Bond Royal Bank of Canada 0% ( US78015KPY46 ) in USD

Issuer Royal Bank of Canada
Market price 189.91 %  ▲ 
Country  Canada
ISIN code  US78015KPY46 ( in USD )
Interest rate 0%
Maturity 31/03/2025 - Bond has expired



Prospectus brochure of the bond Royal Bank of Canada US78015KPY46 in USD 0%, expired


Minimal amount 1 000 USD
Total amount 1 322 000 USD
Cusip 78015KPY4
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 US78015KPY46, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 31/03/2025







3/31/2020
https://www.sec.gov/Archives/edgar/data/1000275/000114036120007428/form424b2.htm
424B2 1 form424b2.htm FINAL WO SPX DJIA ERN 78015KPY4
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-227001

Pricing Supplement
$1,322,000
Dated March 26, 2020
Barrier Enhanced Return Notes Linked to the Lesser
To the Product Prospectus Supplement ERN-EI-1, the
Performing of Two Equity Indices, Due March 31, 2025
Prospectus Supplement and the Prospectus, Each Dated
September 7, 2018
Royal Bank of Canada
Royal Bank of Canada is offering Barrier Enhanced Return Notes Linked to the Lesser Performing of Two Equity Indices (the "Notes"). The
Notes are our senior unsecured obligations, and wil have the terms described in the documents described above, as supplemented or modified
by this pricing supplement.
Reference Assets

Initial Levels

Barrier Levels*
S&P 500® Index ("SPX")

2,630.07

1,315.04, which is 50.00% of its Initial Level
Dow Jones Industrial AverageTM ("INDU")

22,552.17

11,276.09, which is 50.00% of its Initial Level
* Rounded to two decimal places.
The Notes do not guarantee any return of principal at maturity. Any payments on the Notes are subject to our credit risk.
Investing in the Notes involves a number of risks. See "Selected Risk Considerations" beginning on page P-7 of this pricing supplement, "Additional Risk
Factors Specific to the Notes" beginning on page PS-4 of the product prospectus supplement dated September 7, 2018, and "Risk Factors" beginning on
page S-1 of the prospectus supplement dated September 7, 2018.
The Notes wil 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. The Notes are not subject to conversion into our common shares under subsection
39.2(2.3) of the Canada Deposit Insurance Corporation Act.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the Notes or determined that this
pricing supplement is truthful or complete. Any representation to the contrary is a criminal offense.
Issuer:
Royal Bank of Canada
Stock Exchange Listing:
None
Trade Date:
March 26, 2020
Principal Amount:
$1,000 per Note
Issue Date:
March 31, 2020
Maturity Date:
March 31, 2025
Valuation Date:
March 26, 2025
Leverage Factor:
115%
Final Level:
For each Reference Asset, its closing level on the Valuation Date.
Payment at Maturity: If the Final Level of the Lesser Performing Reference Asset is greater than its Initial Level, the investor wil receive an amount

equal to the principal amount multiplied by the product of (a) the Percentage Change (as defined below) of the Lesser
Performing Reference Asset and (b) the Leverage Factor.
If the Final Level of the Lesser Performing Reference Asset is less than or equal to its Initial Level, but greater than or equal to its
Barrier Level, the investor wil receive the principal amount.
If the Final Level of the Lesser Performing Reference Asset is less than its Barrier Level, the investor wil receive an amount that
is less than the principal amount, and that reflects the percentage decrease in the level of the Lesser Performing Reference
Asset. An investor could lose al or a substantial portion of the principal amount of the Notes.
Lesser Performing
The Reference Asset which has the lowest Percentage Change.
Reference Asset:
Interest Payments:
None.
CUSIP:
78015KPY4

Per Note

Total
Price to public(1)
100.00%

$1,322,000
Underwriting discounts and commissions(1)
3.25%

$42,965
Proceeds to Royal Bank of Canada
96.75%

$1,279,035
(1) Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forego some or al of their underwriting discount or sel ing
concessions. The public offering price for investors purchasing the Notes in these accounts may be between $967.50 and $1,000 per $1,000 in principal
amount.
The initial estimated value of the Notes as of the Trade Date was $878.62 per $1,000 in principal amount, which is less than the price to public. The
actual value of the Notes at any time wil 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 ("RBCCM"), acting as our agent, wil receive a commission of $32.50 per $1,000 in principal amount of the Notes and wil use
a portion of that commission to al ow sel ing concessions to other dealers of up to $32.50 per $1,000 in principal amount of the Notes. The other dealers
may forgo, in their sole discretion, some or al of their sel ing concessions. See "Supplemental Plan of Distribution (Conflicts of Interest)" below.
RBC Capital Markets, LLC
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices

SUMMARY
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.
General:
This pricing supplement relates to an offering of Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices (the "Notes").
Issuer:
Royal Bank of Canada ("Royal Bank")
Trade Date (Pricing
March 26, 2020
Date):
Issue Date:
March 31, 2020
Valuation Date:
March 26, 2025
Maturity Date:
March 31, 2025
Denominations:
Minimum denomination of $1,000, and integral multiples of $1,000 thereafter.
Designated Currency:
U.S. Dol ars
Initial Level:
For each Reference Asset, its closing level on the Trade Date, as specified on the cover page of
this pricing supplement.
Final Level:
For each Reference Asset, its closing level on the Valuation Date.
Barrier Level:
For each Reference Asset, 50.00% of its Initial Level, as specified on the cover page of this
pricing supplement.
Redemption Amount:
On the Valuation Date, we wil pay you at maturity an amount based on the Final Level of the
Lesser Performing Reference Asset:
If the Final Level of the Lesser Performing Reference Asset is greater than its Initial Level, then
the investor wil receive, for each $1,000 in principal amount, an amount equal to:
$1,000 + [$1,000 x (Percentage Change of the Lesser Performing Reference Asset x Leverage
Factor)]
If the Final Level of the Lesser Performing Reference Asset is less than or equal to its Initial
Level, but greater than or equal to its Barrier Level, the investor wil receive the principal
amount.
If the Final Level of the Lesser Performing Reference Asset is less than its Barrier Level, then
the investor wil receive, for each $1,000 in principal amount, an amount equal to:
$1,000 + ($1,000 x Percentage Change of the Lesser Performing Asset)
In this case, you wil lose al or a substantial portion of the principal amount.
Percentage Change:
With respect to each Reference Asset:
Final Level ­ Initial Level
Initial Level
Leverage Factor:
115%
Lesser Performing
The Reference Asset which has the lowest Percentage Change.
Reference Asset:
Market Disruption
If a market disruption event occurs on the Valuation Date as to a Reference Asset, the
Events:
determination of the Final Level of that Reference Asset wil be postponed. However, the
determination of the Final Level of any Reference Asset that is not affected by that market
disruption event wil not be postponed.
Calculation Agent:
RBC Capital Markets, LLC ("RBCCM")
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U.S. Tax Treatment:
By purchasing a Note, each holder agrees (in the absence of a change in law, an
administrative determination or a judicial ruling to the contrary) to treat the Note as a pre-
paid cash-settled derivative contract in respect of the Reference Assets 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 the section below, "Supplemental Discussion of U.S. Federal Income
Tax Consequences," and the discussion (including the opinion of our counsel Morrison &
Foerster LLP) in the product prospectus supplement dated September 7, 2018 under
"Supplemental Discussion of U.S. Federal Income Tax Consequences," which apply to the
Notes.
Secondary Market:
RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary
market in the Notes after the Issue Date. The amount that you may receive upon sale of
your Notes prior to maturity may be less than the principal amount.
Listing:
The Notes wil not be listed on any securities exchange.
Settlement:
DTC global (including through its indirect participants Euroclear and Clearstream,
Luxembourg as described under "Description of Debt Securities--Ownership and Book-
Entry Issuance" in the prospectus dated September 7, 2018).
Terms Incorporated in
Al of the terms appearing above the item captioned "Secondary Market" on the cover page
the Master Note:
and pages P-2 and P-3 of this pricing supplement and the terms appearing under the
caption "General Terms of the Notes" in the product prospectus supplement dated
September 7, 2018, as modified by this pricing supplement.
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Barrier Enhanced Return Notes Linked to the
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ADDITIONAL TERMS OF YOUR NOTES
You should read this pricing supplement together with the prospectus dated September 7, 2018, as supplemented by the prospectus
supplement dated September 7, 2018 and the product prospectus supplement dated September 7, 2018, relating to our Senior Global
Medium-Term Notes, Series H, 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 September 7,
2018 and "Additional Risk Factors Specific to the Notes" in the product prospectus supplement dated September 7, 2018, 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 September 7, 2018:
https://www.sec.gov/Archives/edgar/data/1000275/000121465918005973/l96181424b3.htm
Prospectus Supplement dated September 7, 2018:
https://www.sec.gov/Archives/edgar/data/1000275/000121465918005975/f97180424b3.htm
Product Prospectus Supplement ERN-EI-1 dated September 7, 2018:
https://www.sec.gov/Archives/edgar/data/1000275/000114036118038044/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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Barrier Enhanced Return Notes Linked to the
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HYPOTHETICAL EXAMPLES
The table set forth below is included for il ustration purposes only. The table il ustrates the hypothetical Redemption
Amount of the Notes for a hypothetical range of performance for the Lesser Performing Reference Asset, assuming the
fol owing terms:
Hypothetical Initial Level (for each Reference Asset): 1,000*
Hypothetical Barrier Level (for each Reference Asset): 500.00, which is 50% of the hypothetical Initial Level
Leverage Factor:
115%
Principal Amount:
$1,000 per Note
* The hypothetical Initial Level of 1,000 used in the examples below has been chosen for il ustrative purposes only
and does not represent the actual Initial Level of either Reference Asset. The actual Initial Level for each
Reference Asset is set forth on the cover page of this pricing supplement. We make no representation or
warranty as to which of the Reference Assets will be the Lesser Performing Reference Asset. It is possible
that the Final Level of each Reference Asset will be less than its Initial Level.
Hypothetical Final Levels are shown in the first column on the left. The second column shows the Redemption Amount for
a range of Final Levels of the Lesser Performing Reference Asset on the Valuation Date. The third column shows the
Redemption Amount to be paid on the Notes per $1,000 in principal amount.
Hypothetical Final Level of
the
Redemption Amount as
Redemption Amount
Lesser Performing Reference
Percentage of Principal
per $1,000 in
Asset
Amount
Principal Amount
1,300.00
134.50%
$1,345.00
1,200.00
123.00%
$1,230.00
1,100.00
111.50%
$1,115.00
1,000.00
100.00%
$1,000.00
900.00
100.00%
$1,000.00
800.00
100.00%
$1,000.00
700.00
100.00%
$1,000.00
600.00
100.00%
$1,000.00
500.00
100.00%
$1,000.00
499.90
49.99%
$499.90
400.00
40.00%
$400.00
250.00
25.00%
$250.00
0.00
0.00%
$0.00
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices

Hypothetical Examples of Amounts Payable at Maturity
The fol owing hypothetical examples il ustrate how the payments at maturity set forth in the table above are calculated.
Example 1: The level of the Lesser Performing Reference Asset increases by 10% from the Initial Level of 1,000 to
its Final Level of 1,100. Because the Final Level of the Lesser Performing Reference Asset is greater than its Initial Level,
the investor receives at maturity, a cash payment of $1,115 per Note, calculated as fol ows:
$1,000 + [$1,000 x (Percentage Change of the Lesser Performing Reference Asset x Leverage Factor)]
= $1,000 + [$1,000 x (10% x 115%)] = $1,000 + $115 = $1,115
Example 2: The level of the Lesser Performing Reference Asset decreases by 15% from the Initial Level of 1,000 to
its Final Level of 850. Because the Final Level of the Lesser Performing Reference Asset is greater than its Barrier Level,
the investor receives at maturity, the principal amount despite the 15% decline in the level of the Lesser Performing
Reference Asset.
Example 3: The level of the Lesser Performing Reference Asset is 400 on the Valuation Date, which is less than its
Barrier Level of 500. Because the Final Level of the Lesser Performing Reference Asset is less than its Barrier Level, we
wil pay only $400 for each $1,000 in the principal amount of the Notes, calculated as fol ows:
$1,000 + (1,000 x Percentage Change of the Lesser Performing Reference Asset)
= $1,000 + ($1,000 x -60.00%) = $1,000 - $600.00 = $400.00
* * *
The Payments at Maturity shown above are entirely hypothetical; they are based on levels of the Reference Assets that
may not be achieved on the Valuation Date and on assumptions that may prove to be erroneous. The actual market value
of your Notes on the Maturity Date or at any other time, including any time you may wish to sel your Notes, may bear little
relation to the hypothetical Redemption Amounts shown above, and those amounts should not be viewed as an indication
of the financial return on an investment in the Notes or on an investment in the securities included in either Reference
Asset.
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Barrier Enhanced Return Notes Linked to the
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SELECTED RISK CONSIDERATIONS
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the
Reference Assets. These risks are explained in more detail in the section "Additional Risk Factors Specific to the Notes" in
the product prospectus supplement. In addition to the risks described in the prospectus supplement and the product
prospectus supplement, you should consider the fol owing:
·
Principal at Risk ­ Investors in the Notes wil lose al or a substantial portion of their principal amount if the Final
Level of the Lesser Performing Reference Asset is less than its Barrier Level. In such a case, you wil lose 1% of
the principal amount of your Notes for each 1% that the Final Level of the Lesser Performing Reference Asset is
less than its Initial Level.
·
Your Redemption Amount Will Be Determined Solely by Reference to the Lesser Performing Reference
Asset Even if the Other Reference Asset Performs Better ­ Your Redemption Amount wil be determined solely
by reference to the performance of the Lesser Performing Reference Asset. Even if the Final Level of the other
Reference Asset has increased compared to its Initial Level, or has experienced a decrease that is less than that
of the Lesser Performing Reference Asset, your return wil only be determined by reference to the performance of
the Lesser Performing Reference Asset, regardless of the performance of the other Reference Asset. The Notes
are not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket
components. For example, in the case of notes linked to a weighted basket, the return would depend on the
weighted aggregate performance of the basket components reflected as the basket return. As a result, the
depreciation of one basket component could be mitigated by the appreciation of the other basket components, as
scaled by the weighting of that basket component. However, in the case of the Notes, the individual performance
of each of the Reference Assets would not be combined, and the depreciation of one Reference Asset would not
be mitigated by any appreciation of the other Reference Asset. Instead your return wil depend solely on the Final
Level of the Lesser Performing Reference Asset. Because each Reference Asset tracks a different segment of the
U.S. equities market, they may both decrease in a comparable manner.
·
The Notes Do Not Pay Interest and Your Return May Be Lower than the Return on a Conventional Debt
Security of Comparable Maturity ­ You wil not receive any 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 wil 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, the return may be less than the return you would earn if you bought a conventional senior
interest bearing debt security of Royal Bank.
·
Payments on the Notes Are Subject to Our Credit Risk, and Changes in Our Credit Ratings Are Expected
to Affect the Market Value of the Notes ­ The Notes are Royal Bank's senior unsecured debt securities. As a
result, your receipt of the Redemption Amount is dependent upon Royal Bank's ability to repay its obligations at
that time. This wil be the case even if the levels of the Reference Assets increase after the Trade Date. No
assurance can be given as to what our financial condition wil be at the maturity of the Notes.
·
There May Not Be an Active Trading Market for the Notes ­ Sales in the Secondary Market May Result in
Significant Losses ­ There may be little or no secondary market for the Notes. The Notes wil 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.
·
Owning the Notes Is Not the Same as Owning the Securities Represented by the Reference Assets -- The
return on your Notes is unlikely to reflect the return you would realize if you actual y owned the securities
represented by the Reference Assets. For instance, you wil not receive or be entitled to receive any dividend
payments or other distributions on those securities during the term of your Notes. As an owner of the Notes, you
wil not have voting rights or any other rights that holders of the Reference Assets may have.
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·
The Initial Estimated Value of the Notes Is Less than the Price to the 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 affiliates would be wil ing to purchase the Notes in any secondary market (if any exists) at any time. If
you attempt to sel 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 levels of the Reference Assets,
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 sel the Notes in any secondary market and wil 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 sel 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 by RBCCM 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 wil 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 wil ing to hold your Notes to maturity.
·
The Initial Estimated Value of the Notes on the Cover Page of this Pricing Supplement Is an Estimate Only,
Calculated as of the Time the Terms of the Notes Were Set -- The initial estimated value of the Notes is based
on the value of our obligation to make the payments on the Notes, together with the mid-market value of the
derivative embedded in the terms of the Notes. See "Structuring the Notes" below. Our estimate is based on a
variety of assumptions, including our credit spreads, expectations as to dividends, interest rates and volatility, and
the expected term of the Notes. These assumptions are based on certain forecasts about future events, which
may prove to be incorrect. Other entities may value the Notes or similar securities at a price that is significantly
different than we do.
The value of the Notes at any time after the Trade Date wil 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 material y from the initial estimated
value of your Notes.
·
Inconsistent Research -- Royal Bank or its affiliates may issue research reports on securities that are, or may
become, components of the Reference Assets. We may also publish research from time to time on financial
markets and other matters that may influence the levels of the Reference Assets or the value of the Notes, or
express opinions or provide recommendations that may be inconsistent with purchasing or holding the Notes or
with the investment view implicit in the Notes or the Reference Assets. You should make your own independent
investigation of the merits of investing in the Notes and the Reference Assets.
·
Market Disruption Events and Adjustments ­ The Redemption Amount and the Valuation Date are subject to
adjustment as to each Reference Asset as described in the product prospectus supplement. For a description of
what constitutes a market disruption event as wel 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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INFORMATION REGARDING THE REFERENCE ASSETS
Al disclosures contained in this pricing supplement regarding the Reference Assets, including, without limitation, their make-up,
method of calculation, and changes in their components, have been derived from publicly available sources. The information
reflects the policies of, and is subject to change by the applicable index sponsor. Each of these sponsors has no obligation to
continue to publish, and may discontinue publication of, the applicable Reference Asset. The consequences of an index sponsor
discontinuing publication of a Reference Asset 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 either Reference Asset or any successor index.
S&P 500® Index ("SPX")
The SPX is intended to provide an indication of the pattern of price movements among U.S. large capitalization stocks. 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 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 wil not reflect the return you would realize if you actual y
owned the SPX constituent stocks and received the dividends paid on those stocks.
Effective with the September 2015 rebalance, consolidated share class lines wil no longer be included in the SPX. Each share
class line wil be subject to public float and liquidity criteria individual y, but the company's total market capitalization wil 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.
Computation of the SPX
While S&P currently employs the fol owing methodology to calculate the SPX, no assurance can be given that S&P wil not
modify or change this methodology in a manner that may affect the Payment at Maturity.
Historical y, 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 ful 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
al 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, al 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. General y, these "control holders" wil 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 al 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, wil 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 al ow investors in countries outside the country of domicile, such as depositary shares and
Canadian exchangeable shares are normal y 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
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3/31/2020
https://www.sec.gov/Archives/edgar/data/1000275/000114036120007428/form424b2.htm


Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices

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 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 wil 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 wil 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 al
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 al adjustments to the SPX, which is index maintenance.
Index Maintenance
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 general y announced on Fridays for implementation
after the close of trading the fol owing 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.
License Agreement
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 (col ectively, "S&P Dow Jones Indices"). S&P Dow Jones Indices make no representation or warranty,
express or implied, to the holders of the Notes or any member of the public regarding the advisability of investing in securities
general y 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
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10/18