Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-275898
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The information in this preliminary terms supplement is not complete and may be changed.
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Preliminary Terms Supplement
Subject to Completion:
Dated April 18, 2024
Pricing Supplement Dated April __, 2024 to the Product Prospectus Supplement CCBN-2, the Prospectus Supplement
and the Prospectus, Each Dated December 20, 2023
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$
Auto-Callable Contingent Coupon Barrier Notes Linked
to the Lesser Performing of Three Equity Indices Due
April 29, 2027
Royal Bank of Canada
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Reference Asset
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Initial Levels
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Coupon Barriers and Trigger Levels
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Dow Jones Industrial Average® (“INDU”)
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70% of the Initial Level
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Nasdaq-100 Index® (“NDX”)
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70% of the Initial Level
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Russell 2000® Index (“RTY”)
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70% of the Initial Level
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Issuer:
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Royal Bank of Canada
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Stock Exchange Listing:
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None
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Trade Date:
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April 24, 2024
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Principal Amount:
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$1,000 per Note
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Issue Date:
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April 29, 2024
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Maturity Date:
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April 29, 2027
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Coupon Observation
Dates:
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Monthly, as set forth below
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Coupon Payment Dates:
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Monthly, as set forth below
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Valuation Date:
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April 26, 2027
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Contingent Coupon Rate:
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10.60% per annum
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Final Level:
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For each Reference Asset, its closing level on the Valuation Date.
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Contingent Coupon:
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If the closing level of each Reference Asset is greater than or equal to its Coupon Barrier on the applicable Coupon Observation Date, we will pay the Contingent Coupon applicable to that
Coupon Payment Date. You may not receive any Contingent Coupons during the term of the Notes.
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Payment at Maturity (if
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 Level of the Lesser Performing Reference Asset:
For each $1,000 in principal amount, $1,000 plus the Contingent Coupon at maturity, unless the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level.
If the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level, then the investor will receive at maturity, for each $1,000 in principal amount, a cash payment
equal to:
$1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset)
Investors could lose some or all of the principal amount if the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level.
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Lesser Performing Reference Asset:
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The Reference Asset with the lowest Percentage Change.
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Call Feature:
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If the closing level of each Reference Asset is greater than or equal to its Initial Level on October 24, 2024, and on any quarterly Call Observation Date thereafter, the Notes will be
automatically called for 100% of their principal amount, plus the Contingent Coupon applicable to the corresponding Call Observation Date.
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Call Observation
Dates:
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Quarterly, as set forth below.
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CUSIP:
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78017FUU5
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Per Note
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Total
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Price to public(1)
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100.00%
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$
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Underwriting discounts and commissions(1)
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1.00%
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$
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Proceeds to Royal Bank of Canada
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99.00%
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$
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|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
General:
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This terms supplement relates to an offering of Auto-Callable Contingent Coupon Barrier Notes (the “Notes”) linked to the lesser performing of three equity indices (the “Reference Assets”).
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Issuer:
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Royal Bank of Canada (the “Bank”)
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Trade Date:
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April 24, 2024
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Issue Date:
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April 29, 2024
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Valuation Date:
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April 26, 2027
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Maturity Date:
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April 29, 2027
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Denominations:
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Minimum denomination of $1,000, and integral multiples of $1,000 thereafter.
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Contingent Coupon:
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We will pay you a Contingent Coupon during the term of the Notes, periodically in arrears on each Coupon Payment Date, under the conditions described below:
• If the closing level of each Reference Asset is greater than or equal to its Coupon Barrier on the applicable Coupon Observation Date, we will
pay the Contingent Coupon applicable to that Coupon Observation Date.
• If the closing level of any of the Reference Assets is less than its Coupon Barrier on the applicable Coupon Observation Date, we will not pay
you the Contingent Coupon applicable to that Coupon Observation Date.
You may not receive a Contingent Coupon for one or more monthly periods during the term of the Notes.
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Contingent Coupon
Rate:
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10.60% per annum (approximately 0.88333% per month).
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Coupon Observation
Dates and Call
Observation Dates:
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The Coupon Observation Dates and Coupon Payment Dates will occur monthly, and the Call Observation Dates and Call Settlement Dates will occur quarterly, as set forth in the table below.
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Coupon Observation Dates
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Coupon Payment Dates
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May 24, 2024
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May 30, 2024
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June 24, 2024
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June 27, 2024
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July 24, 2024
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July 29, 2024
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August 26, 2024
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August 29, 2024
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September 24, 2024
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September 27, 2024
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October 24, 2024(1)
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October 29, 2024(2)
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November 25, 2024
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November 29, 2024
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December 24, 2024
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December 30, 2024
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January 24, 2025(1)
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January 29, 2025(2)
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February 24, 2025
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February 27, 2025
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March 24, 2025
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March 27, 2025
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April 24, 2025(1)
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April 29, 2025(2)
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May 27, 2025
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May 30, 2025
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June 24, 2025
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June 27, 2025
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July 24, 2025(1)
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July 29, 2025(2)
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August 25, 2025
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August 28, 2025
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September 24, 2025
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September 29, 2025
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October 24, 2025(1)
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October 29, 2025(2)
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November 24, 2025
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November 28, 2025
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December 24, 2025
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December 30, 2025
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January 26, 2026(1)
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January 29, 2026(2)
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|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
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February 24, 2026
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February 27, 2026
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March 24, 2026
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March 27, 2026
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April 24, 2026(1)
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April 29, 2026(2)
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May 26, 2026
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May 29, 2026
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June 24, 2026
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June 29, 2026
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July 24, 2026(1)
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July 29, 2026(2)
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August 24, 2026
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August 27, 2026
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September 24, 2026
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September 29, 2026
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October 26, 2026(1)
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October 29, 2026(2)
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November 24, 2026
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November 30, 2026
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December 24, 2026
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December 30, 2026
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January 25, 2027(1)
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January 28, 2027(2)
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February 24, 2027
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March 1, 2027
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March 24, 2027
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March 30, 2027
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April 26, 2027 (the Valuation Date)
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April 29, 2027 (the Maturity Date)
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(1) This date is also a Call Observation Date.
(2) This date is also a Call Settlement Date.
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Record Dates:
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The record date for each Coupon Payment Date will be one business day prior to that scheduled Coupon Payment Date; provided, however, that any Contingent Coupon payable at maturity or upon a
call will be payable to the person to whom the payment at maturity or upon a call, as the case may be, will be payable.
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Call Feature:
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If, on any quarterly Call Observation Date, beginning on October 24, 2024, the closing level of each Reference Asset is greater than or equal to its Initial Level, then the Notes will be
automatically called.
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Payment if Called:
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If the Notes are automatically called, then, on the applicable Call Settlement Date, for each $1,000 in principal amount, you will receive $1,000 plus the Contingent Coupon otherwise due on
that Call Settlement Date.
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Initial Level:
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For each Reference Asset, its closing level on the Trade Date.
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Final Level:
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For each Reference Asset, its closing level on the Valuation Date.
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Coupon Barrier and
Trigger Level:
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For each Reference Asset, 70% of its Initial Level.
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Payment at Maturity (if
not previously called
and
held to maturity):
|
If the Notes are not previously called, we will pay you at maturity an amount based on the Final Level of the Lesser Performing Reference Asset:
• If the Final Level of the Lesser Performing Reference Asset is greater than or equal to its Trigger Level, we will pay you a cash payment equal
to the principal amount plus the Contingent Coupon otherwise due on the Maturity Date.
• If the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level, you will receive at maturity, for each $1,000 in
principal amount, a cash payment equal to:
$1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset)
The amount of cash that you receive will be less than your principal amount, if anything, resulting in a loss that is proportionate to the decline of the Lesser
Performing Reference Asset from the Trade Date to the Valuation Date.
Investors in the Notes could lose some or all of the principal amount if the Final Level of the Lesser Performing Reference Asset is less than its
Trigger Level.
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Percentage Change:
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With respect to each Reference Asset:
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
Lesser Performing
Reference Asset:
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The Reference Asset with the lowest Percentage Change.
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Market Disruption
Events:
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The occurrence of a market disruption event (or a non-trading day) as to any of the Reference Assets will result in the postponement of a Coupon Observation Date, Call Observation Date or
the Valuation Date as to that Reference Asset, as described in the product prospectus supplement, but not to any non-affected Reference Asset.
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Calculation Agent:
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RBC Capital Markets, LLC (“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 contingent income-bearing derivative contract linked to the Reference Assets 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 dated December 20, 2023 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.
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Listing:
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The Notes will not be listed on any securities exchange.
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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 December 20,
2023).
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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” in this section and the terms appearing under the caption “General Terms of the Notes” in the
product prospectus supplement, as modified by this terms supplement.
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
|
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
Hypothetical Initial Level (for each Reference Asset):
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100.00*
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Hypothetical Trigger Level and Coupon Barrier (for each Reference Asset):
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70% of each hypothetical Initial Level
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Contingent Coupon Rate:
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10.60% per annum (or approximately 0.88333% per month)
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Contingent Coupon Amount:
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Approximately $8.8333 per month
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Coupon Observation Dates:
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Monthly
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Principal Amount:
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$1,000 per Note
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Hypothetical Final Level of the Lesser
Performing Reference Asset |
Payment at Maturity as Percentage of
Principal Amount
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Cash Payment Amount per $1,000 in
Principal Amount
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130.00
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100.88333%*
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$1,008.8333*
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120.00
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100.88333%*
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$1,008.8333*
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110.00
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100.88333%*
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$1,008.8333*
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100.00
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100.88333%*
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$1,008.8333*
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90.00
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100.88333%*
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$1,008.8333*
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80.00
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100.88333%*
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$1,008.8333*
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70.00
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100.88333%*
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$1,008.8333*
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69.99
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69.99%
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$699.90
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60.00
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60.00%
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$600.00
|
50.00
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50.00%
|
$500.00
|
40.00
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40.00%
|
$400.00
|
30.00
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30.00%
|
$300.00
|
20.00
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20.00%
|
$200.00
|
10.00
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10.00%
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$100.00
|
0.00
|
0.00%
|
$0.00
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
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• |
You May Receive Less than the Principal Amount at Maturity – Investors in the Notes could lose all or a substantial portion of their principal amount if there is a decline in the level of the Lesser Performing Reference Asset between the Trade Date and the Valuation Date. If the Notes are
not automatically called and the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level, the amount of cash that you receive at maturity will represent a loss of your principal that is proportionate to the
decline in the closing level of the Lesser Performing Reference Asset from the Trade Date to the Valuation Date. Any Contingent Coupons received on the Notes prior to the Maturity Date may not be sufficient to compensate for any such
loss.
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• |
The Notes Are Subject to an Automatic Call — If on any
Call Observation Date, beginning in October 2024, the closing level of each Reference Asset is greater than or equal to its Initial Level, then the Notes will be automatically called. If the Notes are automatically called, then, on the
applicable Coupon Payment Date, for each $1,000 in principal amount, you will receive $1,000 plus the Contingent Coupon otherwise due on the applicable Coupon Payment Date. You will not receive any Contingent Coupons after that payment.
You may be unable to reinvest your proceeds from the automatic call in an investment with a return that is as high as the return on the Notes would have been if they had not been called.
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• |
You May Not Receive Any Contingent Coupons — We will
not necessarily make any coupon payments on the Notes. If the closing level of any of the Reference Assets on a Coupon Observation Date is less than its Coupon Barrier, we will not pay you the Contingent Coupon applicable to that Coupon
Observation Date. If the closing level of any of the Reference Assets is less than its Coupon Barrier on each of the Coupon Observation Dates and on the Valuation Date, we will not pay you any Contingent Coupons during the term of, and
you will not receive a positive return on, your Notes. Generally, this non-payment of the Contingent Coupon coincides with a period of greater risk of principal loss on your Notes. Accordingly, if we do not pay the Contingent Coupon on
the Maturity Date, you will also incur a loss of principal, because the Final Level of the Lesser Performing Reference Asset will be less than its Trigger Level.
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The Notes Are Linked to the Lesser Performing Reference Asset, Even if the Other Reference Assets Perform Better —
Your return on the Notes will be linked to the lesser performing of the Reference Assets. Even if the Final Levels of the other Reference Assets have increased compared to its
Initial Level, or have experienced a decrease that is less than that of the Lesser Performing Reference Asset, your return will only be determined by reference to the performance of the Lesser Performing Reference Asset, regardless of
the performance of the other Reference Assets. Because each of the Reference Assets measures a different segment of the U.S. equity markets, it is possible that all will decline in value during the term of the Notes.
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• |
Your Payment on the Notes Will Be Determined by Reference to Each Reference Asset Individually, Not to a Basket,
and the Payment at Maturity Will Be Based on the Performance of the Lesser Performing Reference Asset — The Payment at Maturity will be determined only by reference to the
performance of the Lesser Performing Reference Asset, regardless of the performance of the other Reference Assets. The Notes are not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the
basket components. For example, in the case of notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket components reflected as the basket return. As a result, the depreciation of
one basket component could be mitigated by the appreciation of the other basket components, as scaled by the weighting of that basket component. However, in the case of the Notes, the individual performance of each of the Reference
Assets would not be combined, and the depreciation of one Reference Asset would not be mitigated by any appreciation of the other Reference Assets. Instead, your return will depend solely on the Final Level of the Lesser Performing
Reference Asset.
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|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
• |
The Call Feature and the Contingent Coupon Feature Limit Your Potential Return — The return potential of the Notes is limited to the pre-specified Contingent Coupon Rate, regardless of the appreciation of the Reference Assets. In addition, the total return on the Notes will vary based on
the number of Coupon Observation Dates on which the Contingent Coupon becomes payable prior to maturity or an automatic call. Further, if the Notes are called due to the Call Feature, you will not receive any Contingent Coupons or any
other payment in respect of any Coupon Observation Dates after the applicable Call Settlement Date. Since the Notes could be called as early as October 2024, the total return on the Notes could be minimal. If the Notes are not called,
you may be subject to the full downside performance of the Lesser Performing Reference Asset even though your potential return is limited to the Contingent Coupon Rate. As a result, the return on an investment in the Notes could be less
than the return on a direct investment in securities included in the Reference Assets.
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• |
Your Return on the Notes May Be Lower than the Return on a Conventional Debt Security of Comparable 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, your 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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• |
Owning the Notes Is Not the Same as Owning the Securities Represented by the Reference Assets — The return on your Notes is unlikely to reflect the return you would realize if you actually owned securities represented by the Reference Assets. For instance, you will not receive or be
entitled to receive any dividend payments or other distributions on those securities during the term of your Notes. As an owner of the Notes, you will not have voting rights or any other rights that holders of the securities represented
by the Reference Assets may have. Furthermore, the Reference Assets may appreciate substantially during the term of the Notes, while your potential return will be limited to the applicable Contingent Coupon payments.
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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 any Contingent Coupons, if payable, and the amount due on any
relevant payment date is dependent upon our ability to repay our obligations on the applicable payment dates. This will be the case even if the levels of the Reference Assets increase 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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• |
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 to you. We expect that transaction costs in any secondary market would be high. As a result, the difference between bid and asked prices for your Notes in any secondary market could be substantial.
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• |
The Initial Estimated Value of the Notes Will Be Less than the Price to the Public — The
initial estimated value that will be set forth in the final pricing supplement relating to the Notes will 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
levels of the Reference Assets, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to the public of the underwriting discount, the referral fee 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
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
• |
The Initial Estimated Value of the Notes that We Will Provide in the Final Pricing Supplement Will Be an Estimate
Only, Calculated as of the Time the Terms of the Notes Are Set — The initial estimated value of the Notes will be 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 will be 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.
|
• |
Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the Reference Assets 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 levels of the Reference Assets, 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 companies included in the Reference Assets, 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 Assets. 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 levels of the Reference Assets, and, therefore, the market value of the Notes.
|
• |
An Investment in Notes Is Subject to Risks Associated in Investing in Stocks With a Small Market Capitalization —
The Russell 2000® Index consists of stocks issued by companies with relatively small market
capitalizations. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies. As a result, the level of the Russell 2000® Index may be more volatile than that of a market measure that does not track solely small-capitalization stocks. Stock prices of small-capitalization companies are also generally more vulnerable than those of
large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization companies may be thinly traded, and be less attractive to many investors if they do not pay dividends. In addition,
small capitalization companies are often less well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of those
individuals. Small capitalization companies tend to have lower revenues, less diverse product lines, smaller shares of their target markets, fewer financial resources and fewer competitive strengths than large-capitalization
companies. These companies may also be more susceptible to adverse developments related to their products or services.
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
• |
An Investment in the Notes Is Subject to Risks Relating to Non-U.S. Securities Markets — Because
certain securities included in the NDX are issued by non-U.S. issuers and/or are traded outside of the U.S., an investment in the Notes involves particular risks. For example, the relevant non-U.S. securities markets may be more
volatile than the U.S. securities markets, and market developments may affect these markets differently from the U.S. or other securities markets.
|
• |
The Payments on the Notes Are Subject to Postponement Due to Market Disruption Events and Adjustments — The payment at maturity, each Coupon Observation Date, each Call 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.
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
• |
the security must generally be a common stock, ordinary share, American Depositary Receipt ("ADR"), or tracking stock. Companies organized as real estate investment trusts are not eligible for index inclusion.
If the security is an ADR, then references to the “issuer” are references to the underlying security and the total shares outstanding is the actual ADRs outstanding as reported by the depositary banks. If an issuer has listed multiple
security classes, all security classes are eligible, subject to meeting all other security eligibility criteria;
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• |
the security’s primary U.S. listing must exclusively be listed on the Nasdaq Global Select Market or the Nasdaq Global Market;
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• |
if the security is issued by an issuer organized under the laws of a jurisdiction outside the United States, it must have listed options on a registered options market in the United States or be eligible for
listed-options trading on a registered options market in the United States;
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• |
the security must be issued by a non-financial company (any industry other than Financials) according to the Industry Classification Benchmark;
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the security must have a minimum average daily trading volume of 200,000 shares s (measured over the three calendar months ending with the month that includes the reconstitution reference date);
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• |
the security must have traded for at least three full calendar months, not including the month of initial listing, on an “eligible exchange,” which includes Nasdaq (Nasdaq Global Select Market, Nasdaq Global
Market, or Nasdaq Capital Market), NYSE, NYSE American or CBOE BZX. Eligibility is determined as of the constituent selection reference date, and includes that month. A security that was added to the NDX as a result of a spin-off event
will be exempt from this requirement;
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• |
the security may not be issued by an issuer currently in bankruptcy proceedings; and
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• |
the issuer of the security generally may not have entered into a definitive agreement or other arrangement that would make it ineligible for NDX inclusion and where the transaction is imminent as determined by
the Index Management Committee.
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• |
The top 75 ranked issuers will be selected for inclusion in the NDX.
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• |
Any other issuers that were already members of the NDX as of the reconstitution reference date and are ranked within the top 100 are also selected for inclusion in the NDX.
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• |
In the event that fewer than 100 issuers pass the first two criteria, the remaining positions will first be filled, in rank order, by issuers currently in the index ranked in positions 101-125 that were ranked
in the top 100 at the previous reconstitution or replacement-or spin-off-issuers added since the previous reconstitution. In the event that fewer
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
• |
No issuer weight may exceed 20% of the index.
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• |
The aggregate weight of the subset of issuers whose Stage 1 weights exceed 4.5% is set to 40%.
|
|
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
• |
No security weight may exceed 14% of the index.
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• |
The aggregate weight of the subset of index securities with the five largest market capitalizations is set to 38.5%.
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• |
No security with a market capitalization outside the largest five may have a final index weight exceeding the lesser of 4.4% or the final index weight of the index security ranked fifth by market
capitalization.
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• |
Listing on an ineligible index exchange;
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• |
Merger, acquisition, or other major corporate event that would adversely impact the integrity of the NDX;
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• |
If a company is organized as a real estate investment trust;
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
• |
If an index security is classified as a financial company (Financials industry) according to the Industry Classification Benchmark;
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• |
if the issuer has an adjusted market capitalization below 0.10% of the aggregate adjusted market capitalization of the NDX for two consecutive month ends; and
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• |
If a security that was added to the NDX as the result of a spin-off event has an adjusted market capitalization below 0.10% of the aggregate adjusted market capitalization of the NDX at the end of its second
day of regular way trading as an index member.
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Three Equity
Indices
|
P-26
|
RBC Capital Markets, LLC
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