Investment Description
|
Features
|
Key Dates
|
☐ |
Income — Regardless of the performance of the Reference Stock, Royal Bank of Canada will pay you a monthly coupon. In exchange for receiving the monthly coupon payment on the Notes, you are accepting the risk of receiving shares of the Reference Stock at maturity that are worth less than your principal amount and the credit risk of Royal Bank of Canada for all payments under the Notes.
|
☐ |
Automatically Callable — If the closing price of the Reference Stock on any quarterly Observation Date is greater than or equal to the initial underlying price, we will automatically call the Notes and pay you the principal amount per Note plus the applicable coupon payment for that date and no further amounts will be owed to you. If the Notes are not called, you may have downside market exposure to the Reference Stock at maturity.
|
☐ |
Contingent Repayment of Principal at Maturity — If the Notes are not previously called and the price of the Reference Stock does not close below the conversion price on the final valuation date, Royal Bank of Canada will pay you the principal amount at maturity, and you will not participate in any appreciation or depreciation in the value of the Reference Stock. If the price of the Reference Stock closes below the conversion price on the final valuation date, Royal Bank of Canada will deliver to you at maturity the share delivery amount for each of your Notes, which is expected to be worth less than your principal amount and may have no value at all. The contingent repayment of principal only applies if you hold the Notes until maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of Royal Bank of Canada.
|
Trade Date |
March 24, 2017
|
Settlement Date |
March 29, 2017
|
Observation Dates1 |
Quarterly
|
Final Valuation Date1 |
March 27, 2018
|
Maturity Date1 |
April 2, 2018
|
Notes Offerings
|
Reference Stock
|
Coupon Rate
|
Initial Underlying
Price
|
Conversion Price*
|
CUSIP
|
ISIN
|
Common Stock of Bank of America Corporation. (BAC)
|
6.50% per annum
|
$23.12
|
$20.35, which is 88.00% of the initial underlying price
|
78014E554
|
US78014E5548
|
Common Stock of The Williams Companies, Inc. (WMB)
|
8.00% per annum
|
$28.69
|
$24.39, which is 85.00% of the initial underlying price
|
78014E562
|
US78014E5621
|
Price to Public
|
Fees and Commissions (1)
|
Proceeds to Us
|
||||
Offering of the Notes
|
Total
|
Per Note
|
Total
|
Per Note
|
Total
|
Per Note
|
Common Stock of Bank of America Corporation. (BAC)
|
$14,982,000.00
|
$1,000.00
|
$224,730.00
|
$15.00
|
$14,757,270.00
|
$985.00
|
Common Stock of The Williams Companies, Inc. (WMB)
|
$14,791,000.00
|
$1,000.00
|
$221,865.00
|
$15.00
|
$14,569,135.00
|
$985.00
|
UBS Financial Services Inc.
|
RBC Capital Markets, LLC
|
Additional Information About Royal Bank of Canada and the Notes
|
· |
instead of “Initial Price” in the product prospectus supplement, the term “Initial Underlying Price” is used in this document; and
|
· |
instead of “Final Price” in the product prospectus supplement, the term “Final Underlying Price” is used in this document;
|
¨ |
Product prospectus supplement no. ABYON-2 dated April 20, 2016:
https://www.sec.gov/Archives/edgar/data/1000275/000114036116061637/form424b5.htm |
¨ |
Prospectus supplement dated January 8, 2016:
https://www.sec.gov/Archives/edgar/data/1000275/000121465916008811/p14150424b3.htm |
¨ |
Prospectus dated January 8, 2016:
http://www.sec.gov/Archives/edgar/data/1000275/000121465916008810/j18160424b3.htm |
Investor Suitability
|
¨ |
You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
|
¨ |
You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the full downside market risk of an investment in the Reference Stock.
|
¨ |
You are willing to accept the risks of investing in equities in general and in the applicable Reference Stock in particular.
|
¨ |
You believe the final underlying price of the Reference Stock is not likely to be below the conversion price and, if it is, you can tolerate receiving shares of the Reference Stock at maturity worth less than your principal amount or that may have no value at all.
|
¨ |
You understand and accept that you will not participate in any appreciation in the price of the Reference Stock and that your return on the Notes is limited to the coupons paid.
|
¨ |
You are willing to forgo dividends or other benefits of owning shares of the Reference Stock.
|
¨ |
You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations of the Reference Stock.
|
¨ |
You are willing and able to invest in a security that will be called on any Observation Date on which the closing price of the Reference Stock is greater than or equal to the initial underlying price, and you are otherwise able to hold the Notes to maturity.
|
¨ |
You are willing to invest in Notes for which there may be little or no secondary market and you accept that the secondary market will depend in large part on the price, if any, at which RBC Capital Markets, LLC, which we refer to as “RBCCM,” is willing to purchase the Notes.
|
¨ |
You are willing to invest in the Notes based on the applicable coupon rate for each Note specified on the cover of this pricing supplement.
|
¨ |
You are willing to assume the credit risk of Royal Bank of Canada for all payments under the Notes, and understand that if Royal Bank of Canada defaults on its obligations, you may not receive any amounts due to you, including any repayment of principal.
|
¨ |
You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
|
¨ |
You require an investment designed to provide a full return of principal at maturity.
|
¨ |
You are unwilling to accept the risks of investing in equities in general or in the applicable Reference Stock in particular.
|
¨ |
You are not willing to make an investment that may have the full downside market risk of an investment in the Reference Stock.
|
¨ |
You believe that the final underlying price of the Reference Stock is likely to be below the conversion price, which could result in a total loss of your initial investment.
|
¨ |
You cannot tolerate receiving shares of the Reference Stock at maturity worth less than your principal amount or that may have no value at all.
|
¨ |
You seek an investment that participates in the appreciation in the price of the Reference Stock or that has unlimited return potential.
|
¨ |
You want to receive dividends or other distributions paid on the Reference Stock.
|
¨ |
You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations of the Reference Stock.
|
¨ |
You are unwilling to invest in the Notes based on the applicable coupon rate for each Note specified on the cover of this pricing supplement.
|
¨ |
You seek an investment for which there will be an active secondary market.
|
¨ |
You are unable or unwilling to invest in a security that will be called on any Observation Date on which the closing price of the Reference Stock is greater than or equal to the initial underlying price, or you are otherwise unable or unwilling to hold the Notes to maturity.
|
¨ |
You are not willing to assume the credit risk of Royal Bank of Canada for all payments under the Notes, including any repayment of principal.
|
Final Terms of the Notes1
|
Issuer:
|
Royal Bank of Canada
|
Issue Price per Note:
|
$1,000 per Note
|
Principal Amount per
Note:
|
$1,000 per Note
|
Term:
|
Approximately 12 months, if not previously called
|
Reference Stocks:
|
The common equity securities of a specific company, as set forth on the cover page of this pricing supplement.
|
Closing Price:
|
On any trading day, the last reported sale price of the Reference Stock on the principal national securities exchange on which it is listed for trading, as determined by the calculation agent.
|
Initial Underlying Price:
|
With respect to each Note, the closing price of the applicable Reference Stock on the trade date, as set forth on the cover page of this pricing supplement.
|
Final Underlying Price:
|
The closing price of the applicable Reference Stock on the final valuation date.
|
Coupon Payment:
|
The coupon payments will be made in 12 equal installments regardless of the performance of the Reference Stock, unless the Notes were earlier called.
The coupon rate per annum is (i) 6.50% for the Notes linked to the common stock of Bank of America Corporation and (ii) 8.00% for the Notes linked to the common stock of The Williams Companies, Inc.
|
1st through 12th
Installment (if not earlier
called)
|
For Notes linked to the common stock of Bank of America Corporation: 0.54167% (or $5.4167 per Note)
For Notes linked to the common stock of The Williams Companies, Inc.: 0.66667% (or $6.6667 per Note).
|
Coupon Payment Dates:
|
Coupons will be paid in arrears in 12 equal monthly installments on the Coupon Payment Dates listed below, unless previously called.
April 26, 2017, May 26, 2017, June 28, 2017, July 26, 2017, August 29, 2017, September 27, 2017, October 26, 2017, November 28, 2017, December 29, 2017, January 26, 2018, February 28, 2018 and April 2, 2018.
|
Automatic Call Provision:
|
The Notes will be automatically called if the closing price of the Reference Stock on any quarterly Observation Date is greater than or equal to the initial underlying price.
If the Notes are called, Royal Bank of Canada will pay you on the corresponding Coupon Payment Date (which will be the “Call Settlement Date”) a cash payment per Note equal to the principal amount per Note plus the applicable coupon payment otherwise due on that day. No further amounts will be owed to you under the Notes.
|
Observation Dates:
|
June 26, 2017, September 25, 2017, December 27, 2017 and March 27, 2018 (the final valuation date).
|
Call Settlement Dates:
|
Two business days following the relevant Observation Date, except that the Call Settlement
|
1 |
Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the product prospectus supplement.
|
Date for the final valuation date will be the Maturity Date. Each Call Settlement Date will occur on a Coupon Payment Date for the Notes.
|
|
Payment at Maturity:
|
Ø If the Notes are not automatically called prior to maturity, and the final underlying price of the applicable Reference Stock is not below the conversion price on the final valuation date, we will pay you at maturity an amount in cash equal to $1,000 for each $1,000 principal amount of the Notes, plus accrued and unpaid interest.
Ø If the Notes are not automatically called prior to maturity, and the final underlying price of the applicable Reference Stock is below the conversion price on the final valuation date, we will deliver to you at maturity a number of shares of the applicable Reference Stock equal to the share delivery amount (subject to adjustments) for each Note you own plus accrued and unpaid interest. The share delivery amount is expected to be worth less than the principal amount and may have a value equal to $0.
|
Share Delivery Amount:2
|
For Notes linked to the common stock of Bank of America Corporation: 49.1400 shares per Note.
For Notes linked to the common stock of The Williams Companies, Inc.: 41.0004 shares per Note.
Each of which is the number of shares of the applicable Reference Stock per $1,000 principal amount Note equal to $1,000 divided by the applicable conversion price. The share delivery amount is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “General Terms of the Notes — Anti-dilution Adjustments” in product prospectus supplement no. ABYON-2.
|
Conversion Price:
|
A percentage of the initial underlying price of the Reference Stock, as specified on the cover page of this pricing supplement (as may be adjusted in the case of certain adjustment events as described under “General Terms of the Notes—Anti-dilution Adjustments” in the product prospectus supplement).
|
2
|
If you receive the share delivery amount at maturity, we will pay cash in lieu of delivering any fractional shares in an amount equal to that fraction multiplied by the closing price of the Reference Stock on the final valuation date.
|
Investment Timeline
|
Trade Date:
|
The closing price of the applicable Reference Stock (initial underlying price) was observed, the applicable conversion price and share delivery amount were determined, and the applicable coupon rate was set.
|
||
Monthly
(including at
Maturity):
|
Royal Bank of Canada pays the applicable coupon payments.
|
||
Quarterly:
|
The Notes will be automatically called if the closing price of the applicable Reference Stock on any Observation Date is greater than or equal to the initial underlying price. If the Notes are called, Royal Bank of Canada will pay you on the applicable Call Settlement Date a cash payment per Note equal to the principal amount of the Notes plus the applicable coupon payment otherwise due on that day and no further amounts will be due to you under the Notes.
|
||
Maturity
Date:
|
If the Notes have not been previously called, the final underlying price is determined as of the final valuation date.
If the final underlying price of the applicable Reference Stock is not below the conversion price on the final valuation date, we will pay you an amount in cash equal to $1,000 for each $1,000 principal amount of the Notes plus the final coupon.
If the final underlying price of the applicable Reference Stock is below the conversion price on the final valuation date, we will deliver to you a number of shares of the applicable Reference Stock equal to the share delivery amount for each Note you own, plus the final coupon.
|
Key Risks
|
¨
|
Your Investment in the Notes May Result in a Loss – The Notes differ from ordinary debt securities in that Royal Bank of Canada will not necessarily pay the full principal amount of the Notes at maturity. At maturity, if the Notes have not been previously called, Royal Bank of Canada will only pay you the principal amount of your Notes if the final underlying price of the Reference Stock is greater than or equal to the conversion price. If the final underlying price of the Reference Stock is below the conversion price, Royal Bank of Canada will deliver to you a number of shares of the applicable Reference Stock equal to the share delivery amount for each Note you then own. Therefore, if the Notes are not automatically called and the final underlying price of the Reference Stock is below the conversion price, the value of the share delivery amount will decline by a proportionately higher percentage for each additional percentage the Reference Stock declines below the conversion price. For example, if the conversion price is 80% of the initial underlying price and the final underlying price is less than the conversion price, you will lose 1.25% of your $1,000 principal amount Note at maturity for each additional 1% that the final underlying price is less than the conversion price, as measured from the initial underlying price. If you receive shares of the applicable Reference Stock at maturity, you will be exposed to any further decrease in the price of the Reference Stock from the final valuation date to the maturity date, and the value of those shares is expected to be less than the principal amount of the Notes or may have no value at all.
|
¨
|
The Coupon Rate Per Annum Payable on the Notes Will Reflect in Part the Volatility of the Reference Stock, and May Not Be Sufficient to Compensate You for the Risk of Loss at Maturity – “Volatility” refers to the frequency and magnitude of changes in the price of the Reference Stock. The greater the volatility of the Reference Stock, the more likely it is that the price of that stock could close below its conversion price on the final valuation date, which would result in the loss of some or all of your principal. This risk will generally be reflected in a higher coupon rate per annum payable on the Notes than the interest rate payable on our conventional debt securities with a comparable term and/or a lower conversion price than on otherwise comparable securities. Therefore a relatively higher coupon rate may indicate an increased risk of loss. Further, a relatively lower conversion price may not necessarily indicate that the Notes have a greater likelihood of a return of principal at maturity. However, while the coupon rate per annum and the conversion price were set on the trade date, the Reference Stocks’ volatility can change significantly over the term of the Notes, and may increase. The price of the Reference Stock could fall sharply as of the final valuation date, which could result in a significant loss of principal.
|
¨
|
The Contingent Repayment of Principal Applies Only at Maturity – If the Notes are not automatically called, you should be willing to hold your Notes to maturity. If you are able to sell your Notes prior to maturity in the secondary market, if any, you may have to do so at a loss relative to your initial investment, even if the price of the Reference Stock is above the conversion price.
|
¨
|
Reinvestment Risk – If your Notes are automatically called prior to the Maturity Date, no further payments will be owed to you under the Notes. Therefore, because the Notes could be called as early as the first Observation Date, the holding period over which you would receive the relevant coupon rate as specified on the cover page, could be as little as three months. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable return for a similar level of risk in the event the Notes are automatically called prior to the Maturity Date.
|
¨
|
An Investment in the Notes Is Subject to the Credit Risk of Royal Bank of Canada – The Notes are unsubordinated, unsecured debt obligations of Royal Bank of Canada, and are not, either directly or indirectly, an obligation of any third party. Any payments to be made on the Notes, including payments in respect of an automatic call, coupon payments and any repayment of principal provided at maturity, depends on the ability of Royal Bank of Canada to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of Royal Bank of Canada may affect the market value of the Notes and, in the event Royal Bank of Canada were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes and you could lose your entire investment.
|
¨
|
Holders of the Notes Should Not Expect to Participate in any Appreciation of the Reference Stock, and Your Potential Return on the Notes is Expected to Be Limited to the Coupon Payments Paid on the Notes – Despite being exposed to the risk of a decline in the price of the Reference Stock, you should not expect to participate in any appreciation in the price of the applicable Reference Stock. Any positive return on the Notes is expected to be limited to the coupon rate per annum. Accordingly, if the Notes are called prior to maturity, you will not participate in any of the Reference Stocks’ appreciation and your return will be limited to the principal amount plus the Coupons paid up to and including the Call Settlement Date. Similarly, if the Notes are not called prior to the final valuation date and the final underlying price is greater than the initial underlying price, your return on the Notes at maturity may be less than your return on a direct investment in the Reference Stock or on a similar security that allows you to participate in the appreciation of the price of the Reference Stock. In contrast, if the final underlying price is less than the conversion price, you will be exposed to the decline of the Reference Stock and we will deliver to you at maturity for each Note you own shares of the Reference Stock which are expected to be worth less than the principal amount as of the maturity date, in which case you may lose your entire investment. As a result, any positive return on the Notes is expected to be limited to the coupon rate per annum. In addition, if the Notes have not been previously called and if the price of the applicable Reference Stock is less than its initial underlying price, as the maturity date approaches and the remaining number of Observation Dates decreases, the Notes are less likely to be automatically called, as there will be a shorter period of time remaining for the price of that Reference Stock to increase to its initial underlying price.
|
¨
|
An Investment in the Notes Is Subject to Single Stock Risk – The price of the Reference Stock can rise or fall sharply due to factors specific to that Reference Stock and its issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest rates and economic and political conditions. You, as an investor in the Notes, should make your own investigation into the respective Reference Stock issuer and the Reference Stock for your Notes. For additional information about each Reference Stock and their respective issuers, please see "Information about the Reference Stocks" in this pricing supplement and the respective Reference Stock issuer's SEC filings referred to in those sections. We urge you to review financial and other information filed periodically by the applicable Reference Stock issuer with the SEC.
|
¨
|
Owning the Notes Is Not the Same as Owning the Reference Stock – The return on your Notes may not reflect the return you would realize if you actually owned the Reference Stock. For instance, you will not receive or be entitled to receive any dividend payments or other distributions over the term of the Notes. As an owner of the Notes, you will not have voting rights or any other rights that holders of the Reference Stock may have. Further, the Reference Stock may appreciate over the term of the Notes and you will not participate in any such appreciation, which could be significant, even though you may be exposed to the decline of the Reference Stock at maturity.
|
¨
|
There Is No Affiliation Between the Respective Reference Stock Issuers and Us, UBS and Our Respective Affiliates, and We Are Not Responsible for Any Disclosure by Those Issuers – We, UBS and our respective affiliates are not affiliated with any Reference Stock issuer. However, we, UBS and our respective affiliates may currently, or from time to time in the future engage in business with a Reference Stock issuer. Nevertheless, neither we nor our affiliates assume any responsibilities for the accuracy or the completeness of any information about the Reference Stocks and the Reference Stock issuers. You, as an investor in the Notes, should make your own investigation into the Reference Stock and the Reference Stock issuer
|
¨
|
There Can Be No Assurance that the Investment View Implicit in the Notes Will Be Successful – It is impossible to predict whether and the extent to which the price of any Reference Stock will rise or fall. The closing price of each Reference Stock will be influenced by complex and interrelated political, economic, financial and other factors that affect that Reference Stock. You should be willing to accept the downside risks of owning equities in general and the applicable Reference Stock in particular, and the risk of losing some or all of your initial investment.
|
¨
|
The Initial Estimated Value of the Notes Is Less than the Price to the Public – The initial estimated value for each of the Notes that is set forth on the cover page of this document, which is less than the public offering price you pay for the Notes, does not represent a minimum price at which we, RBCCM or any of our other affiliates would be willing to purchase the Notes in any secondary market (if any exists) at any time. If you attempt to sell the Notes prior to maturity, their market value may be lower than the price you paid for them and the initial estimated value. This is due to, among other things, changes in the price of the applicable Reference Stock, 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 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 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 Notes. In addition, any price at which you may sell the Notes is likely to reflect customary bid-ask spreads for similar trades. In addition to bid-ask spreads, the value of the Notes determined for any secondary market price is expected to be based on a secondary market rate rather than the internal borrowing 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 borrowing rate was used. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
|
¨
|
Our Initial Estimated Value of the Notes Is an Estimate Only, Calculated as of the Time the Terms of the Notes Are Set – The initial estimated value of each 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.
|
¨
|
Lack of Liquidity – The Notes will not be listed on any securities exchange. RBCCM intends to offer to purchase the Notes 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 Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which RBCCM is willing to buy the Notes.
|
¨
|
Potential Conflicts – We and our affiliates play a variety of roles in connection with the issuance of the Notes, including hedging our obligations under the Notes. 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 Notes.
|
¨
|
Potentially Inconsistent Research, Opinions or Recommendations by RBCCM, UBS or Their Respective Affiliates – RBCCM, UBS or their respective affiliates may publish research, express opinions or provide recommendations as to the Reference Stock that are inconsistent with investing in or holding the Notes, and which may be revised at any time. Any such research, opinions or recommendations could affect the value of the Reference Stock, and therefore the market value of the Notes.
|
¨
|
Uncertain Tax Treatment – Significant aspects of the tax treatment of an investment in the Notes are uncertain. You should consult your tax adviser about your tax situation.
|
¨
|
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 Reference Stock, or in futures, options, exchange-traded funds or other derivative products on the Reference Stock may adversely affect the market value of the Reference Stock, the closing price of the Reference Stock, and, therefore, the market value of the Notes.
|
¨
|
The Terms of the Notes at Issuance Were Influenced and Their Market Value Prior to Maturity Will Be Influenced by Many Unpredictable Factors – Many economic and market factors influenced the terms of the Notes at issuance, and will affect 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 Notes, including a combination of a bond with one or more options or other derivative instruments. For the market value of the Notes, we expect that, generally, the price of the applicable Reference Stock on any day will affect the value of the Notes more than any other single factor. However, you should not expect the value of the Notes in the secondary market to vary in proportion to changes in the price of the Reference Stock. The value of the Notes will be affected by a number of other factors that may either offset or magnify each other, including:
|
¨
|
the actual and expected volatility of the price of the Reference Stock;
|
¨
|
the time remaining to maturity of the Notes;
|
¨
|
the dividend rate on the Reference Stock;
|
¨
|
interest and yield rates in the market generally;
|
¨
|
a variety of economic, financial, political, regulatory or judicial events;
|
¨
|
the occurrence of certain events relating to the Reference Stock that may or may not require an adjustment to the terms of the Notes; and
|
¨
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
¨
|
The Anti-Dilution Protection for the Reference Stock Is Limited – The calculation agent will make adjustments to the initial underlying price and the conversion price for certain events affecting the shares of the Reference Stock. However, the calculation agent will not be required to make an adjustment in response to all events that could affect the Reference Stock. If an event occurs that does not require the calculation agent to make an adjustment, the value of the Notes may be materially and adversely affected.
|
Hypothetical Examples
|
Principal Amount:
|
$1,000
|
Term:
|
Approximately 12 months
|
Observation Dates
|
Quarterly
|
Hypothetical initial underlying price of the Reference Stock*:
|
$10.00 per share
|
Hypothetical conversion price*:
|
$9.00 (which is 90.00% of the hypothetical initial underlying price)
|
Hypothetical share delivery amount*:
|
111.1111 shares per Note ($1,000 / conversion price of $9.00)
|
Hypothetical coupon rate per annum**:
|
6.00% ($5.00 per month)
|
Hypothetical dividend yield on the Reference Stock***:
|
1.50% over the term of the Notes (1.50% per annum)
|
Payment upon automatic call:
|
$1,000.00
|
Coupons:
|
$15.00 ($5.00 x 3 = $15.00)
|
Total:
|
$1,015.00
|
Total Return on the Notes:
|
1.50%
|
Payment upon automatic call:
|
$1,000.00
|
Coupons:
|
$45.00 ($5.00 x 9 = $45.00)
|
Total:
|
$1,045.00
|
Total Return on the Notes:
|
4.50%
|
Payment at Maturity:
|
$1,000.00
|
Coupons:
|
$60.00 ($5.00 x 12 = $60.00)
|
Total:
|
$1,060.00
|
Total Return on the Notes:
|
6.00%
|
Payment at Maturity:
|
$1,000.00
|
Coupons:
|
$60.00 ($5.00 x 12 = $60.00)
|
Total:
|
$1,060.00
|
Total Return on the Notes:
|
6.00%
|
Value of shares received:
|
$444.44 (111.1111 shares x $4.00)
|
Coupons:
|
$60.00 ($5.00 x 12 = $60.00)
|
Total:
|
$504.44
|
Total Return on the Notes:
|
-49.56%
|
Hypothetical Return Table at Maturity
|
Principal Amount:
|
$1,000
|
Term:
|
Approximately 12 months
|
Observation Dates:
|
Quarterly
|
Hypothetical initial underlying price of the Reference Stock*:
|
$10.00 per share
|
Hypothetical conversion price*:
|
$9.00 (which is 90.00% of the hypothetical initial underlying price)
|
Hypothetical share delivery amount*:
|
111.1111 shares per Note ($1,000 / conversion price of $9.00)
|
Hypothetical coupon rate per annum**:
|
6.00% ($5.00 per month)
|
Hypothetical dividend yield on the Reference Stock***:
|
1.50% over the term of the Notes (1.50% per annum)
|
Reference Stock
|
Conversion Event Does Not Occur(1)
and There Was No Prior Automatic
Call
|
Conversion Event Occurs(2) and There Was No Prior
Automatic Call
|
|||||
Final Underlying
Price(3)
|
Stock Price
Return
|
Total Return on
the Reference
Stock at
Maturity(4)
|
Payment at
Maturity +
Coupon
Payments(5)
|
Total Return on
the Notes at
Maturity(6)
|
Value of the
Share Delivery
Amount(7)
|
Payment at
Maturity +
Coupon
Payments(8)
|
Total Return on the
Notes at Maturity(6)
|
$15.00
|
50.00%
|
51.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$14.50
|
45.00%
|
46.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$14.00
|
40.00%
|
41.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$13.50
|
35.00%
|
36.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$12.50
|
25.00%
|
26.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$12.00
|
20.00%
|
21.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$11.50
|
15.00%
|
16.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$11.00
|
10.00%
|
11.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$10.50
|
5.00%
|
6.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$10.00
|
0.00%
|
1.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$9.80
|
-2.00%
|
-0.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$9.50
|
-5.00%
|
-3.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$9.00
|
-10.00%
|
-8.50%
|
$1,060.00
|
6.00%
|
n/a
|
n/a
|
n/a
|
$8.00
|
-20.00%
|
-18.50%
|
n/a
|
n/a
|
$888.89
|
$948.89
|
-5.11%
|
$7.50
|
-25.00%
|
-23.50%
|
n/a
|
n/a
|
$833.33
|
$893.33
|
-10.67%
|
$7.00
|
-30.00%
|
-28.50%
|
n/a
|
n/a
|
$777.78
|
$837.78
|
-16.22%
|
$6.50
|
-35.00%
|
-33.50%
|
n/a
|
n/a
|
$722.22
|
$782.22
|
-21.78%
|
$6.00
|
-40.00%
|
-38.50%
|
n/a
|
n/a
|
$666.67
|
$726.67
|
-27.33%
|
$5.50
|
-45.00%
|
-43.50%
|
n/a
|
n/a
|
$611.11
|
$671.11
|
-32.89%
|
$5.00
|
-50.00%
|
-48.50%
|
n/a
|
n/a
|
$555.56
|
$615.56
|
-38.44%
|
$4.50
|
-55.00%
|
-53.50%
|
n/a
|
n/a
|
$500.00
|
$560.00
|
-44.00%
|
$4.00
|
-60.00%
|
-58.50%
|
n/a
|
n/a
|
$444.44
|
$504.44
|
-49.56%
|
$3.50
|
-65.00%
|
-63.50%
|
n/a
|
n/a
|
$388.89
|
$448.89
|
-55.11%
|
$3.00
|
-70.00%
|
-68.50%
|
n/a
|
n/a
|
$333.33
|
$393.33
|
-60.67%
|
(1) |
A conversion event does not occur if the final underlying price of the Reference Stock is not below the conversion price.
|
(2) |
A conversion event occurs if the final underlying price of the Reference Stock is below the conversion price.
|
(3) |
The final underlying price is shown as of the final valuation date, if the final underlying price of the Reference Stock is not below the conversion price. However, if the final underlying price of the Reference Stock is below the conversion price, the final underlying price is shown as of the final valuation date and the maturity date. The final underlying price range is provided for illustrative purposes only. The actual stock price return may be below -70.00%, and you therefore may lose up to 100% of your initial investment.
|
(4) |
The total return at maturity on the Reference Stock assumes a dividend yield on the Reference Stock of 1.50% over the term of the Notes.
|
(5) |
Payment consists of the principal amount plus the coupon payments received during the term of the Notes.
|
(6) |
The total return at maturity on the Notes includes coupon payments received during the term of the Notes.
|
(7) |
The value of the share delivery amount consists of the total shares included in the share delivery amount multiplied by the closing price of the Reference Stock on the maturity date. If you receive the share delivery amount at maturity, we will pay cash in lieu of delivering any fractional shares in an amount equal to that fraction multiplied by the closing price of the Reference Stock on the final valuation date.
|
(8) |
The actual value of the payment consists of the market value of a number of shares of the Reference Stock equal to the share delivery amount, valued and delivered as of the maturity date with fractional shares paid in cash at the final underlying price, plus the coupon payments received during the term of the Notes.
|
What Are the Tax Consequences of the Notes?
|
Reference Stock
|
Coupon Rate per Annum
|
Interest on Debt Component per
Annum
|
Put Option Component per
Annum
|
Bank of America Corporation (BAC)
|
6.50%
|
1.80%
|
4.70%
|
The Williams Companies, Inc. (WMB)
|
8.00%
|
1.80%
|
6.20%
|
Information About the Reference Stocks
|
Bank of America Corporation
|
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Quarterly Period-End Close
|
||||
1/01/2008
|
3/31/2008
|
$45.03
|
$35.31
|
$37.91
|
||||
4/01/2008
|
6/30/2008
|
$40.86
|
$23.87
|
$23.87
|
||||
7/01/2008
|
9/30/2008
|
$37.48
|
$18.52
|
$35.00
|
||||
10/01/2008
|
12/31/2008
|
$38.13
|
$11.25
|
$14.08
|
||||
1/01/2009
|
3/31/2009
|
$14.33
|
$3.14
|
$6.82
|
||||
4/01/2009
|
6/30/2009
|
$14.17
|
$7.05
|
$13.20
|
||||
7/01/2009
|
9/30/2009
|
$17.98
|
$11.84
|
$16.92
|
||||
10/01/2009
|
12/31/2009
|
$18.59
|
$14.58
|
$15.06
|
||||
1/01/2010
|
3/31/2010
|
$18.04
|
$14.45
|
$17.85
|
||||
4/01/2010
|
6/30/2010
|
$19.48
|
$14.37
|
$14.37
|
||||
7/01/2010
|
9/30/2010
|
$15.67
|
$12.32
|
$13.11
|
||||
10/01/2010
|
12/31/2010
|
$13.56
|
$10.95
|
$13.34
|
||||
1/01/2011
|
3/31/2011
|
$15.25
|
$13.33
|
$13.33
|
||||
4/01/2011
|
6/30/2011
|
$13.72
|
$10.50
|
$10.96
|
||||
7/01/2011
|
9/30/2011
|
$11.09
|
$6.06
|
$6.12
|
||||
10/01/2011
|
12/31/2011
|
$7.35
|
$4.99
|
$5.56
|
||||
1/01/2012
|
3/31/2012
|
$9.93
|
$5.80
|
$9.57
|
||||
4/01/2012
|
6/30/2012
|
$9.68
|
$6.83
|
$8.18
|
||||
7/01/2012
|
9/30/2012
|
$9.55
|
$7.04
|
$8.83
|
||||
10/01/2012
|
12/31/2012
|
$11.60
|
$8.93
|
$11.60
|
||||
1/01/2013
|
3/31/2013
|
$12.78
|
$11.03
|
$12.18
|
||||
4/01/2013
|
6/30/2013
|
$13.83
|
$11.44
|
$12.86
|
||||
7/01/2013
|
9/30/2013
|
$14.95
|
$12.83
|
$13.80
|
||||
10/01/2013
|
12/31/2013
|
$15.88
|
$13.69
|
$15.57
|
||||
1/01/2014
|
3/31/2014
|
$17.92
|
$16.10
|
$17.20
|
||||
4/01/2014
|
6/30/2014
|
$17.34
|
$14.51
|
$15.37
|
||||
7/01/2014
|
9/30/2014
|
$17.18
|
$14.98
|
$17.05
|
||||
10/01/2014
|
12/31/2014
|
$18.13
|
$15.76
|
$17.89
|
||||
1/01/2015
|
3/31/2015
|
$17.90
|
$15.15
|
$15.39
|
||||
4/01/2015
|
6/30/2015
|
$17.67
|
$15.41
|
$17.02
|
||||
7/01/2015
|
9/30/2015
|
$18.45
|
$15.26
|
$15.58
|
||||
10/01/2015
|
12/31/2015
|
$17.95
|
$15.38
|
$16.83
|
||||
1/01/2016
|
3/31/2016
|
$16.43
|
$11.16
|
$13.52
|
||||
4/01/2016
|
6/30/2016
|
$15.11
|
$12.18
|
$13.27
|
||||
7/01/2016
|
9/30/2016
|
$16.19
|
$12.74
|
$15.65
|
||||
10/01/2016
|
12/31/2016
|
$23.16
|
$15.63
|
$22.10
|
||||
1/01/2017
|
3/24/2017*
|
$25.50
|
$22.05
|
$23.12
|
n conversion price = 88.00% of the initial underlying price
|
The Williams Companies, Inc.
|
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Quarterly Period-End
Close
|
||||
1/01/2008
|
3/31/2008
|
$30.21
|
$25.27
|
$26.93
|
||||
4/01/2008
|
6/30/2008
|
$32.92
|
$27.48
|
$32.92
|
||||
7/01/2008
|
9/30/2008
|
$32.58
|
$17.84
|
$19.31
|
||||
10/01/2008
|
12/31/2008
|
$18.37
|
$9.91
|
$11.82
|
||||
1/01/2009
|
3/31/2009
|
$13.32
|
$8.03
|
$9.29
|
||||
4/01/2009
|
6/30/2009
|
$14.55
|
$9.42
|
$12.75
|
||||
7/01/2009
|
9/30/2009
|
$15.50
|
$11.29
|
$14.59
|
||||
10/01/2009
|
12/31/2009
|
$17.45
|
$13.79
|
$17.21
|
||||
1/01/2010
|
3/31/2010
|
$18.90
|
$16.54
|
$18.86
|
||||
4/01/2010
|
6/30/2010
|
$20.01
|
$14.93
|
$14.93
|
||||
7/01/2010
|
9/30/2010
|
$17.02
|
$14.43
|
$15.60
|
||||
10/01/2010
|
12/31/2010
|
$20.21
|
$15.53
|
$20.19
|
||||
1/01/2011
|
3/31/2011
|
$25.68
|
$20.03
|
$25.46
|
||||
4/01/2011
|
6/30/2011
|
$27.09
|
$23.12
|
$24.70
|
||||
7/01/2011
|
9/30/2011
|
$26.21
|
$19.47
|
$19.88
|
||||
10/01/2011
|
12/31/2011
|
$26.96
|
$19.07
|
$26.96
|
||||
1/01/2012
|
3/31/2012
|
$31.30
|
$26.82
|
$30.81
|
||||
4/01/2012
|
6/30/2012
|
$34.38
|
$27.36
|
$28.82
|
||||
7/01/2012
|
9/30/2012
|
$35.10
|
$28.78
|
$34.97
|
||||
10/01/2012
|
12/31/2012
|
$36.77
|
$30.97
|
$32.74
|
||||
1/01/2013
|
3/31/2013
|
$37.46
|
$33.30
|
$37.46
|
||||
4/01/2013
|
6/30/2013
|
$38.38
|
$31.65
|
$32.47
|
||||
7/01/2013
|
9/30/2013
|
$36.84
|
$32.52
|
$36.36
|
||||
10/01/2013
|
12/31/2013
|
$38.57
|
$34.25
|
$38.57
|
||||
1/01/2014
|
3/31/2014
|
$42.69
|
$38.03
|
$40.58
|
||||
4/01/2014
|
6/30/2014
|
$58.86
|
$39.64
|
$58.21
|
||||
7/01/2014
|
9/30/2014
|
$59.44
|
$54.37
|
$55.35
|
||||
10/01/2014
|
12/31/2014
|
$55.83
|
$41.84
|
$44.94
|
||||
1/01/2015
|
3/31/2015
|
$50.64
|
$40.94
|
$50.59
|
||||
4/01/2015
|
6/30/2015
|
$60.86
|
$46.99
|
$57.39
|
||||
7/01/2015
|
9/30/2015
|
$58.23
|
$34.93
|
$36.85
|
||||
10/01/2015
|
12/31/2015
|
$43.83
|
$21.54
|
$25.70
|
||||
1/01/2016
|
3/31/2016
|
$26.33
|
$11.16
|
$16.07
|
||||
4/01/2016
|
6/30/2016
|
$23.57
|
$14.81
|
$21.63
|
||||
7/01/2016
|
9/30/2016
|
$31.15
|
$20.09
|
$30.73
|
||||
10/01/2016
|
12/31/2016
|
$31.78
|
$28.11
|
$31.14
|
||||
1/01/2017
|
3/24/2017*
|
$32.42
|
$27.97
|
$28.69
|
n conversion price = 85.00% of the initial underlying price
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
Structuring the Notes
|
Terms Incorporated in Master Note
|
Validity of the Notes
|