Obligation Royal Bank of Canada 0% ( US78013GUP89 ) en USD

Royal Bank of Canada

100 % ▼

Canada

US78013GUP89 ( en USD )

28/02/2025 - Obligation échue

Prospectus brochure de l'obligation Royal Bank of Canada US78013GUP89 en USD 0%, échue

1 000 USD

1 494 000 USD

78013GUP8

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 US78013GUP89, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 28/02/2025

L'Obligation émise par Royal Bank of Canada ( Canada ) , en USD, avec le code ISIN US78013GUP89, a été notée NR par l'agence de notation Moody's.

2/28/2020
https://www.sec.gov/Archives/edgar/data/1000275/000114036120004295/form424b2.htm
424B2 1 form424b2.htm LARGE CAP TACTICAL 78013GUP8
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-227001

Pricing Supplement
$1,494,000
Dated February 25, 2020
Rules Based Investment Securities Linked
To the Prospectus Supplement and Prospectus Each
to the RBC Large Cap US Tactical Equity
Dated September 7, 2018
Total Return Index, due February 28, 2025
Royal Bank of Canada
Royal Bank of Canada is offering the Rules Based Investment Securities (the "Notes") linked to the performance of the RBC Large Cap
US Tactical Equity Total Return Index (the "Index").
The CUSIP number for the Notes is 78013GUP8. The Notes do not pay interest.
The Notes provide a return based upon the performance of Index, as reflected in the Indicative Note Value (as defined below). The
Index is a proprietary index which is allocated on a monthly basis to either (a) a futures contract on the S&P 500® Index and the federal
funds (effective) rate or (b) only the federal funds (effective) rate, as described in more detail below.
The Indicative Note Value, which will initially be $970 for each $1,000 in principal amount of the Notes, will be reduced on a daily basis
based upon an Index Adjustment Factor based on a rate of 0.65% per annum. As a result, in order for you to receive a payment on the
maturity date that is greater than or equal to the principal amount, the level of the Index must increase from the Trade Date to the
Valuation Date by an amount that is sufficient to offset the impact of the initial Indicative Note Value being less than the principal amount
and the Index Adjustment Factor. You may lose all or a substantial portion of the principal amount.
Any payments on the Notes are subject to our credit risk.
Issue Date: February 28, 2020 Maturity Date: February 28, 2025
The Notes wil not be listed on any securities exchange.
Investing in the Notes involves a number of risks. Please see "Risk Factors" on page P-8 of this pricing supplement and on page S-1 of the
prospectus supplement.
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 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)(2)
100.00%
$1,494,000
Underwriting discounts and commissions(1)(2)
3.00%
$44,820
Proceeds to Royal Bank of Canada
97.00%
$1,449,180
(1) RBC Capital Markets, LLC ("RBCCM"), acting as our agent, wil receive a commission on the issue date in connection with the sale of the
Notes equal to 3.00% of the principal amount, and wil use a portion of that commission to al ow sel ing concessions to other dealers of up to that
amount. In addition, RBCCM wil receive from us the amounts generated from the deduction of the Index Adjustment Factor from the Indicative
Note Value (as defined below) to cover ongoing payments as a structuring fee for developing the Notes. See "Supplemental Plan of Distribution
(Conflicts of Interest)" below.
(2) Certain dealers who purchased the Notes for sale to certain fee-based advisory accounts may have foregone some or al of their underwriting
discount or sel ing concessions. The public offering price for investors purchasing the Notes in these accounts was between $970 and $1,000
per $1,000 in principal amount.
The initial estimated value of the Notes as of the Trade Date is $970 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
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Securities Linked to the RBC
Large Cap US Tactical Equity
Total Return Index

SUMMARY
The information in this "Summary" section is qualified by the more detailed information set forth in this pricing supplement,
the prospectus supplement and the prospectus.
Issuer:
Royal Bank of Canada ("Royal Bank")
Underwriter:
RBC Capital Markets, LLC ("RBCCM")
Index:
RBC Large Cap US Tactical Equity Total Return Index
The Index is a proprietary index that is al ocated on a monthly basis to either (a) a futures contract
(the "Relevant Futures Contract") on the S&P 500® Index (the "SPX" or the "Underlying Index")
and the Federal Funds (Effective) Rate or (b) only the Federal Funds (Effective) Rate, as
described in more detail below.
The Index wil be al ocated on a monthly basis, depending upon the "Tactical Trigger" that is
included in the index methodology. The Tactical Trigger compares the current closing price of the
SPDR® S&P 500® ETF (the "SPY"), which is an exchange traded fund ("ETF") linked to the
Underlying Index, to the average of the ETF's closing price over a trading period of 200 days (the
"Moving Average," as described below). If the current closing price is higher than the Moving
Average, then the Index wil be al ocated to the Relevant Futures Contract and the Federal Funds
(Effective) Rate. If the current closing price is lower than the Moving Average, then the Index wil
be al ocated only to the Federal Funds (Effective) Rate.
The Index was developed by RBC Capital Markets, and Solactive AG is the Index Calculation
Agent.
For more detailed information about the Index, please see the section below, "The RBC Large
Cap US Tactical Equity Total Return Index."
Bloomberg Ticker: RBCELTUT
Currency:
U.S. Dol ars
Minimum
$5,000 and minimum denominations of $1,000 in excess thereof
Investment:
Trade Date:
February 25, 2020
Issue Date:
February 28, 2020
Valuation Date:
February 25, 2025
Maturity Date:
February 28, 2025
Interest Payments: None.
Payment at
On the maturity date, for each $1,000 in principal amount of the Notes that you hold, you wil
Maturity
receive an amount equal to the Indicative Note Value (as defined below).
(if held to maturity): Due to the Index Adjustment Factor described below, and because the initial Indicative Note Value
wil be less than the principal amount, as described below, you wil only receive a positive return
on your investment if the level of the Index increases from the Trade Date to the Valuation Date by
a percentage that is sufficient to offset the impact of the Index Adjustment Factor. Particularly if
the level of the Index decreases, you may lose al or substantial y al of the principal amount of the
Notes.
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Rules Based Investment
Securities Linked to the RBC
Large Cap US Tactical Equity
Total Return Index

Indicative Note
For each $1,000 in principal amount of the Notes, the Indicative Note Value wil be set on the
Value:
Trade Date to an amount equal to $1,000 multiplied by the Participation Rate, which equals $970.
Accordingly, the initial Indicative Note Value wil be less than the principal amount.
On each Index Trading Day (as defined below) thereafter on which a Market Disruption Event (as
defined below) does not occur or is not continuing, the Indicative Note Value wil equal:
[Indicative Note Value on Prior Index Trading Day x (1 + Index Factor)] x (1 Index Adjustment
Factor)
Participation Rate: 97%
Index Factor:
On any Index Trading Day, the Index Factor wil be equal to:
Closing Level of Index Closing Level of Index on Prior Index Trading Day
Closing Level of Index on Prior Index Trading Day
Index Adjustment On any Index Trading Day after the Trade Date on which a Market Disruption Event does not
Factor:
occur or is not continuing, 0.65% multiplied by (a) the number of calendar days elapsed since the
most recent Index Trading Day divided by (b) 365 (366 in a leap year).
Initial Level:
248.0695, which was the closing level of the Index on the Trade Date.
Final Level:
The closing level of the Index on the Valuation Date.
Early Redemption: The Notes wil not be redeemable at our option or your option, except under the limited
circumstances described below under the caption "Additional Terms of the Notes--Unavailability
of the Level of the Index" and "--Hedging Disruption Events."
Principal at Risk:
The Notes are NOT principal protected. You may lose all or a substantial portion of your
principal amount at maturity.
Calculation Agent: RBCCM is the Calculation Agent for the Notes, and wil make al determinations as to the
Indicative Note Value and any payments on the Notes.
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 Notes as pre-paid cash-settled
derivative contracts 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."
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 and/or the Indicative Note Value of
your Notes.
Listing:
The Notes wil 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).
Terms IncorporatedAl of the terms appearing above the item captioned "Secondary Market" on the cover page and
in the Master Note: pages P-2 and P-3 of this pricing supplement.
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Rules Based Investment
Securities Linked to the RBC
Large Cap US Tactical Equity
Total Return Index

Hypothetical Examples of the Payment at Maturity
The fol owing examples il ustrate how the Notes would perform in a variety of hypothetical circumstances. The payment on
the Notes at maturity wil depend upon the Indicative Note Value on the Valuation Date. However, the Indicative Note
Value is expected to change on each Index Trading Day during the term of the Notes, due to changes in the level of the
Index and the impact of the Index Adjustment Factor. The impact of the Index Adjustment Factor wil be greater on any
Index Trading Day on which the level of the Index is higher, and the impact of the Index Adjustment Factor wil be lower on
any Index Trading Day on which the level of the Index is lower. Accordingly, the aggregate impact of the Index
Adjustment Factor on the Notes over their term cannot be known until the maturity date.
The figures set forth in the examples below are for purposes of il ustration only (including as to the periods of time that wil
have elapsed after the Trade Date) and are not actual historical results. For information relating to the historical
performance of the Index, please see the discussion below, in the section below, "The RBC Large Cap US Equity Total
Return Index."
The hypothetical Initial Level of 100.00 set forth below is not the actual Initial Level of the Index. The actual Initial Level of
the Index is set forth in the "Summary" section above. In addition, each of these examples assumes that the Index wil
increase or decrease at a steady rate over each relevant year, which we do not expect to occur.
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Rules Based Investment
Securities Linked to the RBC
Large Cap US Tactical Equity
Total Return Index

Example 1. This example assumes that the Index has increased steadily by 2% each year.
Year of Notes
Index Level
Percentage
Indicative
Cumulative
Percentage
Payment at
Change in
Note Value
Amount
Change in
Maturity
Level of the
Deducted
Indicative Note
Index
per $1,000
Value
in Principal
Amount
Trade Date
100.00
N/A
$970
N/A
N/A

1
102.00
2.00%
$982.97
$37.03
1.34%

2
104.04
2.00%
$996.11
$44.29
1.34%

3
106.12
2.00%
$1,009.43
$51.78
1.34%

4
108.24
2.00%
$1,022.93
$59.51
1.34%

5
110.41
2.00%
$1,036.60
$67.48
1.34%
$1,036.60
In this example, the payment at maturity would be $1,036.60 per $1,000 in principal amount of the Notes, a return of 3.7%,
even though the level of the Index has increased by 10.4% from the Initial Level to the Final Level.
Example 2. This example assumes that the Index has decreased steadily by 2% each year.
Year of Notes
Index Level
Percentage
Indicative
Cumulative
Percentage
Payment at
Change in
Note Value
Amount
Change in
Maturity
Level of the
Deducted
Indicative Note
Index
per $1,000 in
Value
Principal
Amount
Trade Date
100.00
N/A
$970.00
N/A
N/A

1
98.00
-2.00%
$944.42
$35.58
-2.64%

2
96.04
-2.00%
$919.52
$40.88
-2.64%

3
94.12
-2.00%
$895.27
$45.92
-2.64%

4
92.24
-2.00%
$871.66
$50.71
-2.64%

5
90.39
-2.00%
$848.68
$55.25
-2.64%
$848.68
In this example, the payment at maturity would be $848.68 per $1,000 in principal amount of the Notes, a return of -15.1%.
This return is less than the decrease of -9.6% in the level of the Index from the Initial Level to the Final Level.
P-5
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Securities Linked to the RBC
Large Cap US Tactical Equity
Total Return Index

Example 3. This example assumes that the level of the Index is unchanged during the term of the Notes, and il ustrates
the cumulative impact of the Index Adjustment Factor.
Year of Notes
Index Level
Percentage
Indicative
Cumulative
Percentage
Payment at
Change in
Note Value
Amount
Change in
Maturity
Level of the
Deducted
Indicative Note
Index
per $1,000
Value
in Principal
Amount
Trade Date
100.00
N/A
$970.00
N/A
N/A

1
100.00
0.00%
$963.70
$36.30
-0.65%

2
100.00
0.00%
$957.43
$42.57
-0.65%

3
100.00
0.00%
$951.21
$48.79
-0.65%

4
100.00
0.00%
$945.02
$54.98
-0.65%

5
100.00
0.00%
$938.88
$61.12
-0.65%
$938.88
In this example, the payment at maturity would be $938.88 per $1,000 in principal amount of the Notes, a return of -6.1%.
This return is negative, even though the level of the Index was unchanged during the term of the Notes.
Example 4. This example assumes that the Index has increased steadily by 2% each year during the first 2.5 years of the
term of the Notes, prior to decreasing steadily by 2% each year during the final 2.5 years of the term of the Notes.
Year of Notes
Index Level
Percentage
Indicative
Cumulative
Percentage
Payment at
Change in
Note Value
Amount
Change in
Maturity
Level of the
Deducted
Indicative Note

Index
per $1,000
Value
in Principal

Amount
Trade Date
100.00
N/A
$970.00
N/A
N/A

1
102.00
2.00%
$982.97
$37.03
1.34%

2
104.04
2.00%
$996.11
$44.29
1.34%

2 to 2.5
105.08
1.00%
$1,002.80
$48.00
0.67%

2.5 to 3
104.03
-1.00%
$989.55
$50.75
-1.32%

4
101.95
-2.00%
$963.45
$56.04
-2.64%

5
99.91
-2.00%
$938.05
$61.05
-2.64%
$938.05
In this example, the payment at maturity would be $938.05 per $1,000 in principal amount of the Notes, a return of -6.2%.
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Rules Based Investment
Securities Linked to the RBC
Large Cap US Tactical Equity
Total Return Index

Example 5. This example assumes that the Index has decreased steadily by 2% each year during the first 2.5 years of
the term of the Notes, prior to increasing steadily by 2% each year during the final 2.5 years of the term of the Notes.
Year of Notes
Index Level
Percentage
Indicative
Cumulative
Percentage
Payment at
Change in
Note Value
Amount
Change in
Maturity
Level of the
Deducted
Indicative Note
Index
per $1,000
Value
in Principal
Amount
Trade Date
100.00
N/A
$970.00
N/A
N/A

1
98.00
-2.00%
$944.42
$35.58
-2.64%

2
96.04
-2.00%
$919.52
$40.88
-2.64%

2 to 2.5
95.08
-1.00%
$907.36
$43.43
-1.32%

2.5 to 3
96.03
1.00%
$913.46
$46.85
0.67%

4
97.95
2.00%
$925.67
$53.84
1.34%

5
99.91
2.00%
$938.05
$61.05
1.34%
$938.05
In this example, the payment at maturity would be $938.05 per $1,000 in principal amount of the Notes, a return of -6.2%.
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Rules Based Investment
Securities Linked to the RBC
Large Cap US Tactical Equity
Total Return Index

RISK FACTORS
An investment in the Notes is subject to the risks described below, as wel as the risks described under "Risk Factors" in
the prospectus and the prospectus supplement. The Notes are not secured debt and are riskier than ordinary unsecured
debt securities. Also, investing in the Notes is not equivalent to investing directly in the assets represented by the Index.
You should careful y consider whether the Notes are suited to your particular circumstances. This pricing supplement
should be read together with the prospectus and the prospectus supplement. This section describes the most
significant risks relating to the terms of the Notes. We urge you to read the following information about these
risks, together with the other information in this pricing supplement, the prospectus supplement and the
prospectus, before investing in the Notes.
General Risks Related to the Notes
You May Lose All or a Portion of the Principal Amount.
Investors in the Notes could lose al or a substantial portion of their principal amount. The Indicative Note Value was set
on the Trade Date to only $970 per $1,000 in principal amount of the Notes. In order for you not to incur a loss on the
Notes, the level of the Index must increase sufficiently to enable the Indicative Note Value to reach an amount greater than
$1,000, as wel as to offset the impact of the Index Adjustment Factor. The aggregate impact of the Index Adjustment
Factor over the term of the Notes wil depend upon the level of the Index on each Index Trading Day, and cannot be
determined prior to the Valuation Date. There is no minimum amount payable on the Notes. Accordingly, your investment
may result in a significant loss.
The Notes Do Not Pay Interest and Your Return May Be Lower Than the Return on a Conventional Debt Security of
Comparable Maturity.
There wil 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 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, your return may be less than the return
you would earn if you bought one of our conventional senior interest bearing debt securities.
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 our senior unsecured debt securities. As a result, your receipt of any payment due on the Notes is
dependent upon our ability to repay our obligations on the applicable payment date. This wil be the case even if the level
of the Index increases after the Trade Date. No assurance can be given as to what our financial condition wil be at any
time during the term of the Notes, including the maturity date.
There May Not Be an Active Trading Market for the Notes, and 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 our other affiliates may make a market for the Notes; however, they are not required to do so. RBCCM or any other
affiliate 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 the Notes in any secondary market
could be substantial.
The Initial Estimated Value of the Notes Is Less Than the Price to the 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 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
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Securities Linked to the RBC
Large Cap US Tactical Equity
Total Return Index

paid for them and the initial estimated value. This is due to, among other things, changes in the level of the Index, the
borrowing rate we pay to issue securities of this kind, and the inclusion in the price to the public of 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 the Notes prior to maturity may be less than your original
purchase price, as any such sale price would not be expected to include 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 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 the 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 or derivatives 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, 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.
We May Redeem the Notes, or Reduce the Payments on the Notes, if a Hedging Disruption Event (as defined
below) Occurs.
A variety of legal and regulatory regimes in the United States and, in some cases, in other countries, may change in ways
that could adversely affect our ability to hedge our obligations under the Notes. These changes, including, for example, the
adoption of, or a change in, laws, regulations, rules, or orders (including those relating to tax matters) that are applicable to
us, our affiliates, or our counterparties, may cause us to be unable to effect transactions that are necessary or appropriate
for us to hedge our obligations under the Notes. In such a case, we may, in our sole and absolute discretion, redeem the
Notes as described in the section below, "Additional Terms of the Notes--Hedging Disruption Events." In addition, and as
described in that section, we may reduce the amounts that are payable on the Notes at maturity. If any of these events
occur, you may incur losses on your investment, and/or may hold the Notes for a shorter period of time than you
anticipated, which could result in adverse tax consequences for you. There can be no assurance that a Hedging
Disruption Event wil not occur during the term of the Notes.
The Amounts to Be Paid on the Notes Will Not Be Affected by All Developments Relating to the Index.
Changes in the level of the Index and the Indicative Note Value during the term of the Notes before the Valuation Date wil
not be reflected in the calculation of the payment due on the Notes. The Calculation Agent for the Notes wil calculate this
amount based on the Indicative Note Value as of the Valuation Date. No other Indicative Note Values wil be taken into
account. As a result, you may receive less than the principal amount of the Notes, even if the Indicative Note Value has
increased at certain times during the term of the Notes before decreasing as of the Valuation Date.
The Payments on the Notes May Be Influenced by Many Unpredictable Factors.
The fol owing factors, which are beyond our control, may influence the amounts of the payments on the Notes:
·
the level of the Index;
·
the volatility (i.e., the frequency and magnitude of changes) of the level of the Index, the Relevant Futures Contract
and the Underlying Index;
·
the dividend rate on the stocks represented by the Underlying Index;
·
economic, financial, political, military, regulatory, legal and other events that affect the applicable securities
markets general y, and which may affect the level of the Index;
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https://www.sec.gov/Archives/edgar/data/1000275/000114036120004295/form424b2.htm

Rules Based Investment
Securities Linked to the RBC
Large Cap US Tactical Equity
Total Return Index

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interest and yield rates in the market; and
·
the time remaining to maturity of the Notes.
These factors may influence the payments on the Notes and their value prior to maturity. Our creditworthiness, as
represented by our credit ratings or as otherwise perceived in the market wil also affect the market value of the Notes.
The value of the Notes prior to maturity may be less than the principal amount.
There Are Potential Conflicts of Interest Between You and the Calculation Agent.
The Calculation Agent for the Notes wil , among other things, determine the Indicative Note Value on each Index Trading
Day, and the amount of your payment at maturity. Our whol y-owned subsidiary, RBCCM, wil serve as the Calculation
Agent. We may change the Calculation Agent during the term of the Notes without notice to you. The Calculation Agent
wil exercise its judgment when performing its functions. Since this determination by the Calculation Agent may affect the
payment due on the Notes, the Calculation Agent may have a conflict of interest if it needs to make a determination of this
kind.
Additional Risk Factors Related to the Index
The Index is exposed to the performance of the Relevant Futures Contract linked to the Underlying Index and, accordingly,
the risks associated with those assets. You should read the information set forth below concerning these assets.
Additional y, the Index has its own index methodology that wil affect the return on the Notes. You should understand how
the Index is calculated, including the risks in this section related to the Index.
The Index May Not Be Successful and May Underperform Alternative Investment Strategies.
There can be no assurance that the level of the Index wil increase over the term of the Notes. The performance of the
Index may be less favorable than alternative investment strategies that could be implemented relating to one or more of
the markets that are represented by the Relevant Futures Contract and the Underlying Index.
The Index Has Limited History and May Perform in Unexpected Ways.
The Index was launched on February 18, 2019. Accordingly, the Index has only limited performance history. Because the
Index was only recently developed, and has only limited performance history, an investment linked to the Index may
involve a greater degree of risk than an investment linked to one or more indices with a more significant record of
performance. A longer history of actual performance through various economic and market conditions may provide greater
information and more reliable information based on which an investor could assess the validity of the Index's investment
thesis and index methodology. A longer history of actual performance may also have made the Index more widely
accepted in the market and, consequently, less likely for the Index Calculation Agent to make any changes to the Index in
the future.
The Tactical Trigger Is Subject to Limitations.
The Index's methodology is based on the notion that, each month, the Tactical Trigger may provide an accurate indicator of
the future performance of the Relevant Futures Contract. In other words, the methodology is based on the notion that the
value of the Relevant Futures Contract is likely to appreciate if the Tactical Trigger indicates an al ocation to the Relevant
Futures Contract. However, there is no guarantee that this wil be the case. It is possible that the Index wil be al ocated to
the Relevant Futures Contract during one or more months in which that contract decreases in value, and/or that it wil be
al ocated away from the Relevant Futures Contract during one or more months in which that contract increases in value.
In addition, the Tactical Trigger is subject to a number of important limitations, including the fol owing:
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Past performance may not predict future performance. The fact that the price of the ETF is higher than its
Moving Average as of the relevant monthly measurement date does not necessarily mean that the price of the
Relevant Futures Contract wil perform favorably in the future. Future market conditions may differ from prior
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https://www.sec.gov/Archives/edgar/data/1000275/000114036120004295/form424b2.htm
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