Obligation Royal Bank of Canada 4.2% ( US78013XDY13 ) en USD

Société émettrice Royal Bank of Canada
Prix sur le marché 100 %  ⇌ 
Pays  Canada
Code ISIN  US78013XDY13 ( en USD )
Coupon 4.2% par an ( paiement semestriel )
Echéance 18/01/2023 - Obligation échue



Prospectus brochure de l'obligation Royal Bank of Canada US78013XDY13 en USD 4.2%, échue


Montant Minimal 1 000 USD
Montant de l'émission 1 000 000 USD
Cusip 78013XDY1
Notation Standard & Poor's ( S&P ) N/A
Notation Moody's NR
Description détaillée 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 Royal Bank of Canada (ISIN : US78013XDY13, CUSIP : 78013XDY1), émise au Canada en USD pour un montant total de 1 000 000 USD avec une taille minimale d'achat de 1 000 USD, portant un taux d'intérêt de 4,2% et échéant le 18/01/2023, a été remboursée à son prix nominal de 100% à maturité; la fréquence de paiement était semestrielle, et l'obligation n'a pas été notée par Moody's.







424B2 1 form424b2.htm PS SPX PHOEN NO CALL
RBC Ca pit a l M a rk e t s®
File d Pursua nt t o Rule 4 2 4 (b)(2 )
Re gist ra t ion St a t e m e nt N o. 3 3 3 -2 0 8 5 0 7




Pricing Supplement

$1,000,000
Dated January 12, 2018
Contingent Coupon Barrier Notes Linked to
To the Product Prospectus Supplement TP-2, January 11, 2016,
and the Prospectus Supplement and Prospectus, Each Dated
the S&P 500® Index,
January 8, 2016
due January 18, 2023
Royal Bank of Canada


Royal Bank of Canada is offering Contingent Coupon Barrier Notes (the "Notes") linked to the performance of the S&P 500® Index (the "Reference Index").
The Notes offered are senior unsecured obligations of Royal Bank of Canada, and will pay a quarterly Contingent Coupon at the annual rate of 4.20% if the
level of the Reference Index is equal to or greater than its Coupon Barrier. The CUSIP number for the Notes is 78013XDY1.
At maturity, we will pay the principal amount of the Notes, unless the Final Level of the Reference Index is less than its Trigger Level. If the Final Level of
the Reference Index is less than its Trigger Level, instead of the principal amount, you will receive an amount of cash which will be less than the principal
amount, based upon the percentage decrease of the Reference Index. I nve st ors c ould lose som e or a ll of t he ir inve st m e nt a t m a t urit y if
t he re ha s be e n a de c line in t he le ve l of t he Re fe re nc e I nde x .
Any payments on the Notes are subject to our credit risk.
Issue Date: January 18, 2018
Maturity Date: January 18, 2023
The Notes will not be listed on any securities exchange.
Investing in the Notes involves a number of risks. See "Selected Risk Factors" beginning on page P-7 of this pricing supplement, "Risk Factors" beginning
on page S-1 of the prospectus supplement dated January 8, 2016, and "Risk Factors" beginning on page PS-4 of the product prospectus supplement dated
January 11, 2016.
The Notes will not constitute deposits insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation or any other
Canadian or U.S. government agency or instrumentality.
Neither the Securities and Exchange Commission (the "SEC") 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.

Per Note


Total
Price to public(1)
100.00%

$1,000,000.00
Underwriting discounts and commissions(1)
1.25%

$12,500.00
Proceeds to Royal Bank of Canada
98.75%

$987,500.00
(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 $987.50 and $1,000 per $1,000 in principal amount.
RBC Capital Markets, LLC, which we refer to as RBCCM, acting as agent for Royal Bank of Canada, received a commission of $12.50 per $1,000 in
principal amount of the Notes and used all or a portion of that commission to allow selling concessions to other dealers of up to $12.50 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)" on page P-15 below.
The initial estimated value of the Notes as of the date of this pricing supplement is $942.21 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.
We may use this pricing supplement in the initial sale of the Notes. In addition, RBCCM or another of our affiliates may use this pricing supplement in a
market-making transaction in the Notes after their initial sale. Unless we or our agent informs the purchaser otherwise in the confirmation of sale, this
pricing supplement is being used in a market-making transaction.


RBC Capital Markets, LLC

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Contingent Coupon Barrier Notes
Linked to the S&P 500® Index
Due January 18, 2023

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. As used in this pricing supplement, the
"Company," "we," "us," or "our" refers to Royal Bank of Canada.
Issuer:
Royal Bank of Canada ("Royal Bank")
Issue:
Senior Global Medium-Term Notes, Series G
Currency:
U.S. Dollars
Minimum
$1,000 and minimum denominations of $1,000 in excess thereof
Investment:
Trade Date:
January 12, 2018
Issue Date:
January 18, 2018
CUSIP:
78013XDY1
Valuation Date:
January 12, 2023
Maturity Date:
January 18, 2023
Contingent Coupon:
We will pay you a Contingent Coupon during the term of the Notes, periodically in arrears on each Coupon

Payment Date, under the conditions described below:
If the closing level of the Reference Index is greater than or equal to its Coupon Barrier on the applicable
Observation Date, we will pay the Contingent Coupon applicable to that Observation Date.
However, if the closing level of the Reference Index is less than its Coupon Barrier on the applicable
Observation Date, we will not pay you the Contingent Coupon applicable to that Observation Date.
You may not receive a Contingent Coupon for one or more quarterly periods during the term of the Notes.
Contingent Coupon
4.20% per annum (1.05% per quarter).
Rate:
Observation Dates:
Quarterly on April 12, 2018, July 12, 2018, October 12, 2018, January 14, 2019, April 12, 2019, July 12,
2019, October 14, 2019, January 13, 2020, April 13, 2020, July 13, 2020, October 12, 2020, January 12,
2021, April 12, 2021, July 12, 2021, October 12, 2021, January 12, 2022, April 12, 2022, July 12, 2022,
October 12, 2022 and the Valuation Date, subject to postponement as described in the product prospectus
supplement.
Coupon Payment
Three business days following each Observation Date, subject to postponement as described in the product
Dates:
prospectus supplement.
Initial Level:
2,786.24, which was the closing level of the Reference Index on the Trade Date.
Final Level:
The closing level of the Reference Index on the Valuation Date.
Trigger Level and
1650.85, which is 59.25% of the Initial Level (rounded to two decimal places).
Coupon Barrier:
Payment at Maturity: We will pay you at maturity an amount based on the Final Level of the Reference Index:


P-2
RBC Capital Markets, LLC


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Contingent Coupon Barrier Notes
Linked to the S&P 500® Index
Due January 18, 2023


· If the Final Level is greater than or equal to its Trigger Level, we will pay you a cash payment equal
to the principal amount plus the Contingent Coupon otherwise due on the Maturity Date.
· If the Final Level is below its Trigger Level, you will receive at maturity, for each $1,000 in principal
amount, a cash payment equal to:
Principal Amount + (Principal Amount x Percentage Change)
Percentage Change: For the Reference Index, an amount, expressed as a percentage, equal to:
Final Level- Initial Level
Initial Level
Call Prior to
We will not have the option to redeem the Notes prior to maturity, and the Notes are not automatically
Maturity:
callable prior to maturity.
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 contingent
income-bearing derivative contract 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 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. T he a m ount t ha t you m a y re c e ive upon sa le of your N ot e s prior t o
m a t urit y m a y be le ss t ha n t he princ ipa l a m ount of your N ot e s.
Listing:
The Notes will not be listed on any securities exchange.
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).
Terms Incorporated
All of the terms appearing above the item captioned "Secondary Market" on pages P-2 and P-3 of this
in the Master Note:
pricing supplement and the terms appearing under the caption "General Terms of the Notes" in the product
prospectus supplement, as modified by this pricing supplement.


P-3
RBC Capital Markets, LLC


Contingent Coupon Barrier Notes
Linked to the S&P 500® Index
Due January 18, 2023

ADDI T I ON AL T ERM S OF Y OU R N OT ES
You should read this pricing supplement together with the prospectus dated January 8, 2016, as supplemented by the prospectus
supplement dated January 8, 2016 and the product prospectus supplement dated January 11, 2016, relating to our Senior Global
Medium-Term Notes, Series G, of which these Notes are a part. Capitalized terms used but not defined in this pricing supplement
will have the meanings given to them in the product prospectus supplement. In the event of any conflict, this pricing supplement
will control. The Notes vary from the terms described in the product prospectus supplement in several important ways. For
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example, the Notes are not callable prior to maturity. You should read this pricing supplement carefully.
This pricing supplement, together with the documents listed below, contains the terms of the Notes and supersedes all prior or
contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours.
You should carefully consider, among other things, the matters set forth in "Risk Factors" in the prospectus supplement dated
January 8, 2016 and in the product prospectus supplement dated January 11, 2016, 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 SEC website at www.sec.gov as follows (or if that address has changed, by
reviewing our filings for the relevant date on the SEC website):
Prospectus dated January 8, 2016:
http://www.sec.gov/Archives/edgar/data/1000275/000121465916008810/j18160424b3.htm
Prospectus Supplement dated January 8, 2016:
https://www.sec.gov/Archives/edgar/data/1000275/000121465916008811/p14150424b3.htm
Product Prospectus Supplement TP-2 dated January 11, 2016:
https://www.sec.gov/Archives/edgar/data/1000275/000114036116047489/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.


P-4
RBC Capital Markets, LLC


Contingent Coupon Barrier Notes
Linked to the S&P 500® Index
Due January 18, 2023

H Y POT H ET I CAL EX AM PLES
The table set out below is included for illustration purposes only. The table illustrates the Payment at Maturity of the Notes
(excluding the final Contingent Coupon, if payable) for a hypothetical range of performance for the Reference Index, assuming an
Initial Level of 100.00, a Trigger Level of 59.25 and an initial investment of $1,000. Hypothetical Final Levels are shown in the first
column on the left. The actual Initial Level and Trigger Level of the Reference Index are set forth on P-2 of this pricing
supplement. The second column shows the Payment at Maturity for a range of Final Levels on the Valuation Date. The third
column shows the amount of cash to be paid on the Notes per $1,000 in principal amount. It is possible that the Final Level will
be less than its Initial Level.
Pa ym e nt a t M a t urit y a s
Ca sh Pa ym e nt
H ypot he t ic a l Fina l
Pe rc e nt a ge of Princ ipa l
Am ount pe r $ 1 ,0 0 0
Le ve l
Am ount
in Princ ipa l Am ount
130.00
100.00%
$1,000.00
120.00
100.00%
$1,000.00
110.00
100.00%
$1,000.00
100.00
100.00%
$1,000.00
85.00
100.00%
$1,000.00
70.00
100.00%
$1,000.00
60.00
60.00%
$1,000.00
59.25
59.25%
$1,000.00
59.00
59.00%
$590.00
50.00
50.00%
$500.00
25.00
25.00%
$250.00
0.00
0.00%
$0.00
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P-5
RBC Capital Markets, LLC


Contingent Coupon Barrier Notes
Linked to the S&P 500® Index
Due January 18, 2023

H ypot he t ic a l Ex a m ple s of Am ount s Pa ya ble a t M a t urit y
The following hypothetical examples illustrate how the total returns set forth in the table above are calculated.
Ex a m ple 1 : T he le ve l of t he Re fe re nc e I nde x inc re a se s by 2 5 % from t he I nit ia l Le ve l of 1 0 0 .0 0 t o t he Fina l
Le ve l of 1 2 5 .0 0 . Because the level of the Reference Index is greater than the Trigger Level and its Coupon Barrier of 59.25,
the investor receives at maturity, in addition to any Contingent Coupon otherwise due on the Notes, a cash payment of $1,000 per
Note, despite the 25% appreciation in the level of the Reference Index.
Ex a m ple 2 : T he le ve l of t he Re fe re nc e I nde x de c re a se s by 1 5 % from t he I nit ia l Le ve l of 1 0 0 .0 0 t o t he Fina l
Le ve l of 8 5 .0 0 . Because the level of the Final Level greater than the Trigger Level and its Coupon Barrier of 59.25, the investor
receives at maturity, in addition to any Contingent Coupon otherwise due on the Notes, a cash payment of $1,000 per Note, despite
the 15% decline in the level of Reference Index.
Ex a m ple 3 : T he le ve l of t he Re fe re nc e Asse t de c re a se s by 5 0 % from t he I nit ia l Le ve l of 1 0 0 .0 0 t o t he Fina l
Le ve l of 5 0 .0 0 . Because the closing level of the Reference Index is less than the Trigger Level of 59.25, the final Contingent
Coupon will not be payable on the Maturity Date, and we will pay only $500.00 for each $1,000 in the principal amount of the
Notes, calculated as follows:
Principal Amount + (Principal Amount x Percentage Change)
=$1,000 + ($1,000 x -50.00%) = $1,000 - $500.00 = $500.00
The Payments at Maturity shown above are entirely hypothetical; they are based on levels of the Reference Index 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 sell your Notes, may bear little relation to the hypothetical
Payments at Maturity 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 the Reference Index.


P-6
RBC Capital Markets, LLC


Contingent Coupon Barrier Notes
Linked to the S&P 500® Index
Due January 18, 2023

SELECT ED RI SK FACT ORS
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the securities
included in the Reference Index. These risks are explained in more detail in the section "Risk Factors," 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 some or all of their principal amount if there is a decline in the
level of the Reference Index between the Trade Date and the Valuation Date. If the Final Level of the Reference Index on
the Valuation Date is less than the Trigger Level, the amount of cash that you receive at maturity will represent a loss of
your principal that is proportionate to the decline in the closing level of the Reference Index. Any Contingent Coupons
received on the Notes prior to the maturity date may not be sufficient to compensate for any such loss.
·
Y ou M a y N ot Re c e ive a ny Cont inge nt Coupons -- We will not necessarily make any coupon payments on the
Notes. If the closing level of the Reference Index on an Observation Date is less than the Coupon Barrier, we will not pay
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you the Contingent Coupon applicable to that Observation Date. If the closing level of any of the Reference Index is less
than the Coupon Barrier on each of the Observation Dates and on the Valuation Date, we will not pay you any Contingent
Coupons during the term of, and you will not receive a positive return on, your Notes. Generally, this non-payment of the
Contingent Coupon coincides with a period of greater risk of principal loss on your Notes. Accordingly, if we do not pay the
Contingent Coupon for the final Observation Date on the Maturity Date, you will also incur a loss of principal, because the
Final Level will be less than the Trigger Level.
·
T he Cont inge nt Coupon Fe a t ure Lim it s Y our Pot e nt ia l Re t urn -- The return potential of the Notes is limited to
the pre-specified Contingent Coupon Rate, regardless of the appreciation of the Reference Index. The total return on the
Notes will vary based on the number of Observation Dates on which the Contingent Coupon becomes payable prior to
maturity. You may be subject to the full downside performance of the Reference Index even though your potential return is
limited to the Contingent Coupon Rate. As a result, the return on an investment in the Notes could be less than the return
on a direct investment in the securities represented by the Reference Index.
·
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
-- The return that you will receive on the Notes, which could be negative, may be less than the return you could earn on
other investments. Even if your return is positive, your return may be less than the return you would earn if you bought a
conventional senior interest bearing debt security of Royal Bank.
·
Pa ym e nt s on t he N ot e s Are Subje c t t o Our Cre dit Risk , a nd Cha nge s in Our Cre dit Ra t ings Are
Ex pe c t e d t o Affe c t t he M a rk e t V a lue of t he N ot e s -- The Notes are Royal Bank's senior unsecured debt
securities. As a result, your receipt of the Contingent Coupon payments, if payable, and the amount due on the maturity
date is dependent upon Royal Bank's ability to repay its obligations on the applicable payment dates. This will be the case
even if the level of the Reference Index increases after the Trade Date. No assurance can be given as to what our financial
condition will be at any time during the term of the Notes.
·
T he re M a y N ot Be a n Ac t ive T ra ding M a rk e t for t he N ot e s--Sa le s in t he Se c onda ry M a rk e t M a y Re sult
in Signific a nt Losse s -- There may be little or no secondary market for the Notes. The Notes will not be listed on any
securities exchange. RBCCM and other affiliates of Royal Bank may make a market for the Notes; however, they are not
required to do so. RBCCM or any other affiliate of Royal Bank may stop any market-making activities at any time. Even if a
secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We
expect that transaction costs in any secondary market would be high. As a result, the difference between bid and asked
prices for your Notes in any secondary market could be substantial.
·
Y ou Will N ot H a ve Any Right s t o t he Se c urit ie s I nc lude d in t he Re fe re nc e I nde x -- Investing in the Notes
will not make you a holder of any of the securities included in the Reference Index. As a holder of the Notes, you will not
have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the


P-7
RBC Capital Markets, LLC


Contingent Coupon Barrier Notes
Linked to the S&P 500® Index
Due January 18, 2023

constituent stocks included in the Reference Index would have. The payments on the Notes will not reflect any dividends
paid on the securities included in the Reference Index.
·
T he I nit ia l Est im a t e d V a lue of t he N ot e s I s Le ss t ha n t he Pric e t o t he Public ­ The initial estimated value
set forth on the cover page of this pricing supplement does not represent a minimum price at which we, RBCCM or any of
our 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 level of the Reference Index, the borrowing rate we pay to issue
securities of this kind, and the inclusion in the price to the public of the underwriting discount and the estimated costs
relating to our hedging of the Notes. These factors, together with various credit, market and economic factors over the term
of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any secondary market and will
affect the value of the Notes in complex and unpredictable ways. Assuming no change in market conditions or any other
relevant factors, the price, if any, at which you may be able to sell your Notes prior to maturity may be less than your
original purchase price, as any such sale price would not be expected to include the underwriting discount and the hedging
costs relating to the Notes. In addition to bid-ask spreads, the value of the Notes determined for any secondary market
price is expected to be based on the secondary rate rather than the internal funding rate used to price the Notes and
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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 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
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 Index. We may also publish research from time to time on financial markets and other
matters that may influence the levels of the Reference Index 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 Index. You should make your own independent investigation of the merits of investing in the Notes
and the Reference Index.
·
M a rk e t Disrupt ion Eve nt s a nd Adjust m e nt s ­ The payment dates are subject to adjustment as described in the
product prospectus supplement. For a description of what constitutes a market disruption event as well as the
consequences of that market disruption event, see "General Terms of the Notes--Market Disruption Events" in the product
prospectus supplement.


P-8
RBC Capital Markets, LLC


Contingent Coupon Barrier Notes
Linked to the S&P 500® Index
Due January 18, 2023

I N FORM AT I ON REGARDI N G T H E REFEREN CE I N DEX
All disclosures contained in this pricing supplement regarding the Reference Index, including, without limitation, its 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 S&P Dow Jones Indices LLC ("S&P"). S&P, which owns the copyright and all other
rights to the Reference Index, has no obligation to continue to publish, and may discontinue publication of, the Reference Index.
The consequences of S&P discontinuing publication of the Reference Index are discussed in the section of the product prospectus
supplement entitled "General Terms of the Notes--Unavailability of the Level of a Reference Index." Neither we nor RBCCM
accepts any responsibility for the calculation, maintenance or publication of the Reference Index or any successor index.
T he SPX
The Reference Index is intended to provide an indication of the pattern of common stock price movement. The calculation of the
level of the Reference Index is based on the relative value of the aggregate market value of the common stocks of 500 companies
as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the
base period of the years 1941 through 1943.
S&P Dow Jones Indices LLC ("S&P") calculates the Reference Index 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 Reference Index 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 Reference Index.
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
Reference Index while a second listed share class line of the same company is excluded.
Com put a t ion of t he Re fe re nc e I nde x
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While S&P currently employs the following methodology to calculate the Reference Index, no assurance can be given that S&P will
not modify or change this methodology in a manner that may affect the payments on the Notes.
Historically, the market value of any component stock of the Reference Index 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 criteria for selecting stocks for the Reference Index did not change with the shift to float adjustment.
However, the adjustment affects each company's weight in the Reference Index.
Under float adjustment, the share counts used in calculating the Reference Index 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.


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Treasury stock, stock options, equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the
float. Shares held in a trust to allow investors in countries outside the country of domicile, such as depositary shares and Canadian
exchangeable shares are normally part of the float unless those shares form a control block.
For each stock, an investable weight factor ("IWF") is calculated by dividing the available float shares by the total shares
outstanding. Available float shares are defined as the total shares outstanding less shares held by control holders. This
calculation is subject to a 5% minimum threshold for control blocks. For example, if a company's officers and directors hold 3% of
the company's 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 Reference Index. Constituents of the Reference Index prior to July 31,
2017 with multiple share class lines will be grandfathered in and continue to be included in the Reference Index. If a constituent
company of the Reference Index reorganizes into a multiple share class line structure, that company will remain in the Reference
Index at the discretion of the S&P Index Committee in order to minimize turnover
The Reference Index is calculated using a base-weighted aggregate methodology. The level of the Reference Index 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 Reference Index. The index divisor
keeps the Reference Index comparable over time and is the manipulation point for all adjustments to the Reference Index, which is
index maintenance.
I nde x M a int e na nc e
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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
Reference Index, and do not require index divisor adjustments.
To prevent the level of the Reference Index from changing due to corporate actions, corporate actions which affect the total market
value of the Reference Index 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 Reference Index. Index
divisor adjustments are made after the close of trading and after the calculation of the SPX closing level.
Changes in a company's total shares outstanding of 5% or more due to public offerings are made as soon as reasonably possible.
Other changes of 5% or more (for example, due to tender offers, Dutch auctions, voluntary exchange offers, company stock
repurchases, private placements, acquisitions of private companies or non-index companies that do not trade on a major exchange,
redemptions, exercise of options, warrants, conversion of preferred stock, notes, debt, equity participations, at-the-market stock
offerings or other recapitalizations) are made weekly, and are generally announced on Fridays for implementation after the close of
trading the following Friday (one week later). If a 5% or more share change causes a company's IWF to change by five percentage
points or more, the IWF is updated at the same time as the share change. IWF changes resulting from partial tender offers are
considered on a case-by-case basis.
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 Reference Index is a product of S&P and/or its affiliates and has been licensed for use by us.


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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 relationship to us with respect to the Reference Index is the licensing of the Reference Index and certain trademarks,
service marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The Reference Index 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
Reference Index. 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 Reference Index
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 Reference Index. 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 REFERENCE INDEX 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,
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AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR
USE OR AS TO RESULTS TO BE OBTAINED BY US, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY
FROM THE USE OF THE REFERENCE INDEX 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 Reference Index. In addition, below the
graph is a table setting forth the intra-day high, intra-day low and period-end closing levels of the Reference Index. The
information provided in these tables is for the four calendar quarters of 2008, 2009, 2010, 2011, 2012, 2013, 2014, 2015, 2016,
2017 and the first calendar quarter of 2018 for the period from January 1, 2018 through January 12, 2018.
We obtained the information regarding the historical performance of the Reference Index in the graph and table 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 Reference Index should not be taken as an indication of its future performance, and no assurance
can be given as to its Final Level. We cannot give you assurance that the performance of the Reference Index will result in any
positive return on your initial investment.
S& P 5 0 0 ® I nde x ("SPX ")


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