Bond Royal Bank of Canada 0% ( US78013XGH52 ) in USD

Issuer Royal Bank of Canada
Market price 100 %  ▼ 
Country  Canada
ISIN code  US78013XGH52 ( in USD )
Interest rate 0%
Maturity 28/02/2024 - Bond has expired



Prospectus brochure of the bond Royal Bank of Canada US78013XGH52 in USD 0%, expired


Minimal amount 1 000 USD
Total amount 3 795 000 USD
Cusip 78013XGH5
Standard & Poor's ( S&P ) rating N/A
Moody's rating NR
Detailed description The Royal Bank of Canada (RBC) is a Canadian multinational financial services company offering personal and commercial banking, wealth management, insurance, and investment banking services globally.

The Bond issued by Royal Bank of Canada ( Canada ) , in USD, with the ISIN code US78013XGH52, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 28/02/2024

The Bond issued by Royal Bank of Canada ( Canada ) , in USD, with the ISIN code US78013XGH52, was rated NR by Moody's credit rating agency.







424B2 1 form424b2.htm SPX DJIA FINAL
RBC Ca pit a l M a rk e t s®
File d Pursua nt t o Rule 4 2 4 (b)(2 )
Re gist ra t ion St a t e m e nt N o. 3 3 3 -
2 0 8 5 0 7




Pricing Supplement
$3,795,000
Dated February 23, 2018
Absolute Return Buffered Enhanced
To the Product Prospectus Supplement ERN-EI-1, dated January 12, 2016,
Return Notes Linked to a Basket of
Prospectus Supplement, dated January 8, 2016, and Prospectus, dated
Equity Indices, Due February 28,
January 8, 2016
2024

Royal Bank of Canada



Royal Bank of Canada is offering the Absolute Return Buffered Enhanced Return Notes (the "Notes") linked to the performance of an equally
weighted basket of equity indices (the "Basket") comprised of the S&P 500® Index (50%), and the Dow Jones Industrial Average® (50%).
The CUSIP number for the Notes is 78013XGH5. If the Percentage Change of the Basket is greater than 0%, the Notes provide a positive return
based on that Percentage Change. If the Percentage Change of the Basket is negative but greater than or equal to -20%, the investor will
receive a one-for-one positive return equal to the absolute value of the Percentage Change. However, if the Percentage Change of the Basket
is less than -20%, you will lose 1% of the principal amount for each 1% decrease in the value of the Basket of more than 20%, and you may
lose up to 80% of your initial investment. Any payments on the Notes are subject to our credit risk.
Issue Date: February 28, 2018
Maturity Date: February 28, 2024
The Notes do not pay interest. The Notes will not be listed on any securities exchange.
Investing in the Notes involves a number of risks. See "Risk Factors" beginning on page S-1 of the prospectus supplement dated January 8,
2016, "Additional Risk Factors Specific to the Notes" beginning on page PS-4 of the product prospectus supplement dated January 12, 2016,
and "Selected Risk Considerations" beginning on page P-6 of this pricing supplement.
The Notes will not constitute deposits insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation or
any other Canadian or U.S. government agency or instrumentality.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or
determined that this pricing supplement is truthful or complete. Any representation to the contrary is a criminal offense.
Per Note

Total
Price to public(1)
100.00%

$3,795,000.00
Underwriting discounts and commissions(1)
2.25%

$85,387.50
Proceeds to Royal Bank of Canada
97.75%

$3,709,612.50
(1)Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forego some or all of their underwriting discount or selling
concessions. The public offering price for investors purchasing the Notes in these accounts may be between $977.50 and $1,000 per $1,000 in principal
amount.
The initial estimated value of the Notes as of the date of this pricing supplement is $945.01 per $1,000 in principal amount, which is less than the price to
public. The actual value of the Notes at any time will reflect many factors, cannot be predicted with accuracy, and may be less than this amount. We
describe our determination of the initial estimated value in more detail below.
RBC Capital Markets, LLC, which we refer to as RBCCM, acting as agent for Royal Bank of Canada, received a commission of $22.50 per $1,000 in
principal amount of the Notes and used a portion of that commission to allow selling concessions to other dealers of up to $22.50 per $1,000 in principal
amount of the Notes. The other dealers may forgo, in their sole discretion, some or all of their selling concessions. See "Supplemental Plan of Distribution
(Conflicts of Interest)" below.
RBC Capital Markets, LLC
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Absolute Return Buffered Enhanced Return
Notes Linked to a Basket of Equity Indices,
Due February 28, 2024


SU M M ARY
The information in this "Summary" section is qualified by the more detailed information set forth in this pricing supplement, the
product prospectus supplement, the prospectus supplement, and the prospectus.

Issuer:
Royal Bank of Canada ("Royal Bank")

Issue:
Senior Global Medium-Term Notes, Series G

Underwriter:
RBC Capital Markets, LLC ("RBCCM")

Reference
The Notes are linked to the level of an equally weighted basket (the "Basket") of two equity indices (each, a
Asset:
"Basket Component," collectively, the "Basket Components"). The Basket Components and their respective
Component Weights are indicated in the table below.

Currency:
U.S. Dollars

Denominations:
$1,000 and minimum denominations of $1,000 in excess thereof

Pricing Date:
February 23, 2018

Issue Date:
February 28, 2018

CUSIP:
78013XGH5

Valuation Date:
February 23, 2024

Payment at
If the Percentage Change is positive, then the investor will receive a return equal to the principal amount
Maturity
multiplied by the product of the Percentage Change.
(if held to
If the Percentage Change is negative but greater than or equal to -20%, then the investor will receive a
maturity):
cash payment equal to absolute value of the Percentage Change, calculated as follows:
$1,000 + [-1 x ($1,000 x Percentage Change)]
If the Percentage Change is le ss t ha n -20% (that is, the Percentage Change is between -20.01% and -
100%), then the investor will receive a cash payment equal to:
Principal Amount + [Principal Amount x (Percentage Change + Buffer Amount)]
In this case, the payment on the Notes will be less than the principal amount, and you will lose up to 80%
of the principal amount.
Percentage
The Percentage Change, expressed as a percentage and rounded to two decimal places, will be equal to
Change:
the sum of the Weighted Component Change for each Basket Component. The Weighted Component
Change for each Basket Component will be determined as follows:
Component Weight x


Initial Level:
With respect to each, its closing level on the Pricing Date, as provided in the table below.

Final Level:
With respect to each Basket Component, its closing level on the Valuation Date.

Buffer Amount:
20%


P-2
RBC Capital Markets, LLC
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Absolute Return Buffered Enhanced Return
Notes Linked to a Basket of Equity Indices,
Due February 28, 2024



The Basket:
Ba sk e t Com pone nt
Bloom be rg T ic k e r
Com pone nt We ight
I nit ia l Le ve l*

S&P 500® Index (the "SPX")
SPX
50%
2,747.30
Dow Jones Industrial
INDU
50%
25,309.99
Average® (the "INDU")
* The Initial Level for each Basket Component was its closing level on the Pricing Date.

Maturity Date:
February 28, 2024, subject to extension for market and other disruptions, as described in the product
prospectus supplement dated January 12, 2016.

Term:
6 years

Principal at
T he N ot e s a re N OT princ ipa l prot e c t e d. Y ou w ill lose up t o 8 0 % of your princ ipa l
Risk:
a m ount a t m a t urit y if t he Pe rc e nt a ge Cha nge of t he Ba sk e t is le ss t ha n -2 0 % .

Calculation
RBCCM
Agent:

U.S. Tax
By purchasing a Note, each holder agrees (in the absence of a change in law, an administrative
Treatment:
determination or a judicial ruling to the contrary) to treat the Note as a pre-paid cash-settled derivative
contract in respect of the Basket for U.S. federal income tax purposes. However, the U.S. federal income
tax consequences of your investment in the Notes are uncertain and the Internal Revenue Service could
assert that the Notes should be taxed in a manner that is different from that described in the preceding
sentence. Please see "Supplemental Discussion of
U.S. Federal Income Tax Consequences" below and the discussion (including the opinion of our counsel
Morrison & Foerster LLP) in the product prospectus supplement dated January 12, 2016 under
"Supplemental Discussion of U.S. Federal Income Tax Consequences," which applies to the Notes.

Secondary
RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary market in the
Market:
Notes after the Issue Date. T he a m ount t ha t you m a y re c e ive upon sa le of your N ot e s prior
t o m a t urit y m a y be le ss t ha n t he princ ipa l a m ount of your N ot e s.

Listing:
The Notes will not be listed on any securities exchange.

Clearance and
DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as
Settlement:
described under "Description of Debt Securities--Ownership and Book-Entry Issuance" in the prospectus
dated January 8, 2016).

Terms
All of the terms appearing above the item captioned "Secondary Market" on pages P-2 and P-3 of this
Incorporated in
pricing supplement and the terms appearing under the caption "General Terms of the Notes" in the product
the Master
prospectus supplement dated January 12, 2016, as modified by this pricing supplement.
Note:


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RBC Capital Markets, LLC



Absolute Return Buffered Enhanced Return
Notes Linked to a Basket of Equity Indices,
Due February 28, 2024


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ADDI T I ON AL T ERM S OF Y OU R N OT ES
You should read this pricing supplement together with the prospectus dated January 8, 2016, as supplemented by the prospectus
supplement dated January 8, 2016 and the product prospectus supplement dated January 12, 2016, relating to our Senior Global
Medium-Term Notes, Series G, of which these Notes are a part. Capitalized terms used but not defined in this pricing supplement
will have the meanings given to them in the product prospectus supplement. In the event of any conflict, this pricing supplement
will control. The Notes vary from the terms described in the product prospectus supplement in several important ways.
You should read this pricing supplement carefully.
This pricing supplement, together with the documents listed below, contains the terms of the Notes and supersedes all prior or
contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours.
You should carefully consider, among other things, the matters set forth in "Risk Factors" in the prospectus supplement dated
January 8, 2016, "Additional Risk Factors Specific to the Notes" in the product prospectus supplement dated January 12, 2016 and
"Selected Risk Considerations" in this pricing supplement, as the Notes involve risks not associated with conventional debt
securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes. You
may access these documents on the Securities and Exchange Commission (the "SEC") website at www.sec.gov as follows (or if
that address has changed, by reviewing our filings for the relevant date on the SEC website):
Prospectus dated January 8, 2016:
http://www.sec.gov/Archives/edgar/data/1000275/000121465916008810/j18160424b3.htm
Prospectus Supplement dated January 8, 2016:
https://www.sec.gov/Archives/edgar/data/1000275/000121465916008811/p14150424b3.htm
Product Prospectus Supplement ERN-EI-1 dated January 12, 2016:
https://www.sec.gov/Archives/edgar/data/1000275/000114036116047560/form424b5.htm
Our Central Index Key, or CIK, on the SEC website is 1000275. As used in this pricing supplement, "we," "us," or "our" refers to
Royal Bank of Canada.


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RBC Capital Markets, LLC



Absolute Return Buffered Enhanced Return
Notes Linked to a Basket of Equity Indices,
Due February 28, 2024


H Y POT H ET I CAL RET U RN S
The examples set out below are included for illustration purposes only. The hypot he t ic a l Percentage Changes of the Basket
used to illustrate the calculation of the Payment at Maturity are not estimates or forecasts of the level of any Basket Component on
any trading day prior to the Maturity Date. All examples are based on the Buffer Amount of 20% and assume that a holder
purchased Notes with an aggregate principal amount of $1,000 and that no market disruption event occurs on the Valuation Date.
Example 1--
Calculation of the Payment at Maturity where the Percentage Change is positive.
Percentage Change:
10%

Payment at Maturity:
$1,000 + ($1,000 x 10%) = $1,000 + $100 = $1,100

On a $1,000 investment, a 10% Percentage Change results in a Payment at Maturity of $1,100, a 10.0% return on
the Notes.
Example 2--
Calculation of the Payment at Maturity where the Percentage Change is negative (but greater than or equal to -
20%).

Percentage Change:
-15%
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Payment at Maturity:
On a $1,000 investment, a -15% Percentage Change results in a Payment at Maturity of
$1,150.00, a 15% return on the Notes.
Example 3--
Calculation of the Payment at Maturity where the Percentage Change is less than -20%.

Percentage Change:
-40%
Payment at Maturity:
$1,000 + [$1,000 x (-40% + 20%)] = $1,000 - $200 = $800

On a $1,000 investment, a -40% Percentage Change results in a Payment at Maturity of $800, a -20% return on
the Notes.


P-5
RBC Capital Markets, LLC



Absolute Return Buffered Enhanced Return
Notes Linked to a Basket of Equity Indices,
Due February 28, 2024


SELECT ED RI SK CON SI DERAT I ON S
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in any of the
securities included in any Basket Component. These risks are explained in more detail in the section "Additional Risk Factors
Specific to the Notes," beginning on page PS-4 of the product prospectus supplement. In addition to the risks described in the
prospectus supplement and the product prospectus supplement, you should consider the following:
·
Princ ipa l a t Risk - Investors in the Notes will lose up to 80% of their principal amount if the Percentage Change of the
Basket is less than -20%. In such a case, you will lose 1% of the principal amount of your Notes for each 1% that the value of
the Basket decreases by more than the Buffer Amount from the Pricing Date to the Valuation Date.
·
T he N ot e s Do N ot Pa y I nt e re st a nd Y our Re t urn M a y Be Low e r t ha n t he Re t urn on a Conve nt iona l De bt
Se c urit y of Com pa ra ble M a t urit y - There will be no periodic interest payments on the Notes as there would be on a
conventional fixed-rate or floating-rate debt security having the same maturity. The return that you will receive on the Notes,
which could be negative, may be less than the return you could earn on other investments. Even if your return is positive, your
return may be less than the return you would earn if you bought a conventional senior interest bearing debt security of Royal
Bank.
·
Pa ym e nt s on t he N ot e s Are Subje c t t o Our Cre dit Risk , a nd Cha nge s in Our Cre dit Ra t ings Are Ex pe c t e d
t o Affe c t t he M a rk e t V a lue of t he N ot e s - The Notes are Royal Bank's senior unsecured debt securities. As a result,
your receipt of the amount due on the Maturity Date is dependent upon Royal Bank's ability to repay its obligations at that
time. This will be the case even if the value of the Basket increases after the Pricing Date. No assurance can be given as to
what our financial condition will be at the maturity of the Notes.
·
T he re M a y N ot Be a n Ac t ive T ra ding M a rk e t for t he N ot e s--Sa le s in t he Se c onda ry M a rk e t M a y Re sult in
Signific a nt Losse s - There may be little or no secondary market for the Notes. The Notes will not be listed on any
securities exchange. RBCCM and other affiliates of Royal Bank may make a market for the Notes; however, they are not
required to do so. RBCCM or any other affiliate of Royal Bank may stop any market-making activities at any time. Even if a
secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We
expect that transaction costs in any secondary market would be high. As a result, the difference between bid and asked prices
for your Notes in any secondary market could be substantial.
·
Y ou Will N ot H a ve Any Right s t o t he Se c urit ie s I nc lude d in t he Ba sk e t Com pone nt s - As a holder of the
Notes, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of
securities included in a Basket Component would have. The Final Levels of the Basket Components will not reflect any
dividends paid on the securities included in the Basket Components, and accordingly, any positive return on the Notes may be
less than the potential positive return on those securities.
·
T he I nit ia l Est im a t e d V a lue of t he N ot e s I s Le ss t ha n t he Pric e t o t he Public - The initial estimated value set
forth on the cover page of this pricing supplement does not represent a minimum price at which we, RBCCM or any of our
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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 value of the Basket, the borrowing rate we pay to issue securities of this kind,
and the inclusion in the price to the public of the underwriting discount and the 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 and the hedging costs relating to the Notes. In addition to bid-
ask spreads, the value of the Notes determined for any secondary market price is expected to be based on the secondary rate
rather than the internal funding 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 funding 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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RBC Capital Markets, LLC



Absolute Return Buffered Enhanced Return
Notes Linked to a Basket of Equity Indices,
Due February 28, 2024


·
T he I nit ia l Est im a t e d V a lue of t he N ot e s I s a n Est im a t e Only, Ca lc ula t e d a s of t he T im e t he T e rm s of t he
N ot e s We re Se t - The initial estimated value of the Notes is based on the value of our obligation to make the payments on
the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes. See "Structuring the
Notes" below. Our estimate is based on a variety of assumptions, including our credit spreads, expectations as to dividends,
interest rates and volatility, and the expected term of the Notes. These assumptions are based on certain forecasts about
future events, which may prove to be incorrect. Other entities may value the Notes or similar securities at a price that is
significantly different than we do.
The value of the Notes at any time after the Pricing Date will vary based on many factors, including changes in market
conditions, and cannot be predicted with accuracy. As a result, the actual value you would receive if you sold the Notes in any
secondary market, if any, should be expected to differ materially from the initial estimated value of your Notes.
·
Cha nge s in t he Le ve l of One Ba sk e t Com pone nt M a y Be Offse t by Cha nge s in t he Le ve l of t he Ot he r
Ba sk e t Com pone nt - A change in the level of one Basket Component may not correlate with changes in the levels of the
other Basket Component. The level of one Basket Component may increase, while the level of the other Basket Component
may not increase as much, or may even decrease. Therefore, in determining the value of the Basket as of any time, increases
in the level of one Basket Component may be moderated, or wholly offset, by lesser increases or decreases in the level of the
other Basket Component.
·
M a rk e t Disrupt ion Eve nt s a nd Adjust m e nt s - The Payment at Maturity and the Valuation Date are subject to
adjustment as described in the product prospectus supplement. For a description of what constitutes a market disruption event
as well as the consequences of that market disruption event, see "General Terms of the Notes--Market Disruption Events" in
the product prospectus supplement.


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RBC Capital Markets, LLC



Absolute Return Buffered Enhanced Return
Notes Linked to a Basket of Equity Indices,
Due February 28, 2024


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I N FORM AT I ON REGARDI N G T H E REFEREN CE I N DI CES
All disclosures contained in this pricing supplement regarding the Basket Components, including, without limitation, their make-up, method of
calculation, and changes in their components, have been derived from publicly available sources prepared by the sponsors of the Basket
Components. Such information reflects the policies of, and is subject to change by the sponsors. The sponsors have no obligation to continue to
publish, and may discontinue publication of, the Basket Components. The consequences of the index sponsors discontinuing publication of the
Basket Components are discussed in the section of the product prospectus supplement entitled "General Terms of the Notes--Unavailability of
the Level of the Reference Asset." Neither we nor RBCCM accepts any responsibility for the calculation, maintenance or publication of any
Basket Component or any successor index.
S& P 5 0 0 ® I nde x ("SPX ")
The SPX is intended to provide an indication of the pattern of common stock price movement. The calculation of the level of the SPX is based
on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate
average market value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943.
S&P Dow Jones Indices LLC ("S&P") calculates the SPX by reference to the prices of the constituent stocks of the SPX without taking account
of the value of dividends paid on those stocks. As a result, the return on the Notes will not reflect the return you would realize if you actually
owned the SPX constituent stocks and received the dividends paid on those stocks.
Effective with the September 2015 rebalance, consolidated share class lines will no longer be included in the SPX. Each share class line will be
subject to public float and liquidity criteria individually, but the company's total market capitalization will be used to evaluate each share class
line. This may result in one listed share class line of a company being included in the SPX while a second listed share class line of the same
company is excluded.
Com put a t ion of t he SPX
While S&P currently employs the following methodology to calculate the SPX, no assurance can be given that S&P will not modify or change this
methodology in a manner that may affect the Payment at Maturity.
Historically, the market value of any component stock of the SPX was calculated as the product of the market price per share and the number of
then outstanding shares of such component stock. In March 2005, S&P began shifting the SPX halfway from a market capitalization weighted
formula to a float-adjusted formula, before moving the SPX to full float adjustment on September 16, 2005. S&P's criteria for selecting stocks for
the SPX did not change with the shift to float adjustment. However, the adjustment affects each company's weight in the SPX.
Under float adjustment, the share counts used in calculating the SPX reflect only those shares that are available to investors, not all of a
company's outstanding shares. Float adjustment excludes shares that are closely held by control groups, other publicly traded companies or
government agencies.
In September 2012, all shareholdings representing more than 5% of a stock's outstanding shares, other than holdings by "block owners," were
removed from the float for purposes of calculating the SPX. Generally, these "control holders" will include officers and directors, private equity,
venture capital and special equity firms, other publicly traded companies that hold shares for control, strategic partners, holders of restricted
shares, ESOPs, employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock, government
entities at all levels (other than government retirement/pension funds) and any individual person who controls a 5% or greater stake in a
company as reported in regulatory filings. However, holdings by block owners, such as depositary banks, pension funds, mutual funds and ETF
providers, 401(k) plans of the company, government retirement/pension funds, investment funds of insurance companies, asset managers and
investment funds, independent foundations and savings and investment plans, will ordinarily be considered part of the float.
Treasury stock, stock options, equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares
held in a trust to allow investors in countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares are
normally part of the float unless those shares form a control block.
For each stock, an investable weight factor ("IWF") is calculated by dividing the available float shares by the total shares outstanding. Available
float shares are defined as the total shares outstanding less shares held by control holders. This calculation is subject to a 5% minimum
threshold for control blocks. For example, if a company's officers and directors hold 3% of the company's


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Notes Linked to a Basket of Equity Indices,
Due February 28, 2024


shares, and no other control group holds 5% of the company's shares, S&P would assign that company an IWF of 1.00, as no control group
meets the 5% threshold. However, if a company's officers and directors hold 3% of the company's shares and another control group holds 20%
of the company's shares, S&P would assign an IWF of 0.77, reflecting the fact that 23% of the company's outstanding shares are considered to
be held for control. As of July 31, 2017, companies with multiple share class lines are no longer eligible for inclusion in the SPX. Constituents
of the SPX prior to July 31, 2017 with multiple share class lines will be grandfathered in and continue to be included in the SPX. If a constituent
company of the SPX reorganizes into a multiple share class line structure, that company will remain in the SPX at the discretion of the S&P
Index Committee in order to minimize turnover
The SPX is calculated using a base-weighted aggregate methodology. The level of the SPX reflects the total market value of all 500 component
stocks relative to the base period of the years 1941 through 1943. An indexed number is used to represent the results of this calculation in order
to make the level easier to use and track over time. The actual total market value of the component stocks during the base period of the years
1941 through 1943 has been set to an indexed level of 10. This is often indicated by the notation 1941-43 = 10. In practice, the daily calculation
of the SPX is computed by dividing the total market value of the component stocks by the "index divisor." By itself, the index divisor is an
arbitrary number. However, in the context of the calculation of the SPX, it serves as a link to the original base period level of the SPX. The index
divisor keeps the SPX comparable over time and is the manipulation point for all adjustments to the SPX, which is index maintenance.
I nde x M a int e na nc e
Index maintenance includes monitoring and completing the adjustments for company additions and deletions, share changes, stock splits, stock
dividends, and stock price adjustments due to company restructuring or spinoffs. Some corporate actions, such as stock splits and stock
dividends, require changes in the common shares outstanding and the stock prices of the companies in the SPX, and do not require index
divisor adjustments.
To prevent the level of the SPX from changing due to corporate actions, corporate actions which affect the total market value of the SPX require
an index divisor adjustment. By adjusting the index divisor for the change in market value, the level of the SPX remains constant and does not
reflect the corporate actions of individual companies in the SPX. Index divisor adjustments are made after the close of trading and after the
calculation of the SPX closing level.
Changes in a company's total shares outstanding of 5% or more due to public offerings are made as soon as reasonably possible. Other
changes of 5% or more (for example, due to tender offers, Dutch auctions, voluntary exchange offers, company stock repurchases, private
placements, acquisitions of private companies or non-index companies that do not trade on a major exchange, redemptions, exercise of options,
warrants, conversion of preferred stock, notes, debt, equity participations, at-the-market stock offerings or other recapitalizations) are made
weekly, and are generally announced on Fridays for implementation after the close of trading the following Friday (one week later). If a 5% or
more share change causes a company's IWF to change by five percentage points or more, the IWF is updated at the same time as the share
change. IWF changes resulting from partial tender offers are considered on a case-by-case basis.


P-9
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Notes Linked to a Basket of Equity Indices,
Due February 28, 2024


Lic e nse Agre e m e nt
S&P® is a registered trademark of Standard & Poor's Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones
Trademark Holdings LLC ("Dow Jones"). These trademarks have been licensed for use by S&P. "Standard & Poor's®", "S&P 500®" and
"S&P®" are trademarks of Standard & Poor's Financial Services LLC. These trademarks have been sublicensed for certain purposes by us.
The SPX is a product of S&P and/or its affiliates and has been licensed for use by us.
The Notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Standard & Poor's Financial Services LLC or any of
their respective affiliates (collectively, "S&P Dow Jones Indices"). S&P Dow Jones Indices make no representation or warranty, express or
https://www.sec.gov/Archives/edgar/data/1000275/000114036118010730/form424b2.htm[3/1/2018 12:38:50 PM]


implied, to the holders of the Notes or any member of the public regarding the advisability of investing in securities generally or in the Notes
particularly or the ability of the SPX to track general market performance. S&P Dow Jones Indices' only relationship to us with respect to the
SPX is the licensing of the SPX and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its third party
licensors. The SPX is determined, composed and calculated by S&P Dow Jones Indices without regard to us or the Notes. S&P Dow Jones
Indices have no obligation to take our needs or the needs of holders of the Notes into consideration in determining, composing or calculating the
SPX. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of the Notes or
the timing of the issuance or sale of the Notes or in the determination or calculation of the equation by which the Notes are to be converted into
cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of the Notes. There is no
assurance that investment products based on the SPX will accurately track index performance or provide positive investment returns. S&P Dow
Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion of a security or futures contract within an index is not a
recommendation by S&P Dow Jones Indices to buy, sell, or hold such security or futures contract, nor is it considered to be investment advice.
Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the
Notes currently being issued by us, but which may be similar to and competitive with the Notes. In addition, CME Group Inc. and its affiliates
may trade financial products which are linked to the performance of the SPX. It is possible that this trading activity will affect the value of the
Notes.
S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE
SPX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN
COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT
BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES
MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY US, HOLDERS OF THE NOTES, OR ANY OTHER
PERSON OR ENTITY FROM THE USE OF THE SPX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY
OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL,
INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES,
LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT,
TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR
ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND US, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.


P-10
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Absolute Return Buffered Enhanced Return
Notes Linked to a Basket of Equity Indices,
Due February 28, 2024


H ist oric a l I nform a t ion
The graph below sets forth the information relating to the historical performance of the SPX. In addition, below the graph is a table setting forth
the intra-day high, intra-day low and period-end closing levels of the SPX. The information provided in this table is for the four calendar quarters
of 2013 through 2017, and for the period from January 1, 2018 through February 23, 2018.
We obtained the information regarding the historical performance of the SPX in the chart below from Bloomberg Financial Markets. We have not
independently verified the accuracy or completeness of the information obtained from Bloomberg Financial Markets. The historical performance
of the SPX should not be taken as an indication of its future performance, and no assurance can be given as to the Final Level of the SPX. We
cannot give you assurance that the performance of the SPX will result in any positive return on your initial investment.
S& P 5 0 0 ® I nde x ("SPX ")
https://www.sec.gov/Archives/edgar/data/1000275/000114036118010730/form424b2.htm[3/1/2018 12:38:50 PM]


Period-Start

Period-End

High Intra-Day Level of this

Low Intra-Day Level of this

Period-End Closing Level of
Date
Date
Reference Asset
Reference Asset
this Reference Asset
1/1/2013

3/31/2013

1,570.28

1,426.19

1,569.19
4/1/2013

6/30/2013

1,687.18

1,536.03

1,606.28
7/1/2013

9/30/2013

1,729.86

1,604.57

1,681.55
10/1/2013

12/31/2013

1,849.44

1,646.47

1,848.36
1/1/2014

3/31/2014

1,883.97

1,737.92

1,872.34
4/1/2014

6/30/2014

1,968.17

1,814.36

1,960.23
7/1/2014

9/30/2014

2,019.26

1,904.78

1,972.29
10/1/2014

12/31/2014

2,093.55

1,820.66

2,058.90
1/1/2015

3/31/2015

2,119.59

1,980.90

2,067.89
4/1/2015

6/30/2015

2,134.72

2,048.38

2,063.11
7/1/2015

9/30/2015

2,132.82

1,867.01

1,920.03
10/1/2015

12/31/2015

2,116.48

1,893.70

2,043.94
1/1/2016

3/31/2016

2,072.21

1,810.10

2,059.74
4/1/2016

6/30/2016

2,120.55

1,991.68

2,098.86
7/1/2016

9/30/2016

2,193.81

2,074.02

2,168.27
10/1/2016

12/31/2016

2,277.53

2,083.79

2,238.83
1/1/2017

3/31/2017

2,400.98

2,245.13

2,362.72
4/1/2017

6/30/2017

2,453.82

2,328.95

2,423.41
7/1/2017

9/30/2017

2,519.44

2,407.70

2,519.36
10/1/2017

12/31/2017

2,694.97

2,520.40

2,673.61
1/1/2018

2/23/2018

2,872.87

2,532.69

2,747.30
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.


P-11
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Absolute Return Buffered Enhanced Return
Notes Linked to a Basket of Equity Indices,
Due February 28, 2024


T he Dow J one s I ndust ria l Ave ra ge ® ("I N DU ")
The INDU is a price-weighted index, which means an underlying stock's weight in the INDU is based on its price per share rather than the total
market capitalization of the issuer. The INDU is designed to provide an indication of the composite performance of 30 common stocks of
corporations representing a broad cross-section of U.S. industry. The corporations represented in the INDU tend to be market leaders in their
respective industries and their stocks are typically widely held by individuals and institutional investors.
https://www.sec.gov/Archives/edgar/data/1000275/000114036118010730/form424b2.htm[3/1/2018 12:38:50 PM]


Document Outline