Primary Offering Prospectus – Form 424B2
Registration Statement No. 333-275898 Filed Pursuant to Rule 424(b)(2) |
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The information in this preliminary pricing supplement is not complete and may be changed. |
Preliminary Pricing Supplement Subject to Completion: Dated Pricing Supplement dated September __, 2024 to the Prospectus dated |
$ |
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· | Contingent Fixed Return - If the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Buffer Value (77% of its Initial Underlier Value), at maturity, investors will receive a fixed retuequal to the Digital Retuof 7.50%. |
· | Principal at Risk - If the Final Underlier Value of the Least Performing Underlier is less than its Buffer Value, at maturity, investors will lose approximately 1.2987% of the principal amount of their Notes for each 1% that the Final Underlier Value of the Least Performing Underlier is less than its Initial Underlier Value in excess of the Buffer Percentage of 23%. |
· | The Notes do not pay interest. |
· | Any payments on the Notes are subject to our credit risk. |
· | The Notes will not be listed on any securities exchange. |
CUSIP: 78017GQL8
Investing in the Notes involves a number of risks. See "Selected Risk Considerations" beginning on page P-8 of this pricing supplement and "Risk Factors" in the accompanying prospectus, prospectus supplement and product supplement.
None of the
Per Note |
Total |
|
Price to public(1) | 100.00% | $ |
Underwriting discounts and commissions(1) |
1.00% |
$ |
Proceeds to |
99.00% | $ |
(1) We or one of our affiliates may pay varying selling concessions of up to
The initial estimated value of the Notes determined by us as of the Trade Date, which we refer to as the initial estimated value, is expected to be between
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
KEY TERMS
The information in this "Key Terms" section is qualified by any more detailed information set forth in this pricing supplement and in the accompanying prospectus, prospectus supplement, underlying supplement and product supplement.
Issuer: | ||||
Underwriter: | ||||
Underliers: | The Russell 2000® Index (the "RTY Index"), the S&P 500® Futures Excess RetuIndex (the "SPXFP Index") and the Utilities Select Sector SPDR® Fund (the " |
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Underlier | Bloomberg Ticker | Initial Underlier Value(1) | Buffer Value(2) | |
RTY Index | RTY | |||
SPXFP Index | SPXFP | |||
XLU UP | $ | $ | ||
(1) With respect to each Underlier, the closing value of that Underlier on the Trade Date | ||||
(2) With respect to each Underlier, 77% of its Initial Underlier Value (rounded to three decimal places for the RTY Index and rounded to two decimal places for the SPXFP Index and the |
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Trade Date: | ||||
Issue Date: | ||||
Valuation Date:* | ||||
Maturity Date:* | ||||
Payment at Maturity: |
Investors will receive on the Maturity Date per · If the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Buffer Value, an amount equal to: · If the Final Underlier Value of the Least Performing Underlier is less than its Buffer Value, an amount equal to: If the Final Underlier Value of the Least Performing Underlier is less than its Buffer Value, you will lose some or all of your principal amount at maturity. All payments on the Notes are subject to our credit risk. |
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Digital Return: | 7.50% | |||
Buffer Percentage: | 23% | |||
Downside Multiplier: | 100% / 77%, which is approximately 1.2987 | |||
Underlier Return: |
With respect to each Underlier, the Underlier Return, expressed as a percentage, is calculated using the following formula: Final Underlier Value - Initial Underlier Value |
P-2 |
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
Final Underlier Value: | With respect to each Underlier, the closing value of that Underlier on the Valuation Date |
Least Performing Underlier: | The Underlier with the lowest Underlier Return |
Calculation Agent: | RBCCM |
* Subject to postponement. See "General Terms of the Notes-Postponement of a Determination Date" and "General Terms of the Notes-Postponement of a Payment Date" in the accompanying product supplement.
P-3 |
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
ADDITIONAL TERMS OF YOUR NOTES
You should read this pricing supplement together with the prospectus dated
We have not authorized anyone to provide any information or to make any representations other than those contained or incorporated by reference in this pricing supplement and the documents listed below. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may give you. These documents are an offer to sell only the Notes offered hereby, but only under circumstances and in jurisdictions where it is lawful to do so. The information contained in each such document is current only as of its date.
If the information in this pricing supplement differs from the information contained in the documents listed below, you should rely on the information in this pricing supplement.
You should carefully consider, among other things, the matters set forth in "Selected Risk Considerations" in this pricing supplement and "Risk Factors" in the documents listed below, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes.
You may access these documents on the
· | Prospectus dated |
https://www.sec.gov/Archives/edgar/data/1000275/000119312523299520/d645671d424b3.htm
· | Prospectus Supplement dated |
https://www.sec.gov/Archives/edgar/data/1000275/000119312523299523/d638227d424b3.htm
· | Underlying Supplement No. 1A dated |
https://www.sec.gov/Archives/edgar/data/1000275/000095010324006773/dp211259_424b2-us1a.htm
· | Product Supplement No. 1A dated |
https://www.sec.gov/Archives/edgar/data/1000275/000095010324006777/dp211286_424b2-ps1a.htm
Our Central Index Key, or CIK, on the
P-4 |
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
Supplemental Terms of the Notes
Notwithstanding anything to the contrary in the accompanying product supplement, for purposes of the Notes:
· | a market disruption event will occur with respect to the SPXFP Index if one or more of the following events occurs, in each case as determined by the Calculation Agent in its sole discretion: (i) the occurrence of a market disruption event with respect to the S&P 500® Index pursuant to the provisions of "General Terms of the Notes-Indices-Market Disruption Events" in the accompanying product supplement; or (ii) the occurrence of a market disruption event with respect to the SPXFP Index pursuant to the provisions of "General Terms of the Notes-Indices-Market Disruption Events" in the accompanying product supplement, where "components" as used in that section means, for this purpose, any futures contract included in the SPXFP Index; |
· | "scheduled trading day" as used in the accompanying product supplement means, with respect to the SPXFP Index, any day on which the exchanges on which all futures contracts included in the SPXFP Index are scheduled to be open for trading, as determined by the Calculation Agent in its sole discretion; and |
· | "Fallback Value" as used in the accompanying product supplement means, with respect to the SPXFP Index and the Final Disrupted Determination Date (as defined in the accompanying product supplement) for a Determination Date (as defined in the accompanying product supplement), the closing value of the SPXFP Index on that Final Disrupted Determination Date determined by the Calculation Agent in accordance with the formula for and method of calculating the closing value of the SPXFP Index last in effect prior to the commencement of the market disruption event, using the closing price (or, if trading in the relevant futures contract has been materially suspended or materially limited, the Calculation Agent's good faith estimate of the closing price that would have prevailed but for that suspension or limitation) on that Final Disrupted Determination Date of each futures contract most recently constituting the SPXFP Index, as well as any futures contract required to roll any expiring futures contract in accordance with the method of determining the composition of the SPXFP Index. |
P-5 |
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
HYPOTHETICAL RETURNS
The table and examples set forth below illustrate hypothetical payments at maturity for hypothetical performance of the Least Performing Underlier, based on its Buffer Value of 77% of its Initial Underlier Value, the Digital Retuof 7.50%, the Buffer Percentage of 23% and the Downside Multiplier of 1.2987. The table and examples are only for illustrative purposes and may not show the actual retuapplicable to investors.
Hypothetical Underlier Retuof the Least Performing Underlier | Payment at Maturity per |
Payment at Maturity as Percentage of Principal Amount |
50.00% | 107.50000% | |
40.00% | 107.50000% | |
30.00% | 107.50000% | |
20.00% | 107.50000% | |
10.00% | 107.50000% | |
7.50% | 107.50000% | |
5.00% | 107.50000% | |
2.00% | 107.50000% | |
0.00% | 107.50000% | |
-5.00% | 107.50000% | |
-10.00% | 107.50000% | |
-20.00% | 107.50000% | |
-23.00% | 107.50000% | |
-23.01% | 99.98701% | |
-30.00% | 90.90909% | |
-40.00% | 77.92208% | |
-50.00% | 64.93506% | |
-60.00% | 51.94805% | |
-70.00% | 38.96104% | |
-80.00% | 25.97403% | |
-90.00% | 12.98701% | |
-100.00% | 0.00000% |
Example 1 - | The value of the Least Performing Underlier increases from its Initial Underlier Value to its Final Underlier Value by 2%, resulting in a retuequal to the Digital Return. | |
Underlier Retuof the Least Performing Underlier: | 2% | |
Payment at Maturity: | ||
In this example, the payment at maturity is Because the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Buffer Value, investors receive a retuequal to the Digital Return. |
P-6 |
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
Example 2 - | The value of the Least Performing Underlier increases from its Initial Underlier Value to its Final Underlier Value by 20%, resulting in a retuequal to the Digital Return. | |
Underlier Retuof the Least Performing Underlier: | 20% | |
Payment at Maturity: | ||
In this example, the payment at maturity is Because the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Buffer Value, investors receive a retuequal to the Digital Return. This example illustrates that investors will not receive a retuat maturity in excess of the Digital Return. Accordingly, the retuon the Notes may be less than the retuof the Least Performing Underlier. |
Example 3 - | The value of the Least Performing Underlier decreases from its Initial Underlier Value to its Final Underlier Value by 10% (i.e., its Final Underlier Value is below its Initial Underlier Value but above its Buffer Value), resulting in a retuequal to the Digital Return. | |
Underlier Retuof the Least Performing Underlier: | -10% | |
Payment at Maturity: | ||
In this example, the payment at maturity is Because the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Buffer Value, even though the Underlier Retuis negative, investors receive a retuequal to the Digital Return. |
Example 4 - | The value of the Least Performing Underlier decreases from its Initial Underlier Value to its Final Underlier Value by 50% (i.e., its Final Underlier Value is below its Buffer Value). | |
Underlier Retuof the Least Performing Underlier: | -50% | |
Payment at Maturity: | ||
In this example, the payment at maturity is Because the Final Underlier Value of the Least Performing Underlier is less than its Buffer Value, investors do not receive a full retuof the principal amount of their Notes. |
Investors in the Notes could lose some or all of the principal amount of their Notes at maturity.
P-7 |
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
SELECTED RISK CONSIDERATIONS
An investment in the Notes involves significant risks. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes. Some of the risks that apply to an investment in the Notes are summarized below, but we urge you to read also the "Risk Factors" sections of the accompanying prospectus, prospectus supplement and product supplement. You should not purchase the Notes unless you understand and can bear the risks of investing in the Notes.
Risks Relating to the Terms and Structure of the Notes
· | You |
· |
· | Any Payment on the Notes Will Be Determined Solely by the Performance of the Least Performing Underlier Even If the Other Underliers Perform Better - Any payment on the Notes will be determined solely by the performance of the Least Performing Underlier. The Notes are not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components. In the case of the Notes, the individual performance of the Underliers will not be combined, and the adverse performance of one Underlier will not be mitigated by any appreciation of any other Underlier. The Underliers may be uncorrelated and may not perform similarly over the term of the Notes, which may increase your risk of loss on the Notes. |
· | The Notes Do Not Pay Interest, and Your Retuon the Notes May Be |
· | Payments on the Notes Are Subject to Our Credit Risk, and Market Perceptions about Our Creditworthiness May Adversely Affect the Market Value of the Notes - The Notes are our senior unsecured debt securities, and your receipt of any amounts due on the Notes is dependent upon our ability to pay our obligations as they come due. If we were to default on our payment obligations, you may not receive any amounts owed to you under the Notes and you could lose your entire investment. In addition, any negative changes in market perceptions about our creditworthiness may adversely affect the market value of the Notes. |
· | Any Payment on the Notes Will Be Determined Based on the Closing Values of the Underliers on the Dates Specified - Any payment on the Notes will be determined based on the closing values of the Underliers on the dates specified. You will not benefit from any more favorable values of the Underliers determined at any other time. |
· | The |
P-8 |
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
Risks Relating to the Initial Estimated Value of the Notes and the Secondary Market for the Notes
· | There May Not Be an |
· | The Initial Estimated Value of the Notes Will Be Less Than the Public Offering Price - The initial estimated value of the Notes will be less than the public offering price of 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 values of the Underliers, the internal funding rate we pay to issue securities of this kind (which is lower than the rate at which we borrow funds by issuing conventional fixed rate debt) and the inclusion in the public offering price of the underwriting discount, the referral fee, our estimated profit and the estimated costs relating to our hedging of the Notes. These factors, together with various credit, market and economic factors over the term of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any secondary market and will affect the value of the Notes in complex and unpredictable ways. Assuming no change in market conditions or any other relevant factors, the price, if any, at which you may be able to sell your Notes prior to maturity may be less than your original purchase price, as any such sale price would not be expected to include the underwriting discount, the referral fee, our estimated profit or the hedging costs relating to 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 funding 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 funding rate were used. |
· | The Initial Estimated Value of the Notes Is Only an Estimate, Calculated as of the Trade Date - 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 internal funding rate (which represents a discount from 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 value of the Notes at any time after the Trade 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 the Notes.
Risks Relating to Conflicts of Interest and Our Trading Activities
· | Our and Our Affiliates' Business and Trading Activities May Create Conflicts of Interest - You should make your own independent investigation of the merits of investing in the Notes. Our and our affiliates' economic interests are potentially adverse to your interests as an investor in the Notes due to our and our affiliates' business and trading activities, and we and our affiliates have no obligation to consider your interests in taking any actions that might affect the value of the Notes. Trading by us and our affiliates may adversely affect the values of the Underliers and the market value of the Notes. See "Risk Factors-Risks Relating to Conflicts of Interest" in the accompanying product supplement. |
P-9 |
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
· | RBCCM's Role as Calculation Agent May Create Conflicts of Interest - As Calculation Agent, our affiliate, RBCCM, will determine any values of the Underliers and make any other determinations necessary to calculate any payments on the Notes. In making these determinations, the Calculation Agent may be required to make discretionary judgments, including those described under "-Risks Relating to the Underliers" below. In making these discretionary judgments, the economic interests of the Calculation Agent are potentially adverse to your interests as an investor in the Notes, and any of these determinations may adversely affect any payments on the Notes. The Calculation Agent will have no obligation to consider your interests as an investor in the Notes in making any determinations with respect to the Notes. |
Risks Relating to the Underliers
· | You Will Not Have Any Rights to the |
· |
The performance of the
· | The SPXFP Index Reflects the Price Retuof the Futures Contracts Composing the SPXFP Index, Not the Total Return - The retuon the Notes is based on the performance of the SPXFP Index, which reflects changes in the market prices of the futures contracts composing the SPXFP Index and positive or negative yields associated with rolling those futures contracts. The SPXFP Index is not a "total return" index that, in addition to reflecting those price and roll returns, would also reflect interest on a hypothetical cash position collateralizing the futures contracts composing the SPXFP Index. |
· | The Performance of the SPXFP Index Will Differ from the Performance of the Reference Index - A variety of factors can lead to a disparity between the performance of an equity index futures contract and the index referenced by those futures contracts, including the expected dividend yields of the equity securities included in that index, an implicit financing cost associated with the futures contract and policies of the exchange on which the futures contracts are traded, such as margin requirements. A decline in expected dividends yields or an increase in margin requirements may adversely affect the performance of the SPXFP Index. In addition, the implicit financing cost will negatively affect the performance of the SPXFP Index, with a greater negative effect when market interest rates are higher. During periods of high market interest rates, the SPXFP Index is likely to underperform the Reference Index, perhaps significantly. |
· | Negative Roll Returns Associated with the Futures Contracts Composing the SPXFP Index May Adversely Affect the Level of the SPXFP Index and the Value of the Notes with Respect to the SPXFP Index - Unlike equity |
P-10 |
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
securities, the futures contracts composing the SPXFP Index, by their terms, have stated expirations. As the futures contracts composing the SPXFP Index approach expiration, they are replaced by contracts of the same series that have a later expiration. For example, a futures contract notionally purchased and held in June may specify a September expiration date. As time passes, the contract expiring in September is replaced by a contract for delivery in December. This is accomplished by notionally selling the September contract and notionally purchasing the December contract. This process is referred to as "rolling." Excluding other considerations, if prices are higher in the distant delivery months than in the nearer delivery months, the notional purchase of the December contract would take place at a price that is higher than the price of the September contract, thereby creating a negative "roll return." Negative roll returns adversely affect the returns on the futures contracts composing the SPXFP Index and, therefore, the value of the SPXFP Index and any payments on, and the value of, the Notes. Because of the potential effects of negative roll returns, it is possible for the value of the SPXFP Index to decrease significantly over time, even when the levels of the Reference Index are stable or increasing.
· | The SPXFP Index Is Subject to Significant Risks Associated with Futures Markets - Futures markets are subject to temporary distortions or other disruptions due to various factors, including lack of liquidity, the participation of speculators and government regulation and intervention. In addition, futures exchanges generally have regulations that limit the amount of the futures contract price fluctuations that may occur in a single day. These limits are generally referred to as "daily price fluctuation limits" and the maximum or minimum price of a contract on any given day as a result of those limits is referred to as a "limit price." Once the limit price has been reached in a particular contract, no trades may be made at a price beyond the limit, or trading may be limited for a set period of time. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at potentially disadvantageous times or prices. These circumstances could delay the calculation of the value of the SPXFP Index. These factors and others can cause the prices of the futures contracts composing the SPXFP Index to be volatile and could adversely affect the value of the SPXFP Index and any payments on, and the value of, your Notes. |
· | The Notes Are Subject to Small-Capitalization Companies Risk with Respect to the RTY Index - The RTY Index tracks securities 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 value of the RTY Index may be more volatile than that of a market measure that does not track solely small-capitalization stocks. Stock prices of small-capitalization companies are also generally more vulnerable than those of large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization companies may be thinly traded and may 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 personnel. Small-capitalization companies are often subject to less analyst coverage and may be in early, and less predictable, periods of their corporate existences. 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. |
· | The Equity Securities Composing the XLU Fund Are Concentrated in the Utilities Sector - All or substantially all of the equity securities composing the |
P-11 |
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
· | Any Payment on the Notes May Be Postponed and Adversely Affected by the Occurrence of a Market Disruption Event - The timing and amount of any payment on the Notes is subject to adjustment upon the occurrence of a market disruption event affecting an Underlier. If a market disruption event persists for a sustained period, the Calculation Agent may make a discretionary determination of the closing value of any affected Underlier. See "General Terms of the Notes-Indices-Market Disruption Events," "General Terms of the Notes-Reference Stocks and Funds-Market Disruption Events," "General Terms of the Notes-Postponement of a Determination Date" and "General Terms of the Notes-Postponement of a Payment Date" in the accompanying product supplement as supplemented by "Supplemental Terms of the Notes" in this pricing supplement. |
· | Adjustments to the |
· | Adjustments to an Index or the Reference Index Could Adversely Affect Any Payments on the Notes - The sponsor of the RTY Index or the Reference Index may add, delete, substitute or adjust the securities composing the RTY Index or the Reference Index, as applicable, or the sponsor of an Index or the Reference Index may make methodological changes to that Index or the Reference Index, as applicable, that could affect its performance. The Calculation Agent will calculate the value to be used as the closing value of an Index in the event of certain material changes in, or modifications to, that Index. In addition, the sponsor of an Index may also discontinue or suspend calculation or publication of that Index at any time. Under these circumstances, the Calculation Agent may select a successor index that the Calculation Agent determines to be comparable to the discontinued Index or, if no successor index is available, the Calculation Agent will determine the value to be used as the closing value of that Index. Any of these actions could adversely affect the value of an Index and, consequently, the value of the Notes. See "General Terms of the Notes-Indices-Discontinuation of, or Adjustments to, an Index" in the accompanying product supplement. |
· |
· | Reorganization or Other Events Could Adversely Affect the Value of the Notes or Result in the Notes Being Accelerated - If the |
P-12 |
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
INFORMATION REGARDING THE UNDERLIERS
The RTY Index measures the capitalization-weighted price performance of 2,000
The SPXFP Index measures the performance of a rolling position in the nearest maturing quarterly E-mini® S&P 500® futures contracts trading on the
According to publicly available information, the
Historical Information
The following graphs set forth historical closing values of the Underliers for the period from
Russell 2000® Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
P-13 |
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
S&P 500® Futures Excess RetuIndex
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
Utilities Select Sector SPDR® Fund
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
P-14 |
Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
You should review carefully the section in the accompanying product supplement entitled "United States Federal Income Tax Considerations." The following discussion, when read in combination with that section, constitutes the full opinion of our counsel,
Generally, this discussion assumes that you purchased the Notes for cash in the original issuance at the stated issue price and does not address other circumstances specific to you, including consequences that may arise due to any other investments relating to the Underliers. You should consult your tax adviser regarding the effect any such circumstances may have on the
In the opinion of our counsel, which is based on current market conditions, it is reasonable to treat the Notes for
Even if the treatment of the Notes as prepaid financial contracts is respected, purchasing a Note could be treated as entering into a "constructive ownership transaction" within the meaning of Section 1260 of the Internal Revenue Code ("Section 1260"). In that case, all or a portion of any long-term capital gain you would otherwise recognize upon the taxable disposition of the Note would be recharacterized as ordinary income to the extent such gain exceeded the "net underlying long-term capital gain" as defined in Section 1260. Any long-term capital gain recharacterized as ordinary income would be treated as accruing at a constant rate over the period you held the Note, and you would be subject to a notional interest charge in respect of the deemed tax liability on the income treated as accruing in prior tax years. Due to the lack of direct legal authority, our counsel is unable to opine as to whether or how Section 1260 applies to the Notes.
We do not plan to request a ruling from the
Non-
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Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
information regarding the potential application of Section 871(m) will be provided in the final pricing supplement for the Notes.
We will not be required to pay any additional amounts with respect to
You should consult your tax adviser regarding the
SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)
The Notes are offered initially to investors at a purchase price equal to par, except with respect to certain accounts as indicated on the cover page of this pricing supplement. We or one of our affiliates may pay the underwriting discount and may pay a broker-dealer that is not affiliated with us a referral fee, in each case as set forth on the cover page of this pricing supplement.
The value of the Notes shown on your account statement may be based on RBCCM's estimate of the value of the Notes if RBCCM or another of our affiliates were to make a market in the Notes (which it is not obligated to do). That estimate will be based on the price that RBCCM may pay for the Notes in light of then-prevailing market conditions, our creditworthiness and transaction costs. For a period of approximately three months after the Issue Date, the value of the Notes that may be shown on your account statement may be higher than RBCCM's estimated value of the Notes at that time. This is because the estimated value of the Notes will not include the underwriting discount, the referral fee or our hedging costs and profits; however, the value of the Notes shown on your account statement during that period may initially be a higher amount, reflecting the addition of the underwriting discount, the referral fee and our estimated costs and profits from hedging the Notes. This excess is expected to decrease over time until the end of this period. After this period, if RBCCM repurchases your Notes, it expects to do so at prices that reflect their estimated value.
RBCCM or another of its affiliates or agents may use this pricing supplement in the initial sale of the Notes. In addition, RBCCM or another of our affiliates may use this pricing supplement in a market-making transaction in the Notes after their initial sale. Unless we or our agent informs the purchaser otherwise in the confirmation of sale, this pricing supplement is being used in a market-making transaction.
For additional information about the settlement cycle of the Notes, see "Plan of Distribution" in the accompanying prospectus. For additional information as to the relationship between us and RBCCM, see the section "Plan of Distribution-Conflicts of Interest" in the accompanying prospectus.
STRUCTURING THE NOTES
The Notes are our debt securities. As is the case for all of our debt securities, including our structured notes, the economic terms of the Notes reflect our actual or perceived creditworthiness. In addition, because structured notes result in increased operational, funding and liability management costs to us, we typically borrow the funds under structured notes at a rate that is lower than the rate that we might pay for a conventional fixed or floating rate debt security of comparable maturity. The lower internal funding rate, the underwriting discount, the referral fee and the hedging-related costs relating to the Notes reduce the economic terms of the Notes to you and result in the initial estimated value for the Notes being less than their public offering price. Unlike the initial estimated value, any value of the Notes determined for purposes of a secondary market transaction may be based on a secondary market rate, which may result in a lower value for the Notes than if our initial internal funding rate were used.
In order to satisfy our payment obligations under the Notes, we may choose to enter into certain hedging arrangements (which may include call options, put options or other derivatives) with RBCCM and/or one of our other subsidiaries. The terms of these hedging arrangements take into account a number of factors, including our creditworthiness, interest rate movements, volatility and the tenor of the Notes. The economic terms of the Notes and the initial estimated value depend in part on the terms of these hedging arrangements.
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Geared Buffer Digital Notes Linked to the Least Performing of Three Underliers |
See "Selected Risk Considerations-Risks Relating to the Initial Estimated Value of the Notes and the Secondary Market for the Notes-The Initial Estimated Value of the Notes Will Be Less Than the Public Offering Price" above.
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