Investment Description
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Features
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☐ |
Monthly Coupons — Regardless of the performance of the Underlying, we will pay you a monthly coupon, unless the Notes have been previously called. In exchange for
receiving the monthly coupon payment on the Notes, you are accepting the risk of losing all or a portion of the principal amount, and our credit risk for all payments under the Notes.
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☐ |
Issuer Callable — We may, at our election, call the Notes on any Coupon Payment Date beginning in July 2021 (other than the final Coupon Payment Date), regardless of the
price of the Underlying. If we call the Notes, we will pay you the principal amount plus accrued and unpaid interest. If the Notes are called, no further payments will be made after we make the applicable payment.
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☐ |
Contingent Repayment of Principal at Maturity — If by maturity the Notes have not been called and the price of the Underlying does not close below the Downside
Threshold on the Final Valuation Date, we will repay your principal amount per Note at maturity. However, if the price of the Underlying is less than the Downside Threshold on the Final Valuation Date, we will pay less than the principal
amount, if anything, resulting in a loss on your initial investment that is proportionate to the decline in the price of the Underlying from the Trade Date to the Final Valuation Date. The contingent repayment of principal only applies if
you hold the Notes until maturity.
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Key Dates
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Trade Date
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April 7, 2021
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Settlement Date
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April 12, 2021
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Coupon Payment Dates1
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Monthly (see page 4 below)
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Call Dates1
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Monthly, beginning 3 months after the issue date (see page 4 below)
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Final Valuation Date1
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July 7, 2022
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Maturity Date1
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July 12, 2022
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1
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Subject to postponement if a market disruption event occurs, as described under “General Terms of the Notes — Payment at Maturity” in the
accompanying product prospectus supplement
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NOTICE TO INVESTORS: THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. WE ARE NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES CAN HAVE DOWNSIDE MARKET RISK SIMILAR TO THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING OUR DEBT OBLIGATION. YOU SHOULD NOT PURCHASE THE NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES. |
Note Offering
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Underlying and Ticker
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Coupon Rate
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Initial Price
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Downside Threshold
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CUSIP
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ISIN
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iShares® Russell 2000 ETF (IWM)
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6.00% per annum
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$220.69
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$143.45, which is 65% of the Initial Price*
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78014M804
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US78014M8047
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Price to Public
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Fees and Commissions(1)
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Proceeds to Us
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||||
Offering of the Notes
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Total
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Per Note
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Total
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Per Note
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Total
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Per Security
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Notes linked to the iShares® Russell 2000 ETF
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$794,000
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$10.00
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$0.00
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$0.00
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$794,000
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$10.00
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UBS Financial Services Inc.
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RBC Capital Markets, LLC
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Additional Information About Royal Bank of Canada and the Notes
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♦ |
Product prospectus supplement no. UBS-ABYN-2 dated October 26, 2018:
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♦ |
Prospectus supplement dated September 7, 2018:
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♦ |
Prospectus dated September 7, 2018:
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Investor Suitability
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♦ |
You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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♦ |
You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the same downside market risk as an investment in the Underlying.
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♦ |
You are willing to make an investment whose return is limited to the coupon payments, regardless of any potential appreciation of the Underlying, which could be significant.
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♦ |
You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations of the Underlying.
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♦ |
You are willing to invest in Notes for which there may be little or no secondary market and you accept that the secondary market will depend in large part on the price, if any, at which RBC Capital Markets,
LLC, which we refer to as “RBCCM,” is willing to purchase the Notes.
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♦ |
You are willing to invest in the Notes based on the Coupon Rate set forth on the cover page of this pricing supplement.
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♦ |
You understand and accept the risks associated with the Underlying.
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♦ |
You are willing to forgo the dividends paid on the equity securities held by the Underlying.
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♦ |
You are willing to invest in securities that may be called early at our election and you are otherwise willing to hold such securities to maturity.
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♦
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You are willing to assume our credit risk for all payments under the Notes, and understand that if we default on our obligations, you may not receive any amounts due to you,
including any repayment of principal.
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♦ |
You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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♦ |
You cannot tolerate a loss on your investment and require an investment designed to provide a full return of principal at maturity.
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♦ |
You are not willing to make an investment that may have the same downside market risk as an investment in the Underlying.
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♦ |
You seek an investment that participates in the full appreciation in the prices of the Underlying or that has unlimited return potential.
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♦ |
You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations of the Underlying.
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♦ |
You are unwilling to invest in the Notes based on the Coupon Rate set forth on the cover page of this pricing supplement.
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♦ |
You do not understand or accept the risks associated with the Underlying.
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♦ |
You seek to receive the dividends paid on the Underlying.
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♦ |
You are unable or unwilling to hold securities that may be called early at our election, or you are otherwise unable or unwilling to hold such securities to maturity or you seek an investment for which there
will be an active secondary market for the Notes.
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♦
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You are not willing to assume our credit risk for all payments under the Notes, including any repayment of principal.
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Final Terms of the Notes1
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Issuer:
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Royal Bank of Canada
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Principal
Amount per
Note:
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$10 per Note
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Term:
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Approximately 15 months, if not previously
Called
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Underlying:
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iShares® Russell 2000 ETF
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Closing
Price:
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On any trading day, the last reported sale price on the principal national securities exchange in the U.S. on which the Underlying is listed for trading, as determined
by the calculation agent.
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Initial Price:
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The closing price of the Underlying 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 price of the Underlying on the Final Valuation Date.
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Coupon
Payments:
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6.00% per annum
The coupon payments will be made in equal monthly installments on the Coupon Payment Dates, regardless of the performance of the Underlying, unless the Notes are earlier called.
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Coupon
Payment
Dates:
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The Coupon Payment Dates are: May 11, 2021, June 9, 2021, July 9, 2021, August 11, 2021, September 9, 2021, October 12, 2021, November 10, 2021, December 9, 2021, January 11, 2022,
February 9, 2022, March 9, 2022, April 11, 2022, May 11, 2022 and June 9, 2022 and the maturity date.
Coupons will be paid to the holders of record at the close of business on the date one business day prior to the applicable Coupon Payment Date. However, the coupon payable at maturity
or upon our call will be paid to the holders to whom the payment of the amount due upon the call or at maturity is due.
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Downside
Threshold:
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65% of the Initial Price, as set forth on the cover page of this pricing supplement (as may be adjusted in the case of certain adjustment events as described under “General Terms of the
Notes — Anti-dilution Adjustments” in the product prospectus supplement).
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Issuer Call
Feature:
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We may elect to call the Notes on any Coupon Payment Date beginning in July 2021 (other than the final Coupon Payment Date), regardless of the price of the Underlying. If we call the Notes, we will
pay you on the applicable Coupon Payment Date a cash payment per Note equal to the principal amount plus accrued and unpaid interest, and no further payments will be made on the Notes. Before we elect to call the Notes on a Coupon
Payment Date, we will deliver written notice to The Depository
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Trust Company (“DTC”) at least two business days prior to that date (each such second business day, a “Call Notice Date”).
The Call Notice Dates are: July 7, 2021, August 9, 2021, September 7, 2021, October 7, 2021, November 8, 2021, December 7, 2021, January 7, 2022, February 7, 2022,
March 7, 2022, April 7, 2022, May 9, 2022 and June 7, 2022.
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Payment at
Maturity:
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If the Notes are not called and the Final Price is greater than or equal to the Downside Threshold, we will pay you a cash payment per Note on the maturity date equal to $10 plus the coupon
payment otherwise due on the maturity date.
If the Notes are not called and the Final Price is less than the Downside Threshold, in addition to the coupon payment otherwise due on the maturity date, we will pay you a cash payment on the
maturity date of less than the principal amount, if anything, resulting in a loss on your initial investment that is proportionate to the negative Underlying Return, equal to:
$10.00 + ($10.00 × Underlying Return)
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Underlying
Return:
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Final Price – Initial Price
Initial Price
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Investment Timeline
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Trade Date
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The Initial Price and Downside Threshold of the Underlying were determined. The Coupon Rate was set.
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Monthly
(callable at
our election
beginning in
July 2021):
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We will pay the applicable coupon payments.
We may, at our election, call the Notes on any Coupon Payment Date beginning in July 2021 (other than the final Coupon Payment Date), regardless of the price of the
Underlying. If we elect to call the Notes, we will pay you a cash payment per Note equal to the principal amount plus accrued and unpaid interest, and no further payments will be made on the Notes.
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Maturity
Date:
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The Final Price is observed on the Final Valuation Date.
If the Notes have not been called and the Final Price of the Underlying is greater than or equal to the Downside Threshold, we will repay the principal amount plus the
coupon payment otherwise due on the maturity date.
If the Notes have not been called and the Final Price is less than the Downside Threshold, in addition to the coupon payment otherwise due, we will pay less than the
principal amount, if anything, resulting in a loss on your initial investment proportionate to the decline of the Underlying, for an amount equal to:
$10 + ($10 × Underlying Return) per Note
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Key Risks
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♦ |
You May Lose All or a Portion of the Principal Amount at Maturity — The Notes differ from ordinary debt securities in that we will not necessarily repay the full principal
amount of the Notes at maturity. If the Notes are not called, we will repay you the principal amount of your Notes in cash only if the Final Price is greater than or equal to the Downside Threshold, and we will only make that payment at
maturity. If the Notes are not called and the Final Price is less than the Downside Threshold, you will lose some or all of your initial investment in an amount proportionate to the decline in the price of the Underlying.
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♦ |
The Contingent Repayment of Principal Applies Only at Maturity — If the Notes are not called, you should be willing to hold your Notes to maturity. If you are able to sell
your Notes prior to maturity in the secondary market, if any, you may have to do so at a loss relative to your initial investment, even if the price of the Underlying is above the Downside Threshold.
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♦ |
The Coupon Rate and the Call Feature Limit Your Potential Return — The return potential of the Notes is limited to the pre-specified Coupon Rate, regardless of the
appreciation of the Underlying. Further, if the Notes are called due to the issuer call feature, you will not receive any coupon payments or any other payment after the applicable payment is made. Since the Notes could be called as early as
the Coupon Payment Date occurring in July 2021, the total return on the Notes could be limited to three months. If the Notes are not called, you may be subject to the full downside performance of the Underlying, even though your potential
return is limited to the Coupon Rate. As a result, the return on an investment in the Notes could be less than the return on a direct investment in the Underlying or on a similar security that allows you to participate in the appreciation
of the prices of the Underlying.
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♦ |
The Coupon Rate Per Annum Payable on the Notes Will Reflect in Part the Volatility of the Underlying, and May Not Be Sufficient to Compensate You for the Risk of Loss at Maturity
— "Volatility” refers to the frequency and magnitude of changes in the price of the Underlying. The greater the volatility of the Underlying, the more likely it is that the price of the Underlying could close below the Downside Threshold on
the Final Valuation Date. This risk will generally be reflected in a higher Coupon Rate for the Notes than the rate payable on our conventional debt securities with a comparable term. However, while the Coupon Rate was set on the Trade
Date, the Underlying’s volatility can change significantly over the term of the Notes, and may increase. The price of the Underlying could fall sharply as of the Final Valuation Date, which could result in a significant loss of your
principal.
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♦ |
The Notes Are Subject to Reinvestment Risk — If we call the Notes prior to the maturity date, no further payments will be owed to you under the Notes. Therefore, because
the Notes could be called as early as the Coupon Payment Date occurring in July 2021, the holding period over which you would receive the relevant coupon rate could be as little as three months. There is no guarantee that you would be able
to reinvest the proceeds from an investment in the Notes at a comparable return for a similar level of risk if we call the Notes prior to the maturity date.
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♦ |
There Is No Assurance that the Investment View Implicit in the Notes Will Be Successful — It is impossible to predict whether and the extent to which the price of the Underlying will rise or fall. The closing price of the Underlying will be influenced by complex and interrelated political, economic, financial and other
factors that affect the Underlying. You should be willing to accept the downside risks of owning equities in general and the Underlying in particular, and
the risk of losing some or all of your initial investment.
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♦
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The Payments on the Notes Are Subject to Our Credit Risk — The Notes are subject to our credit risk, and our credit ratings and
credit spreads may adversely affect the market value of the Notes. Investors are dependent on our ability to pay all amounts due on the Notes, and therefore investors are subject to our credit risk and to
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♦ |
The Notes 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 Notes could be exposed to losses.
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♦ |
The Tax Treatment of the Notes Is Uncertain — Significant aspects of the tax treatment of an investment in the Notes are
uncertain. You should consult your tax adviser about your tax situation.
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♦ |
The Initial Estimated Value of the Notes Is Less than the Price to the Public — The initial estimated value for the Notes that is set forth on the cover page of this
pricing supplement is less than the public offering price you pay for the Notes and does not represent a minimum price at which we, RBCCM or any of our other 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 price of the
Underlying, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to public of our estimated profit and the 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 the price to public, as any such sale price would not be expected to include our
estimated profit and the costs relating to our hedging of the Notes. In addition, any price at which you may sell the Notes is likely to reflect customary bid-ask spreads for similar trades. In addition to bid-ask spreads, the value of the
Notes 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 Notes and determine the initial estimated value. As a result, the secondary market
price will be less than if the internal borrowing 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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♦ |
Our Initial Estimated Value of the Notes 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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♦
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The Notes Are Not Expected to Have a Liquid Secondary Market — The Notes will not be listed on any securities exchange. RBCCM intends to offer to purchase the Notes
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 Notes easily. Because other dealers are not likely to make a secondary
market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which RBCCM is willing to buy the Notes.
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♦
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The Terms of the Notes 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 Notes 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 |
Notes, including a combination of a bond with one or more options or other derivative instruments. For the market value of the Notes, we expect that, generally, the price of the Underlying on any day will affect
the value of the Notes more than any other single factor. However, you should not expect the value of the Notes in the secondary market to vary in proportion to changes in the price of the Underlying. The value of the Notes will be affected
by a number of economic and market factors that may either offset or magnify each other, including:
|
♦ |
the price of the Underlying;
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♦ |
the actual and expected volatility of the price of the Underlying;
|
♦ |
the time remaining to maturity of the Notes;
|
♦ |
the dividend rates on the securities held by the Underlying;
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♦ |
interest and yield rates in the market generally, as well as in each of the markets of the securities held by the Underlying;
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♦ |
a variety of economic, financial, political, regulatory or judicial events;
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♦ |
the occurrence of certain events with respect to the Underlying that may or may not require an adjustment to the terms of the Notes; and
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♦ |
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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♦ |
Owning the Notes Is Not the Same as Owning the Underlying or the Stocks Comprising the Underlying’s Underlying Index — The return on your Notes 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 Notes, 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.
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♦ |
You Will Not Have Any Shareholder Rights and Will Have No Right to Receive Any Shares of the Underlying at Maturity
— Investing in the Notes will not make you a holder of any shares of the Underlying or any securities held by the Underlying. Neither you nor any other holder or owner of the Notes will have any voting rights, any right to receive
dividends or other distributions, or any other rights with respect to the Underlying or such other securities.
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♦ |
Changes That Affect the Underlying Index Will Affect the Market Value of the Notes and the Amount You Will Receive at Maturity — The policies of 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 Underlying, the amount payable on the Notes, and the market value of the Notes
prior to maturity. The amount 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 index
sponsor discontinues or suspends the calculation or publication of the underlying index.
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♦
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We Have No Affiliation with the Index Sponsor and Will Not Be Responsible for Its Actions — 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 payment to you at maturity. 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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♦ |
Adjustments to the Underlying Could Adversely Affect the Notes — The sponsor of the Underlying is responsible for
calculating and maintaining the Underlying. The sponsor can add, delete or substitute the stocks comprising the Underlying or make other methodological changes that could change the share price of the Underlying at any time. If one or
more of these events occurs, the calculation of the amount payable at maturity may be adjusted to reflect such event or events. Consequently, any of these actions could adversely affect the amounts payable on the Notes and/or the market
value of the Notes.
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♦ |
We and Our Affiliates Do Not Have Any Affiliation With the Investment Advisor of the Underlying and Are Not Responsible for Its Public Disclosure of
Information — We and our affiliates are not affiliated with that investment 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 Underlying. The investment 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 Underlying 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 investment advisor or the Underlying
contained in any public disclosure of information. You, as an investor in the Notes, should make your own investigation into the Underlying.
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♦ |
The Correlation Between the Performance of the Underlying and the Performance of its Underlying Index May Be Imperfect — The performance of the Underlying is linked principally to the performance of its underlying index. However, because of the potential discrepancies identified in more detail in the product prospectus supplement, the return on the
Underlying may correlate imperfectly with the return on its underlying index. Further, the performance of the Underlying may not exactly replicate the performance of its underlying index,
because the Underlying will reflect transaction costs and fees that are not included in the calculation of its underlying index.
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♦ |
Historical Prices of the Underlying Should Not Be Taken as an Indication of its Future Price During the Term of the Notes — The trading prices of the Underlying will
determine the value of the Notes at any given time. As 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 value of the Underlying.
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♦ |
An Investment in the Notes 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, attempt to approximate the investment
performance of the underlying index by investing in a portfolio of securities that generally replicate its underlying index. Therefore, unless a specific security is removed from its underlying index, the Underlying generally would not sell
a security because the security’s issuer was in financial trouble. In addition, the Underlying is subject to the risk that the investment strategy of its investment advisor may not produce the intended results.
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♦
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An Investment in Notes Linked to IWM Is Subject to Risks Associated with an Investment in Stocks with a Small Market Capitalization — The IWM is linked to 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 share price of
the IWM 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 often 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.
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♦ |
The Anti-Dilution Protection for the Underlying Is Limited — The calculation agent will make adjustments to the Initial Price and/or Downside Threshold of the Underlying
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 Notes and the payments on the Notes may be materially and adversely affected.
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♦ |
We and Our Affiliates Will Have a Variety of Potential Conflicts — We and our affiliates play a variety of roles in connection with the issuance of the Notes, including
hedging our obligations under the Notes. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes.
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♦ |
RBCCM, UBS or Their Affiliate May Provide Potentially Inconsistent Research, Opinions or Recommendations — RBCCM, UBS or their
affiliates may publish research, express opinions or provide recommendations as to the Underlying that are inconsistent with investing in or holding the Notes, and which may be revised at any time.
Any such research, opinions or recommendations could affect the value of the Underlying, and therefore the market value of the Notes.
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♦
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Royal Bank of Canada and UBS May Enter into Transactions that Impact the Value of the Notes — Trading or transactions by us, UBS or our respective affiliates in the
Underlying or the securities included in its 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 or
the closing price of the Underlying, and, therefore, the market value of the Notes.
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Hypothetical Examples
|
Principal Amount:
|
$10.00 per Note
|
Term:
|
Approximately 15 months (unless earlier called)
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Hypothetical Initial Price:
|
$100
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Coupon Rate:
|
6.00% per annum (0.50% per month)
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Optional Call:
|
Monthly, beginning on the third Coupon Payment Date
|
Hypothetical Downside Threshold:
|
$65, which is 65% of the hypothetical Initial Price
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Date
|
Payment (per Note)
|
|
First and Second Coupon
Payment Date
|
We pay the coupon payment of $0.05 on the first two Coupon Payment Dates.
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First Optional Call Notice
Date (corresponding to the
third Coupon Payment
Date)
|
We pay the coupon payment of $0.05 on the applicable Coupon Payment Date.
|
First two Coupon Payment Dates:
|
$0.10
|
|
Payment on third Coupon Payment
Date:
|
$10.05 ($10.00 + $0.05) | |
Total:
|
$10.15
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Total Return:
|
1.50%
|
Date
|
Final Price
|
Payment (per Note)
|
||
1st to 14th Coupon
Payment Dates
|
N/A
|
Notes NOT called at our election. We pay the coupon payment of $0.05 on each of the first to 14th Coupon Payment Dates.
|
||
Final Valuation Date
|
110.00
|
Final Price is above the Downside Threshold; we repay principal plus the coupon payment of $0.05 on the maturity date.
|
Payment at Maturity:
|
$10.05 ($10.00 + $0.05)
|
|
Prior Coupon Payments
|
$0.70 ($0.05 × 14)
|
|
Total:
|
$10.75
|
|
Total Return:
|
7.50%
|
Date
|
Final Price
|
Payment (per Note)
|
||
First to 14th Coupon
Payment Dates
|
N/A
|
Notes NOT called at our election. We pay the coupon payment of $0.05 on each of the first to 14th Coupon Payment Dates.
|
||
Final Valuation Date
|
40.00
|
Closing price of the Underlying is below the Downside Threshold; we pay the coupon payment on the maturity date, and we will repay less than the principal amount, resulting in a loss
proportionate to the decline of the Underlying.
|
Payment at Maturity:
|
$4.05 ($4.00 + $0.05)
|
|
Prior Coupon Payments:
|
$0.70 ($0.05 × 14)
|
|
Total:
|
$4.75
|
|
Total Return:
|
-52.50%
|
Hypothetical Return Table at Maturity
|
Principal Amount:
|
$10.00
|
Term:
|
Approximately 15 months
|
Coupon Payment Dates:
|
Monthly
|
Hypothetical Initial Underlying Price of the Underlying*:
|
$100.00 per share
|
Hypothetical Downside Threshold*:
|
$65.00 (which is 65.00% of the hypothetical initial underlying price)
|
Coupon Rate per annum**:
|
6.00% ($0.05 per month)
|
Hypothetical dividend yield on the Underlying***:
|
Approximately 1.875% over the term of the Notes (1.50% per annum)
|
Underlying
|
Payments on the Notes
|
|||
Final Price
|
Price Return
|
Total Return
on the
Underlying at
Maturity(1)
|
Payment at
Maturity +
Coupon
Payments(2)
|
Total Return on
the Notes at
Maturity(3)
|
$150.00
|
50.00%
|
51.875%
|
$10.75
|
7.50%
|
$140.00
|
40.00%
|
41.875%
|
$10.75
|
7.50%
|
$120.00
|
20.00%
|
21.875%
|
$10.75
|
7.50%
|
$110.00
|
10.00%
|
11.875%
|
$10.75
|
7.50%
|
$105.00
|
5.00%
|
6.875%
|
$10.75
|
7.50%
|
$100.00
|
0.00%
|
1.875%
|
$10.75
|
7.50%
|
$90.00
|
-10.00%
|
-8.125%
|
$10.75
|
7.50%
|
$80.00
|
-20.00%
|
-18.125%
|
$10.75
|
7.50%
|
$70.00
|
-30.00%
|
-28.125%
|
$10.75
|
7.50%
|
$65.00
|
-35.00%
|
-33.125%
|
$10.75
|
7.50%
|
$60.00
|
-40.00%
|
-38.125%
|
$6.75
|
-32.50%
|
$50.00
|
-50.00%
|
-48.125%
|
$5.75
|
-42.50%
|
$40.00
|
-60.00%
|
-58.125%
|
$4.75
|
-52.50%
|
$30.00
|
-70.00%
|
-68.125%
|
$3.75
|
-62.50%
|
What Are the Tax Consequences of the Notes?
|
Coupon Rate per Annum
|
Interest on Debt Component
per Annum
|
Put Option Component per
Annum
|
6.00%
|
0.20%
|
5.80%
|
Information About the Underlying
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
Structuring the Notes
|
Terms Incorporated in Master Note
|
Validity of the Notes
|