ISSUER FREE WRITING PROSPECTUS
Filed Pursuant to Rule 433
Registration Statement No. 333-208507
Dated February 22, 2017
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Investment Description
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Features
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Key Dates1
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q
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Contingent Payment of Digital Return — If the Final Underlying Price is greater than or equal to the Digital Barrier (which is equal to the Downside Threshold), we will pay the principal amount at maturity plus a fixed return equal to the Digital Return. However, if the Final Underlying Price is less than the Downside Threshold, we will pay less than the full principal amount, resulting in a loss of 1% of the principal amount for every 1% decline in the price of the Underlying in excess of the Buffer. Accordingly, you may lose up to 90% of the principal amount of the Securities. The contingent payment of the Digital Return and the Buffer apply only at maturity. Any payment on the Securities, including any repayment of principal, is subject to our creditworthiness.
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Trade Date1 |
February 22, 2017
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Settlement Date1 |
February 27, 2017
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Final Valuation Date2 |
March 22, 2019
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Maturity Date2 |
March 28, 2019
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1
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Expected. In the event that we make any change to the expected Trade Date and Settlement Date, the Final Valuation Date and Maturity Date will be changed so that the stated term of the Securities remains approximately the same.
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2
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Subject to postponement in the event of a market disruption event and as described under “General Terms of the Securities—Payment at Maturity” in the accompanying product prospectus supplement no. UBS-EQUITY-1.
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NOTICE TO INVESTORS: THE SECURITIES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. THE ISSUER IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE SECURITIES AT MATURITY, AND THE SECURITIES HAVE DOWNSIDE MARKET RISK SIMILAR TO THE UNDERLYING, SUBJECT TO THE BUFFER. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING OUR DEBT OBLIGATION. YOU SHOULD NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE SECURITIES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER ‘‘KEY RISKS’’ BEGINNING ON PAGE 5 OF THIS FREE WRITING PROSPECTUS AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-4 OF THE ACCOMPANYING PRODUCT PROSPECTUS SUPPLEMENT NO. UBS-EQUITY-1 BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES. YOU MAY LOSE UP TO 90% OF THE PRINCIPAL AMOUNT OF THE SECURITIES.
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Security Offering
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Underlying
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Digital
Return
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Initial Underlying
Price
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Digital Barrier
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Downside Threshold
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Buffer
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CUSIP/ISIN
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iShares® MSCI EAFE ETF (“EFA”)
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14.05%
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●
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90% of the Initial Underlying Price (rounded to two decimal places)
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90% of the Initial Underlying Price (rounded to two decimal places)
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10%
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78014E448 / US78014E4483
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Price to Public
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Fees and Commissions(1)
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Proceeds to Us
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Offering of the Securities
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Total
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Per Security
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Total
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Per Security
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Total
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Per Security
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Securities Linked to the iShares® MSCI EAFE ETF (“EFA”)
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●
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$10.00
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●
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$0.10
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●
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$9.90
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UBS Financial Services Inc.
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RBC Capital Markets, LLC
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Additional Information About Royal Bank of Canada and the Securities
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¨ |
Product prospectus supplement no. UBS-EQUITY-1 dated January 4, 2017:
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Prospectus supplement dated January 8, 2016:
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Prospectus dated January 8, 2016:
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Investor Suitability
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You fully understand the risks inherent in an investment in the Securities, including the risk of loss of a significant portion of your initial investment.
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You can tolerate the loss of up to 90% of the principal amount of the Securities and are willing to make an investment that has similar downside market risk as a hypothetical investment in the Underlying, subject to the Buffer at maturity.
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You believe that the price of the Underlying will not decrease to a price that is below the Downside Threshold or increase by more than the Digital Return.
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You understand and accept that you will not participate in any appreciation in the price of the Underlying and your potential positive return is fixed at the Digital Return.
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You would be willing to invest in the Securities based on the Digital Return indicated on the cover page of this free writing prospectus.
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You can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the price of the Underlying.
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You fully understand and accept the risks associated with the Underlying.
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You do not seek current income from your investment and are willing to forgo dividends paid on the Underlying.
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You are willing to hold the Securities to maturity and accept that there may be little or no secondary market for the Securities.
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You are willing to assume our credit risk for all payments under the Securities, and understand that if we default on our obligations, you may not receive any amounts due to you, including any repayment of principal.
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You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of a significant portion of your initial investment.
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You require an investment designed to provide a full return of principal at maturity.
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You cannot tolerate the loss of up to 90% of the principal amount of the Securities, and you are not willing to make an investment that has similar downside market risk as a hypothetical investment in the Underlying, subject to the Buffer at maturity.
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You believe that the price of the Underlying will decrease to a price that is below the Downside Threshold or increase by more than the Digital Return.
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You seek an investment that participates in the appreciation in the price of the Underlying or that has unlimited return potential.
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You would be unwilling to invest in the Securities based on the Digital Return indicated on the cover page of this free writing prospectus.
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You cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the price of the Underlying.
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You do not fully understand or are not willing to accept the risks associated with the Underlying.
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You seek current income from this investment or prefer to receive the dividends paid on the Underlying.
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You are unable or unwilling to hold the Securities to maturity or you seek an investment for which there will be an active secondary market.
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¨
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You are not willing to assume our credit risk for all payments under the Securities, including any repayment of principal.
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Indicative Terms of the Securities1
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Investment Timeline
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Issuer:
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Royal Bank of Canada
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Issue Price:
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$10 per Security (subject to a minimum purchase of 100 Securities).
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Principal Amount:
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$10 per Security.
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Term2:
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Approximately 25 months
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Underlying:
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iShares® MSCI EAFE ETF (the “Fund”)
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Digital Return:
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14.05%
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Payment at Maturity
(per $10 Security):
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If the Final Underlying Price is greater than or equal to the Digital Barrier (which is equal to the Downside Threshold), we will pay you:
$10 + ($10 x Digital Return)
If the Final Underlying Price is less than the Downside Threshold, we will pay you:
$10 + [$10 × (Underlying Return + Buffer)]
If the Final Underlying Price is less than the Downside Threshold, you will be exposed to the decline in the Underlying in excess of the Buffer and lose up to 90% of the principal amount of the Securities at maturity.
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Underlying Return:
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Final Underlying Price – Initial Underlying Price
Initial Underlying Price
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Initial Underlying
Price:
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The Closing Price of the Underlying on the Trade Date.
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Final Underlying
Price:
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The Closing Price of the Underlying on the Final Valuation Date.
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Digital Barrier:
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90% of the Initial Underlying Price (rounded to two decimal places)
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Downside Threshold:
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90% of the Initial Underlying Price (rounded to two decimal places)
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Buffer:
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10%
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Trade Date:
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The Initial Underlying Price, Digital Barrier and Downside Threshold are determined.
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Maturity Date:
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The Final Underlying Price and Underlying Return are determined.
If the Final Underlying Price is greater than or equal to the Digital Barrier (which is equal to the Downside Threshold), we will pay you a cash payment per $10 Security that provides you with your principal amount plus a fixed return equal to the Digital Return. Your payment at maturity per $10 Security will be equal to:
$10 + ($10 x Digital Return)
If the Final Underlying Price is less than the Downside Threshold, we will pay you a cash payment that is less than the full principal amount of $10.00 per Security, resulting in a loss of 1% of principal for every 1% decline in the Underlying in excess of the Buffer. Accordingly, the payment at maturity per Security would be calculated as follows:
$10 + [$10 × (Underlying Return + Buffer)]
In this scenario, you will lose up to 90% of the principal amount of the Securities.
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Key Risks
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Your Investment in the Securities May Result in a Loss of Principal: The Securities differ from ordinary debt securities in that we are not necessarily obligated to repay the full principal amount of the Securities at maturity. The return on the Securities at maturity is linked to the performance of the Underlying and will depend on whether, and the extent to which, the Underlying Return is positive or negative. If the Final Underlying Price is less than the Downside Threshold, you will be exposed to any negative Underlying Return in excess of the Buffer and we will pay you less than your principal amount at maturity, resulting in a loss of 1% of principal for each 1% that the price of the Underlying decreases in excess of the Buffer. Accordingly, you could lose up to 90% of the principal amount of the Securities.
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The Contingent Payment of Digital Return and the Buffered Downside Market Exposure Apply Only if You Hold the Securities to Maturity: You should be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market, you may have to sell them at a loss even if the price of the Underlying is at or above the Digital Barrier at the time of sale.
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You Will Not Participate in Any Appreciation in the Price of the Underlying and the Potential Positive Return of the Securities Is Fixed at the Digital Return: If the Final Underlying Price is greater than or equal to the Digital Barrier (which is equal to the Downside Threshold), we will pay you $10 per Security at maturity plus a fixed return equal to the Digital Return, regardless of the appreciation in the Underlying, which may be significant. Since any positive return on the Securities is fixed at the Digital Return, your return on the Securities may be less than your return would be on a hypothetical direct investment in the Underlying or the securities held by the Underlying.
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No Interest Payments: We will not pay any interest with respect to the Securities.
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An Investment in the Securities Is Subject to Our Credit Risk: The Securities are unsubordinated, unsecured debt obligations of the issuer, Royal Bank of Canada, and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Securities, including any repayment of principal at maturity, depends on our ability to satisfy our obligations as they come due. As a result, our actual and perceived creditworthiness may affect the market value of the Securities and, in the event we were to default on our obligations, you may not receive any amounts owed to you under the terms of the Securities and you could lose your entire initial investment.
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Your Return on the Securities May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity: The return that you will receive on the Securities, 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 could earn if you bought a conventional senior interest bearing debt security of ours with the same maturity date or if you invested directly in the Underlying. Your investment may not reflect the full opportunity cost to you when you take into account factors that affect the time value of money.
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The Initial Estimated Value of the Securities Will Be Less than the Price to the Public: The initial estimated value that is set forth on the cover page of this document, and that will be set forth in the final pricing supplement for the Securities, will be less than the public offering price you pay for the Securities, does not represent a minimum price at which we, RBC Capital Markets, LLC (“RBCCM”) or any of our other affiliates would be willing to purchase the Securities in any secondary market (if any exists) at any time. If you attempt to sell the Securities 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 price of the Underlying, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to public of the underwriting discount, and our estimated profit and the costs relating to our hedging of the Securities. These factors, together with various credit, market and economic factors over the term of the Securities, are expected to reduce the price at which you may be able to sell the Securities in any secondary market and will affect the value of the Securities 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 Securities prior to maturity may be less than the price to public, as any such sale price would not be expected to include the underwriting discount and our estimated profit and the costs relating to our hedging of the Securities. In addition, any price at which you may sell the Securities is likely to reflect customary bid-ask spreads for similar trades. In addition to bid-ask spreads, the value of the Securities determined for any secondary market price is expected to be based on the secondary market rate rather than the internal borrowing rate used to price the Securities and determine the initial estimated value. As a result, the secondary market price will be less than if the internal borrowing rate was used. The Securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity.
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Our Initial Estimated Value of the Securities Is an Estimate Only, Calculated as of the Time the Terms of the Securities Are Set: The initial estimated value of the Securities is based on the value of our obligation to make the payments on the Securities, together with the mid-market value of the derivative embedded in the terms of the Securities. See “Structuring the Securities” 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 Securities. These assumptions are based on certain forecasts about future events, which may prove to be incorrect. Other entities may value the Securities or similar securities at a price that is significantly different than we do.
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Owning the Securities Is Not the Same as Owning the Underlying or the Stocks Comprising the Underlying’s Underlying Index: The return on your Securities may not reflect the return you would realize if you actually owned the Underlying or stocks included in the Underlying’s underlying index. As a holder of the Securities, you will not have voting rights or rights to receive dividends or other distributions or other rights that holders of the Underlying or these stocks would have, and any such dividends will not be incorporated in the determination of the Underlying Return.
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The Policies of the Underlying’s Investment Adviser Could Affect the Amount Payable on the Securities and Their Market Value: The policies of the Underlying’s investment adviser concerning the management of the Underlying, additions, deletions or substitutions of the securities
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Historical Prices of the Underlying Should Not Be Taken as an Indication of Its Future Prices During the Term of the Securities: The trading prices of the Underlying will determine the value of the Securities at any given time. However, it is impossible to predict whether the price of the Underlying will rise or fall, and trading prices of the common stocks held by the Underlying will be influenced by complex and interrelated political, economic, financial and other factors that can affect the issuers of those stocks, and therefore, the price of the Underlying.
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The Underlying and Its Underlying Index Are Different: The performance of the Underlying may not exactly replicate the performance of the underlying index, because the Underlying will reflect transaction costs and fees that are not included in the calculation of the underlying index. It is also possible that the performance of the Underlying may not fully replicate or may in certain circumstances diverge significantly from the performance of the underlying index due to the temporary unavailability of certain securities in the secondary market, the performance of any derivative instruments contained in the Underlying or due to other circumstances. The Underlying may use futures contracts, options, swap agreements, currency forwards and repurchase agreements in seeking performance that corresponds to the underlying index and in managing cash flows.
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Management Risk: The Underlying is not managed according to traditional methods of “active” investment management, which involve the buying and selling of securities based on economic, financial and market analysis and investment judgment. Instead, the Underlying, utilizing a “passive” or indexing investment approach, attempts to approximate the investment performance of its underlying index by investing in a portfolio of securities that generally replicate the underlying index. Therefore, unless a specific security is removed from the underlying index, the Underlying generally would not sell a security because the security’s issuer was in financial trouble. In addition, the Underlying is subject to the risk that the investment strategy of the Underlying’s investment advisor may not produce the intended results.
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Risks Associated with Foreign Securities Markets: Because foreign companies or foreign equity securities held by the Underlying are publicly traded in the applicable foreign countries and trade in currencies other than U.S. dollars, investments in the Securities involve particular risks. For example, the foreign securities markets may be more volatile than the U.S. securities markets, and market developments may affect these markets differently from the United States or other securities markets. Direct or indirect government intervention to stabilize the securities markets outside the United States, 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 United States reporting companies.
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Exchange Rate Risk: The share price of the Underlying will fluctuate based in large part upon its net asset value, which will in turn depend in part upon changes in the value of the currencies in which the stocks held by the Underlying are traded. Accordingly, investors in the Securities will be exposed to currency exchange rate risk with respect to each of the currencies in which the stocks held by the Underlying are traded. An investor’s net exposure will depend on the extent to which these currencies strengthen or weaken against the U.S. dollar. If the dollar strengthens against these currencies, the net asset value of the Underlying will be adversely affected and the price of the Underlying, and consequently, the market value of the Securities may decrease.
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Lack of Liquidity: The Securities will not be listed on any securities exchange. RBCCM intends to offer to purchase the Securities in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Securities easily. Because other dealers are not likely to make a secondary market for the Securities, the price at which you may be able to trade your Securities is likely to depend on the price, if any, at which RBCCM is willing to buy the Securities.
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Potential Conflicts: We and our affiliates play a variety of roles in connection with the issuance of the Securities, including hedging our obligations under the Securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Securities.
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Potentially Inconsistent Research, Opinions or Recommendations by RBCCM, UBS or Their Affiliates: RBCCM, UBS, and our respective affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding the Securities, and which may be revised at any time. Any such research, opinions or recommendations could affect the price of the Underlying, and therefore, the market value of the Securities.
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Uncertain Tax Treatment: Significant aspects of the tax treatment of an investment in the Securities are uncertain. You should consult your tax adviser about your tax situation.
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Potential Royal Bank of Canada and UBS Impact on Price: Trading or other transactions by Royal Bank of Canada, UBS and our respective affiliates in the Underlying or the securities included in the Underlying’s underlying index, or in futures, options, exchange-traded funds or other derivative products on the Underlying or those securities, may adversely affect the market value of the Underlying and, therefore, the market value of the Securities.
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The Probability That the Underlying Will Fall Below the Downside Threshold on the Final Valuation Date Will Depend on the Volatility of the Underlying: “Volatility” refers to the frequency and magnitude of changes in the price of the Underlying. Greater expected volatility with respect to the Underlying reflects a higher expectation as of the Trade Date that the Underlying could close below its Downside Threshold on the Final Valuation Date, resulting in the loss of up to 90% of your investment. However, an Underlying’s volatility can change significantly over the term of the Securities. The price of the Underlying could fall sharply, which could result in a loss of up to 90% of your principal at maturity.
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The Terms of the Securities at Issuance and Their Market Value Prior to Maturity Will Be Influenced by Many Unpredictable Factors: Many economic and market factors will influence the terms of the Securities at issuance and their value prior to maturity. These factors are similar in some ways to those that could affect the value of a combination of instruments that might be used to replicate the payments on the Securities, including a combination of a bond with one or more options or other derivative instruments. For the market value of the Securities, we expect that, generally, the price of the Underlying on any day will affect the value of the Securities more than any other single factor. However, you should not expect the value of the Securities in the secondary market to vary in proportion to changes in the price of the Underlying. The value of the Securities will be affected by a number of other factors that may either offset or magnify each other, including:
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the price of the Underlying;
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whether the price of the Underlying is below its Downside Threshold;
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the actual and expected volatility of the price of the Underlying;
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the time remaining to maturity of the Securities;
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the dividend rates on the securities held by the Underlying;
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interest and yield rates in the market generally, as well as in each of the markets of the securities held by the Underlying;
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a variety of economic, financial, political, regulatory or judicial events;
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the occurrence of certain events with respect to the Underlying that may or may not require an adjustment to the terms of the Securities; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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The Anti-Dilution Protection for the Underlying Is Limited: The calculation agent will make adjustments to the Initial Underlying Price, the Digital Barrier, the Downside Threshold and the Final Underlying Price for certain events affecting the shares of the Underlying. However, the calculation agent will not be required to make an adjustment in response to all events that could affect the Underlying. If an event occurs that does not require the calculation agent to make an adjustment, the value of the Securities and the Payment at Maturity may be materially and adversely affected.
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Hypothetical Examples and Return Table at Maturity
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Hypothetical
Final Underlying Price ($)
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Hypothetical
Underlying Return1
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Hypothetical Payment at
Maturity ($)
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Hypothetical Total Return
on Securities2
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$200.00
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100.00%
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$11.405
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14.05%
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$175.00
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75.00%
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$11.405
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14.05%
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$150.00
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50.00%
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$11.405
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14.05%
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$140.00
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40.00%
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$11.405
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14.05%
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$130.00
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30.00%
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$11.405
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14.05%
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$120.00
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20.00%
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$11.405
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14.05%
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$110.00
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10.00%
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$11.405
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14.05%
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$105.00
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5.00%
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$11.405
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14.05%
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$100.00
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0.00%
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$11.405
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14.05%
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$95.00
|
-5.00%
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$11.405
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14.05%
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$90.00
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-10.00%
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$11.405
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14.05%
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$85.00
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-15.00%
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$9.500
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-5.00%
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$80.00
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-20.00%
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$9.000
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-10.00%
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$75.00
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-25.00%
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$8.500
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-15.00%
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$70.00
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-30.00%
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$8.000
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-20.00%
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$60.00
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-40.00%
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$7.000
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-30.00%
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$50.00
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-50.00%
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$6.000
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-40.00%
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$25.00
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-75.00%
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$3.500
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-65.00%
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$0.00
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-100.00%
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$1.000
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-90.00%
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What Are the Tax Consequences of the Securities?
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The iShares® MSCI EAFE ETF
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· |
defining the equity universe;
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determining the market investable equity universe for each market;
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· |
determining market capitalization size segments for each market;
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applying index continuity rules for the MSCI Standard Index;
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creating style segments within each size segment within each market; and
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classifying securities under the Global Industry Classification Standard (the “GICS”).
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Identifying Eligible Equity Securities: the equity universe initially looks at securities listed in any of the countries in the MSCI Global Index Series, which will be classified as either Developed Markets (“DM”) or Emerging Markets (“EM”). All listed equity securities, including Real Estate Investment Trusts, are eligible for inclusion in the equity universe. Conversely, mutual funds, ETFs, equity derivatives and most investment trusts are not eligible for inclusion in the equity universe.
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Classifying Eligible Securities into the Appropriate Country: each company and its securities (i.e., share classes) are classified in only one country.
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Equity Universe Minimum Size Requirement: this investability screen is applied at the company level. In order to be included in a market investable equity universe, a company must have the required minimum full market capitalization.
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Equity Universe Minimum Free Float−Adjusted Market Capitalization Requirement: this investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have a free float−adjusted market capitalization equal to or higher than 50% of the equity universe minimum size requirement.
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DM and EM Minimum Liquidity Requirement: This investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have adequate liquidity. The twelve-month and three-month Annual Traded Value Ratio (“ATVR”), a measure that screens out extreme daily trading volumes and takes into account the free float−adjusted market capitalization size of securities, together with the three-month frequency of trading are used to measure liquidity. A minimum liquidity level of 20% of three- and twelve-month ATVR and 90% of three-month frequency of trading over the last four consecutive quarters are required for inclusion of a security in a market investable equity universe of a DM, and a minimum liquidity level of 15% of three- and twelve-month ATVR and 80% of three-month frequency of trading over the last four consecutive quarters are required for inclusion of a security in a market investable equity universe of an EM.
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Global Minimum Foreign Inclusion Factor Requirement: this investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security’s Foreign Inclusion Factor (“FIF”) must reach a certain threshold. The FIF of a security is defined as the proportion of shares outstanding that is available for purchase in the public equity markets by international investors. This proportion accounts for the available free float of and/or the foreign ownership limits applicable to a specific security (or company). In general, a security must have an FIF equal to or larger than 0.15 to be eligible for inclusion in a market investable equity universe.
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Minimum Length of Trading Requirement: this investability screen is applied at the individual security level. For an initial public offering (“IPO”) to be eligible for inclusion in a market investable equity universe, the new issue must have started trading at least three months before the implementation of a semi−annual index review (as described below). This requirement is applicable to small new issues in all markets. Large IPOs are not subject to the minimum length of trading requirement and may be included in a market investable equity universe and the Standard Index outside of a Quarterly or Semi−Annual Index Review.
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Minimum Foreign Room Requirement: this investability screen is applied at the individual security level. For a security that is subject to a foreign ownership limit to be eligible for inclusion in a market investable equity universe, the proportion of shares still available to foreign investors relative to the maximum allowed (referred to as “foreign room”) must be at least 15%.
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· |
Investable Market Index (Large + Mid + Small);
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· |
Standard Index (Large + Mid);
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· |
Large Cap Index;
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· |
Mid Cap Index; or
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· |
Small Cap Index.
|
· |
defining the market coverage target range for each size segment;
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· |
determining the global minimum size range for each size segment;
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· |
determining the market size segment cutoffs and associated segment number of companies;
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· |
assigning companies to the size segments; and
|
· |
applying final size−segment investability requirements.
|
(i) |
Semi−Annual Index Reviews (“SAIRs”) in May and November of the Size Segment and Global Value and Growth Indices which include:
|
· |
updating the indices on the basis of a fully refreshed equity universe;
|
· |
taking buffer rules into consideration for migration of securities across size and style segments; and
|
· |
updating FIFs and Number of Shares (“NOS”).
|
(ii) |
Quarterly Index Reviews in February and August of the Size Segment Indices aimed at:
|
· |
including significant new eligible securities (such as IPOs that were not eligible for earlier inclusion) in the index;
|
· |
allowing for significant moves of companies within the Size Segment Indices, using wider buffers than in the SAIR; and
|
· |
reflecting the impact of significant market events on FIFs and updating NOS.
|
(iii) |
Ongoing Event−Related Changes: changes of this type are generally implemented in the indices as they occur. Significantly large IPOs are included in the indices after the close of the company’s tenth day of trading.
|
Quarter Begin
|
Quarter End
|
Quarterly Closing High ($)
|
Quarterly Closing Low ($)
|
Quarterly Period-End Close ($)
|
||||
1/1/2008
|
3/31/2008
|
78.35
|
68.34
|
71.90
|
||||
4/1/2008
|
6/30/2008
|
78.52
|
68.08
|
68.67
|
||||
7/1/2008
|
9/30/2008
|
68.00
|
53.08
|
56.30
|
||||
10/1/2008
|
12/31/2008
|
55.88
|
35.73
|
44.86
|
||||
1/1/2009
|
3/31/2009
|
45.44
|
31.70
|
37.59
|
||||
4/1/2009
|
6/30/2009
|
49.04
|
38.57
|
45.81
|
||||
7/1/2009
|
9/30/2009
|
55.81
|
44.01
|
54.68
|
||||
10/1/2009
|
12/31/2009
|
57.28
|
52.66
|
55.28
|
||||
1/1/2010
|
3/31/2010
|
57.96
|
50.45
|
56.00
|
||||
4/1/2010
|
6/30/2010
|
58.03
|
46.29
|
46.51
|
||||
7/1/2010
|
9/30/2010
|
55.42
|
47.09
|
54.92
|
||||
10/1/2010
|
12/31/2010
|
59.46
|
54.25
|
58.23
|
||||
1/1/2011
|
3/31/2011
|
61.91
|
55.31
|
60.09
|
||||
4/1/2011
|
6/30/2011
|
63.87
|
57.10
|
60.14
|
||||
7/1/2011
|
9/30/2011
|
60.80
|
46.66
|
47.75
|
||||
10/1/2011
|
12/31/2011
|
55.57
|
46.45
|
49.53
|
||||
1/1/2012
|
3/31/2012
|
55.80
|
49.15
|
54.90
|
||||
4/1/2012
|
6/30/2012
|
55.51
|
46.55
|
49.96
|
||||
7/1/2012
|
9/30/2012
|
55.15
|
47.62
|
53.00
|
||||
10/1/2012
|
12/31/2012
|
56.88
|
51.96
|
56.82
|
||||
1/2/2013
|
3/31/2013
|
59.89
|
56.90
|
58.98
|
||||
4/1/2013
|
6/30/2013
|
63.53
|
57.03
|
57.38
|
||||
7/1/2013
|
9/30/2013
|
65.05
|
57.55
|
63.79
|
||||
10/1/2013
|
12/31/2013
|
67.06
|
62.71
|
67.06
|
||||
1/2/2014
|
3/31/2014
|
68.03
|
62.31
|
67.17
|
||||
4/1/2014
|
6/30/2014
|
70.67
|
66.26
|
68.37
|
||||
7/1/2014
|
9/30/2014
|
69.25
|
64.12
|
64.12
|
||||
10/1/2014
|
12/31/2014
|
64.51
|
59.53
|
60.84
|
||||
1/2/2015
|
3/31/2015
|
65.99
|
58.48
|
64.17
|
||||
4/1/2015
|
6/30/2015
|
68.42
|
63.49
|
63.49
|
||||
7/1/2015
|
9/30/2015
|
65.46
|
56.25
|
57.32
|
||||
10/1/2015
|
12/31/2015
|
62.06
|
57.50
|
58.75
|
||||
1/1/2016
|
3/31/2016
|
57.80
|
51.38
|
57.13
|
||||
4/1/2016
|
6/30/2016
|
59.87
|
52.64
|
55.81
|
||||
7/1/2016
|
9/30/2016
|
59.86
|
54.44
|
59.13
|
||||
10/1/2016
|
12/31/2016
|
59.20
|
56.20
|
57.73
|
||||
1/1/2017
|
2/21/2017*
|
60.70
|
58.09
|
60.70
|
n Downside Threshold = 90% of the Initial Underlying Price
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
Structuring the Securities
|
Terms Incorporated in Master Note
|