Obligation Royal Bank of Canada 0% ( US78015KET79 ) en USD

Royal Bank of Canada

122.22 % ⇌

Canada

US78015KET79 ( en USD )

31/10/2025

Prospectus brochure de l'obligation Royal Bank of Canada US78015KET79 en USD 0%, échéance 31/10/2025

1 000 USD

246 000 USD

78015KET7

N/A

La Banque Royale du Canada (RBC) est une institution financière multinationale canadienne offrant une large gamme de services financiers, incluant les services bancaires aux particuliers et aux entreprises, la gestion de patrimoine, les marchés des capitaux et l'assurance.

L'Obligation émise par Royal Bank of Canada ( Canada ) , en USD, avec le code ISIN US78015KET79, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 31/10/2025

L'Obligation émise par Royal Bank of Canada ( Canada ) , en USD, avec le code ISIN US78015KET79, a été notée NR par l'agence de notation Moody's.

424B2 1 form424b2.htm PS SPX DJIA OCT 2019 BOOSTER 78015KET7
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 2 7 0 0 1

Pricing Supplement
$246,000
Dated October 28, 2019
Barrier Booster Notes Linked to the Lesser Performing
to the Product Prospectus Supplement ERN-EI-1, the
of Two Equity Indices, Due October 31, 2025
Prospectus Supplement and the Prospectus, Each Dated
Royal Bank of Canada
September 7, 2018

Royal Bank of Canada is offering Barrier Booster Notes Linked to the Lesser Performing of Two Equity Indices (the "Notes") linked to the lesser performing
of two equity indices (each, a "Reference Asset" and collectively, the "Reference Assets"). The Notes are senior unsecured obligations of Royal Bank of
Canada and will have the terms described in the documents described above, as supplemented or modified by this pricing supplement.

I nit ia l

Re fe re nc e Asse t s
Le ve ls
Ba rrie r Le ve ls*
S&P 500® Index ("SPX")
3,039.42
1,823.65, which is 60.00% of its Initial Level
Dow Jones Industrial Average® ("INDU")
27,090.72
16,254.43, which is 60.00% 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-6 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" on page S-1 of
the prospectus supplement dated September 7, 2018.
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. 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.
I ssue r:
Royal Bank of Canada
St oc k Ex c ha nge List ing:
None
T ra de Da t e :
October 28, 2019
Princ ipa l Am ount :
$1,000 per Note
I ssue Da t e :
October 31, 2019
M a t urit y Da t e :
October 31, 2025
V a lua t ion Da t e :
October 28, 2025
Boost e r Coupon
41%
I nit ia l Le ve l:
For each Reference Asset, its closing level on the Trade Date.
Fina l Le ve l:
For each Reference Asset, its closing level on the Valuation Date.
Pa ym e nt a t M a t urit y:
If the Final Level of the Lesser Performing Reference Asset is greater than or equal to its Initial Level but its Percentage
Change does not exceed the Booster Coupon, the Notes provide a fixed return equal to the Principal Amount plus the Booster
Coupon. If the Final Level of the Lesser Performing Reference Asset is greater than its Initial Level and its Percentage Change
exceeds the Booster Coupon, the Notes provide a one-for-one positive return based upon the increase in the level of that
Reference Asset.
If the Final Level of the Lesser Performing Reference Asset is less than its Initial Level, but is not less than its Barrier Level,
then the investor will receive the principal amount only. If the Final Level of the Lesser Performing Reference Asset is less than
its Barrier Level (60.00% of its Initial Level), you will receive an amount at maturity that is proportionate to the decrease in that
Reference Asset over the term of the Notes, and you may lose up to 100% of your initial investment.
Le sse r Pe rform ing
The Reference Asset which has the lowest Percentage Change.
Re fe re nc e Asse t :
I nt e re st Pa ym e nt s:
None.
CU SI P:
78015KET7
Pe r N ot e

T ot a l
Price to public(1)
100.00%

$246,000
Underwriting discounts and commissions(1)
3.25%

$7,995
Proceeds to Royal Bank of Canada
96.75%

$238,005
(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 $967.50 and $1,000 per $1,000 in principal amount.
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The initial estimated value of the Notes as of the Trade Date was $938.53 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, will receive a commission of $32.50 per $1,000 in
principal amount of the Notes and will use a portion of that commission to allow selling 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 all of their selling concessions. See "Supplemental Plan of Distribution
(Conflicts of Interest)" below.
RBC Capital Markets, LLC

Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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.
General:
This pricing supplement relates to an offering of Barrier Booster Notes Linked to the Lesser Performing
of Two Equity Indices (the "Notes") linked to the lesser performing of two equity indices (the "Reference
Assets").
Issuer:
Royal Bank of Canada ("Royal Bank")
Trade Date (Pricing
October 28, 2019
Date):
Issue Date:
October 31, 2019
Valuation Date:
October 28, 2025
Maturity Date:
October 31, 2025
Denominations:
Minimum denomination of $1,000, and integral multiples of $1,000 thereafter.
Designated Currency:
U.S. Dollars
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, 60.00% of its Initial Level, as specified on the cover page of this pricing
supplement.
Barrier Percentage:
40%
Booster Coupon:
41%
Payment at Maturity:
If, on the Valuation Date, the Percentage Change of the Lesser Performing Reference Asset is zero or
positive, but does not exceed the Booster Coupon, then the investor will receive an amount equal to the
principal amount plus the Booster Coupon. If, on the Valuation Date, the Percentage Change of the
Lesser Performing Reference Asset is greater than the Booster Coupon, then the investor will receive
an amount equal to:

Principal Amount + (Principal Amount x Percentage Change of Lesser Performing Reference Asset)

If, on the Valuation Date, the Percentage Change of the Lesser Performing Reference Asset is less
than 0%, but the Final Level has not decreased by more than the Barrier Percentage (that is, the
Percentage Change is between -0.01% and -40.00%), then the investor will receive the principal
amount only.

If, on the Valuation Date, the Percentage Change of the Lesser Performing Reference Asset is negative,
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and its Final Level has decreased by more than the Barrier Percentage (that is, the Percentage Change
is between -40.01% and -100%), then the investor will receive a cash payment equal to:

Principal Amount + (Principal Amount x Percentage Change of Lesser Performing Reference Asset)
In this case, you will lose all or a portion of the principal amount of the Notes.
Percentage Change:
With respect to each Reference Asset:
Final Level Initial Level
Initial Level
Lesser Performing
The Reference Asset which has the lowest Percentage Change.
Reference Asset:
P-2
RBC Capital Markets, LLC

Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
Market Disruption
If a market disruption event occurs on the Valuation Date as to a Reference Asset, the determination of
Events:
the Final Level of that Reference Asset will be postponed. However, the determination of the Final Level
of any Reference Asset that is not affected by that market disruption event will not be postponed.
Calculation Agent:
RBC Capital Markets, LLC ("RBCCM")
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 will 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
All of the terms appearing above the item captioned "Secondary Market" on the cover page and
the Master Note:
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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RBC Capital Markets, LLC

Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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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 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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RBC Capital Markets, LLC

Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
H Y POT H ET I CAL EX AM PLES
The examples set out below are included for illustration purposes only. The hypot he t ic a l Percentage Changes of the Lesser
Performing Reference Asset used to illustrate the calculation of the Payment at Maturity (rounded to two decimal places) are not
estimates or forecasts of its Final Level or the level of either Reference Asset on any trading day prior to the Maturity Date. All
examples assume that a holder purchased Notes with an aggregate principal amount of $1,000, the Barrier Percentage of 40.00%
(the Barrier Level of each Reference Asset is 60.00% of its Initial Level), and the Booster Coupon of 41.00% of the principal
amount, and that no market disruption event occurs on the Valuation Date as to either Reference Asset.
Example 1--
Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is
positive, but less than the Booster Coupon.

Percentage Change:
10%, which is less than the Booster Coupon

Payment at Maturity:
$1,000 + ($1,000 x 41.00%) = $1,000 + $410.00 = $1,410.00

On a $1,000 investment, a 10% Percentage Change for the Lesser Performing Reference Asset results in a
Payment at Maturity of $1,410.00, a 41.00% return on the Notes.
Example 2--
Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is
positive and exceeds the Booster Coupon.
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Percentage Change:
50%

Payment at Maturity:
$1,000 + ($1,000 x 50.00%) = $1,000 + $500.00 = $1,500.00

On a $1,000 investment, a 50% Percentage Change for the Lesser Performing Reference Asset results in a
Payment at Maturity of $1,500.00, a 50.00% return on the Notes.
Example 3--
Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is
negative (but not by more than the Barrier Percentage).

Percentage Change:
-10%

Payment at Maturity:
At maturity, if the Percentage Change of the Lesser Performing Reference Asset is
negative BUT not by more than the Barrier Percentage, then the Payment at Maturity
will equal the principal amount.

On a $1,000 investment, a -10% Percentage Change results in a Payment at Maturity of $1,000,
a 0% return on the Notes.
Example 4--
Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is
negative (by more than the Barrier Percentage).

Percentage Change:
-45%

Payment at Maturity:
$1,000 + ($1,000 x -45.00%) = $1,000 - $450.00 = $550.00

On a $1,000 investment, a -45% Percentage Change in the Lesser Performing Reference Asset results in a
Payment at Maturity of $550.00, a -45% return on the Notes.
P-5
RBC Capital Markets, LLC

Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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 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 following:
·
Princ ipa l a t Risk Investors in the Notes could lose all or a substantial portion of their principal amount if there is a
decline in the level of the Lesser Performing Reference Asset between the Trade Date and the Valuation Date of more
than 40%. You will lose 1% of the principal amount of your Notes for each 1% that the Lesser Performing Reference Asset
has declined if the Final Level of the Lesser Performing Reference Asset is less than its Barrier Level.
·
Y our Re de m pt ion Am ount Will Be De t e rm ine d Sole ly by Re fe re nc e t o t he Le sse r Pe rform ing
Re fe re nc e Asse t Eve n if t he Ot he r Re fe re nc e Asse t Pe rform s Be t t e r Your Redemption Amount will 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 will 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 will 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.
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·
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
You will 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 will receive on the Notes, which could be negative, may be
less than the return you could earn on other investments. 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 Redemption Amount is dependent upon Royal Bank's ability to repay its
obligations at that time. This will 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 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.
·
Ow ning t he N ot e s I s N ot t he Sa m e a s Ow ning t he Se c urit ie s Re pre se nt e d by t he Re fe re nc e Asse t s --
The return on your Notes is unlikely to reflect the return you would realize if you actually owned the securities represented
by the Reference Assets. For instance, you will 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 will not have voting rights or
any other rights that holders of the Reference Assets may have.
·
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
that is set forth on the cover page of this pricing supplement does not represent a minimum price at which we, RBCCM
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RBC Capital Markets, LLC

Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
or any of our 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 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 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 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 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.
·
T he I nit ia l Est im a t e d V a lue of t he N ot e s on t he Cove r Pa ge of t his Pric ing Supple m e nt 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 Trade Date will vary based on many factors, including changes in market
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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.
·
I nc onsist e nt Re se a rc h -- 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.
·
M a rk e t Disrupt ion Eve nt s a nd Adjust m e nt s 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 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

Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
I N FORM AT I ON REGARDI N G T H E REFEREN CE ASSET S
All 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 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 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.
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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
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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
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
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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 shares outstanding and IWF due to its acquisition of another public company are made as soon as
reasonably possible. At S&P's discretion, de minimis merger and acquisition share changes are accumulated and implemented with
the quarterly share rebalancing.
All other changes of less than 5% are accumulated and made quarterly on the third Friday of March, June, September, and
December.
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.
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 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
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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
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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.
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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 for the period from January 1, 2009 through October
28, 2019.
We obtained the information regarding the historical performance of the SPX in the graph 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 not result in the loss of all or any part of your positive return on
your investment.
S& P 5 0 0 ® I nde x ("SPX ")
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
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