Pricing Supplement
(To the Prospectus, the Prospectus Supplement and the Product Prospectus
Supplement, each dated September 14, 2021)
|
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-259205
August 5, 2022
|
Royal Bank of Canada
|
$2,000,000
Capped Barrier Return Notes
Due August 22, 2023
Linked to the Nasdaq-100 Index®
Senior Global Medium Term Notes, Series I
|
• |
The Notes are designed for investors who seek a return based on the appreciation of the Nasdaq-100 Index® (the “Index”), subject to the Maximum Return set forth below. Investors should be willing to
forgo interest and dividend payments and, if the Index declines by more than 25.00%, be willing to lose some or all of their principal.
|
• |
Senior unsecured obligations of Royal Bank of Canada maturing August 22, 2023.(a) Any payments on the Notes are subject to our credit risk.
|
• |
Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof.
|
• |
The Notes priced on August 5, 2022 (the “Pricing Date”), and will be issued on August 10, 2022 (the “issue date”).
|
Key Terms
|
Terms used in this pricing supplement, but not defined herein, will have the meanings ascribed to them in the product prospectus supplement.
|
Issuer:
|
Royal Bank of Canada
|
Reference Asset:
|
Nasdaq-100 Index® (Bloomberg ticker symbol “NDX”)
|
Payment at
Maturity:
|
If the Final Level is greater than the Initial Level, you will receive a cash payment that provides you with a return equal to the Percentage Change, subject to the
Maximum Return. Accordingly, if the Percentage Change is positive, your payment per $1,000 in principal amount of the Notes will be calculated as follows:
$1,000 + ($1,000 x Percentage Change)
However, the payment on the Notes will not exceed $1,223.00 for each $1,000 in principal amount.
If the Final Level is equal to or less than the Initial Level but greater than or equal to the Barrier Level, resulting in a Percentage Change that is equal to or less
than 0% but greater than or equal -25.00%, you will receive the principal amount of your Notes at maturity.
If the Final Level is less than the Barrier Level, you will lose 1% of the principal amount of your Notes for every 1% that the Final Level declines from the Initial
Level. Accordingly, if the Percentage Change is less than -25.00%, your payment per $1,000 in principal amount of the Notes will be calculated as follows:
$1,000 + ($1,000 x Percentage Change)
If the Final Level is less than the Initial Level by more than 25.00%, you will lose 1% of the principal amount of your Notes for
every 1% that the Percentage Change is less than 0%.
|
Percentage
Change:
|
The performance of the Index from the Initial Level to the Final Level, calculated as follows:
Final Level – Initial Level
Initial Level
|
Maximum Return:
|
$1,223.00 per $1,000 in principal amount of the Notes.
|
Barrier Level:
|
9,983.28, which is 75.00% of the Initial Level.
|
Initial Level:
|
13,311.04, which was the closing level of the Index on August 4, 2022.
|
Final Level:
|
The arithmetic average of the closing levels of the Index on each of the Valuation Dates.
|
Valuation Dates:
|
August 11, 2023, August 14, 2023, August 15, 2023, August 16, 2023 and August 17, 2023(a)
|
Maturity Date:
|
August 22, 2023(a)
|
Calculation Agent:
|
RBC Capital Markets, LLC (“RBCCM”)
|
CUSIP/ISIN:
|
78016FRC0/US78016FRC04
|
Estimated Value:
|
The initial estimated value of the Notes as of the Pricing Date was $979.44 per $1,000 in principal amount, which is less than the principal amount. The actual value of
the Notes at any time will reflect many factors, cannot be predicted with accuracy, and may be less than this amount.
|
Price to Public1
|
Underwriting Commission2
|
Proceeds to Royal Bank of Canada
|
|
Per Note
|
$1,000
|
$10
|
$990
|
Total
|
$2,000,000
|
$20,000
|
$1,980,000
|
RBC Capital Markets, LLC
|
JPMorgan Chase Bank, N.A.
|
J.P. Morgan Securities LLC
|
Placement Agents
|
Final Level
|
Percentage Change
|
Payment at
Maturity
|
Total Return on the
Notes
|
1,500.00
|
50.00%
|
$1,223.00
|
22.30%
|
1,400.00
|
40.00%
|
$1,223.00
|
22.30%
|
1,300.00
|
30.00%
|
$1,223.00
|
22.30%
|
1,223.00
|
22.30%
|
$1,223.00
|
22.30%
|
1,200.00
|
20.00%
|
$1,200.00
|
20.00%
|
1,150.00
|
15.00%
|
$1,150.00
|
15.00%
|
1,100.00
|
10.00%
|
$1,100.00
|
10.00%
|
1,050.00
|
5.00%
|
$1,050.00
|
5.00%
|
1,025.00
|
2.50%
|
$1,025.00
|
2.50%
|
1,000.00
|
0.00%
|
$1,000.00
|
0.00%
|
900.00
|
-10.00%
|
$1,000.00
|
0.00%
|
800.00
|
-20.00%
|
$1,000.00
|
0.00%
|
750.00
|
-25.00%
|
$1,000.00
|
0.00%
|
700.00
|
-30.00%
|
$700.00
|
-30.00%
|
600.00
|
-40.00%
|
$600.00
|
-40.00%
|
500.00
|
-50.00%
|
$500.00
|
-50.00%
|
400.00
|
-60.00%
|
$400.00
|
-60.00%
|
300.00
|
-70.00%
|
$300.00
|
-70.00%
|
200.00
|
-80.00%
|
$200.00
|
-80.00%
|
100.00
|
-90.00%
|
$100.00
|
-90.00%
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
• |
Appreciation Potential — The Notes provide the opportunity to receive a positive return that is equal to any positive Percentage Change, up to the Maximum Return.
|
• |
Limited Protection Against Loss — Payment at maturity of the principal amount of the Notes is protected against a decline in the Final Level, as compared to the Initial
Level, of up to 25.00%. If the Final Level is less than the Initial Level by more than 25.00%, you will lose an amount equal to 1% of the principal amount of your Notes for every 1% that the Percentage Change is less than 0%.
|
• |
You May Lose All or a Portion of the Principal Amount at Maturity — Investors in the Notes could lose all or a substantial portion of their principal amount if the level of
the Index decreases by more than 25.00%. If the Percentage Change is less than -25.00%, the payment you will receive at maturity will represent a loss of 1% of the principal amount for each 1% that the Final Level is less than the Initial
Level, and you could lose up to 100% of the principal amount.
|
• |
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, your return may be less than the return you would earn if you bought one of our conventional senior interest bearing debt securities.
|
• |
Your Potential Payment at Maturity Is Limited — The Notes will provide less opportunity to participate in the appreciation of the Index than an investment in a security
linked to the Index providing full participation in the appreciation, because the return on the Notes if the Percentage Change is positive will not exceed the Maximum Return. Accordingly, your return on the Notes may be less than your
return would be if you made an investment in a security directly linked to the positive performance of the Index.
|
• |
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 amount due on the maturity date is dependent upon our ability to repay our obligations at that time. This will be the case even if the level of the Index increases after the date
that the Initial Level was determined. No assurance can be given as to what our financial condition will be at the maturity of the Notes.
|
• |
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.
|
• |
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 other affiliate of ours 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.
|
• |
Many Economic and Market Factors Will Impact the Value of the Notes — In addition to the level of the Index on any day, 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 expected volatility of the Index;
|
• |
the time to maturity of the Notes;
|
• |
the dividend rate on the securities included in the Index;
|
• |
interest and yield rates in the market generally;
|
• |
a variety of economic, financial, political, regulatory or judicial events; and
|
• |
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
• |
The Initial Estimated Value of the Notes Is Less than the Price to the Public — The initial estimated value that is set forth on the cover page of this pricing supplement
does not represent a minimum price at which we, RBCCM or any of our affiliates would be willing to purchase the 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 level of the Index, 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 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. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
|
• |
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 Pricing Date — The value
of the Notes at any time after the Pricing Date will vary based on many factors, including changes in market conditions, and cannot be predicted with accuracy. As a result, the actual value you would receive if you sold the Notes in any
secondary market, if any, should be expected to differ materially from the initial estimated value of your Notes.
|
• |
We and Our Affiliates May Have Adverse Economic Interests to the Holders of the Notes — We, RBCCM and our other respective affiliates trade the securities represented by
the Index, and other financial instruments related to the Index, on a regular basis, for their accounts and for other accounts under our or their management. We, RBCCM and our other affiliates may also issue or underwrite or assist
unaffiliated entities in the issuance or underwriting of other securities or financial instruments that relate to the Index. To the extent that we or any of our affiliates serves as issuer, agent or underwriter for such securities or
financial instruments, our or their interests with respect to such products may be adverse to those of the holders of the Notes. Any of these trading activities could potentially affect the performance of the Index and, accordingly, could
affect the value of the Notes, and the amounts, if any, payable on the Notes.
|
• |
We May Issue Research That Is Inconsistent with an Investment in the Notes — We or our affiliates may issue research reports on securities that are, or may become,
components of the Index. We may also publish
|
• |
You Will Not Have Any Rights to the Securities Included in the Index — 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 Index would have. The Final Level will not reflect any dividends paid on the securities included in the Index, and accordingly, any positive return on the Notes
may be less than the potential positive return on those securities.
|
• |
The Payments on the Notes Are Subject to Market Disruption Events and Adjustments — The payment at maturity and each 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.
|
• |
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 security’s U.S. listing must be exclusively on the Nasdaq Global Select Market or the Nasdaq Global Market (unless the security was dually listed on another U.S. market prior to January 1, 2004 and has
continuously maintained that listing);
|
• |
the security must be issued by a non-financial company;
|
• |
the security may not be issued by an issuer currently in bankruptcy proceedings;
|
• |
the security must generally be a common stock, ordinary share, American Depositary Receipt, or tracking stock (closed-end funds, convertible debentures, exchange traded funds, limited liability companies, limited
partnership interests, preferred stocks, rights, shares or units of beneficial interests, warrants, units and other derivative securities are not included in the NDX, nor are the securities of investment companies);
|
• |
the security must have a three-month average daily trading volume of at least 200,000 shares;
|
• |
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 recognized market in the United States or be eligible for
listed-options trading on a recognized options market in the United States;
|
• |
the issuer of the security may not have entered into a definitive agreement or other arrangement which would likely result in the security no longer being eligible;
|
• |
the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn; and
|
• |
the security must have traded for at least three full calendar months, not including the month of initial listing, on an “eligible exchange,” as determined under the index rules.
|
• |
the security’s U.S. listing must be exclusively on the Nasdaq Global Select Market or the Nasdaq Global Market;
|
• |
the security must be issued by a non-financial company;
|
• |
the security may not be issued by an issuer currently in bankruptcy proceedings;
|
• |
the security must have an average daily trading volume of at least 200,000 shares in the previous three‑month trading period as measured annually during the ranking review process described below;
|
• |
if the issuer of the security is organized under the laws of a jurisdiction outside the United States, then such security must have listed options on a recognized market in the United States or be eligible for
listed‑options trading on a recognized options market in the United States, as measured annually during the ranking review process;
|
• |
the issuer of the security may not have entered into a definitive agreement or other arrangement that would likely result in the security no longer being eligible;
|
• |
the security must have an adjusted market capitalization equal to or exceeding 0.10% of the aggregate adjusted market capitalization of the NDX at each month-end. In the event that a company does not meet this
criterion for two consecutive month-ends, it will be removed from the NDX effective after the close of trading on the third Friday of the following month; and
|
• |
the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn.
|
XDTNU>[#"=HU+[EVG..X['U':K=%%8MW9NE96"BBBD,* 2*** "BBB@ HHHH **** /__9 end