Investment Description
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Features
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Key Dates 1
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Income — Regardless of the performance of the Reference Stock,
Royal Bank of Canada will pay you a monthly coupon. In exchange for receiving the monthly coupon payment on the Notes, you are accepting the risk of receiving shares of the Reference Stock at maturity that are worth less than your
principal amount and the credit risk of Royal Bank of Canada for all payments under the Notes.
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Automatically Callable — If the closing price of the Reference
Stock on any quarterly Observation Date is greater than or equal to the initial underlying price, we will automatically call the Notes and pay you the principal amount per Note plus the applicable coupon payment for that date and no
further amounts will be owed to you. If the Notes are not called, you may have downside market exposure to the Reference Stock at maturity.
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☐ |
Contingent Repayment of Principal at Maturity — If the Notes are
not previously called and the price of the Reference Stock does not close below the conversion price on the final valuation date, Royal Bank of Canada will pay you the principal amount at maturity, and you will not participate in any
appreciation or depreciation in the value of the Reference Stock. If the price of the Reference Stock closes below the conversion price on the final valuation date, Royal Bank of Canada will deliver to you at maturity the share delivery
amount for each of your Notes, which is expected to be worth less than your principal amount and may have no value at all. 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 the creditworthiness of Royal Bank of Canada.
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Trade Date1
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March 8, 2019
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Settlement Date1
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March 13, 2019
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Observation Dates 1 2
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Quarterly
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Final Valuation Date2
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March 9, 2020
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Maturity Date2
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March 12, 2020
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Notes Offerings
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Reference Stock
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Coupon Rate
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Initial Underlying
Price
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Conversion Price
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CUSIP
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ISIN
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Common Stock of Best Buy Co., Inc. (BBY)
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8.00% to 9.00% per annum
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•
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80.00% of the initial underlying price
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78014H326
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US78014H3268
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Common Stock of Dell Technologies Inc. (DELL)
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8.50% to 9.50% per annum
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•
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85.00% of the initial underlying price
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78014H342
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US78014H3425
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Common Stock of EOG Resources, Inc. (EOG)
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8.25% to 9.25% per annum
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•
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88.00% of the initial underlying price
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78014H359
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US78014H3599
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Price to Public
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Fees and Commissions (1)
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Proceeds to Us
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Offering of the Notes
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Total
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Per Note
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Total
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Per Note
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Total
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Per Note
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Notes Linked to the Common Stock of Best Buy Co., Inc. (BBY)
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•
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$1,000
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•
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$15
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•
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$985
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Notes Linked to the Common Stock of Dell Technologies Inc. (DELL)
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•
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$1,000
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•
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$15
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•
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$985
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Notes Linked to the Common Stock of EOG Resources, Inc. (EOG)
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•
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$1,000
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•
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$15
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•
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$985
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UBS Financial Services Inc.
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RBC Capital Markets, LLC
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Additional Information About Royal Bank of Canada and the Notes
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¨ |
Product prospectus supplement no. ABYN-2 dated October 26, 2018:
https://www.sec.gov/Archives/edgar/data/1000275/000114036118041394/form424b5.htm |
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Prospectus supplement dated September 7, 2018
https://www.sec.gov/Archives/edgar/data/1000275/000121465918005975/f97180424b3.htm |
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Prospectus dated September 7, 2018:
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Investor Suitability
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You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the full downside market risk of an investment in the
Reference Stock.
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You are willing to accept the risks of investing in equities in general and in the applicable Reference Stock in particular.
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You believe the final underlying price of the Reference Stock is not likely to be below the conversion price and, if it is, you can tolerate receiving shares of the Reference Stock at
maturity worth less than your principal amount or that may have no value at all.
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You understand and accept that you will not participate in any appreciation in the price of the Reference Stock and that your return on the Notes is limited to the coupons paid.
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You are willing to forgo dividends or other benefits of owning shares of the Reference Stock.
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You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations of the Reference Stock.
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You are willing and able to invest in a security that will be called on any Observation Date on which the closing price of the Reference Stock is greater than or equal to the initial
underlying price, and you are otherwise able to hold the Notes to maturity.
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You are willing to invest in Notes for which there may be little or no secondary market and you accept that the secondary market will depend in large part on the price, if any, at
which RBC Capital Markets, LLC, which we refer to as “RBCCM,” is willing to purchase the Notes.
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You would be willing to invest in the Notes if the applicable coupon rate for each Note was set equal to the bottom of the range indicated on the cover of this free writing prospectus
(the actual coupon rate for each Note will be determined on the trade date).
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¨
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You are willing to assume the credit risk of Royal Bank of Canada for all payments under the Notes, and understand that if Royal Bank of Canada defaults on its
obligations, you may not receive any amounts due to you, including any repayment of principal.
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You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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You require an investment designed to provide a full return of principal at maturity.
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You are unwilling to accept the risks of investing in equities in general or in the applicable Reference Stock in particular.
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You are not willing to make an investment that may have the full downside market risk of an investment in the Reference Stock.
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You believe that the final underlying price of the Reference Stock is likely to be below the conversion price, which could result in a total loss of your initial investment.
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You cannot tolerate receiving shares of the Reference Stock at maturity worth less than your principal amount or that may have no value at all.
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You seek an investment that participates in the appreciation in the price of the Reference Stock or that has unlimited return potential.
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You want to receive dividends or other distributions paid on the Reference Stock.
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You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations of the Reference Stock.
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You would not be willing to invest in the Notes if the applicable coupon rate for each Note was set equal to the bottom of the range indicated on the cover of this free writing
prospectus (the actual coupon rate for each Note will be determined on the trade date).
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You seek an investment for which there will be an active secondary market.
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You are unable or unwilling to invest in a security that will be called on any Observation Date on which the closing price of the Reference Stock is greater than or equal to the
initial underlying price, or you are otherwise unable or unwilling to hold the Notes to maturity.
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You are not willing to assume the credit risk of Royal Bank of Canada for all payments under the Notes, including any repayment of principal.
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Indicative Terms of the Notes1
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Issuer:
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Royal Bank of Canada
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Principal Amount per
Note:
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$1,000 per Note
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Term:2
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Approximately 12 months, if not previously called
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Reference Stocks:
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The common stock of a specific company, as set forth on the cover page of this free writing prospectus.
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Closing Price:
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On any trading day, the last reported sale price of the Reference Stock on the principal national securities exchange on
which it is listed for trading, as determined by the calculation agent.
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Initial Underlying
Price:
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With respect to each Note, the closing price of the applicable Reference Stock on the trade date.
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Final Underlying Price:
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The closing price of the applicable Reference Stock on the final valuation date.
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Coupon Payment:
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The coupon payments will be made in 12 equal installments regardless of the performance of the Reference Stock, unless the
Notes were earlier called.
The coupon rate per annum is expected to be between (i) 8.00% and 9.00% for the Notes linked to the common stock of Best Buy
Co., Inc., (ii) 8.50% and 9.50% for the Notes linked to the common stock of Dell Technologies Inc. and (iii) 8.25% and 9.25% for the Notes linked to the common stock of EOG Resources, Inc..
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1st through 12th
Installment (if not
earlier called)
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For Notes linked to the common stock of Best Buy Co., Inc.: between 0.6667% and 0.7500%
For Notes linked to the common stock of Dell Technologies Inc.: between 0.7083% and 0.7917%
For Notes linked to the common stock of EOG Resources, Inc.: between 0.6875% and 0.7708%
The actual installment amount for each of the Notes will be based on the coupon rate per annum and set on the trade date.
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Coupon Payment
Dates:
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Coupons will be paid in arrears in 12 equal monthly installments on the Coupon Payment Dates listed below,
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1
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Terms used in this free writing prospectus, but not defined herein, shall have the meanings ascribed to them in the product prospectus supplement.
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2
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In the event we make any change to the expected trade date and settlement date, the final valuation date and/or the maturity date will be changed to ensure that the stated
term of the Notes remains approximately the same.
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unless previously called.
April 10, 2019, May 10, 2019, June 12, 2019, July 10, 2019, August 12, 2019, September 11, 2019, October 10, 2019, November
13, 2019, December 11, 2019, January 10, 2020, February 12, 2020 and March 12, 2020.
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Automatic Call
Provision:
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The Notes will be automatically called if the closing price of the Reference Stock on any quarterly Observation Date is
greater than or equal to the initial underlying price.
If the Notes are called, Royal Bank of Canada 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 per Note plus the applicable coupon payment otherwise due on that day. No further amounts will be owed to you under the Notes.
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Observation Dates:
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June 10, 2019, September 9, 2019, December 9, 2019 and March 9, 2020 (the final valuation date).
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Call Settlement
Dates:
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Two business days following the relevant Observation Date, except that the Call Settlement Date for the final valuation date
will be the Maturity Date. Each Call Settlement Date will occur on a Coupon Payment Date for the Notes.
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Payment at Maturity:
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Ø If the Notes are not automatically called prior to maturity, and the final underlying price of the applicable Reference Stock is not below the conversion price on the final valuation date, we
will pay you at maturity an amount in cash equal to $1,000 for each $1,000 principal amount of the Notes, plus accrued and unpaid interest.
Ø If the Notes are not automatically called prior to maturity, and the final underlying price of the applicable Reference Stock is below the conversion price on the final valuation date, we will
deliver to you at maturity a number of shares of the applicable Reference Stock equal to the share delivery amount (subject to adjustments) for each Note you own plus accrued and unpaid interest. The share delivery amount is expected to be worth less than the principal amount and may have a value equal to $0.
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Share Delivery
Amount:3
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A number of shares of the applicable Reference Stock per $1,000 principal
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3 |
If you receive the share delivery amount at maturity, we will pay cash in lieu of delivering any fractional shares in an amount equal to
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amount Note equal to $1,000 divided by the applicable conversion price, as determined on the trade date. The share
delivery amount is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “General Terms of the Notes — Anti-dilution Adjustments” in product prospectus supplement no. ABYN-2.
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Conversion Price:
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A percentage of the initial underlying price of the Reference Stock, as specified on the cover page of this free writing prospectus(as may
be adjusted in the case of certain adjustment events as described under “General Terms of the Notes — Anti-dilution Adjustments” in the product prospectus supplement).
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Investment Timeline
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Trade
Date:
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The closing price of the applicable Reference Stock (initial underlying price) is observed, the applicable conversion price and share delivery amount are
determined and the applicable coupon rate is set.
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Monthly
(including at
Maturity):
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Royal Bank of Canada pays the applicable coupon payments.
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Quarterly:
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The Notes will be automatically called if the closing price of the applicable Reference Stock on any Observation Date is greater than or equal to the initial
underlying price. If the Notes are called, Royal Bank of Canada will pay you on the applicable Call Settlement Date a cash payment per Note equal to the principal amount of the Notes plus the applicable coupon payment otherwise due on
that day and no further amounts will be due to you under the Notes.
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Maturity
Date:
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If the Notes have not been previously called, the final underlying price is determined as of the final valuation date.
If the final underlying price of the applicable Reference Stock is not below the conversion
price on the final valuation date, we will pay you an amount in cash equal to $1,000 for each $1,000 principal amount of the Notes plus the final coupon.
If the final underlying price of the applicable Reference Stock is below the conversion price on the final valuation date, we will deliver to you a number of
shares of the applicable Reference Stock equal to the share delivery amount for each Note you own, plus the final coupon.
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Key Risks
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Your Investment in the Notes May Result in a Loss – The Notes differ from ordinary debt securities in that
Royal Bank of Canada will not necessarily pay the full principal amount of the Notes at maturity. At maturity, if the Notes have not been previously called, Royal Bank of Canada will only pay you the principal amount of your Notes if
the final underlying price of the Reference Stock is greater than or equal to the conversion price. If the final underlying price of the Reference Stock is below the conversion price, Royal Bank of Canada will deliver to you a number of
shares of the applicable Reference Stock equal to the share delivery amount for each Note you then own. Therefore, if the Notes are not automatically called and the final underlying price of the Reference Stock is below the conversion
price, the value of the share delivery amount will decline by a proportionately higher percentage for each additional percentage the Reference Stock declines below the conversion price. For example, if the conversion price is 80% of the
initial underlying price and the final underlying price is less than the conversion price, you will lose 1.25% of your $1,000 principal amount Note at maturity for each additional 1% that the final underlying price is less than the
conversion price, as measured from the initial underlying price. If you receive shares of the applicable Reference Stock at maturity, you will be exposed to any further decrease in the price of the Reference Stock from the final
valuation date to the maturity date, and the value of those shares is expected to be less than the principal amount of the Notes or may have no value at all.
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The Coupon Rate Per Annum Payable on the Notes Will Reflect in Part the Volatility of the Reference Stock, 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 Reference Stock. The greater the volatility of the Reference Stock, the
more likely it is that the price of that stock could close below its conversion price on the final valuation date, which would result in the loss of some or all of your principal. This risk will generally be reflected in a higher coupon
rate per annum payable on the Notes than the interest rate payable on our conventional debt securities with a comparable term and/or a lower conversion price than on otherwise comparable securities. Therefore a relatively higher coupon
rate may indicate an increased risk of loss. Further, a relatively lower conversion price may not necessarily indicate that the Notes have a greater likelihood of a return of principal at maturity. However, while the coupon rate and the
conversion price are set on the trade date, the Reference Stocks’ volatility can change significantly over the term of the Notes, and may increase. The price of the Reference Stock could fall sharply as of the final valuation date,
which could result in a significant loss of principal.
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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
Reference Stock is above the conversion price.
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Reinvestment Risk – If your Notes are automatically called prior to the Maturity Date, no further payments
will be owed to you under the Notes. Therefore, because the Notes could be called as early as the first Observation Date, the holding period over which you would receive the relevant coupon rate as specified on the cover page, could be
as little as three months. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable return for a similar level of risk in the event the Notes are automatically called prior to
the Maturity Date.
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An Investment in the Notes Is Subject to the Credit Risk of Royal Bank of Canada – The Notes are
unsubordinated, unsecured debt obligations of Royal Bank of Canada, and are not, either directly or indirectly, an obligation of any third party. Any payments to be made on the Notes, including payments in respect of an automatic call,
coupon payments and any repayment of principal provided at maturity, depends on the ability of Royal Bank of Canada to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of Royal Bank of
Canada may affect the market value of the Notes and, in the event Royal Bank of Canada were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes and you could lose your entire
investment.
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The Notes Will be Subject to Risks, Including Non-Payment in Full, Under Canadian Bank Resolution Powers —
Under Canadian bank resolution powers, the Canada Deposit Insurance Corporation (“CDIC”) may, in circumstances where we have ceased, or are about to cease, to be viable, assume temporary control or ownership over us and may be granted
broad powers by one or more orders of the Governor in Council (Canada), including the power to sell or dispose of all or a part of our assets, and the power to carry out or cause us to carry out a transaction or a series of transactions
the purpose of which is to restructure our business. See “Description of Debt Securities ― Canadian Bank Resolution Powers” in the accompanying prospectus for a description of
the Canadian bank resolution powers, including the bail-in regime. If the CDIC were to take action under the Canadian bank resolution powers with respect to us, holders of the Notes could be exposed to losses.
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Holders of the Notes Should Not Expect to Participate in any Appreciation of the Reference Stock, and Your Potential
Return on the Notes is Expected to Be Limited to the Coupon Payments Paid on the Notes – Despite being exposed to the risk of a decline in the price of the Reference Stock, you should not expect to participate in any
appreciation in the price of the applicable Reference Stock. Any positive return on the Notes is expected to be limited to the coupon rate per annum. Accordingly, if the Notes are called prior to maturity, you will not participate in
any of the Reference Stocks’ appreciation and your return will be limited to the principal amount plus the Coupons paid up to and including the Call Settlement Date. Similarly, if the Notes are not called prior to the final valuation
date and the final underlying price is greater than the initial underlying price, your return on the Notes at maturity may be less than your return on a direct investment in the Reference Stock or on a similar security that allows you
to participate in the appreciation of the price of the Reference Stock. In contrast, if the final underlying price is less than the conversion price, you will be exposed to the decline of the Reference Stock and we will deliver to you
at maturity for each Note you own shares of the Reference Stock which are expected to be worth less than the principal amount as of the maturity date, in which case you may lose your entire investment. As a result, any positive return
on the Notes is expected to be limited to the coupon rate per annum. In addition, if the Notes have not been previously called and if the price of the applicable Reference Stock is less than its initial underlying price, as the maturity
date
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An Investment in the Notes Is Subject to Single Stock Risk – The price of the Reference Stock can rise or
fall sharply due to factors specific to that Reference Stock 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
respective Reference Stock issuer and the Reference Stock for your Notes. For additional information about each Reference Stock and their respective issuers, please see "Information about the Reference Stocks" in this free writing
prospectus and the respective Reference Stock issuer's SEC filings referred to in those sections. We urge you to review financial and other information filed
periodically by the applicable Reference Stock issuer with the SEC.
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The Common Stock of Dell Technologies Inc. Has Limited Historical Information – Dell Technologies Inc.
commenced trading on December 26, 2018. Because this Reference Stock has limited trading history, your investment in the Notes linked to this company may involve a greater risk than investing in Notes linked to one or more equity
securites with a more established record of performance.
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Owning the Notes Is Not the Same as Owning the Reference Stock – The return on your Notes may not reflect the
return you would realize if you actually owned the Reference Stock. For instance, you will not receive or be entitled to receive any dividend payments or other distributions over the term of the Notes. As an owner of the Notes, you
will not have voting rights or any other rights that holders of the Reference Stock may have. Further, the Reference Stock may appreciate over the term of the Notes and you will not participate in any such appreciation, which could be
significant, even though you may be exposed to the decline of the Reference Stock at maturity.
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There Is No Affiliation Between the Respective Reference Stock Issuers and Us, UBS and Our Respective Affiliates,
and We Are Not Responsible for Any Disclosure by Those Issuers - We, UBS and our respective affiliates are not affiliated with any Reference Stock issuer. However, we, UBS and our respective affiliates may currently, or from
time to time in the future engage in business with a Reference Stock issuer. Nevertheless, neither we nor our affiliates assume any responsibilities for the accuracy or the completeness of any information about the Reference Stocks and
the Reference Stock issuers. You, as an investor in the Notes, should make your own investigation into the Reference Stock and the Reference Stock issuer for your Notes. The Reference Stock issuers are not involved in this offering
and have no obligation of any sort with respect to your Notes. The Reference Stock issuers have 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.
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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 any Reference Stock will rise or fall. The closing price of each Reference Stock will be influenced by complex and interrelated political, economic, financial and other
factors that affect that Reference Stock. You should be willing to accept the downside risks of owning equities in general and the applicable Reference Stock in particular, and the risk of losing some or all of your initial investment.
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The Initial Estimated Value of the Notes Will Be Less than the Price to the Public – The initial estimated
value for each of the Notes, and that will be set forth in the final pricing supplement for each of the Notes, which will be less than the public offering price you pay for the Notes, 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 applicable Reference Stock, 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 and our estimated profit and the costs relating
to our hedging of the Notes. In addition, any price at which you may sell the Notes is likely to reflect customary bid-ask spreads for similar trades. In addition to bid-ask spreads, the value of the Notes determined for any secondary
market price is expected to be based on a secondary market rate rather than the internal borrowing rate used to price the Notes and determine the initial estimated value. As a result, the secondary price will be less than if the
internal borrowing rate was used. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
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Our Initial Estimated Value of the Notes Is an Estimate Only, Calculated as of the Time the Terms of the Notes Are
Set – The initial estimated value of each of the Notes is based on the value of our obligation to make the payments on the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes. See
“Structuring the Notes” below. Our estimate is based on a variety of assumptions, including our credit spreads, expectations as to dividends, interest rates and volatility, and the expected term of the Notes. These assumptions are
based on certain forecasts about future events, which may prove to be incorrect. Other entities may value the Notes or similar securities at a price that is significantly different than we do.
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Lack of Liquidity – The Notes will not be listed on any securities exchange. RBCCM intends to offer to
purchase the Notes in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to
make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which RBCCM is willing to buy the Notes.
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Potential Conflicts – We and our affiliates play a variety of roles in connection with the issuance of the
Notes, including hedging our obligations under the Notes. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes.
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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 Reference Stock that are inconsistent with investing in or holding the Notes, and which may be revised at any time.
Any such research, opinions or recommendations could affect the value of the Reference Stock, and therefore the market value of the Notes.
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Uncertain Tax Treatment – Significant aspects of the tax treatment of an investment in the Notes are
uncertain. You should consult your tax adviser about your tax situation.
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Potential Royal Bank of Canada and UBS Impact on Price – Trading or other transactions by Royal Bank of
Canada, UBS and our respective affiliates in the Reference Stock, or in futures, options, exchange-traded funds or other derivative products on the Reference Stock may adversely affect the market value of the Reference Stock, the
closing price of the Reference Stock, and, therefore, the market value of the Notes.
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The Terms of the Notes at Issuance and Their Market Value Prior to Maturity Will Be Influenced by Many Unpredictable
Factors – Many economic and market factors will influence the terms of the Notes at issuance and their value prior to maturity. These factors are similar in some ways to those that could affect the value of a combination of
instruments that might be used to replicate the payments on the Notes, including a combination of a bond with one or more options or other derivative instruments. For the market value of the Notes, we expect that, generally, the price
of the applicable Reference Stock on any day will affect the value of the Notes more than any other single factor. However, you should not expect the value of the Notes in the secondary market to vary in proportion to changes in the
price of the Reference Stock. The value of the Notes will be affected by a number of other factors that may either offset or magnify each other, including:
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the actual and expected volatility of the price of the Reference Stock;
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the time remaining to maturity of the Notes;
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the dividend rate on the Reference Stock;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial events;
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the occurrence of certain events relating to the Reference Stock that may or may not require an adjustment to the terms of the Notes; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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The Anti-Dilution Protection for the Reference Stock Is Limited – The calculation agent will make adjustments
to the initial underlying price and the conversion price for certain events affecting the shares of the Reference Stock. However, the calculation agent will not be required to make an adjustment in response to all events that could
affect the Reference Stock. If an event occurs that does not require the calculation agent to make an adjustment, the value of the Notes and the payments on the Notes may be materially and adversely affected.
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Hypothetical Examples
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Principal Amount:
|
$1,000
|
Term:
|
Approximately 12 months
|
Observation Dates
|
Quarterly
|
Hypothetical initial underlying price of the Reference Stock*:
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$10.00 per share
|
Hypothetical conversion price*:
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$9.00 (which is 90.00% of the hypothetical initial underlying price)
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Hypothetical share delivery amount*:
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111.1111 shares per Note ($1,000 / conversion price of $9.00)
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Hypothetical coupon rate per annum**:
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6.00% ($5.00 per month)
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Hypothetical dividend yield on the Reference Stock***:
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1.50% over the term of the Notes (1.50% per annum)
|
Payment upon automatic call:
|
$1,000
|
Coupons:
|
$15.00 ($5.00 x 3 = $15.00)
|
Total:
|
$1,015.00
|
Total Return on the Notes:
|
1.50%
|
Payment upon automatic call:
|
$1,000
|
Coupons:
|
$45.00 ($5.00 x 9 = $45.00)
|
Total:
|
$1,045.00
|
Total Return on the Notes:
|
4.50%
|
Payment at Maturity:
|
$1,000
|
Coupons:
|
$60.00 ($5.00 x 12 = $60.00)
|
Total:
|
$1,060.00
|
Total Return on the Notes:
|
6.00%
|
Payment at Maturity:
|
$1,000
|
Coupons:
|
$60.00 ($5.00 x 12 = $60.00)
|
Total:
|
$1,060.00
|
Total Return on the Notes:
|
6.00%
|
Value of shares received:
|
$444.44 (111.1111 shares x $4.00)
|
Coupons:
|
$60.00 ($5.00 x 12 = $60.00)
|
Total:
|
$504.44
|
Total Return on the Notes:
|
-49.56%
|
Hypothetical Return Table at Maturity
|
Principal Amount:
|
$1,000
|
Term:
|
Approximately 12 months
|
Observation Dates:
|
Quarterly
|
Hypothetical initial underlying price of the Reference Stock*:
|
$10.00 per share
|
Hypothetical conversion price*:
|
$9.00 (which is 90.00% of the hypothetical initial underlying price)
|
Hypothetical share delivery amount*:
|
111.1111 shares per Note ($1,000 / conversion price of $9.00)
|
Hypothetical coupon rate per annum**:
|
6.00% ($5.00 per month)
|
Hypothetical dividend yield on the Reference Stock***:
|
1.50% over the term of the Notes (1.50% per annum)
|
Reference Stock
|
Conversion Event Does Not
Occur(1) and There Was No Prior
Automatic Call
|
Conversion Event Occurs(2) and There Was No Prior
Automatic Call
|
|||||
Final Underlying
Price(3)
|
Stock Price
Return
|
Total Return on
the Reference
Stock at
Maturity(4)
|
Payment at
Maturity +
Coupon
Payments(5)
|
Total Return on
the Notes at
Maturity(6)
|
Value of the
Share Delivery
Amount(7)
|
Payment at
Maturity +
Coupon
Payments(8)
|
Total Return on the
Notes at Maturity(6)
|
$15.00
|
50.00%
|
51.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$14.50
|
45.00%
|
46.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$14.00
|
40.00%
|
41.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$13.50
|
35.00%
|
36.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$12.50
|
25.00%
|
26.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$12.00
|
20.00%
|
21.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$11.50
|
15.00%
|
16.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$11.00
|
10.00%
|
11.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$10.50
|
5.00%
|
6.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$10.00
|
0.00%
|
1.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$9.80
|
-2.00%
|
-0.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$9.50
|
-5.00%
|
-3.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$9.00
|
-10.00%
|
-8.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$8.50
|
-15.00%
|
-13.50%
|
n/a
|
n/a
|
$944.44
|
$1,004.44
|
0.44%
|
$8.00
|
-20.00%
|
-18.50%
|
n/a
|
n/a
|
$888.89
|
$948.89
|
-5.11%
|
$7.50
|
-25.00%
|
-23.50%
|
n/a
|
n/a
|
$833.33
|
$893.33
|
-10.67%
|
$7.00
|
-30.00%
|
-28.50%
|
n/a
|
n/a
|
$777.78
|
$837.78
|
-16.22%
|
$6.50
|
-35.00%
|
-33.50%
|
n/a
|
n/a
|
$722.22
|
$782.22
|
-21.78%
|
$6.00
|
-40.00%
|
-38.50%
|
n/a
|
n/a
|
$666.67
|
$726.67
|
-27.33%
|
$5.50
|
-45.00%
|
-43.50%
|
n/a
|
n/a
|
$611.11
|
$671.11
|
-32.89%
|
$5.00
|
-50.00%
|
-48.50%
|
n/a
|
n/a
|
$555.56
|
$615.56
|
-38.44%
|
$4.50
|
-55.00%
|
-53.50%
|
n/a
|
n/a
|
$500.00
|
$560.00
|
-44.00%
|
$4.00
|
-60.00%
|
-58.50%
|
n/a
|
n/a
|
$444.44
|
$504.44
|
-49.56%
|
$3.50
|
-65.00%
|
-63.50%
|
n/a
|
n/a
|
$388.89
|
$448.89
|
-55.11%
|
$3.00
|
-70.00%
|
-68.50%
|
n/a
|
n/a
|
$333.33
|
$393.33
|
-60.67%
|
What Are the Tax Consequences of the Notes?
|
Reference Stock
|
Coupon Rate per Annum (to be
determined on the trade date)
|
Interest on Debt Component per
Annum
|
Put Option Component per
Annum
|
|
Best Buy Co., Inc. (BBY)
|
8.00% to 9.00%
|
• %
|
• %
|
|
Dell Technologies Inc. (DELL)
|
8.50% to 9.50%
|
• %
|
• %
|
|
EOG Resources, Inc. (EOG)
|
8.25% to 9.25%
|
• %
|
• %
|
Information About the Reference Stocks
|
Best Buy Co., Inc.
|
n conversion price = 80.00% of the
initial underlying price
|
Dell Technologies Inc.
|
n conversion price = 85.00% of the
initial underlying price
|
EOG Resources, Inc.
|
n conversion price = 88.00% of the
initial underlying price
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
Structuring the Notes
|
Terms Incorporated in Master Note
|