Primary Offering Prospectus – Form 424B2
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Registration Statement No. 333-275898 Filed Pursuant to Rule 424(b)(2) |
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Pricing Supplement Pricing Supplement dated |
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| · | Contingent Coupons - If the Notes have not been automatically called, investors will receive a Contingent Coupon on a quarterly Coupon Payment Date at a rate of 7.75% per annum if the closing value of each Underlier is greater than or equal to its Coupon Threshold (70% of its Initial Underlier Value) on the immediately preceding Coupon Observation Date. You may not receive any Contingent Coupons during the term of the Notes. |
| · | Call Feature - If, on any quarterly Call Observation Date beginning approximately one year following the Trade Date, the closing value of each Underlier is greater than or equal to its Call Value, the Notes will be automatically called for 100% of their principal amount plus the Contingent Coupon otherwise due. No further payments will be made on the Notes. |
| · | Contingent Retuof Principal at Maturity - If the Notes are not automatically called and the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Barrier Value (70% of its Initial Underlier Value), at maturity, investors will receive the principal amount of their Notes plus the Contingent Coupon otherwise due. If the Notes are not automatically called and the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, at maturity, investors will lose 1% 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. |
| · | Any payments on the Notes are subject to our credit risk. |
| · | The Notes will not be listed on any securities exchange. |
CUSIP: 78017GX30
Investing in the Notes involves a number of risks. See "Selected Risk Considerations" beginning on page P-7 of this pricing supplement and "Risk Factors" in the accompanying prospectus, prospectus supplement and product supplement.
None of the
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Per Note |
Total |
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| Price to public(1) | 100.00% | |
| Underwriting discounts and commissions(1) |
2.50% |
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| Proceeds to |
97.50% |
(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
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Auto-Callable Contingent Coupon Barrier 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® Index (the "SPX Index") and the EURO STOXX 50® Index (the "SX5E Index") |
| Underlier | Bloomberg Ticker | Initial Underlier Value(1) | Call Value(1) | Coupon Threshold and Barrier Value(2) | |
| RTY Index | RTY | 2,303.835 | 2,303.835 | 1,612.685 | |
| SPX Index | SPX | 5,870.62 | 5,870.62 | 4,109.43 | |
| SX5E Index | SX5E | 4,794.85 | 4,794.85 | 3,356.40 |
| (1) With respect to each Underlier, the closing value of that Underlier on the Trade Date | |
| (2) With respect to each Underlier, 70% of its Initial Underlier Value (rounded to three decimal places for the RTY Index and rounded to two decimal places for the SPX Index and the SX5E Index) | |
| Trade Date: | |
| Issue Date: | |
| Valuation Date:* | |
| Maturity Date:* | |
| Payment of Contingent Coupons: |
If the Notes have not been automatically called, investors will receive a Contingent Coupon on a Coupon Payment Date if the closing value of each Underlier is greater than or equal to its Coupon Threshold on the immediately preceding Coupon Observation Date. No Contingent Coupon will be payable on a Coupon Payment Date if the closing value of any Underlier is less than its Coupon Threshold on the immediately preceding Coupon Observation Date. Accordingly, you may not receive a Contingent Coupon on one or more Coupon Payment Dates during the term of the Notes. |
| Contingent Coupon: | If payable, |
| Call Feature: | If, on any Call Observation Date, the closing value of each Underlier is greater than or equal to its Call Value, the Notes will be automatically called. Under these circumstances, investors will receive on the Call Settlement Date per |
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Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Three Underliers |
| Payment at Maturity: |
If the Notes are not automatically called, 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 Barrier Value: · If the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, an amount equal to: If the Notes are not automatically called and the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, you will lose a substantial portion or all of your principal amount at maturity. All payments on the Notes are subject to our credit risk. |
| 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 |
| 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 |
| Coupon Observation Dates:* | Quarterly, as set forth in the table below |
| Coupon Payment Dates:* | Quarterly, as set forth in the table below |
| Call Observation Dates:* | Quarterly, beginning approximately one year following the Trade Date, on each Coupon Observation Date from and including the fourth Coupon Observation Date |
| Call Settlement Date:* | If the Notes are automatically called on any Call Observation Date, the Coupon Payment Date immediately following that Call Observation Date |
| Calculation Agent: | RBCCM |
| Coupon Observation Dates* | Coupon Payment Dates* |
* 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.
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Auto-Callable Contingent Coupon Barrier 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
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Auto-Callable Contingent Coupon Barrier 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 Coupon Threshold and Barrier Value of 70% of its Initial Underlier Value and the Contingent Coupon of
| Hypothetical Underlier Retuof the Least Performing Underlier | Payment at Maturity per |
Payment at Maturity as Percentage of Principal Amount* |
| 50.00% | 101.9375% | |
| 40.00% | 101.9375% | |
| 30.00% | 101.9375% | |
| 20.00% | 101.9375% | |
| 10.00% | 101.9375% | |
| 5.00% | 101.9375% | |
| 0.00% | 101.9375% | |
| -5.00% | 101.9375% | |
| -10.00% | 101.9375% | |
| -20.00% | 101.9375% | |
| -30.00% | 101.9375% | |
| -30.01% | 69.9900% | |
| -40.00% | 60.0000% | |
| -50.00% | 50.0000% | |
| -60.00% | 40.0000% | |
| -70.00% | 30.0000% | |
| -80.00% | 20.0000% | |
| -90.00% | 10.0000% | |
| -100.00% | 0.0000% |
* Including any Contingent Coupon otherwise due
| Example 1 - | The value of the Least Performing Underlier increases from its Initial Underlier Value to its Final Underlier Value by 30%. |
| Underlier Retuof the Least Performing Underlier: | 30% | |
| Payment at Maturity: |
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In this example, the payment at maturity is Because the Final Underlier Value of the Least Performing Underlier is greater than its Coupon Threshold and Barrier Value, investors receive a full retuof the principal amount of their Notes plus the Contingent Coupon otherwise due. This example illustrates that investors do not participate in any appreciation of the Least Performing Underlier, which may be significant. |
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Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Three Underliers |
| Example 2 - | 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 Coupon Threshold and Barrier Value). |
| Underlier Retuof the Least Performing Underlier: | -10% | |
| Payment at Maturity: |
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In this example, the payment at maturity is Because the Final Underlier Value of the Least Performing Underlier is greater than its Coupon Threshold and Barrier Value, investors receive a full retuof the principal amount of their Notes plus the Contingent Coupon otherwise due. |
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| Example 3 - | 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 Coupon Threshold and Barrier Value). |
| Underlier Retuof the Least Performing Underlier: | -50% | |
| Payment at Maturity: |
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In this example, the payment at maturity is Because the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, investors do not receive a full retuof the principal amount of their Notes. In addition, because the Final Underlier Value of the Least Performing Underlier is less than its Coupon Threshold, investors do not receive a Contingent Coupon at maturity. |
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Investors in the Notes could lose a substantial portion or all of the principal amount of their Notes at maturity. The table and examples above assume that the Notes are not automatically called. However, if the Notes are automatically called, investors will not receive any further payments after the Call Settlement Date.
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Auto-Callable Contingent Coupon Barrier 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 |
| · | You May Not Receive Any Contingent Coupons - We will not necessarily pay any Contingent Coupons on the Notes. If the closing value of any Underlier is less than its Coupon Threshold on a Coupon Observation Date, we will not pay you the Contingent Coupon applicable to that Coupon Observation Date. If the closing value of any Underlier is less than its Coupon Threshold 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 retuon, your Notes. Generally, this non-payment of the Contingent Coupon coincides with a greater risk of principal loss on your Notes. Even if your retuis positive, your retumay be less than the retuyou would eaif you purchased one of our conventional senior interest-bearing debt securities. |
| · | Any Payment on the Notes Will Be Determined Solely by the Performance of the Underlier with the Worst Performance Even If the Other Underliers Perform Better - Any payment on the Notes will be determined solely by the performance of the Underlier with the worst performance. 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 adversely affect your retuon the Notes. |
| · | You Will Not Participate in Any Appreciation of Any Underlier, and Any Potential Retuon the |
| · | The Notes Are Subject to an Automatic Call - If, on any Call Observation Date, the closing value of each Underlier is greater than or equal to its Call Value, the Notes will be automatically called, and you will not receive any further payments on the Notes. Because the Notes could be called as early as approximately one year after the Issue Date, the total retuon the Notes could be minimal. You may be unable to reinvest your proceeds from the automatic call in an investment with a retuthat is as high as the retuon the Notes would have been if they had not been called. |
| · | 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. |
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Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Three Underliers |
| · | The |
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 Is Less Than the Public Offering Price - The initial estimated value of the Notes is 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, 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, 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.
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Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Three Underliers |
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. |
| · | 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 Securities Included in Any Underlier - As an investor in the Notes, you will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the securities included in any Underlier. Each Underlier is a price retuindex and its retudoes not reflect regular cash dividends paid by its components. |
| · | 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 Notes Are Subject to Risks Relating to Non- |
| · | The Notes Do Not Provide Direct Exposure to Fluctuations in Exchange Rates between the |
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Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Three Underliers |
Index will not be adjusted for exchange rate fluctuations between the
| · | We May Accelerate the Notes If a Change-in-Law Event Occurs - Upon the occurrence of legal or regulatory changes that may, among other things, prohibit or otherwise materially restrict persons from holding the Notes or an Underlier or its components, or engaging in transactions in them, the Calculation Agent may determine that a change-in-law-event has occurred and accelerate the Maturity Date for a payment determined by the Calculation Agent in its sole discretion. Any amount payable upon acceleration could be significantly less than any amount that would be due on the Notes if they were not accelerated. However, if the Calculation Agent elects not to accelerate the Notes, the value of, and any amount payable on, the Notes could be adversely affected, perhaps significantly, by the occurrence of such legal or regulatory changes. See "General Terms of Notes-Change-in-Law Events" in the accompanying product supplement. |
| · | 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 determination of the closing value of any affected Underlier. See "General Terms of the Notes-Indices-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. |
| · | Adjustments to an Underlier Could Adversely Affect Any Payments on the Notes - The sponsor of an Underlier may add, delete, substitute or adjust the securities composing that Underlier or make other methodological changes to that Underlier that could affect its performance. The Calculation Agent will calculate the value to be used as the closing value of an Underlier in the event of certain material changes in, or modifications to, that Underlier. In addition, the sponsor of an Underlier may also discontinue or suspend calculation or publication of that Underlier 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 Underlier or, if no successor index is available, the Calculation Agent will determine the value to be used as the closing value of that Underlier. Any of these actions could adversely affect the value of an Underlier 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. |
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Auto-Callable Contingent Coupon Barrier 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 SPX Index consists of stocks of 500 companies selected to provide a performance benchmark for the
The SX5E Index is a free float market capitalization-weighted index composed of 50 of the largest stocks in terms of free float market capitalization traded on major
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.
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Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Three Underliers |
S&P 500® Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
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Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Three Underliers |
EURO STOXX 50® Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
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Auto-Callable Contingent Coupon Barrier 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, it is reasonable to treat the Notes for
We do not plan to request a ruling from the
Non-
As discussed under "United States Federal Income Tax Considerations-Tax Consequences to Non-
We will not be required to pay any additional amounts with respect to
You should consult your tax adviser regarding the
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Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Three Underliers |
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 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 six 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 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 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 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.
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 Is Less Than the Public Offering Price" above.
VALIDITY OF THE NOTES
In the opinion of
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Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Three Underliers |
to the following limitations: (i) the enforceability of the indenture may be limited by the Canada Deposit Insurance Corporation Act (
In the opinion of
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