Obligation Canadian Imperial Bank 0% ( US78014F2213 ) en USD

Canadian Imperial Bank

100 % ▲

Canada

US78014F2213 ( en USD )

28/01/2022 - Obligation échue

Prospectus brochure de l'obligation Royal Bank of Canada US78014F2213 en USD 0%, échue

1 000 USD

17 613 000 USD

78014F221

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.

Cet instrument de dette, identifié par le code ISIN US78014F2213 et le code CUSIP 78014F221, était une obligation émise par la Royal Bank of Canada (RBC), l'une des plus grandes institutions financières du Canada et un acteur majeur sur la scène bancaire mondiale, reconnue pour sa stabilité et son offre diversifiée de services financiers ; libellée en dollars américains (USD) et émise depuis le Canada, cette obligation se caractérisait par un taux d'intérêt nul (0%), ce qui en faisait un titre à escompte ou une obligation zéro-coupon, où le rendement potentiel était réalisé à l'échéance par le remboursement à parité ; avec une taille totale d'émission s'élevant à 17 613 000 USD et une taille minimale d'acquisition de 1 000 USD, le titre, qui s'échangeait à un prix de 100% sur le marché, spécifiait une fréquence de paiement semestrielle bien que l'absence de coupon ait signifié l'absence de versements périodiques ; cette obligation est arrivée à sa maturité le 28 janvier 2022 et a été intégralement remboursée, attestant de la complétion du cycle de vie de l'actif et du respect des engagements par l'émetteur.

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424B2 1 form424b2.htm ML 2Y CAPPED ABS RET BUFFER (SPX) 78014F221

Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-227001
(To Prospectus dated September 7, 2018,
Prospectus Supplement dated September 7,
2018 and
Product Supplement EQUITY INDICES LIRN-1
dated
September 25, 2018)

1,761,341 Units
Pricing Date
January 30, 2020
$10 principal amount per unit
Settlement Date
February 6, 2020
CUSIP No. 78014F221
Maturity Date
January 28, 2022

Capped Notes with Absolute Return Buffer Linked to
the S&P 500® Index
Maturity of approximately two years
1-to-1 upside exposure to increases in the Index, subject to a capped return of 10.00%
A positive return equal to the absolute value of the percentage decline in the level of the Index only if the Index does
not decline by more than 11.62% (e.g., if the negative return of the Index is -5.00%, you wil receive a positive return
of +5.00%)
1-to-1 downside exposure to decreases in the Index beyond a 11.62% decline, with up to 88.38% of your principal at
risk
Al payments occur at maturity and are subject to the credit risk of Royal Bank of Canada
No periodic interest payments
In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.075 per unit.
See "Structuring the Notes"
Limited secondary market liquidity, with no exchange listing
The notes are unsecured debt securities and are not savings accounts or insured deposits of a bank. The notes are
not insured or guaranteed by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance
Corporation, or any other governmental agency of Canada or the United States

The notes are being issued by Royal Bank of Canada ("RBC"). There are important differences between the notes and a
conventional debt security, including different investment risks and certain additional costs. See "Risk Factors" beginning on
page TS-6 of this term sheet and page PS-6 of product supplement EQUITY INDICES LIRN-1.
The initial estimated value of the notes as of the pricing date is $9.7405 per unit, which is less than the public offering price
listed below. See "Summary" on the following page, "Risk Factors" beginning on page TS-6 of this term sheet and "Structuring the Notes"
on page TS-12 of this term sheet for additional information. The actual value of your notes at any time will reflect many factors and cannot
be predicted with accuracy.
None of the Securities and Exchange Commission (the "SEC"), any state securities commission, or any other regulatory body has
approved or disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any
representation to the contrary is a criminal offense.

Per Unit
Total
Public offering price
$10.00
$17,613,410.00
Underwriting discount
$ 0.20
$352,268.20
Proceeds, before expenses, to RBC
$ 9.80
$17,261,141.80
The notes:
Are Not FDIC Insured
Are Not Bank Guaranteed
May Lose Value
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BofA Securities
January 30, 2020
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Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due January 28, 2022
Summary
The Capped Notes with Absolute Return Buffer Linked to the S&P 500® Index, due January 28, 2022 (the "notes") are our senior unsecured debt
securities. The notes are not guaranteed or insured by the Canada Deposit Insurance Corporation or the U.S. Federal Deposit Insurance
Corporation or secured by col ateral. The notes will rank equally with all of our other unsecured and unsubordinated debt. Any payments
due on the notes, including any repayment of principal, will be subject to the credit risk of RBC. The notes are not bail-inable notes (as
defined in the prospectus supplement). The notes provide you a 1:1 return, subject to a cap, if the Ending Value of the Market Measure, which
is the S&P 500® Index (the "Index"), is greater than the Starting Value. If the Ending Value is less than the Starting Value but greater than or equal
to the Threshold Value, you wil receive a positive return equal to the absolute value of the percentage decline in the Index from the Starting Value
to the Ending Value (e.g., if the negative return of the Index is -5.00%, you wil receive a positive return of +5.00%). If the Ending Value is less
than the Threshold Value, you wil lose a portion, which could be significant, of the principal amount of your notes. Any payments on the notes wil
be calculated based on the $10 principal amount per unit and wil depend on the performance of the Index, subject to our credit risk. See "Terms
of the Notes" below.
The economic terms of the notes (including the Threshold Value) are based on our internal funding rate, which is the rate we would pay to borrow
funds through the issuance of market-linked notes and the economic terms of certain related hedging arrangements. Our internal funding rate is
typical y lower than the rate we would pay when we issue conventional fixed or floating rate debt securities. This difference in funding rate, as wel
as the underwriting discount and the hedging related charge described below, reduced the economic terms of the notes to you and the initial
estimated value of the notes on the pricing date. Due to these factors, the public offering price you pay to purchase the notes is greater than the
initial estimated value of the notes.
On the cover page of this term sheet, we have provided the initial estimated value for the notes. This initial estimated value was determined
based on our and our affiliates' pricing models, which take into consideration our internal funding rate and the market prices for the hedging
arrangements related to the notes. For more information about the initial estimated value and the structuring of the notes, see "Structuring the
Notes" on page TS-12.
Terms of the Notes
Redemption Amount
Issuer:
Royal Bank of Canada ("RBC")
Determination
Principal
$10.00 per unit
Amount:
On the maturity date, you wil receive a cash payment per unit determined
Term:
Approximately two years
as fol ows:
Market Measure: The S&P 500® Index (Bloomberg symbol: "SPX"), a
price return index.
Notwithstanding anything to the contrary in the accompanying product

supplement, the Redemption Amount wil be determined as set forth in this
Starting Value:
3,283.66
term sheet.
Ending Value:
The average of the closing levels of the Market
Measure on each calculation day occurring during the
Maturity Valuation Period. The scheduled calculation
days are subject to postponement in the event of
Market Disruption Events, as described beginning on
page PS-18 of product supplement EQUITY INDICES
LIRN-1.
Threshold Value: 2,902.10 (88.38% of the Starting Value, rounded to
two decimal places).
Participation
100%
Rate:
Capped Value:
$11.00 per unit, which represents a return of 10.00%
over the principal amount.
Maturity
January 19, 2022, January 20, 2022, January 21,
Valuation
2022, January 24, 2022 and January 25, 2022
Period:
Fees and
The underwriting discount of $0.20 per unit listed on
Charges:
the cover page and the hedging related charge of
$0.075 per unit described in "Structuring the Notes" on
page TS-.
Calculation
BofA Securities, Inc. ("BofAS").
Agent:
Capped Notes with Absolute Return Buffer
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Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due January 28, 2022
The terms and risks of the notes are contained in this term sheet and in the following:

Product supplement EQUITY INDICES LIRN-1 dated September 25, 2018:
https://www.sec.gov/Archives/edgar/data/1000275/000114036118039041/form424b5.htm

Series H MTN prospectus supplement dated September 7, 2018:
https://www.sec.gov/Archives/edgar/data/1000275/000121465918005975/f97180424b3.htm

Prospectus dated September 7, 2018:
https://www.sec.gov/Archives/edgar/data/1000275/000121465918005973/l96181424b3.htm
As a result of the completion of the reorganization of Bank of America's U.S. broker-dealer business, references to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S") in the accompanying product supplement EQUITY INDICES LIRN-1 and prospectus
supplement, as such references relate to MLPF&S's institutional services, should be read as references to BofAS.
These documents (together, the "Note Prospectus") have been filed as part of a registration statement with the SEC, which may, without
cost, be accessed on the SEC website as indicated above or obtained from MLPF&S or BofAS by calling 1-800-294-1322. Before you
invest, you should read the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or
contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus.
Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement EQUITY INDICES LIRN-1.
Unless otherwise indicated or unless the context requires otherwise, all references in this document to "we," "us," "our," or similar
references are to RBC.
To the extent the determination of the Redemption Amount and other terms described in this term sheet are inconsistent with those
described in the accompanying product supplement, prospectus supplement or prospectus, the determination of the Redemption Amount
and other terms described in this term sheet shall control.
Investor Considerations
You may wish to consider an investment in the notes if:
The notes may not be an appropriate investment for you if:

You anticipate that the Index will either increase moderately

You believe that the Index will decrease from the Starting
from the Starting Value to the Ending Value or decrease from
Value to an Ending Value that is below the Threshold Value
the Starting Value to an Ending Value that is at or above the
or that it will not increase sufficiently over the term of the
Threshold Value.
notes to provide you with your desired return.

You are willing to risk a loss of principal and return if the

You seek 100% principal repayment or preservation of
Index decreases from the Starting Value to an Ending Value
capital.
that is below the Threshold Value.

You seek an uncapped return on your investment.

You accept that the return on the notes will be capped.

You seek interest payments or other current income on your

You are willing to forgo the interest payments that are paid on
investment.
conventional interest bearing debt securities.

You want to receive dividends or other distributions paid on

You are willing to forgo dividends or other benefits of owning
the stocks included in the Index.
the stocks included in the Index.

You seek an investment for which there will be a liquid

You are willing to accept a limited or no market for sales prior
secondary market.
to maturity, and understand that the market prices for the
notes, if any, will be affected by various factors, including our

You are unwilling or are unable to take market risk on the
notes or to take our credit risk as issuer of the notes.
actual and perceived creditworthiness, our internal funding
rate and fees and charges on the notes.

You are willing to assume our credit risk, as issuer of the
notes, for all payments under the notes, including the
Redemption Amount.
We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.
Capped Notes with Absolute Return Buffer
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Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due January 28, 2022
Hypothetical Payout Profile and Examples of Payments at
Maturity
Capped Notes with Absolute Return Buffer
This graph reflects the returns on the notes, based on the
Participation Rate of 100%, the Threshold Value of 88.38% of the
Starting Value and the Capped Value of $11.00 per unit. The
green line reflects the returns on the notes, while the dotted gray
line reflects the returns of a direct investment in the stocks
included in the Index, excluding dividends.
This graph has been prepared for purposes of illustration only.

The following table and examples are for purposes of illustration only. They are based on hypothetical values and show hypothetical
returns on the notes. They illustrate the calculation of the Redemption Amount and total rate of return based on a hypothetical Starting
Value of 100, a hypothetical Threshold Value of 88.38, the Participation Rate of 100%, the Capped Value of $11.00 per unit and a range of
hypothetical Ending Values. The actual amount you receive and the resulting total rate of return will depend on the actual Starting
Value, Threshold Value and Ending Value and whether you hold the notes to maturity. The following examples do not take into
account any tax consequences from investing in the notes.
For recent actual levels of the Market Measure, see "The Index" section below. The Index is a price return index and as such the Ending
Value will not include any income generated by dividends paid on the stocks included in the Index, which you would otherwise be entitled
to receive if you invested in those stocks directly. In addition, all payments on the notes are subject to issuer credit risk.
Percentage Change from the
Starting Value to the Ending
Total Rate of Return on the
Ending Value

Value
Redemption Amount per Unit
Notes
0.00

-100.00%

$1.162

-88.38%
50.00

-50.00%

$6.162

-38.38%
80.00

-20.00%

$9.162

-8.38%
88.38(1)

-11.62%

$11.162

11.62%
90.00

-10.00%

$11.000

10.00%
94.00

-6.00%

$10.600

6.00%
97.00

-3.00%

$10.300

3.00%
100.00(2)

0.00%

$10.000

0.00%
102.00

2.00%

$10.200

2.00%
105.00

5.00%

$10.500

5.00%
110.00

10.00%

$11.000(3)

10.00%
120.00

20.00%

$11.000

10.00%
130.00

30.00%

$11.000

10.00%
140.00

40.00%

$11.000

10.00%
150.00

50.00%

$11.000

10.00%
160.00

60.00%

$11.000

10.00%
(1)
This is the hypothetical Threshold Value.
(2)
The hypothetical Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual Starting
Value is 3,283.66, which was the closing level of the Market Measure on the pricing date.
(3)
Any positive return based on the appreciation of the Index cannot exceed the return represented by the Capped Value.
Capped Notes with Absolute Return Buffer
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Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due January 28, 2022
Redemption Amount Calculation Examples
Example 1
The Ending Value is 80.00, or 80.00% of the Starting Value:
Starting Value: 100.00
Threshold
Value:
88.38
Ending Value:
80.00
Redemption Amount per unit
Example 2
The Ending Value is 88.38, or 88.38% of the Starting Value:
Starting Value: 100.00
Threshold
Value:
88.38
Ending Value:
88.38
Redemption Amount (per unit) = $11.162. Since the Ending Value is less than the Starting Value but equal to or greater than the
Threshold Value, the Redemption Amount for the notes will be the principal amount plus a positive return equal to the absolute value of
the negative return of the Index.
Example 3
The Ending Value is 105.00, or 105.00% of the Starting Value:
Starting Value: 100.00
Ending Value:
105.00
= $10.50 Redemption Amount per unit
Example 4
The Ending Value is 130.00, or 130.00% of the Starting Value:
Starting Value: 100.00
Ending Value:
130.00
= $13.00, however, because any positive return based on the appreciation of the
Index cannot exceed the return represented by the Capped Value, the Redemption
Amount will be $11.00 per unit.
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Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due January 28, 2022
Risk Factors
There are important differences between the notes and a conventional debt security. An investment in the notes involves significant risks, including those
listed below. You should careful y review the more detailed explanation of risks relating to the notes in the "Risk Factors" sections beginning on page PS-6
of product supplement EQUITY INDICES LIRN-1, page S-1 of the MTN prospectus supplement, and page 1 of the prospectus identified above. We also
urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.

Depending on the performance of the Index as measured shortly before the maturity date, your investment may result in a loss;
there is no guaranteed return of principal.

Any positive return on the notes is limited. The notes provide for a positive return if the level of the Index increases or does not
decrease by more than 11.62%. However, any positive return on the notes based on the appreciation of the Index will be limited
to the return represented by the Capped Value. In addition, the absolute value return feature applies only if the Ending Value is
less than the Starting Value but greater than or equal to the Threshold Value. Because the Threshold Value is 88.38% of the
Starting Value, any positive return due to the depreciation of the Index is limited to 11.62%. Any decline in the Ending Value from
the Starting Value by more than 11.62% will result in a loss, rather than a positive return, on the notes.

Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of
comparable maturity.

Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to
affect the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire investment.

Your investment return may be less than a comparable investment directly in the stocks included in the Index.

The initial estimated value of the notes is an estimate only, determined as of a particular point in time by reference to our and our
affiliates' pricing models. These pricing models consider certain assumptions and variables, including our credit spreads, our
internal funding rate on the pricing date, mid-market terms on hedging transactions, expectations on interest rates and volatility,
price-sensitivity analysis, and the expected term of the notes. These pricing models rely in part on certain forecasts about future
events, which may prove to be incorrect.

The public offering price you pay for the notes exceeds the initial estimated value. If you attempt to sell the notes prior to
maturity, their market value may be lower than the price you paid for them and lower than the initial estimated value. This is due
to, among other things, changes in the level of the Index, our internal funding rate, and the inclusion in the public offering price of
the underwriting discount and the hedging related charge, all as further described in "Structuring the Notes" on page TS-12.
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.

The initial estimated value does not represent a minimum or maximum price at which we, MLPF&S, BofAS or any of our affiliates
would be willing to purchase your notes in any secondary market (if any exists) at any time. The value of your notes at any time
after issuance will vary based on many factors that cannot be predicted with accuracy, including the performance of the Index,
our creditworthiness and changes in market conditions.

A trading market is not expected to develop for the notes. None of us, MLPF&S or BofAS is obligated to make a market for, or to
repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any price in any secondary
market.

Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trades in
shares of companies included in the Index), and any hedging and trading activities we, MLPF&S, BofAS or our respective
affiliates engage in for our clients' accounts, may affect the market value and return of the notes and may create conflicts of
interest with you.

The Index sponsor may adjust the Index in a way that affects its level, and has no obligation to consider your interests.

You will have no rights of a holder of the securities represented by the Index, and you will not be entitled to receive securities or
dividends or other distributions by the issuers of those securities.

While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the Index,
except to the extent that the common stock of Bank of America Corporation (the parent company of MLPF&S and BofAS) is
included in the Index, we, MLPF&S, BofAS and our respective affiliates do not control any company included in the Index, and
have not verified any disclosure made by any other company.

There may be potential conflicts of interest involving the calculation agent, which is BofAS. We have the right to appoint and
remove the calculation agent.

The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See
"Summary of U.S. Federal Income Tax Consequences" below and "U.S. Federal Income Tax Summary" beginning on page PS-
30 of product supplement EQUITY INDICES LIRN-1. For a discussion of the Canadian federal income tax consequences of
investing in the notes, see "Tax Consequences--Canadian Taxation" in the prospectus dated September 7, 2018.
Capped Notes with Absolute Return Buffer
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Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due January 28, 2022
The Index
All disclosures contained in this term sheet regarding the Index, 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, S&P Dow Jones Indices LLC (the "Index sponsor"). The Index sponsor, which licenses the copyright and all other rights to the
Index, has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences of the Index sponsor
discontinuing publication of the Index are discussed in the section entitled "Description of LIRNs--Discontinuance of an Index" beginning
on page PS-19 of product supplement EQUITY INDICES LIRN-1. None of us, the calculation agent, MLPF&S or BofAS accepts any
responsibility for the calculation, maintenance or publication of the Index or any successor index.
The S&P 500® Index
The SPX is intended to provide an indication of the pattern of price movements among large-cap U.S. equity securities. The calculation of
the level of the SPX is based on the relative value of the aggregate market value of the common stocks of 500 companies as of a
particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period
of the years 1941 through 1943.
Eleven main groups of companies constitute the SPX, with the approximate percentage of the market capitalization of the SPX included in
each group as of December 31, 2019 indicated in parentheses: Information Technology (23.2%); Health Care (14.2%); Financials
(13.0%); Communication Services (10.4%); Consumer Discretionary (9.8%); Industrials (9.1%); Consumer Staples (7.2%); Energy (4.3%);
Utilities (3.3%); Real Estate (2.9%) and Materials (2.7%).The SPX sponsor may from time to time, in its sole discretion, add companies to,
or delete companies from, the SPX to achieve the objectives stated above.
The SPX sponsor calculates the SPX by reference to the prices of the constituent stocks of the SPX without taking account of the value of
dividends paid on those stocks. As a result, the return on the notes will not reflect the return you would realize if you actually owned the
SPX constituent stocks and received the dividends paid on those stocks.
Computation of the SPX
While the SPX sponsor currently employs the following methodology to calculate the SPX, no assurance can be given that the SPX
sponsor will not modify or change this methodology in a manner that may affect the Redemption Amount.
Historically, the market value of any component stock of the SPX was calculated as the product of the market price per share and the
number of then outstanding shares of such component stock. In March 2005, the SPX sponsor 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.
The SPX sponsor's criteria for selecting stocks for the SPX did not change with the shift to float adjustment. However, the adjustment
affects each company's weight in the SPX.
Under float adjustment, the share counts used in calculating the SPX reflect only those shares that are available to investors, not all of a
company's outstanding shares. Float adjustment excludes shares that are closely held by control groups, other publicly traded
companies or government agencies.
In September 2012, all shareholdings representing more than 5% of a stock's outstanding shares, other than holdings by "block owners,"
were removed from the float for purposes of calculating the SPX. Generally, these "control holders" will include officers and directors,
private equity, venture capital and special equity firms, other publicly traded companies that hold shares for control, strategic partners,
holders of restricted shares, ESOPs, employee and family trusts, foundations associated with the company, holders of unlisted share
classes of stock, government entities at all levels (other than government retirement/pension funds) and any individual person who
controls a 5% or greater stake in a company as reported in regulatory filings. However, holdings by block owners, such as depositary
banks, pension funds, mutual funds and ETF providers, 401(k) plans of the company, government retirement/pension funds, investment
funds of insurance companies, asset managers and investment funds, independent foundations and savings and investment plans, will
ordinarily be considered part of the float.
Treasury stock, stock options, equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float.
Shares held in a trust to allow investors in countries outside the country of domicile, such as depositary shares and Canadian
exchangeable shares are normally part of the float unless those shares form a control block. If a company has multiple classes of stock
outstanding, shares in an unlisted or non-traded class are treated as 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, the SPX sponsor 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, the SPX sponsor would assign an IWF of 0.77, reflecting the fact that 23% of the company's outstanding shares
are considered to be held for control. As of July 31, 2017, companies with multiple share class lines are no longer eligible for inclusion in
the SPX. Constituents of the SPX prior to July 31, 2017 with multiple share class lines will be grandfathered in and continue to be
included in the SPX. If a constituent company of the SPX reorganizes into a multiple share class line structure, that company will remain
in the SPX at the discretion of the SPX sponsor Committee in order to minimize turnover.
Capped Notes with Absolute Return Buffer
TS-7
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2/4/2020
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Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due January 28, 2022
The SPX is calculated using a base-weighted aggregate methodology. The level of the SPX reflects the total market value of all
component stocks relative to the base period of the years 1941 through 1943. An indexed number is used to represent the results of this
calculation in order to make the level easier to use and track over time. The actual total market value of the component stocks during the
base period of the years 1941 through 1943 has been set to an indexed level of 10. This is often indicated by the notation 1941- 43 = 10.
In practice, the daily calculation of the SPX is computed by dividing the total market value of the component stocks by the "index divisor."
By itself, the index divisor is an arbitrary number. However, in the context of the calculation of the SPX, it serves as a link to the original
base period level of the SPX. The index divisor keeps the SPX comparable over time and is the manipulation point for all adjustments to
the SPX, which is index maintenance.
Index Maintenance
Index maintenance includes monitoring and completing the adjustments for company additions and deletions, share changes, stock splits,
stock dividends, and stock price adjustments due to company restructuring or spinoffs. Some corporate actions, such as stock splits and
stock dividends, require changes in the common shares outstanding and the stock prices of the companies in the SPX, and do not require
index divisor adjustments.
To prevent the level of the SPX from changing due to corporate actions, corporate actions which affect the total market value of the SPX
require an index divisor adjustment. By adjusting the index divisor for the change in market value, the level of the SPX remains constant
and does not reflect the corporate actions of individual companies in the SPX. Index divisor adjustments are made after the close of
trading and after the calculation of the SPX closing level.
Changes in a company's shares outstanding and IWF due to its acquisition of another public company are made as soon as reasonably
possible. At the discretion of the SPX sponsor, de minimis merger and acquisition share changes are accumulated and implemented with
the quarterly share rebalancing.
All other changes of less than 5.00% are accumulated and made quarterly on the third Friday of March, June, September, and December.
Changes in a company's total shares outstanding of 5.00% or more due to public offerings are made as soon as reasonably possible.
Other changes of 5.00% 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 5.00% 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.
Capped Notes with Absolute Return Buffer
TS-8
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2/4/2020
https://www.sec.gov/Archives/edgar/data/1000275/000114036120002136/form424b2.htm
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index, due January 28, 2022
The following graph shows the daily historical performance of the Index in the period from January 1, 2010 through January 30,
2020. We obtained this historical data from Bloomberg L.P. We have not independently verified the accuracy or completeness
of the information obtained from Bloomberg L.P. On the pricing date, the closing level of the Index was 3,283.66.
Historical Performance of the Index
This historical data on the Index is not necessarily indicative of the future performance of the Index or what the value of the
notes may be. Any historical upward or downward trend in the level of the Index during any period set forth above is not an
indication that the level of the Index is more or less likely to increase or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available sources for the levels of the Index.
License Agreement
S&P® is a registered trademark of Standard & Poor's Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones
Trademark Holdings LLC ("Dow Jones"). These trademarks have been licensed for use by S&P Dow Jones Indices LLC. "Standard &
Poor's®," "S&P 500®" and "S&P®" are trademarks of S&P. These trademarks have been sublicensed for certain purposes by us. The
SPX is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by us.
The notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, 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 SPX is the licensing of the SPX and certain trademarks, service marks and/or trade names of S&P
Dow Jones Indices and/or its third party licensors. The SPX is determined, composed and calculated by S&P Dow Jones Indices without
regard to us or the notes. S&P Dow Jones Indices have no obligation to take our needs or the needs of holders of the notes into
consideration in determining, composing or calculating the SPX. S&P Dow Jones Indices are not responsible for and have not
participated in the determination of the prices, and amount of the notes or the timing of the issuance or sale of the notes or in the
determination or calculation of the equation by which the notes are to be converted into cash. S&P Dow Jones Indices have no obligation
or liability in connection with the administration, marketing or trading of the notes. There is no assurance that investment products based
on the SPX will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC and its
subsidiaries are not investment advisors. Inclusion of a security or futures contract within an index is not a recommendation by S&P Dow
Jones Indices to buy, sell, or hold such security or futures contract, nor is it considered to be investment advice. Notwithstanding the
foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the notes currently
being issued by us, but which may be similar to and competitive with the notes. In addition, CME Group Inc. and its affiliates may trade
financial products which are linked to the performance of the SPX. It is possible that this trading activity will affect the value of the notes.
S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF
THE SPX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN
COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES
SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW
JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY US,
HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE SPX OR WITH
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