Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-259205
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Pricing Supplement
Dated January 26, 2023
To the Prospectus dated September 14, 2021, the Prospectus
Supplement dated September 14, 2021, and the Product
Prospectus Supplement dated March 3, 2022
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$360,000
Auto-Callable Buffered Absolute Return Notes
Linked to the SPDR® S&P 500® ETF Trust,
Due January 30, 2025
Royal Bank of Canada
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Reference Asset
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Initial Price
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Buffer Level*
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SPDR® S&P 500® ETF Trust
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$404.75
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$303.56, which is 75% of the Initial Price
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If the Final Price is greater than or equal to the Initial Price on the Valuation Date, then the investor will receive a return equal to the principal amount multiplied by the Percentage Change (as defined
below).
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If the Final Price of the Reference Asset is less than the Initial Price, but is greater than or equal to 75% of its Initial Price (the “Buffer Level”), then the investor will receive a one-for-one positive
return equal to the absolute value of the Percentage Change.
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If the Final Price of the Reference Asset is less than the Buffer Level, investors will lose 1% of the principal amount of the Notes for each 1% decrease from the Initial Price to the Final Price of more than
25%. Accordingly, investors may lose a substantial portion of their principal amount.
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The Notes will be automatically called for a Call Payment equal to 106.50% of the principal amount if the closing price of the Reference Asset on January 26, 2024 (the “Observation Date”) is greater than or
equal to its Initial Price.
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Any payments on the Notes are subject to our credit risk.
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The Notes do not pay interest.
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The Notes will not be listed on any securities exchange.
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Per Note
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Total
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Price to public(1)
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100.00%
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$360,000
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Underwriting discounts and commissions(1)
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2.10%
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$7,560
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Proceeds to Royal Bank of Canada
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97.90%
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$352,440
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Auto-Callable Buffered Absolute
Return Notes
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Issuer:
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Royal Bank of Canada (“Royal Bank”)
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Underwriter:
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RBC Capital Markets, LLC (“RBCCM”)
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Reference Asset:
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SPDR® S&P 500® ETF Trust (“SPY”)
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Minimum
Investment:
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$1,000 and minimum denominations of $1,000 in excess thereof
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Trade Date (Pricing
Date):
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January 26, 2023
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Issue Date:
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January 31, 2023
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Valuation Date:
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January 27, 2025
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Maturity Date:
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January 30, 2025, subject to extension for market and other disruptions, as described in the product prospectus supplement.
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Automatic Call:
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If the closing price of the Reference Asset is greater than or equal to its Initial Price on the Observation Date, we will automatically redeem the Notes, and investors
will receive an amount equal to 106.50% of the principal amount on the Early Redemption Date ($1,065.00 for each $1,000 in principal amount). If the Notes are automatically called, no further payments will be made on the Notes after the
Early Redemption Date.
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Observation Date:
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January 26, 2024, subject to postponement as described in the product prospectus supplement.
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Early Redemption
Date:
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February 1, 2024, subject to postponement as described in the product prospectus supplement.
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Payment at Maturity
(if not automatically
called and held to
maturity):
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If the Notes are not previously called, we will pay you at maturity an amount based on the Final Price:
If the Final Price is greater than or equal to the Initial Price (that is, the
Percentage Change is 0% or positive), then the investor will receive an amount per $1,000 in principal amount per Note equal to:
$1,000 + ($1,000 x Percentage Change)
If the Final Price is less than the Initial Price, but greater than or
equal to the Buffer Level (that is, the Percentage Change is between -0.01% and -25.00%), the investor will receive, for each $1,000 in principal amount of the Notes, a one-for-one
positive return equal to the absolute value of the Percentage Change, calculated as follows:
$1,000 + [-1 x ($1,000 x Percentage Change)]
In this case, you will receive a positive return on the Notes, even though the Percentage Change is negative.
If the Final Price is less than the Buffer Level (that is, the Percentage Change is less than -25.00%), then
the investor will receive, for each $1,000 in principal amount of the Notes:
$1,000 + [$1,000 x (Percentage Change + Buffer Percentage)]
In this case, you will lose some or a substantial portion of the principal amount.
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Auto-Callable Buffered Absolute
Return Notes
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Percentage Change:
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The Percentage Change, expressed as a percentage, is calculated using the following formula:
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Initial Price:
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The closing share price of the Reference Asset on the Trade Date, as set forth on the cover page of this pricing supplement.
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Final Price:
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The closing share price of the Reference Asset on the Valuation Date.
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Buffer Percentage:
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25%
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Buffer Level:
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75% of the Initial Price, as set forth on the cover page of this pricing supplement.
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Principal at Risk:
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The Notes are NOT principal protected. You may lose a substantial portion of your principal amount at maturity if the Final Price is less than the Buffer Level.
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Calculation Agent:
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RBCCM
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U.S. Tax Treatment:
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By purchasing a Note, each holder agrees (in the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat the Notes as a
callable pre-paid cash-settled derivative contract for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the Notes are uncertain and the Internal Revenue Service could assert that
the Notes should be taxed in a manner that is different from that described in the preceding sentence. Please see the section below, “Supplemental Discussion of U.S. Federal Income Tax Consequences,” and the discussion (including the
opinion of Ashurst LLP, our special U.S. tax counsel) in the product prospectus supplement under “Supplemental Discussion of U.S. Federal Income Tax Consequences,” which apply to the Notes.
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Secondary Market:
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RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary market in the Notes after the issue date. The
amount that you may receive upon sale of your Notes prior to maturity may be less than the principal amount of your Notes.
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Listing:
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The Notes will not be listed on any securities exchange.
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Clearance and
Settlement:
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DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as described under “Ownership and Book-Entry Issuance” in the prospectus
dated September 14, 2021).
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Terms Incorporated
in the Master Note:
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All of the terms appearing on the cover page and above the item captioned “Secondary Market” on pages P-2 and P-3 of this pricing supplement, and the applicable terms appearing under the
captions “General Terms of the Notes” and “Supplemental Discussion of U.S. Federal Income Tax Consequences” in the product prospectus supplement dated March 3, 2022, as modified by this pricing supplement.
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Auto-Callable Buffered Absolute
Return Notes
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Auto-Callable Buffered Absolute
Return Notes
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Hypothetical Initial Price:
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$100.00*
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Hypothetical Buffer Level:
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$75.00, which is 75.00% of the hypothetical Initial Price
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Principal Amount:
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$1,000 per Note
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Hypothetical Final Price
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Redemption Amount as
Percentage of Principal Amount
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Redemption Amount
per $1,000 in Principal
Amount
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$170.00
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170.00%
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$1,700.00
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$160.00
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160.00%
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$1,600.00
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$150.00
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150.00%
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$1,500.00
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$140.00
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140.00%
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$1,400.00
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$130.00
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130.00%
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$1,300.00
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$120.00
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120.00%
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$1,200.00
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$110.00
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110.00%
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$1,100.00
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$100.00
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100.00%
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$1,000.00
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$90.00
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110.00%
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$1,100.00
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$80.00
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120.00%
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$1,200.00
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$75.00
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125.00%
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$1,250.00
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$74.99
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99.99%
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$999.90
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$70.00
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95.00%
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$950.00
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$60.00
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85.00%
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$850.00
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$50.00
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75.00%
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$750.00
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$40.00
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65.00%
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$650.00
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$30.00
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55.00%
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$550.00
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$20.00
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45.00%
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$450.00
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$10.00
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35.00%
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$350.00
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$0.00
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25.00%
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$250.00
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Auto-Callable Buffered Absolute
Return Notes
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Example 1 —
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Calculation of the Payment at Maturity where the Percentage Change is 10%.
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Percentage Change:
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10%
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Payment at Maturity:
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$1,000 + ($1,000 x 10%) = $1,000 + $100.00 = $1,100.00
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In this case, on a $1,000 investment, a 10% Percentage Change results in a Payment at Maturity of $1,100.00, a 10.00% return on the Notes.
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Example 2 —
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Calculation of the Payment at Maturity where the Percentage Change is negative, but the Final Price is greater than or equal to the Buffer Level.
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Percentage Change:
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-10%
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Payment at Maturity:
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$1,000 + [-1 x ($1,000 x -10%)] = $1,000 + $100 = $1,100
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In this case, on a $1,000 investment, a -10% Percentage Change results in a Payment at Maturity of $1,100, a 10% return on the Notes.
In this case, even though the Percentage Change is negative, you will receive a positive return equal to the absolute value of the Percentage Change.
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Example 3 —
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Calculation of the Payment at Maturity where the Percentage Change is negative, and the Final Price is less than the Buffer Level.
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Percentage Change:
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-50%
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Payment at Maturity:
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$1,000 + [$1,000 x (-50% + 25%)] = $1,000 - $250 = $750
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In this case, on a $1,000 investment, a -50% Percentage Change results in a Payment at Maturity of $750, a -25% return on the Notes.
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Auto-Callable Buffered Absolute
Return Notes
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You May Receive Less Than the Principal Amount at Maturity — Investors in the Notes could lose a substantial portion of their principal amount if there is a decline in
the price of the Reference Asset. If the Notes are not automatically called, and the Final Price is less than the Buffer Level, you will not benefit from the absolute return feature of the Notes, and you will lose 1% of the principal
amount of the Notes for each 1% that the Final Price is less than the Initial Price by more than 25%.
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The Notes Do Not Pay Interest and Your Return May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity — There will be no periodic interest
payments on the Notes as there would be on a conventional fixed-rate or floating-rate debt security having the same maturity. The return that you will receive on the Notes, which could be negative, may be less than the return you could
earn on other investments. Even if your return is positive, the return may be less than the return you would earn if you purchased one of our conventional senior interest bearing debt securities.
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The Notes Are Subject to an Automatic Call — If the Notes are automatically called on the Observation Date, you may not be able to reinvest at comparable terms or
returns. If the Notes are automatically called, you will receive no more further payments on the Notes, and may be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms or returns. In
addition, the fixed amount that you will receive upon an automatic call is 106.50% of the principal amount, even if the value of the Reference Asset increases by more than 6.50%. The payment on the Notes upon an automatic call may also
be less than it would have been at maturity if the Notes were not automatically called.
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Payments on the Notes Are Subject to Our Credit Risk, and Changes in Our Credit Ratings Are Expected to Affect the Market Value of the Notes — The Notes are our senior
unsecured debt securities. As a result, your receipt of the amounts due on the Notes is dependent upon our ability to repay our obligations on the applicable payment date. This will be the case even if the share price of the Reference
Asset increases after the Trade Date. No assurance can be given as to what our financial condition will be at any time during the term of the Notes.
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You Will Not Have Any Rights to the Securities Included in the Reference Asset — As a holder of the Notes, you will not have voting rights or rights to receive cash
dividends or other distributions or other rights that holders of securities included in the Reference Asset would have. The Final Price will not reflect any dividends paid on the securities included in the Reference Asset, and
accordingly, any positive return on the Notes may be less than the potential positive return on those securities.
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Payments on the Notes Are Subject to Postponement Due to Market Disruption Events and Adjustments — The Observation Date and the Valuation Date are subject to
adjustment as described in the product prospectus supplement. For a description of what constitutes a market disruption event as well as the consequences of that market disruption event, see “General Terms of the Notes—Market Disruption
Events” in the product prospectus supplement.
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There May Not Be an Active Trading Market for the Notes—Sales in the Secondary Market May Result in Significant Losses — There may be little or no secondary market for
the Notes. The Notes will not be listed on any securities exchange. RBCCM and our other affiliates may make a market for the Notes; however, they are not required to do so. RBCCM or any of our other affiliates may stop any market-making
activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous
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Auto-Callable Buffered Absolute
Return Notes
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The Initial Estimated Value of the Notes Is Less than the Price to the Public — The initial estimated value of the Notes 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 Notes in any secondary market (if any exists) at any time. If you attempt to sell the Notes 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 share price of the Reference Asset, 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 the estimated costs relating to our hedging of the Notes. These factors, together with various credit, market and economic factors
over the term of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any secondary market and will affect the value of the Notes in complex and unpredictable ways. Assuming no change in market
conditions or any other relevant factors, the price, if any, at which you may be able to sell your Notes prior to maturity may be less than your original purchase price, as any such sale price would not be expected to include the
underwriting discount or the hedging costs relating to the Notes. In addition to bid-ask spreads, the value of the Notes 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 Notes and determine the initial estimated value. As a result, the secondary price will be less than if the internal funding rate was used. The Notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your Notes to maturity.
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The Initial Estimated Value of the Notes that Is Set Forth on the Cover Page of this Pricing Supplement Is an Estimate Only, Calculated as of the Time the Terms of the Notes
Were Set — The initial estimated value of the Notes is based on the value of our obligation to make the payments on the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes. See
“Structuring the Notes” 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 Notes. These assumptions are based
on certain forecasts about future events, which may prove to be incorrect. Other entities may value the Notes or similar securities at a price that is significantly different than we do.
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Changes that Affect the Underlying Index Will Affect the Market Value of the Notes, Whether They Are Subject to an Automatic Call, and the Amount You Will Receive at Maturity
— The policies of the sponsor of the Underlying Index (the “Index Sponsor”), concerning the calculation of the Underlying Index, additions, deletions or substitutions of the components of the Underlying Index and the manner in which
changes affecting those components, such as stock dividends, reorganizations or mergers, may be reflected in the Underlying Index and, therefore, could affect the share price of the Reference Asset, whether the Notes will be
automatically called, the amount payable on the Notes at maturity, and the market value of the Notes prior to maturity. The amounts payable on the Notes and their market value could also be affected if the Index Sponsor changes these
policies, for example, by changing the manner in which it calculates the Underlying Index, or if the sponsor discontinues or suspends the calculation or publication of the Underlying Index.
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Adjustments to the Reference Asset Could Adversely Affect the Notes — The Advisor of the Reference Asset is responsible for
calculating and maintaining the Reference Asset. The Advisor can add, delete or substitute the stocks comprising the Reference Asset. The Advisor may make other methodological changes that could change the share price of the Reference
Asset at any time. If one or more of these events occurs, the calculation of the amounts payable on the Notes may be adjusted to reflect such event or events. Consequently,
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Auto-Callable Buffered Absolute
Return Notes
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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 our affiliate and will not be involved in the offering of the Notes 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 payments on the Notes. The Index Sponsor has no obligation of any sort with respect to the Notes. 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 Notes. None of our proceeds from the issuance of the Notes will be delivered to the Index Sponsor.
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We and Our Affiliates Do Not Have Any Affiliation with the Advisor and Are Not Responsible for its Public Disclosure of Information — We and our affiliates are not
affiliated with Advisor in any way and have no ability to control or predict its actions, including any errors in or discontinuance of disclosure regarding its methods or policies relating to the Reference Asset. The Advisor is not
involved in the offering of the Notes in any way and has no obligation to consider your interests as an owner of the Notes in taking any actions relating to the Reference Asset that might affect the value of the Notes. Neither we nor
any of our affiliates has independently verified the adequacy or accuracy of the information about the Advisor or the Reference Asset contained in any public disclosure of information. You, as an investor in the Notes, should make your
own investigation into the Reference Asset.
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The Correlation Between the Performance of the Reference Asset and the Performance of the Underlying Index May Be Imperfect — The
performance of the Reference Asset is linked principally to the performance of the Underlying Index. However, because of the potential discrepancies identified in more detail in the product prospectus supplement, the return on the
Reference Asset may correlate imperfectly with the return on the Underlying Index.
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The Reference Asset Is Subject to Management Risks — The Reference Asset is subject to management risk, which is the risk that
the Advisor’s investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. For example, the Advisor may invest a portion of the Reference Asset’s assets in securities not
included in the relevant industry or sector but which BlackRock believes will help the Reference Asset track the relevant industry or sector.
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Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the Reference Asset or the
securities held by the Reference Asset that are not for the account of holders of the Notes or on their behalf. These trading activities may present a conflict between the holders’ interests in the Notes and the interests we and our
affiliates will have in their proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for their customers and in accounts under their management. These trading activities, if they
influence the prices of the Reference Asset, could be adverse to the interests of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with the issuers of the securities
held by the Reference Asset, including making loans to or providing advisory services. These services could include investment banking and merger and acquisition advisory services. These activities may present a conflict between our or
one or more of our affiliates’ obligations and your interests as a holder of the Notes. Moreover, we and our affiliates may have published, and in the future expect to publish, research reports with respect to the Reference Asset. 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 Notes. Any of these activities by us or one or more of our affiliates may
affect the price of the Reference Asset, and, therefore, the market value of the Notes.
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Auto-Callable Buffered Absolute
Return Notes
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Auto-Callable Buffered Absolute
Return Notes
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Auto-Callable Buffered Absolute
Return Notes
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Auto-Callable Buffered Absolute
Return Notes
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Auto-Callable Buffered Absolute
Return Notes
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Auto-Callable Buffered Absolute
Return Notes
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