a proportionately higher percentage for each additional percentage that the Underlying decreases below the Conversion Price as measured from the Initial Underlying Price. That is, since
the Conversion Price is 80% of the Initial Price, if the Final Underlying Price is less than the Conversion Price, you will lose 1.25% of your principal amount at maturity for each additional 1% that the Final Price is less than the
Conversion Price as measured on the Final Valuation Date from the Initial Price.
|
♦ |
The Contingent Payment of Principal Applies Only if You Hold the Securities to Maturity—The contingent protection of principal provided by the Conversion Price only applies
at maturity. If you are able to sell your Securities prior to maturity in the secondary market, you may have to sell them at a loss, even if the price of the Underlying is above the Conversion Price at the time of sale.
|
♦ |
The Appreciation Potential of the Securities Is Limited by the Maximum Gain—If the Underlying Return is positive, we will pay you $1,000 per Security at maturity plus an
additional return that will not exceed the Maximum Gain, regardless of the appreciation in the Underlying, which may be significant. Therefore, you will not benefit from any appreciation of the Underlying in excess of an amount that, when
multiplied by the Upside Gearing, exceeds the Maximum Gain and your return on the Securities may be less than your return would be on a hypothetical direct investment in the securities represented by the Underlying.
|
♦ |
We Will Not Make Any Interest Payments on the Securities —We will not pay any interest with respect to the Securities. No payments will be made on the Securities prior to
maturity.
|
♦ |
An Investment in the Securities Is Subject to Our Credit Risk—The Securities are our unsubordinated, unsecured debt obligations, and are not, either directly or indirectly,
an obligation of any third party. Any payment to be made on the Securities, including any repayment of principal at maturity, depends on our ability to satisfy our obligations as they come due. As a result, our actual and perceived
creditworthiness may affect the market value of the Securities and, in the event we default on our obligations, you may not receive any amounts owed to you under the terms of the Securities and you could lose your entire initial investment.
|
♦ |
The Securities Will Be Subject to Risks, Including Non-Payment in Full, Under Canadian Bank Resolution Powers — Under Canadian bank resolution powers, the Canada Deposit
Insurance Corporation (“CDIC”) may, in circumstances where we have ceased, or are about to cease, to be viable, assume temporary control or ownership over us and may be granted broad powers by one or more orders of the Governor in Council
(Canada), including the power to sell or dispose of all or a part of our assets, and the power to carry out or cause us to carry out a transaction or a series of transactions the purpose of which is to restructure our business. See
“Description of Debt Securities — Canadian Bank Resolution Powers” in the accompanying prospectus for a description of the Canadian bank resolution powers, including the bail-in regime. If the CDIC were to take action under the Canadian bank
resolution powers with respect to us, holders of the Securities could be exposed to losses.
|
♦ |
Your Return on the Securities May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity—The return that you will receive on the Securities, which
could be negative, may be less than the return you could earn on other investments. Even if your return is positive, your return may be less than the return you could earn if you purchased one of our conventional senior interest bearing debt
security with the same maturity date, or if you invested directly in the Underlying or the securities held by the Underlying. Your investment may not reflect the full opportunity cost to you when you take into account factors that affect the
time value of money.
|
♦
|
The Tax Treatment of the Securities Is Uncertain — Significant aspects of the tax treatment of an investment in the Securities are uncertain. You
should consult your tax adviser about your tax situation.
|
♦ |
The Anti-Dilution Protection for the Underlying Is Limited—The calculation agent will make adjustments to the Initial Underlying Price and the Final Underlying Price for
certain events affecting the shares of the Underlying. However, the calculation agent will not be required to make an adjustment in response to all events that could affect the Underlying. If an event occurs that does not require the
calculation agent to make an adjustment, the value of the Securities and the Payment at Maturity may be materially and adversely affected.
|
♦ |
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, which is less than the public offering price you pay for the Securities, does not represent a minimum price at which we, RBCCM or any of our other affiliates would be willing to purchase the Securities in any secondary market (if
any exists) at any time. If you attempt to sell the Securities prior to maturity, their market value may be lower than the price you paid for them and the initial estimated value. This is due to, among other things, changes in the price of
the Underlying, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to the public of the underwriting discount, and our estimated profit and the costs relating to our hedging of the Securities. These
factors, together with various credit, market and economic factors over the term of the Securities, are expected to reduce the price at which you may be able to sell the Securities in any secondary market and will affect the value of the
Securities in complex and unpredictable ways. Assuming no change in market conditions or any other relevant factors, the price, if any, at which you may be able to sell your Securities prior to maturity may be less than the price to public,
as any such sale price would not be expected to include the underwriting discount and our estimated profit and the costs relating to our hedging of the Securities. In addition, any price at which you may sell the Securities is likely to
reflect customary bid-ask spreads for similar trades. In addition to bid-ask spreads, the value of the Securities determined for any secondary market price is expected to be based on a secondary market rate rather than the internal borrowing
rate used to price the Securities and determine the initial estimated value. As a result, the secondary price will be less than if the internal borrowing rate was used. The Securities are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your Securities to maturity.
|
♦ |
Our Initial Estimated Value of the Securities Is an Estimate Only, Calculated as of the Time the Terms of the Securities Were 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.
|
♦ |
The Securities Are Expected to Have a Limited Trading Market — The Securities will not be listed on any securities exchange. RBCCM intends to offer to purchase the
Securities in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Securities easily. Because other dealers are not likely to make a
secondary market for the Securities, the price at which you may be able to trade your Securities is likely to depend on the price, if any, at which RBCCM is willing to buy the Securities.
|
♦ |
The Terms of the Securities at Issuance Were Influenced and Their Market Value Prior to Maturity Will Be Influenced by Many Unpredictable Factors — Many economic and market
factors influenced the terms of the Securities at issuance and will influence their value prior to maturity. These factors are similar in some ways to those that could affect the value of a combination of instruments that might be used to
replicate the payments on the Securities, including a combination of a bond with one or more options or other derivative instruments. For the market value of the Securities, we expect that, generally, the price of the Underlying on any day
will affect the value of the Securities more than any other single factor. However, you should not expect the value of the Securities in the secondary market to vary in proportion to changes in the price of the Underlying. The value of the
Securities will be affected by a number of other factors that may either offset or magnify each other, including:
|
♦ |
the price of the Underlying;
|
♦ |
the actual and expected volatility of the price of the Underlying;
|
♦ |
the time remaining to maturity of the Securities;
|
♦ |
the dividend rates on the securities held by the Underlying;
|
♦ |
interest and yield rates in the market generally, as well as in each of the markets of the securities held by the Underlying;
|
♦ |
a variety of economic, financial, political, regulatory or judicial events;
|
♦ |
the occurrence of certain events with respect to the Underlying that may or may not require an adjustment to the terms of the Securities; and
|
♦ |
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
♦ |
Owning the Securities Is Not the Same as Owning the Underlying or the Stocks Comprising the Underlying’s Underlying Index—The return on your Securities may not reflect the
return you would realize if you actually owned the Underlying or stocks included in the Underlying’s underlying index. As a holder of the Securities, you will not have voting rights or rights to receive dividends or other distributions or
other rights that holders of the Underlying or these stocks would have, and any such dividends will not be incorporated in the determination of the Underlying Return.
|
♦ |
The Policies of the Underlying’s Investment Adviser Could Affect the Amount Payable on the Securities and Their Market Value—The policies of the Underlying’s investment
adviser concerning the management of the Underlying, additions, deletions or substitutions of the securities held by the Underlying could affect the market price of shares of the Underlying and, therefore, the amount payable on the Securities
on the maturity date and the market value of the Securities before that date. The amount payable on the Securities and their market value could also be affected if the Underlying investment adviser changes these policies, for example, by
changing the manner in which it manages the Underlying, or if the Underlying investment adviser discontinues or suspends maintenance of the Underlying, in which case it may become difficult to determine the market value of the Securities. The
Underlying’s investment adviser has no connection to the offering of the Securities and has no obligations to you as an investor in the Securities in making its decisions regarding the Underlying.
|
♦ |
Historical Prices of the Underlying Should Not Be Taken as an Indication of Its Future Prices During the Term of the Securities—The trading prices of the Underlying will
determine the value of the Securities at any given time. However, it is impossible to predict whether the price of the Underlying will rise or fall, and trading prices of the common stocks held by the Underlying will be influenced by complex
and interrelated political, economic, financial and other factors that can affect the issuers of those stocks, and therefore, the price of the Underlying.
|
♦ |
The Underlying and its Underlying Index Are Different—The performance of the Underlying may not exactly replicate the performance of the underlying index, because the
Underlying will reflect transaction costs and fees that are not included in the calculation of the underlying index. It is also possible that the performance of the Underlying may not fully replicate or may in certain circumstances diverge
significantly from the performance of the underlying index due to the temporary unavailability of certain securities in the secondary market, the performance of any derivative instruments contained in the Underlying or due to other
circumstances. The Underlying may use futures contracts, options, swap agreements, currency forwards and repurchase agreements in seeking performance that corresponds to the underlying index and in managing cash flows.
|
♦ |
An Investment in the Securities Is Subject to Management Risk—The Underlying is not managed according to traditional methods of “active” investment management, which involve
the buying and selling of securities based on economic, financial and market analysis and investment judgment. Instead, the Underlying, utilizing a “passive” or indexing investment approach, attempts to approximate the investment performance
of its underlying index by investing in a
|
♦ |
Changes Affecting the Underlying Could Impact the Payments on the Securities—The policies of the index sponsor concerning additions, deletions and substitutions of the
stocks included in the Underlying and the manner in which the index sponsor takes account of certain changes affecting those stocks included in the Underlying may adversely affect its price. The policies of the index sponsor with respect to
the calculation of the Underlying could also adversely affect its price. The index sponsor may discontinue or suspend calculation or dissemination of the Underlying and has no obligation to consider your interests in the Securities when
taking any action regarding the Underlying. Any such actions could have an adverse effect on the value of the Securities and the amount that may be paid at maturity.
|
♦ |
The Probability That the Underlying Will Fall Below the Conversion Price on the Final Valuation Date Will Depend on the Volatility of the Underlying—“Volatility” refers to
the frequency and magnitude of changes in the price of the Underlying. Greater expected volatility with respect to the Underlying reflects a higher expectation as of the Trade Date that the Underlying could close below the Conversion Price on
the Final Valuation Date, resulting in the loss of up to 100% of your investment. However, an Underlying’s volatility can change significantly over the term of the Securities. The price of the Underlying could fall sharply, which could result
in a significant loss of principal.
|
♦ |
We, UBS and Our Respective Affiliates Will Have Potential Conflicts of Interest in Connection with the Securities — We, UBS and our respective affiliates play a variety of
roles in connection with the issuance of the Securities, including hedging our obligations under the Securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours, and those of UBS, are
potentially adverse to your interests as an investor in the Securities.
|
♦ |
Potentially Inconsistent Research, Opinions or Recommendations by RBCCM, UBS or Their Affiliates May Adversely Affect the Value of the Securities — RBCCM, UBS, and our
respective affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding the Securities, and which may be revised at any time. Any such research, opinions or recommendations
could affect the price of the Underlying, and therefore, the market value of the Securities.
|
♦
|
Our Activities and Those of UBS May Adversely Affect the Value of the Securities — Trading or other transactions by Royal Bank of Canada, UBS and our respective
affiliates in the Underlying or the securities included in the Underlying’s underlying index, or in futures, options, exchange-traded funds or other derivative products on the Underlying or those securities, may adversely affect the
market value of the Underlying and, therefore, the market value of the Securities.
|
Hypothetical Examples and Return Table at Maturity
|
Hypothetical Final
Underlying Price
|
Hypothetical
Underlying Return1
|
Hypothetical
Payment at Maturity
($)
|
Value of the Share
Delivery Amount
|
Hypothetical Total
Return on Securities2
|
$200.00
|
100.00%
|
$1,387.50
|
N/A
|
38.75%
|
$175.00
|
75.00%
|
$1,387.50
|
N/A
|
38.75%
|
$150.00
|
50.00%
|
$1,387.50
|
N/A
|
38.75%
|
$140.00
|
40.00%
|
$1,387.50
|
N/A
|
38.75%
|
$130.00
|
30.00%
|
$1,387.50
|
N/A
|
38.75%
|
$125.84
|
25.84%
|
$1,387.50
|
N/A
|
38.75%
|
$120.00
|
20.00%
|
$1,300.00
|
N/A
|
30.00%
|
$110.00
|
10.00%
|
$1,150.00
|
N/A
|
15.00%
|
$105.00
|
5.00%
|
$1,075.00
|
N/A
|
7.50%
|
$102.00
|
2.00%
|
$1,030.00
|
N/A
|
3.00%
|
$100.00
|
0.00%
|
$1,000.00
|
N/A
|
0.00%
|
$95.00
|
-5.00%
|
$1,000.00
|
N/A
|
0.00%
|
$90.00
|
-10.00%
|
$1,000.00
|
N/A
|
0.00%
|
$80.00
|
-20.00%
|
$1,000.00
|
N/A
|
0.00%
|
$75.00
|
-25.00%
|
12.50 shares
|
$937.503
|
-6.25%3
|
$70.00
|
-30.00%
|
12.50 shares
|
$875.003
|
-12.50%3
|
$60.00
|
-40.00%
|
12.50 shares
|
$750.003
|
-25.00%3
|
$50.00
|
-50.00%
|
12.50 shares
|
$625.003
|
-37.50%3
|
$25.00
|
-75.00%
|
12.50 shares
|
$312.503
|
-68.75%3
|
$0.00
|
-100.00%
|
12.50 shares
|
$0.003
|
-100.00%3
|
1
|
The Underlying Return excludes any cash dividend payments.
|
2
|
The “total return” is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount Security to the purchase price of $1,000 per
Security.
|
3
|
Calculated based on the corresponding hypothetical Final Underlying Price.
|
What Are the Tax Consequences of the Securities?
|
Information About the Underlying
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
Structuring the Securities
|
Terms Incorporated in Master Note
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Validity of the Securities
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