Investment Description
|
Features
|
Key Dates
|
☐ |
Contingent Coupon — We will pay a quarterly Contingent Coupon payment if the closing price of the Underlying on the applicable Coupon Observation Date is greater than or
equal to the Coupon Barrier. Otherwise, no coupon will be paid for the quarter.
|
☐ |
Automatically Callable — We will automatically call the Notes and pay you the principal amount of your Notes plus the Contingent Coupon otherwise due for the applicable
quarter if the closing price of the Underlying on any quarterly Call Observation Date is greater than or equal to the Initial Price. If the Notes are not called, investors will have the potential for downside equity market risk at maturity.
|
☐ |
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 closing price of the Underlying closes below 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. Any payment on the Notes, including any repayment of principal, is subject to our creditworthiness.
|
Trade Date
|
May 17, 2024
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Settlement Date
|
May 22, 2024
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Coupon Observation Dates1
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Quarterly (see page 6)
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Call Observation Dates1
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Quarterly (see page 6)
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Final Valuation Date1
|
November 17, 2025
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Maturity Date1
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November 20, 2025
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1
|
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 no. UBS-TACYN-1.
|
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 ONE OF OUR DEBT OBLIGATIONS. 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.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS” BEGINNING ON PAGE 7 OF THIS PRICING SUPPLEMENT AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-4 OF THE PRODUCT PROSPECTUS
SUPPLEMENT AND ON PAGE S-3 OF THE PROSPECTUS SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY
LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE NOTES.
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Notes Offering
|
This pricing supplement relates to the Trigger Autocallable Contingent Yield Notes we are offering.
|
|||||||
Underlying
|
Ticker
|
Contingent
Coupon
Rate
|
Initial Price
|
Downside
Threshold*
|
Coupon Barrier*
|
CUSIP
|
ISIN
|
Common stock of lululemon athletica inc.
|
LULU
|
17.40% per annum
|
$338.28 (which was its closing price on May 16, 2024)
|
$236.80, which is 70% of the Initial Price
|
$236.80, which is 70% of the Initial Price
|
78016R884
|
US78016R8842
|
Price to Public
|
Fees and Commissions (1)
|
Proceeds to Us
|
||||
Offering of the Notes
|
Total
|
Per Note
|
Total
|
Per Note
|
Total
|
Per Note
|
Notes linked to the Common Stock of lululemon athletica inc.
|
$1,700,000
|
$10.00
|
$25,500
|
$0.15
|
$1,674,500
|
$9.85
|
UBS Financial Services Inc.
|
RBC Capital Markets, LLC
|
Additional Information About Royal Bank of Canada and the Notes
|
♦
|
Product prospectus supplement no. UBS-TACYN-1 dated December 20, 2023:
|
♦
|
Prospectus supplement dated December 20, 2023:
|
♦
|
Prospectus dated December 20, 2023:
|
Investor Suitability
|
♦ |
You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
|
♦ |
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.
|
♦ |
You believe the closing price of the Underlying will be greater than or equal to the Coupon Barrier on most or all of the Coupon Observation Dates (including the Final Valuation Date).
|
♦ |
You are willing to make an investment whose return is limited to the Contingent Coupon payments, regardless of any potential appreciation of the Underlying, which could be significant.
|
♦ |
You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations of the Underlying.
|
♦ |
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.
|
♦ |
You are willing to invest in the Notes based on the Contingent Coupon Rate set forth on the cover page of this pricing supplement.
|
♦ |
You do not seek guaranteed current income from this investment and are willing to forgo dividends paid on the Underlying.
|
♦ |
You are willing to invest in securities that may be called early and you are otherwise willing to hold such securities to maturity.
|
♦
|
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.
|
♦ |
You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
|
♦ |
You cannot tolerate a loss on your investment and require an investment designed to provide a full return of principal at maturity.
|
♦ |
You are not willing to make an investment that may have the same downside market risk as an investment in the Underlying.
|
♦ |
You believe that the price of the Underlying will decline during the term of the Notes and is likely to close below the Coupon Barrier on most or all of the Coupon Observation Dates and below the Downside
Threshold on the Final Valuation Date.
|
♦ |
You seek an investment that participates in the full appreciation in the price of the Underlying or that has unlimited return potential.
|
♦ |
You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations of the Underlying.
|
♦ |
You are not willing to invest in the Notes based on the Contingent Coupon Rate set forth on the cover page of this pricing supplement.
|
♦ |
You seek guaranteed current income from this investment or prefer to receive the dividends paid on the Underlying.
|
♦ |
You are unable or unwilling to hold securities that may be called early, 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.
|
♦
|
You are not willing to assume our credit risk for all payments under the Notes, including any repayment of principal.
|
Final Terms of the Notes1
|
|
Issuer:
|
Royal Bank of Canada (the "Bank")
|
Principal Amount
per Note:
|
$10.00 per Note (subject to a minimum purchase of 100 Notes ($1,000))
|
Term:
|
Approximately eighteen months, if not previously called
|
Underlying:
|
The common stock of lululemon athletica inc. (“LULU”)
|
Closing Price:
|
On any trading day, the last reported sale price of the Underlying on the principal national securities exchange in the U.S. on which it is listed for trading, as determined
by the calculation agent.
|
Initial Price:
|
The closing price of the Underlying on May 16, 2024, as set forth on the cover page of this document.
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Final Price:
|
The closing price of the Underlying on the Final Valuation Date, as determined by the calculation agent.
|
Contingent
Coupon:
|
If the closing price of the Underlying is greater than or equal to the Coupon Barrier on any Coupon Observation Date, we will pay you
the Contingent Coupon applicable to that Coupon Observation Date.
If the closing price of the Underlying is less than the Coupon Barrier on any Coupon Observation Date, the Contingent Coupon
applicable to that Coupon Observation Date will not accrue or be payable, and we will not make any payment to you on the relevant Coupon Payment Date.
The Contingent Coupon is a fixed amount based upon equal quarterly installments at the Contingent Coupon Rate, which is a per annum rate as set forth below.
|
Contingent Coupon payments on the Notes are not guaranteed. We will not pay you the Contingent Coupon for any Coupon Observation Date on which the closing
price of the Underlying is less than the Coupon Barrier.
|
|
Contingent
Coupon Rate:
|
17.40% per annum
|
1
|
Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the product prospectus supplement or the prospectus supplement.
|
Coupon Barrier:
|
A percentage of the Initial Price of the Underlying, as specified on the cover page of this pricing supplement.
|
Downside
Threshold:
|
A percentage of the Initial Price of the Underlying, as specified on the cover page of this pricing supplement.
|
Automatic Call
Feature:
|
The Notes will be called automatically if the closing price of the Underlying on any Call Observation Date is greater than or equal to the Initial Price.
If the Notes are called, we will pay you on the corresponding Coupon Payment Date (which will be the “Call Settlement Date”) a cash payment per Note equal to the principal
amount plus the applicable Contingent Coupon payment otherwise due on that day (the “Call Settlement Amount”). No further amounts will be owed to you under the Notes.
|
Payment at
Maturity:
|
If the Notes are not called and the Final Price is greater than or equal to the Downside Threshold and the Coupon Barrier, we will pay you a cash payment per Note on the
maturity date equal to $10.00 plus the Contingent Coupon otherwise due on the maturity date.
If the Notes are not called and the Final Price is less than the Downside Threshold, 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)
|
Underlying Return:
|
Investment Timeline
|
May 16, 2024:
|
The Initial Price, Downside Threshold and Coupon Barrier were determined. The Contingent Coupon Rate was set.
|
||
Quarterly:
|
If the closing price of the Underlying is greater than or equal to the Coupon Barrier on any Coupon Observation Date, we will pay you a Contingent Coupon payment on the applicable Coupon Payment Date.
The Notes will be called if the closing price of the Underlying on any Call Observation Date is greater than or equal to the Initial Price. If the Notes are called, we will pay you a cash payment per Note equal to $10.00 plus the
Contingent Coupon otherwise due on that date.
|
||
Maturity Date:
|
The Final Price is observed on the Final Valuation Date.
If the Notes have not been called and the Final Price is greater than or equal to the Downside Threshold (and the Coupon Barrier), we will repay the principal amount equal to $10 per Note plus the Contingent Coupon otherwise due on
the maturity date.
If the Notes have not been called and the Final Price is less than the Downside Threshold, 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
|
Coupon Observation Dates and Coupon Payment Dates*
|
Coupon Observation Dates
|
Coupon Payment Dates
|
August 19, 2024(1)
|
August 21, 2024(2)
|
November 18, 2024(1)
|
November 20, 2024(2)
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February 18, 2025(1)
|
February 20, 2025(2)
|
May 19, 2025(1)
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May 21, 2025(2)
|
August 18, 2025(1)
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August 20, 2025(2)
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November 17, 2025(3)
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November 20, 2025(4)
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(1) |
These Coupon Observation Dates are also Call Observation Dates.
|
(2) |
These Coupon Payment Dates are also Call Settlement Dates.
|
(3) |
This is also the Final Valuation Date.
|
(4) |
This is also the maturity date.
|
Key Risks
|
♦ |
You may lose some or all 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 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.
|
♦ |
The contingent repayment of principal applies only at maturity — If the Notes are not automatically 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.
|
♦ |
You may not receive any Contingent Coupons — We will not necessarily make periodic Contingent Coupon payments on the Notes. If the closing price of the Underlying on a Coupon
Observation Date is less than the Coupon Barrier, we will not pay you the Contingent Coupon applicable to that Coupon Observation Date. If the closing price of the Underlying is less than the Coupon Barrier on each of the Coupon Observation
Dates, 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 greater risk of principal loss on your Notes.
Accordingly, if we do not pay the Contingent Coupon on the maturity date, you will incur a loss of principal, because the Final Price will be less than the Downside Threshold.
|
♦ |
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 Underlying. 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 automatic 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 the first Call Observation Date, 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 Underlying, even though your potential return is limited
to the Contingent Coupon Rate. Generally, the longer the Notes are outstanding, the less likely it is that they will be automatically called due to the decline in the price of the Underlying and the shorter time remaining for the price of the
Underlying to recover. 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 price of the
Underlying.
|
♦ |
Owning the Notes is not the same as owning the Underlying — The return on your Notes may not reflect the return you would realize if you actually owned the Underlying. 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, and any such dividends will not be incorporated in the determination of the amounts
payable on the Notes.
|
♦ |
The Contingent Coupon Rate 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 that Underlying could close below the Downside Threshold on the Final
Valuation Date. This risk will generally be reflected in a higher Contingent Coupon Rate for the Notes than the interest
|
♦ |
The Notes may be called early and are subject to reinvestment risk — The Notes will be called automatically if the closing price of the Underlying is greater than or equal to
the Initial Price on any Call Observation Date. In the event that the Notes are called prior to maturity, there is no guarantee that you will be able to reinvest the proceeds at a comparable rate of return for a similar level of risk. To the
extent you are able to reinvest your proceeds in an investment comparable to the Notes, you will incur transaction costs and the original issue price for such an investment is likely to include certain built in costs such as dealer discounts
and hedging costs.
|
♦ |
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 changes in the market’s view of our creditworthiness. Any decline in our credit ratings or increase
in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of the Notes. If we default on our payment obligations, you may not receive any amounts owed to you under the Notes and you could
lose your entire investment.
|
♦ |
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.
|
♦ |
There can be 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.
|
♦ |
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.
|
♦ |
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 the underwriting discount and 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 the underwriting discount or our estimated profit and the costs
|
♦ |
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.
|
♦ |
The Notes are expected to have a limited trading 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.
|
♦ |
The terms of the Notes at issuance were influenced by, 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 value 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 values 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 actual and expected volatility of the price of the Underlying;
|
♦ |
the time remaining to maturity of the Notes;
|
♦ |
the dividend rate on the Underlying;
|
♦ |
interest and yield rates in the market generally;
|
♦ |
a variety of economic, financial, political, regulatory or judicial events;
|
♦ |
the occurrence of certain events relating to the Underlying that may or may not require an adjustment to the terms of the Notes; and
|
♦ |
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
♦ |
An investment in the Notes is subject to single stock risk — The price of the Underlying can rise or fall sharply due to factors specific to that Underlying and its issuer,
such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general stock market volatility and
levels, interest rates and economic and political conditions. You, as an investor in the Notes, should make your own investigation into the issuer of the Underlying (the "Underlying Issuer") and the Underlying. For additional information about
the Underlying and its issuer, please see “Information about the Underlying” in this pricing supplement and the Underlying Issuer’s SEC filings referred to in those sections. We urge you to review financial and
other information filed periodically by the Underlying Issuer with the SEC.
|
♦ |
You will not have any shareholder rights and will not receive any shares of the Underlying at maturity — Investing in the Notes will not make you a holder of any shares of 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.
|
♦ |
There is no affiliation between the Underlying Issuer and us, UBS and our respective affiliates, and we are not responsible for any disclosure by that issuer — We, UBS and our
respective affiliates are not affiliated with the Underlying Issuer. However, we, UBS and our respective affiliates may currently, or from time to time in the future engage in business with the Underlying Issuer. Nevertheless, neither we nor
our affiliates assume any responsibilities for the accuracy or the completeness of any information about the Underlying and the Underlying Issuer. You, as an investor in the Notes, should make your own investigation into the Underlying and the
Underlying Issuer. The Underlying Issuer is not involved in this offering and has no obligation of any sort with respect to your Notes. The Underlying Issuer has no obligation to take your interests into consideration for any reason, including
when taking any corporate actions that might affect the value of your Notes.
|
♦ |
Historical prices of the Underlying should not be taken as an indication of its future prices during the term of the Notes — The trading prices of the Underlying will determine
the value of the Notes at any given time. However, it is impossible to predict whether the price of the Underlying will rise or fall, trading prices of the Underlying will be influenced by complex and interrelated political, economic, financial
and other factors that can affect the issuer of the Underlying, and therefore, the price of the Underlying.
|
♦ |
The anti-dilution protection for the Underlying is limited — The calculation agent will make adjustments to the Initial Price, Coupon Barrier and Downside Threshold 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.
|
♦ |
We and our affiliates will have potential conflicts of interest in connection with the Notes — 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.
|
♦ |
Our activities and those of UBS may adversely affect the value of the Notes — Trading or other transactions by us, UBS and our respective affiliates in the Underlying, or in
futures, options, exchange-traded funds or other derivative products on the Underlying may adversely affect the market value of the Underlying, the closing price of the Underlying, and, therefore, the market value of the Notes.
|
♦ |
Potentially inconsistent research, opinions or recommendations by RBCCM, UBS or their respective affiliates — RBCCM, UBS or their respective affiliates may publish research,
express opinions or provide recommendations as to the Underlying that are inconsistent with investing in or holding the Notes, and
|
Hypothetical Examples
|
Principal Amount:
|
$10.00
|
Term:
|
Approximately 18 months
|
Coupon Observation Dates:
|
Quarterly
|
Call Observation Dates:
|
Quarterly, beginning in August 2024
|
Hypothetical Initial Price of the Underlying*:
|
$100.00
|
Contingent Coupon Rate:
|
17.40% per annum (or 4.35% per quarter)
|
Contingent Coupon**:
|
$0.435 per quarter
|
Hypothetical Coupon Barrier*:
|
$70.00 (which is 70.00% of the hypothetical Initial Price)
|
Hypothetical Downside Threshold*:
|
$70.00 (which is 70.00% of the hypothetical Initial Price)
|
Date
|
Closing Price
|
Payment (per Note)
|
First Coupon Observation Date
|
$105.00 (at or above Coupon Barrier and Initial Price)
|
$10.435 (Call Settlement Amount)
|
Total Payment:
|
$10.435 (4.35% return)
|
Date
|
Closing Price
|
Payment (per Note)
|
First Coupon Observation Date
|
$81.00 (at or above Coupon Barrier; below Initial Price)
|
$0.435 (Contingent Coupon – Not Called)
|
Second Coupon Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Price)
|
$0.435 (Contingent Coupon – Not Called)
|
Third Coupon Observation Date
|
$105.00 (at or above Initial Price)
|
$10.435 (Call Settlement Amount)
|
Total Payment:
|
$11.305 (13.05% return)
|
Date
|
Closing Price
|
Payment (per Note)
|
First Coupon Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Price)
|
$0.435 (Contingent Coupon – Not Called)
|
Second Coupon Observation Date
|
$45.00 (below Coupon Barrier; below Initial Price)
|
$0.00 (Contingent Coupon not payable – Not Called)
|
Third Coupon Observation Date
|
$46.00 (below Coupon Barrier; below Initial Price)
|
$0.00 (Contingent Coupon not payable – Not Called)
|
Fourth and Fifth Coupon Observation Dates
|
Various prices (each at or above Coupon Barrier; below Initial Price)
|
$0.87 (2 Contingent Coupons – Not Called)
|
Final Valuation Date
|
$80.00 (at or above Downside Threshold and Coupon Barrier; below Initial Price)
|
$10.435 (Payment at Maturity)
|
Total Payment:
|
$11.74 (17.40% return)
|
Date
|
Closing Price
|
Payment (per Note)
|
First Coupon Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Price)
|
$0.435 (Contingent Coupon – Not Called)
|
Second Coupon Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Price)
|
$0.435 (Contingent Coupon – Not Called)
|
Third Coupon Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Price)
|
$0.435 (Contingent Coupon – Not Called)
|
Fourth and Fifth Coupon Observation Dates
|
Various prices (each below Coupon Barrier)
|
$0.00 (Contingent Coupon – Not Called)
|
Final Valuation Date
|
$40.00 (below Downside Threshold and Coupon Barrier)
|
$10 + [$10 × Underlying Return] =
$10 + [$10 × -60.00%] =
$10 - $6.00 =
$4.00 (Payment at Maturity)
|
Total Payment:
|
$5.305 (-46.95% return)
|
What Are the Tax Consequences of the Notes?
|
Information About the Underlying
|
lululemon athletica inc.
|
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
Structuring the Notes
|
Terms Incorporated in the Master Note
|
Validity of the Notes
|