Obligation Canadian Imperial Bank 0% ( US78015KLJ15 ) en USD

Canadian Imperial Bank

100 % ▼

Canada

US78015KLJ15 ( en USD )

31/01/2025 - Obligation échue

Prospectus brochure de l'obligation Royal Bank of Canada US78015KLJ15 en USD 0%, échue

1 000 USD

1 027 000 USD

78015KLJ1

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, identifiée par le code ISIN US78015KLJ15 et le code CUSIP 78015KLJ1, émise par la Royal Bank of Canada, représente un instrument financier dont le cycle de vie s'est achevé par son remboursement. La Royal Bank of Canada (RBC), l'émetteur, est reconnue comme l'une des plus grandes institutions financières du Canada et un acteur majeur sur la scène bancaire mondiale, offrant une gamme étendue de services qui couvrent la banque de détail et commerciale, la gestion de patrimoine, les marchés des capitaux et les assurances. Cette émission obligataire, originaire du Canada et libellée en dollars américains (USD), avait une taille totale d'émission de 1 027 000 unités, avec un seuil minimal d'acquisition fixé à 1 000 unités. Arrivée à sa maturité le 31 janvier 2025, cette obligation a été intégralement remboursée à 100% de sa valeur nominale, attestant de son dénouement conforme. Il est à noter que ce titre présentait un taux d'intérêt de 0% et une fréquence de paiement de 2. Concernant son évaluation par les agences, l'obligation n'avait pas été notée par Moody's, comme l'indique la mention NR.

424B2 1 form424b2.htm UKX BOOST BAR NO CAP 5Y 78015KLJ1
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

T his pric ing supple m e nt a m e nds a nd re st a t e s t he pric ing supple m e nt file d on J a nua ry 2 9 , 2 0 2 0 .

Pricing Supplement
$1,027,000
Barrier
Dated January 28, 2020
Booster
To the Product Prospectus Supplement ERN-EI-1, Prospectus Supplement, and Prospectus Each Dated
Notes
September 7, 2018
Linked to
the FTSE®
100 Index,
Due
January
31, 2025
Royal Bank
of Canada

Royal Bank of Canada is offering the Barrier Booster Notes (the "Notes") linked to the performance of the FTSE® 100 Index (the "Reference
Asset").
The CUSIP number for the Notes is 78015KLJ1. If the Final Level is greater than or equal to the Initial Level but the Percentage Change does
not exceed the Booster Percentage of 55%, the Notes provide a fixed return equal to the Principal Amount plus the Booster Coupon. If the Final
Level is greater than the Initial Level and the Percentage Change exceeds the Booster Percentage, the Notes provide a one-for-one positive
return based upon the increase in the level of the Reference Asset. If the Final Level is less than the Barrier Level (70% of the Initial Level), you
will receive an amount at maturity that is proportionate to the decrease in the Reference Asset over the term of the Notes, and you may lose up
to 100% of your initial investment. Any payments on the Notes are subject to our credit risk.
Booster Coupon: 55%
Issue Date: January 31, 2020
Maturity Date: January 31, 2025
The Notes do not pay interest. The Notes will not be listed on any securities exchange.
Investing in the Notes involves a number of risks. See "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" beginning 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 these securities or determined that
this pricing supplement is truthful or complete. Any representation to the contrary is a criminal offense.

Per Note

Total
Price to public(1)
100.00%

$1,027,000
Underwriting discounts and commissions(1)
3.25%

$33,377.50
Proceeds to Royal Bank of Canada
96.75%

$993,622.50
https://www.sec.gov/Archives/edgar/data/1000275/000114036120001818/form424b2.htm[1/30/2020 1:45:56 PM]

(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.
The initial estimated value of the Notes as of the Trade Date was $948.89 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
SU M M ARY
The information in this "Summary" section is qualified by the more detailed information set forth in this pricing supplement, the
product prospectus supplement, the prospectus supplement, and the prospectus.

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

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

Reference Asset:
FTSE® 100 Index ("UKX")

Currency:
U.S. Dollars

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

Trade Date (Pricing
January 28, 2020
Date):

Issue Date:
January 31, 2020

Valuation Date:
January 28, 2025

Maturity Date:
January 31, 2025, subject to extension for market and other disruptions, as described in the product
prospectus supplement.

Payment at Maturity
If, on the Valuation Date, the Percentage Change is ze ro or posit ive , but does not exceed the
(if held to maturity):
Booster Percentage, then the investor will receive an amount equal to the principal amount plus the
Booster Coupon.
If, on the Valuation Date, the Percentage Change is greater than the Booster Percentage, then the
investor will receive an amount equal to:

Principal Amount + (Principal Amount x Percentage Change)

If, on the Valuation Date, the Percentage Change is le ss t ha n 0 % , but not by m ore t ha n the
Barrier Percentage (that is, the Percentage Change is between -0.01% and -30%), then the investor
will receive the principal amount only.
If, on the Valuation Date, the Percentage Change is ne ga t ive , by m ore t ha n the Barrier
Percentage (that is, the Percentage Change is between -30.01% and -100%), then the investor will
receive a cash payment equal to:
Principal Amount + (Principal Amount x Percentage Change)
In this case, you will lose all or a significant portion of the principal amount of the Notes.

Percentage Change:
The Percentage Change, expressed as a percentage, is calculated using the following formula:
https://www.sec.gov/Archives/edgar/data/1000275/000114036120001818/form424b2.htm[1/30/2020 1:45:56 PM]

Initial Level:
7,480.69, which was the closing level of the Reference Asset on the Trade Date.

Final Level:
The closing level of the Reference Asset on the Valuation Date.

Booster Percentage:
55%

P-2
RBC Capital Markets, LLC

Barrier Booster Notes

Booster Coupon:
55% of the principal amount.

Barrier Percentage:
30%

Barrier Level:
5,236.48, which is 70% of the Initial Level (rounded to two decimal places).

Principal at Risk:
T he N ot e s a re NOT princ ipa l prot e c t e d. Y ou m a y lose a ll or a subst a nt ia l port ion of
your princ ipa l a m ount a t m a t urit y if t he re is a pe rc e nt a ge de c re a se from t he I nit ia l
Le ve l t o t he Fina l Le ve l of m ore t ha n 3 0 % .

Calculation Agent:
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 Notes as a pre-paid cash-settled
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 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. T he a m ount t ha t you m a y re c e ive upon sa le of your N ot e s
prior t o m a t urit y m a y be le ss t ha n t he princ ipa l a m ount of your N ot e s.

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

Clearance and
DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as
Settlement:
described under "Description of Debt Securities--Ownership and Book-Entry Issuance" in the
prospectus dated September 7, 2018).

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 dated September 7, 2018, as modified by this pricing supplement.

P-3
RBC Capital Markets, LLC

Barrier Booster Notes
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
https://www.sec.gov/Archives/edgar/data/1000275/000114036120001818/form424b2.htm[1/30/2020 1:45:56 PM]

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.

P-4
RBC Capital Markets, LLC

Barrier Booster Notes
H Y POT H ET I CAL RET U RN S
The examples set out below are included for illustration purposes only. The hypot he t ic a l Percentage Changes of the Reference
Asset used to illustrate the calculation of the Payment at Maturity (rounded to two decimal places) are not estimates or forecasts of
the Final Level or the level of the 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 30% (the Barrier Level is 70% of
the Initial Level), the Booster Percentage of 55%, and the Booster Coupon of 55% of the principal, and that no market disruption
event occurs on the Valuation Date.
Example 1-- Calculation of the Payment at Maturity where the Percentage Change is positive, but less than the Booster
Percentage.

Percentage Change:
5%

Payment at Maturity:
$1,000 + ($1,000 x 55%) = $1,000 + $550 = $1,550

On a $1,000 investment, a 5% Percentage Change results in a Payment at Maturity of $1,550, a 55% return on the
Notes.
Example 2-- Calculation of the Payment at Maturity where the Percentage Change is positive and exceeds the Booster
Percentage.

Percentage Change:
65%

Payment at Maturity:
$1,000 + ($1,000 x 65%) = $1,000 + $650 = $1,650

On a $1,000 investment, a 65% Percentage Change results in a Payment at Maturity of $1,650, a 65% return on the
Notes.
Example 3-- Calculation of the Payment at Maturity where the Percentage Change is negative (but not by more than the Barrier
Percentage).
https://www.sec.gov/Archives/edgar/data/1000275/000114036120001818/form424b2.htm[1/30/2020 1:45:56 PM]

Percentage Change:
-10%

Payment at Maturity:
At maturity, if the Percentage Change 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 is negative (by more than the Barrier
Percentage).

Percentage Change:
-55%

Payment at Maturity:
$1,000 + ($1,000 x -55%) = $1,000 - $550 = $450

On a $1,000 investment, a -55% Percentage Change results in a Payment at Maturity of $450, a -55% return on the
Notes.

P-5
RBC Capital Markets, LLC

Barrier Booster Notes
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
Asset. These risks are explained in more detail in the section "Additional Risk Factors Specific to the Notes," beginning on page
PS-4 of the product prospectus supplement. In addition to the risks described in the prospectus supplement and the product
prospectus supplement, you should consider the following:
·
Princ ipa l a t Risk Investors in the Notes could lose all or a substantial portion of their principal amount if the level of
the Reference Asset declines by more the Barrier Percentage. You will lose 1% of the principal amount of your Notes for
each 1% that the Final Level is less than the Initial Level if the Final Level is less than the Barrier Level.
·
T he N ot e s Do N ot Pa y I nt e re st a nd Y our Re t urn M a y Be Low e r t ha n t he Re t urn on a Conve nt iona l
De bt Se c urit y of Com pa ra ble M a t urit y There will be no periodic interest payments on the Notes as there would
be on a conventional fixed-rate or floating-rate debt security having the same maturity. The return that you will receive on
the Notes, which could be negative, may be less than the return you could earn on other investments. Your return may be
less than the return you would earn if you bought a conventional senior interest bearing debt security of Royal Bank.
·
Pa ym e nt s on t he N ot e s Are Subje c t t o Our Cre dit Risk , a nd Cha nge s in Our Cre dit Ra t ings Are
Ex pe c t e d t o Affe c t t he M a rk e t V a lue of t he N ot e s The Notes are Royal Bank's senior unsecured debt
securities. As a result, your receipt of the amount due on the maturity date is dependent upon Royal Bank's ability to repay
its obligations at that time. This will be the case even if the level of the Reference Asset increases 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.
·
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 Asse t As a holder of the
Notes, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of
securities included in the Reference Asset would have. The Final Level will not reflect any dividends paid on the securities
included in the Reference Asset, and accordingly, any positive return on the Notes may be less than the potential positive
return on those securities.
·
T he I nit ia l Est im a t e d V a lue of t he N ot e s I s Le ss t ha n t he Pric e t o t he Public The initial estimated value
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 willing to purchase the Notes in any secondary market (if any exists) at any time. If you
https://www.sec.gov/Archives/edgar/data/1000275/000114036120001818/form424b2.htm[1/30/2020 1:45:56 PM]

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 Asset, the borrowing rate we
pay to issue securities of this kind, and the inclusion in the price to the public of the underwriting discount and the
estimated costs relating to our hedging of the Notes. These factors, together with various credit, market and economic
factors over the term of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any
secondary market and will affect the value of the Notes in complex and unpredictable ways. Assuming no change in
market conditions or any other relevant factors, the price, if any, at which you may be able to sell your Notes prior to
maturity may be less than your original purchase price, as any such sale price would not be expected to include the
underwriting discount and the hedging costs relating to the Notes. In addition to bid-ask spreads, the value of the Notes
determined for any secondary market price is expected to be based on the secondary rate rather than the internal funding
rate used to price the Notes and determine the initial estimated value. As a result, the secondary price will be less than if
the internal funding rate

P-6
RBC Capital Markets, LLC

Barrier Booster Notes
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
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.
·
An I nve st m e nt in t he N ot e s I s Subje c t t o Risk s Re la t ing t o N on -U .S. Se c urit ie s M a rk e t s  Because
foreign companies or foreign equity securities included in the Reference Asset are publicly traded in the U.K. and are
denominated in pound sterling, an investment in the securities involves particular risks. For example, the non-U.S.
securities markets may be more volatile than the U.S. securities markets, and market developments may affect these
markets differently from the U.S. or other securities markets. Direct or indirect government intervention to stabilize the
securities markets outside the U.S., as well as cross-shareholdings in certain companies, may affect trading prices and
trading volumes in those markets. Also, the public availability of information concerning the foreign issuers may vary
depending on their home jurisdiction and the reporting requirements imposed by their respective regulators. In addition, the
foreign issuers may be subject to accounting, auditing and financial reporting standards and requirements that differ from
those applicable to U.S. reporting companies.
·
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 Asset. We may also publish research from time to time on financial markets and other
matters that may influence the levels of the Reference Asset or the value of the Notes, or express opinions or provide
recommendations that may be inconsistent with the purchasing or holding the Notes or with the investment view implicit in
the Notes or the Reference Asset. You should make your own independent investigation of the merits of investing in the
Notes and the Reference Asset.
·
M a rk e t Disrupt ion Eve nt s a nd Adjust m e nt s The payment at maturity and the Valuation Date are subject to
adjustment as described in the product prospectus supplement. For a description of what constitutes a market disruption
event as well as the consequences of that market disruption event, see "General Terms of the Notes--Market Disruption
Events" in the product prospectus supplement.

P-7
RBC Capital Markets, LLC

https://www.sec.gov/Archives/edgar/data/1000275/000114036120001818/form424b2.htm[1/30/2020 1:45:56 PM]

Barrier Booster Notes
I N FORM AT I ON REGARDI N G T H E REFEREN CE ASSET
All disclosures contained in this terms supplement regarding the Reference Asset, including, without limitation, its make-up, method of
calculation, and changes in its components, have been derived from publicly available sources. The information reflects the policies of, and is
subject to change by, the sponsor of the Reference Asset, FTSE (as defined below). FTSE has no obligation to continue to publish, and may
discontinue publication of, the Reference Asset. The consequences of FTSE discontinuing publication of the 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 the Reference Asset or any successor
index.
T he FT SE® 1 0 0 I nde x ("U K X ")
The FTSE® 100 Index (the "UKX") is a market capitalization-weighted index of the 100 most highly capitalized U.K.-listed blue chip companies
traded on the London Stock Exchange. The UKX was developed with a base level of 1,000 as of December 30, 1983. It is calculated, published
and disseminated by FTSE International Limited ("FTSE"), a company owned by the London Stock Exchange Plc (the "Exchange"). Additional
information on the UKX is available from the following website: www.ftserussell.com/. We are not incorporating by reference the website or any
material it includes in this document. FTSE is under no obligation to continue to publish the UKX and may discontinue publication of the UKX at
any time.
I nde x Com posit ion a nd Se le c t ion Crit e ria
The UKX consists of the 100 largest U.K.-listed blue chip companies, based on full market capitalization, that pass screening tests for size and
liquidity. The UKX is reviewed on a quarterly basis in March, June, September and December based on data from the close of business on the
Tuesday before the first Friday of the review month. The FTSE Russell Europe, Middle East & Africa Regional Advisory Committee (the
"Committee"), meets quarterly to approve the constituents of the index. These meetings are held on the Wednesday before the first Friday in
March, June, September and December. Any constituent changes are implemented after the close of business on the third Friday of the review
month (i.e., effective Monday), following the expiration of the ICE Futures Europe futures and options contracts.
Eligibilit y St a nda rds
Only "premium listed" equity shares, as defined by the Financial Conduct Authority in its Listing Rules Sourcebook, are eligible for inclusion in
the UKX. Eligible stocks must pass price and liquidity screens before being included in the index. Additionally, a stock generally must have a
minimum free float (as described below) of 25% if the issuing company is UK incorporated and greater than 50% if it is non-UK incorporated.
Price Screen -- With regard to the price screen, the Committee must be satisfied that an accurate and reliable price exists for purposes of
determining the market value of a company. To be eligible for inclusion in the UKX, a stock must have a full listing on the London Stock
Exchange with a Sterling-denominated price on SETS (SETS is the London Stock Exchange's trading service for UK blue chip securities).
Liquidity Screen -- With regard to liquidity, each eligible stock is tested for liquidity annually in June by calculating its median daily trading per
month. When calculating the median of daily trades per month of any security, a minimum of five trading days in each month must exist,
otherwise the month is excluded from the test. Liquidity is tested from the first business day in May of the previous year to the last business day
of April in the current year. The median trade is calculated by ranking each daily trade total and selecting the middle-ranking day. Any period of
suspension is not included in the test. The liquidity test is applied on a pro-rata basis where the testing period is less than 12 months. A stock not
presently included in the UKX that does not turnover at least 0.025% of its shares in issue (after application of any investability weightings)
based on its median daily trade per month in at least ten of the 12 months prior to the annual index review in June will not be eligible for
inclusion until the next annual review. An existing constituent failing to trade at least 0.015% of its shares in issue (after the application of any
investability weightings) based on its median daily trade per month for at least eight of the 12 months prior to the annual index review will be
removed from the UKX and will not be eligible for inclusion until the next annual review. New issues will become eligible for inclusion in the index
at the quarterly review following their issuance provided that they have a minimum trading record of at least 20 trading days prior to the review
date and that they have turned over at least 0.025% of their shares in issue (after the application of any investability weightings) based on their
median daily trade per month since listing.

P-8
RBC Capital Markets, LLC
https://www.sec.gov/Archives/edgar/data/1000275/000114036120001818/form424b2.htm[1/30/2020 1:45:56 PM]

Barrier Booster Notes
In addition, in order to be included in the UKX, a company is required to have greater than 5% of its voting rights (aggregated across all of its
equity securities, including, where identifiable, those that are not listed or trading) in the hands of unrestricted shareholders. Current constituents
of this index that who do not meet this requirement will have until the September 2022 review to meet the requirement; otherwise they will be
removed from the UKX.
Market Capitalization Ranking -- Eligible stocks that pass the price and liquidity screens are ranked by the Committee according to their market
capitalization before the application of any adjustments based on the extent to which the shares are publicly traded. Only listed equity shares of
a constituent company will be included in the calculation of its market capitalization. Where a company has two or more classes of listed equity,
secondary lines will be included in the calculation of the market capitalization of the company based on the market price of that secondary line.
The Committee will add a stock to the UKX at the quarterly review if it has risen to 90th place or above on the full market capitalization rankings
and will delete a stock at the quarterly review if it has fallen to 111th place or below on these rankings. Market capitalization rankings are
calculated using data as of the close of business on the day before the review.
100 Constituent Limitation -- The UKX always contains 100 constituents. If a greater number of companies qualify to be inserted in the index
than qualify to be removed, the lowest ranking constituents of the index will be removed so that the total number of stocks remains at 100
following inclusion of those that qualify to be inserted. Likewise, if a greater number of companies qualify to be removed than to be inserted at
the quarterly review, securities of the highest ranking companies that are then not included in the UKX will be inserted to match the number of
companies being removed, in order to maintain the total at 100.
I nde x Ca lc ula t ion
The UKX is a market capitalization weighted index. This means that the price movement of a larger company (that is, one representing larger
percentage of the index) will have a greater effect on the level of the index than will the price movement of a smaller company (that is, one
representing a smaller percentage of the index).
The value of the UKX is represented by a fraction, (a) the numerator of which is the sum of the product of (i) the price of each component stock,
(ii) the number of shares issued for each such component and (iii) a free float factor for each such component (described more fully below), and
(b) the denominator of which is a divisor. The divisor represents the total issued share capital of the index on the base date; the divisor may be
adjusted as necessary to allow for changes in issued share capital of individual securities without distorting the index.
As noted above, a free float factor is applied to each index component. By employing this approach, FTSE uses the investable market
capitalization, not the total market capitalization, of each constituent to determine the value of the UKX. Investable market capitalization is full
market capitalization adjusted for free float restrictions and foreign ownership limits. The following are excluded from free float: shares directly
owned by state, regional, municipal and local governments (excluding shares held by independently managed pension schemes for
governments); shares held by sovereign wealth funds where each holding is 10% or greater of the total number of shares in issue; shares held
by directors, senior executives and managers of the company, and by their family and direct relations, and by companies with which they are
affiliated; shares held within employee share plans; shares held by public companies or by non-listed subsidiaries of public companies; shares
held by founders, promoters, former directors, founding venture capital and private equity firms, private companies and individuals (including
employees) where the holding is 10% or greater of the total number of shares in issue; all shares where the holder is subject to a lock-in clause
(for the duration of that clause, after which free float changes resulting from the expiration of a lock-in clause will be implemented at the next
quarterly review subject to the lock-in expiry date occurring on or prior to the share and free float change information cut-off date, which is
typically the Friday five weeks prior to effective date); shares held for publicly announced strategic reasons, including shares held by several
holders acting in concert; and shares that are subject to ongoing contractual agreements (such as swaps) where they would ordinarily be treated
as restricted.
The UKX is recalculated whenever errors or distortions occur that are deemed to be significant. Users of the UKX are notified through
appropriate media.
I nde x M a int e na nc e
The UKX is reviewed quarterly for changes in free float. A stock's free float is also reviewed and adjusted if necessary following certain corporate
events. Adjustments due to mergers and acquisitions are applied to the index after the action is determined to be final, typically after the close
of the last trade date of the target company, with provision of appropriate notice. Following the application of an initial free float restriction, a
https://www.sec.gov/Archives/edgar/data/1000275/000114036120001818/form424b2.htm[1/30/2020 1:45:56 PM]

stock's free float will only be changed if its rounded free float moves more than three percentage points

P-9
RBC Capital Markets, LLC

Barrier Booster Notes
above or below the existing rounded free float. Companies with a free float of 15% or below will not be subject to the three percentage points
threshold and will be updated if the change is greater than one percentage point.
At each quarterly review, the Committee publishes a Reserve List containing the six highest ranking non-constituents of the UKX. The Reserve
List will be used in the event that one or more constituents are deleted from the index during the period up to the next quarterly review. If a
merger or takeover results in one index constituent being absorbed by another constituent, the resulting company will remain a constituent and a
vacancy will be created. This vacancy will be filled by selecting the highest ranking security in the Reserve List as at the close of the UKX
calculation two days prior to the deletion and related index adjustment. If an index constituent is taken over by a non-constituent company, the
original constituent will be removed and replaced by the highest ranking non-constituent on the Reserve List. Any eligible company resulting
from the takeover will be eligible to become the replacement company if it is ranked higher than any other company on the Reserve List. If a
constituent company is split to form two or more companies, then the resulting companies will be eligible for inclusion as UKX constituents,
based on their respective full market capitalizations (before the application of any investability weightings), provided that they qualify in all other
respects. Any eligible company resulting from a split that has no available market price after 20 business days will be removed. If a split results
in the inclusion of an ineligible non-equity security, such security will remain in the UKX for two trading days and then be removed. If a
constituent is delisted or ceases to have a firm quotation, it will be removed from the list of constituents and be replaced by the highest ranking
eligible company from the Reserve List as at the close of the index calculation two days prior to the deletion.
Ca pit a liza t ion Adjust m e nt s
A premium listed secondary line of a company will be considered for index inclusion if its total market capitalization before the application of any
adjustments based on the extent to which the shares are publicly traded, is greater than 25% of the total market capitalization of the company's
principal line and the secondary line is eligible, in its own right. Should the total market capitalization of a secondary line fall below 20% of the
total market capitalization of the company's principal line at an annual review, the secondary line will be deleted from the UKX unless its total
market capitalization remains above the qualification level for continued inclusion as a constituent of the UKX at that review. Where a company
has partly paid shares, these shares, together with the outstanding call(s), are both included in the UKX. Warrants to purchase ordinary shares
and convertible securities are not included in the UKX until the quarterly review after they have been exercised or converted.
Share Weighting Changes -- For the purposes of computing the UKX, the number of shares in issue for each constituent security is expressed
to the nearest share and, to prevent a large number of insignificant weighting changes, the number of shares in issue for each constituent
security is amended only when the total shares in issue held within the index system changes by more than 1% on a cumulative basis. Changes
will be made quarterly after the close of business on the third Friday of March, June, September and December. The data for free float and
share changes prior to the quarterly free-float and share changes cut-off date will be taken.
If a corporate action is applied to a constituent which involves a change in the number of shares in issue, the change in shares will be applied
simultaneously with the corporate action. Share and free float changes will be implemented outside of the quarterly update cycle if primary
offerings of new shares or secondary offerings of existing shares results in (i) a $1 billion investable market capitalization change, or (ii) a 5%
change in index shares and a $250 million investable market capitalization change. Typically, changes will be implemented after the close on the
day that the subscription periods close. If discovery of the event occurs more than two days after the close of the subscription period, the
changes will be deferred until the next quarterly review.
Shares in Issue Increase -- When a company increases the number of shares it has in issue, the market capitalization of that company
increases and the total market capitalization will rise accordingly. The index divisor is adjusted to maintain a constant index value.
Weighting Amendments -- The market capitalization of a company is adjusted to take account of various corporate actions. To prevent the value
of the UKX from changing due to such an event, all corporate actions which affect the market capitalization of the UKX require an offsetting
divisor adjustment. By adjusting the divisor, the value of the UKX remains constant before and after the event. Below is a summary of the more
frequent corporate actions and their resulting adjustment.

P-10
RBC Capital Markets, LLC
https://www.sec.gov/Archives/edgar/data/1000275/000114036120001818/form424b2.htm[1/30/2020 1:45:56 PM]

Barrier Booster Notes
T ype of Corpora t e Ac t ion
Adjust m e nt
Adjust m e nt t o Divisor
Issue of new shares
Share weighting increased
Yes
Share repurchase
Share weighting decreased
Yes
Bonus issued or stock split
Share weighting and share price
No
adjusted according to the terms of the
split
Rights Issues -- A rights issue is where a company raises new capital by offering shareholders additional shares at a set ratio with a discount to
the market price. The rights become attached to the shares on a set date--the ex-date. On this date, the price of the company's underlying
shares will fall by the value of the rights. The effect of the rights issue is an increase the market capitalization of the company by the value of the
additional shares created by the rights issue less the value of the fall in the share price. The share weighting of the company and index divisor
are also adjusted to prevent the index falling in line with the reduction in the share price on the ex-date.
In the event that the market price is equal to or below the rights offer price at the close of business immediately before trading ex-dividend, no
adjustments will be made. In this circumstance, any resulting new shares will only be added to the index weighting once the take-up proportion
is known and together with any associated change to the company's free float. If the rights issue is highly dilutive and the ratio is greater than
ten to one, FTSE will include the new shares on a separate temporary line to reflect the market value of the right (together with a temporary line
fixed at the value of the outstanding rights subscription price) until the end of the subscription period, at which point the temporary lines will be
deleted and the new shares will be merged into the existing share line. In the event the rights issue involves non-equity and the value of the
right cannot be determined, there will be no adjustment to the parent stock on the ex-date. The rights line will be included in the index at a value
of zero on the ex-date (with no inclusion of the cash call value). If the rights line trades, it will be deleted at the market price after two days. If it
does not trade, it will be deleted at a value of zero.
M a rk e t Disrupt ion
If there is a system problem or situation in the market that is judged by FTSE to affect the quality of the constituent prices at any time when the
index is being calculated, the index will be declared indicative (e.g. normally where a "fast market" exists in the equity market). The message
"IND" will be displayed against the index value calculated by FTSE. The Committee must be satisfied that an accurate and reliable price for the
purposes of determining the market value of a company exists. The Committee may exclude a security from the UKX should it consider that an
"accurate and reliable" price is not available.
FTSE will follow the steps set out in the FTSE Russell Index Recalculation Guidelines when determining whether an index or index series should
be recalculated and/or associated data products reissued as a result of an inaccuracy.
Lic e nse Agre e m e nt
The Notes are not in any way sponsored, endorsed, sold or promoted by FTSE or by the Exchange or by The Financial Times Limited ("FT") and
neither FTSE or Exchange or FT makes any warranty or representation whatsoever, expressly or impliedly, either as to the results to be
obtained from the use of the FTSE® 100 Index and/or the figure at which the said FTSE® 100 Index stands at any particular time on any
particular day or otherwise. The FTSE® 100 Index is compiled and calculated solely by FTSE. However, neither FTSE or the Exchange or FT
shall be liable (whether in negligence or otherwise) to any person for any error in the FTSE® 100 Index and neither FTSE or the Exchange or FT
shall be under any obligation to advise any person of any error therein. "FTSE100" is a trademark of London Stock Exchange Plc and The
Financial Times Limited and are used by FTSE under license. "All-World" is a trademark of FTSE.

P-11
RBC Capital Markets, LLC

Barrier Booster Notes
https://www.sec.gov/Archives/edgar/data/1000275/000114036120001818/form424b2.htm[1/30/2020 1:45:56 PM]

Document Outline

#1">
- #1">