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Pricing Supplement
(To the Prospectus dated September 14, 2021, the Prospectus Supplement dated
September 14, 2021, and the Product Prospectus Supplement dated March 3, 2022)
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Filed Pursuant to Rule 424(b)(2)
Registration No. 333-259205
September 22, 2023
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 Royal Bank of Canada |
$2,500,000
Contingent Digital Return Buffer Notes Due October 8, 2024
Linked to the SPDR® S&P 500® ETF Trust
Senior Global Medium-Term Notes, Series I
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General
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The Notes are designed for investors who seek to receive a Contingent Digital Return at maturity based on the performance of the SPDR® S&P 500® ETF Trust (the “Reference Asset”).
Investors should be willing to forgo interest and dividend payments and, if the price of the Reference Asset declines by more than 10.00%, be willing to (i) lose some or all of their principal and (ii) receive physical delivery of shares of
the Reference Asset in lieu of cash or, under the circumstances described below, the cash value of those shares.
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Senior unsecured obligations of Royal Bank of Canada maturing on October 8, 2024.(a) Any payments on the Notes are subject to our credit risk.
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Minimum denominations of $10,000 and integral multiples of $10,000 in excess thereof.
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The Notes priced on September 22, 2023 (the “Pricing Date”), and will be issued on September 27, 2023 (the “issue date”).
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Key Terms
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Terms used in this pricing supplement, but not defined herein, will have the meanings ascribed to them in the product prospectus supplement.
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Issuer:
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Royal Bank of Canada
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Reference Asset:
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The SPDR® S&P 500® ETF Trust (Bloomberg symbol: “SPY”)
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Contingent Digital Return:
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9.50% ($950.00 per $10,000 in principal amount)
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Payment at Maturity:
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If the Final Price is greater than or equal to the Buffer Price, you will receive a cash payment per $10,000 in principal amount of the Notes that provides you with a positive return equal to the
Contingent Digital Return, calculated as follows:
$10,000 + ($10,000 x Contingent Digital Return)
If the Final Price is less than the Buffer Price, you will receive at maturity, for each $10,000 in principal amount, a number of shares of the Reference Asset equal to the Physical Delivery
Amount (or, under the circumstances set forth below, the Cash Delivery Amount).
In this case, the value of the shares based on the Final Price will represent a loss of approximately 1.1111% of the principal amount for each 1% that the
Final Price is less than the Buffer Price. You will lose a significant portion, or possibly even all, of the principal amount.
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Buffer Price:
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$388.25, which is 90.00% of the Initial Price (rounded to two decimal places), subject to the adjustment provisions set forth in the product prospectus supplement.
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Physical Delivery Amount:
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For each $10,000 in principal amount, 25.76, which is the number of shares of the Reference Asset equal to $10,000 divided by the Buffer Price (rounded to two decimal places),
subject to adjustment as described in the product prospectus supplement. Fractional shares will be paid in cash, based on the closing price of the Reference Asset on the Valuation Date.
If, due to an event beyond our control, we determine it is impossible, impracticable (including unduly burdensome) or illegal for us to deliver shares of the Reference Asset to you at maturity, we
will pay the Cash Delivery Amount in lieu of delivering shares.
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Cash Delivery Amount:
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An amount equal to the product of the Physical Delivery Amount multiplied by the closing price of the Reference Asset on the Valuation Date.
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Percentage Change:
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The performance of the Reference Asset from the Initial Price to the Final Price, calculated as follows:
Final Price – Initial Price
Initial Price
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Initial Price:
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$431.39, which was the closing price of the Reference Asset on September 21, 2023.
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Final Price:
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The closing price of the Reference Asset on the Valuation Date.
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Valuation Date:
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October 3, 2024(a)
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Maturity Date:
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October 8, 2024(a)
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Calculation Agent:
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RBC Capital Markets, LLC (“RBCCM”)
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CUSIP/ISIN:
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78015QFX4 / US78015QFX43
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Estimated Value:
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The initial estimated value of the Notes as of the Pricing Date was $9,820.19 per $10,000 in principal amount, which is less than the principal amount. The actual value of the Notes at any time
will reflect many factors, cannot be predicted with accuracy, and may be less than this amount.
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(a) Subject to postponement if a market disruption event occurs, as described under “General Terms of the Notes—Market Disruption Events” in the product prospectus supplement.
Investing in the Notes involves a number of risks. See “Selected Risk Considerations” beginning on page PS-4 of this document, and “Additional Risk Factors Specific to the Notes”
beginning on page PS-6 of the product prospectus supplement, and "Risk Factors" beginning on page S-2 of the prospectus supplement and page 1 of the prospectus.
The Notes will not be listed on any U.S. securities exchange or quotation system. Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the
Notes or determined that this pricing supplement is truthful or complete. Any representation to the contrary is a criminal offense.
The Notes will not constitute deposits insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation or any other Canadian or U.S. government
agency or instrumentality. The Notes are not subject to conversion into our common shares under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act.
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Price to Public1
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Underwriting Commission2
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Proceeds to Royal Bank of Canada
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Per Note
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$10,000.00
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$100.00
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$9,900.00
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Total
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$2,500,000
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$25,000
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$2,475,000
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1 Certain fiduciary accounts purchasing the Notes will pay a purchase price of $9,900.00 per Note, and the placement agents will forgo any fees with respect to sales made
to those accounts. The price to the public for all other purchases of the Notes is 100%.
2 JPMorgan Chase Bank, N.A., J.P. Morgan Securities LLC and their affiliates will act as placement agents for the Notes and will receive a fee from the Issuer of $100.00
per $10,000 in principal amount of the Notes, but will forgo any fees for sales to certain fiduciary accounts.
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RBC Capital Markets, LLC
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JPMorgan Chase Bank, N.A.
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J.P. Morgan Securities LLC
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Placement Agents
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ADDITIONAL TERMS OF THE NOTES
You should read this pricing supplement together with the prospectus dated September 14, 2021, as supplemented by the prospectus supplement dated September 14, 2021 and the product prospectus
supplement dated March 3, 2022, relating to our Senior Global Medium-Term Notes, Series I, of which these Notes are a part. Capitalized terms used but not defined in this pricing supplement will have the meanings given to them in the product
prospectus supplement. In the event of any conflict, this pricing supplement will control. You should read this pricing supplement carefully.
This pricing supplement, together with the documents listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set
forth in “Risk Factors” in the prospectus supplement dated September 14, 2021 and in "Additional Risk Factors Specific to the Notes in the product prospectus supplement dated March 3, 2022, as the Notes involve risks not associated with conventional
debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes. You may access these documents on the Securities and Exchange Commission (the “SEC”) website at www.sec.gov as follows
(or if that address has changed, by reviewing our filings for the relevant date on the SEC website):
Prospectus dated September 14, 2021:
Prospectus Supplement dated September 14, 2021:
Product Prospectus Supplement ERN-ETF-1 dated March 3, 2022:
Our Central Index Key, or CIK, on the SEC website is 1000275. As used in this pricing supplement, “Royal Bank,” “we,” “us,” or “our” refers to Royal Bank of Canada.
PS-1
What Is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Reference Asset?
The following table illustrates the hypothetical total return at maturity on the Notes. The “total return,” as used in this pricing supplement, is the number, expressed as a percentage, that results
from comparing the payment at maturity per $10,000 in principal amount of the Notes to $10,000. The hypothetical total returns and examples set forth below are based on a hypothetical Initial Price of $100.00, a hypothetical Buffer Price of $90.00, a
hypothetical Physical Delivery Amount of approximately 111.11 shares of the Reference Asset ($10,000 divided by the hypothetical Buffer Price), the Contingent Digital Return of 9.50%, and the hypothetical Final Prices as set forth below. The actual
Initial Price, Buffer Price and Physical Delivery Amount are set forth on the cover page of this document, and the actual Final Price will be determined based on the closing price of the Reference Asset on the Valuation Date.
The hypothetical total returns and examples set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the Notes. The numbers appearing in the following table
and examples have been rounded for ease of analysis. The examples below do not take into account any tax consequences from investing in the Notes.
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Final Price
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Percentage Change
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Payment at Maturity or Value of the
Physical Delivery Amount
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Total Return on the
Notes1
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$150.00
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50.00%
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$10,950.00
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9.50%
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$140.00
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40.00%
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$10,950.00
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9.50%
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$130.00
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30.00%
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$10,950.00
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9.50%
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$120.00
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20.00%
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$10,950.00
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9.50%
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$110.00
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10.00%
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$10,950.00
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9.50%
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$109.50
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9.50%
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$10,950.00
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9.50%
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$105.00
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5.00%
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$10,950.00
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9.50%
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$102.50
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2.50%
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$10,950.00
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9.50%
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$100.00
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0.00%
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$10,950.00
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9.50%
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$95.00
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-5.00%
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$10,950.00
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9.50%
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$90.00
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-10.00%
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$10,950.00
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9.50%
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$80.00
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-20.00%
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Approximately 111.11 shares, or $8,888.80
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-11.11%
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$70.00
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-30.00%
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Approximately 111.11 shares, or $7,777.70
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-22.22%
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$60.00
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-40.00%
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Approximately 111.11 shares, or $6,666.60
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-33.33%
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$50.00
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-50.00%
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Approximately 111.11 shares, or $5,555.50
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-44.45%
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$30.00
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-70.00%
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Approximately 111.11 shares, or $3,333.30
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-66.67%
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$20.00
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-80.00%
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Approximately 111.11 shares, or $2,222.20
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-77.78%
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$10.00
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-90.00%
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Approximately 111.11 shares, or $1,111.10
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-88.89%
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$0.00
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-100.00%
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Approximately 111.11 shares, or $0.00
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-100.00%
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1 The “Total Return on the Notes” and the “Value of the Physical Delivery Amount” is calculated based on the Final Price on the Valuation Date, and not as of the maturity date. Any fractional shares will be
paid in cash based on the closing price of the Reference Asset on the Final Valuation Date.
PS-2
Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set forth in the table above are calculated.
Example 1: The price of the Reference Asset decreases from the Initial Price to a Final Price of $95.00, resulting in a Percentage Change of -5%.
Because the Final Price is greater than or equal to the Buffer Price, the investor receives a payment at maturity of $10,950.00 per $10,000 in principal amount of the Notes, which is
equal to the principal amount plus the Contingent Digital Return, calculated as follows:
$10,000 + ($10,000 x 9.50%) = $10,950
In this case, the return on the Notes is positive, even though the Percentage Change is negative.
Example 2: The price of the Reference Asset increases from the Initial Price to a Final Price of $150, resulting in a Percentage Change of 50%.
Because the Final Price is greater than or equal to the Buffer Price, the investor receives a payment at maturity of $10,950.00 per $10,000 in principal amount of the Notes, which is
equal to the principal amount plus the Contingent Digital Return, calculated as follows:
$10,000 + ($10,000 x 9.50%) = $10,950
In this case, the return on the Notes is less than the Percentage Change of the Reference Asset.
Example 3: The price of the Reference Asset decreases from the Initial Price to a Final Price of $50, resulting in a Percentage Change of -50%.
Because the Final Price is less than the Buffer Price, for each $10,000 in principal amount, the investor will receive approximately 111.11 shares of the Reference Asset at maturity
(with fractional shares paid in cash), or under the circumstances set forth on the cover page, the Cash Delivery Amount. The value of the Physical Delivery Amount as of the Valuation Date is:
111.11 shares x $50 = $5,555.50
In this case, the value of the securities or the amount of cash that will be paid on the Notes is expected to be significantly less than the principal amount.
PS-3
Selected Purchase Considerations
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Appreciation Potential — The Notes provide the opportunity to receive the Contingent Digital Return if the Final Price is greater than or equal to the Buffer Price.
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Limited Protection Against Loss — Payment at maturity of the principal amount of the Notes is protected against a decline in the Final Price, as compared to the Initial
Price, of up to 10.00%. If the Final Price is less than the Initial Price by more than 10.00%, the value of the shares based on the Final Price that you will receive at maturity will represent a loss of approximately 1.1111% of the principal
amount for each 1% that the Final Price is less than the Buffer Price. If you receive shares of the Reference Asset, they may decrease in value between the Valuation Date and the maturity date, further reducing your return on the Notes.
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Selected Risk Considerations
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Reference Asset. These risks are explained in more detail
in the section “Additional Risk Factors Specific to the Notes” in the product prospectus supplement. In addition to the risks described in the prospectus supplement and the product prospectus supplement, you should consider the following:
Risks Relating to the Terms and Structure of the Notes
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You May Lose All or a Portion of the Principal Amount at Maturity — Investors in the Notes could lose all or a substantial portion of their principal amount if the Final
Price of the Reference Asset is more than 10.00% less than the Initial Price. If the Final Price is less than the Buffer Price, the value of the shares based on the Final Price that you will receive at maturity will represent a loss of
approximately 1.1111% of the principal amount for each 1% that the Final Price is less than the Buffer Price, and you may lose up to 100% of the principal amount.
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If You Receive Shares of the Reference Asset at Maturity, the Value of Those Shares May Be Less on the Maturity Date than on the Valuation Date — If the Final Price is less
than the Buffer Price, at maturity you may receive a number of shares of the Reference Asset equal to the Physical Delivery Amount. Under these circumstances, the value of the Physical Delivery Amount as of the Valuation Date is expected to
be less than the principal amount, and could decrease further during the period between the Valuation Date and the maturity date. We will make no adjustments to the Physical Delivery Amount to account for any fluctuations in the price of the
Reference Asset, and you will bear the risk of any decrease in the price of the Reference Asset and consequently, the value of the Physical Delivery Amount between the Valuation Date and the maturity date.
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The Notes Do Not Pay Interest and Your Return May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity — There will be no periodic interest
payments on the Notes as there would be on a conventional fixed-rate or floating-rate debt security having the same maturity. The return that you will receive on the Notes, which could be negative, may be less than the return you could earn
on other investments. Your return may be less than the return you would earn if you purchased one of our conventional senior interest bearing debt securities.
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Your Potential Payment at Maturity Is Limited — The Notes will provide less opportunity to participate in increases in the price of the Reference Asset than an investment in
a security linked to the Reference Asset providing full participation in the appreciation, because the payment at maturity will not exceed the amount represented by the Contingent Digital Return. Accordingly, your return on the Notes may be
less than your return would be if you made an investment in a security directly linked to increases in the Reference Asset.
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Owning the Notes Is Not the Same as Owning Shares of the Reference Asset — The return on the Notes may not reflect the return you would realize if you actually owned shares
of the Reference Asset. For instance, as a holder of the Notes, you will not have voting rights, rights to receive cash dividends or other distributions, or any other rights that holders of shares of the Reference Asset would have, unless and
until you receive the Physical Delivery Amount at maturity. Further, you will not participate in any appreciation of the price of Reference Asset above 9.50%.
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Payments on the Notes Are Subject to Our Credit Risk, and Changes in Our Credit Ratings Are Expected to Affect the Market Value of the Notes — The Notes are our senior
unsecured debt securities. As a result, your receipt of the amount due on the maturity date is dependent upon our ability to repay our
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PS-4
obligations at that time. This will be the case even if the price of the Reference Asset increases after the date that the Initial Price was determined. No assurance can
be given as to what our financial condition will be at the maturity of the Notes.
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Market Disruption Events and Adjustments May Adversely Affect Your Return on the Notes — The payment at maturity, the Valuation Date and the Reference Asset are subject to
adjustment as described in the product prospectus supplement. For a description of what constitutes a market disruption event as well as the consequences of that market disruption event on the Valuation Date, see “General Terms of the
Notes—Market Disruption Events” in the product prospectus supplement.
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The Tax Treatment of the Notes Is Uncertain — Significant aspects of the tax treatment of an investment in the Notes are uncertain. You should consult your tax adviser about
your tax situation.
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Risks Relating to the Initial Estimated Value of the Notes
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The Initial Estimated Value of the Notes Is Less than the Price to the Public — The initial estimated value that is set forth on the cover page of this pricing supplement
does not represent a minimum price at which we, RBCCM or any of our affiliates would be willing to purchase the Notes in any secondary market (if any exists) at any time. If you 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 Reference Asset, the borrowing rate we pay to issue securities of this kind, and the inclusion in
the price to the public of the underwriting discount and the costs relating to our hedging of the Notes. These factors, together with various credit, market and economic factors over the term of the Notes, are expected to reduce the price at
which you may be able to sell the Notes in any secondary market and will affect the value of the Notes in complex and unpredictable ways. Assuming no change in market conditions or any other relevant factors, the price, if any, at which you
may be able to sell your Notes prior to maturity may be less than your original purchase price. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
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The Initial Estimated Value of the Notes That Is Set Forth on the Cover Page of this Pricing Supplement Is an Estimate Only, Calculated as of the Pricing Date — The value of
the Notes at any time after the Pricing Date will vary based on many factors, including changes in market conditions, and cannot be predicted with accuracy. As a result, the actual value you would receive if you sold the Notes in any
secondary market, if any, should be expected to differ materially from the initial estimated value of the Notes.
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Risks Relating to the Secondary Market for the Notes
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There May Not Be an Active Trading Market for the Notes—Sales in the Secondary Market May Result in Significant Losses — There may be little or no secondary market for the
Notes. The Notes will not be listed on any securities exchange. RBCCM and our other affiliates may make a market for the Notes; however, they are not required to do so. RBCCM or any other affiliate of ours may stop any market-making
activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We expect that transaction costs in any secondary market would be high. As a
result, the difference between bid and asked prices for the Notes in any secondary market could be substantial.
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Many Economic and Market Factors Will Impact the Value of the Notes — In addition to the price of the Reference Asset on any day, the value of the Notes will be affected by a
number of economic and market factors that may either offset or magnify each other, including:
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the expected volatility of the Reference Asset;
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the time to maturity of the Notes;
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the dividend rates on the Reference Asset and the securities that it holds;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial events; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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PS-5
Risks Relating to the Reference Asset
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The Reference Asset and Its Underlying Index Are Different — The performance of the Reference Asset may not exactly replicate the performance of its underlying index,
because the Reference Asset will reflect transaction costs and fees that are not included in the calculation of its underlying index. It is also possible that the performance of the Reference Asset may not fully replicate or may in certain
circumstances diverge significantly from the performance of its underlying index due to the temporary unavailability of certain securities in the secondary market, the performance of any derivative instruments contained in the Reference Asset
or due to other circumstances. The Reference Asset may use futures contracts, options, swap agreements, currency forwards and repurchase agreements in seeking performance that corresponds to its underlying index and in managing cash flows.
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During periods of market volatility, securities underlying the Reference Asset may be unavailable in the secondary market, market participants may be unable to
calculate accurately the net asset value per share of the Reference Asset and the liquidity of the Reference Asset may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem
shares of the Reference Asset. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Reference Asset. As a result, under these circumstances, the
market value of shares of the Reference Asset may vary substantially from the net asset value per share of the Reference Asset. For all of the foregoing reasons, the performance of the Reference Asset may not correlate with the performance of its
underlying index as well as the net asset value per share of the Reference Asset, which could materially and adversely affect the value of the Notes in the secondary market and/or reduce your payment at maturity.
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Adjustments to the Reference Asset Could Adversely Affect the Notes — The advisor of the Reference Asset is responsible for calculating and maintaining the Reference Asset.
The advisor can add, delete or substitute the stocks comprising the Reference Asset. The advisor may make other methodological changes that could change the share price of the Reference Asset at any time. Any of these actions could adversely
affect the amount payable at maturity and/or the market value of the Notes.
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We Have No Affiliation with the Index Sponsor and Will Not Be Responsible for Any Actions Taken by the Index Sponsor — The sponsor of the underlying index for the Reference
Asset is not our affiliate and will not be involved in the offering of the Notes in any way. Consequently, we have no control over the actions of the index sponsor, including any actions of the type that would require the calculation agent to
adjust the payment to you at maturity. The index sponsor has no obligation of any sort with respect to the Notes. Thus, the index sponsor has no obligation to take your interests into consideration for any reason, including in taking any
actions that might affect the value of the Notes. None of our proceeds from the issuance of the Notes will be delivered to the index sponsor.
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We and Our Affiliates Do Not Have Any Affiliation with the Advisor and Are Not Responsible for its Public Disclosure of Information — We and our affiliates are not affiliated
with the Reference Asset's advisor in any way and have no ability to control or predict its actions, including any errors in or discontinuance of disclosure regarding its methods or policies relating to the Reference Asset. The advisor is not
involved in the offering of the Notes in any way and has no obligation to consider your interests as an owner of the Notes in taking any actions relating to the Reference Asset that might affect the value of the Notes. Neither we nor any of
our affiliates has independently verified the adequacy or accuracy of the information about the advisor or the Reference Asset contained in any public disclosure of information. You, as an investor in the Notes, should make your own
investigation into the Reference Asset.
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The Reference Asset Is Subject to Management Risks — The Reference Asset is subject to management risk, which is the risk that the advisor’s investment strategy, the
implementation of which is subject to a number of constraints, may not produce the intended results. For example, the advisor may invest a portion of the Reference Asset's assets in securities not included in the relevant industry or sector
but which the Advisor believes will help the Reference Asset track the relevant industry or sector.
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The Payments on the Notes Are Subject to Anti-dilution Adjustments — For certain corporate or organizational events affecting the Reference Asset, the calculation agent may
make adjustments to the terms of the Notes. However, the calculation agent will not make such adjustments in response to all events that could affect the Reference Asset. If an event occurs that does not require the calculation agent to make
such adjustments, the value of the Notes may be materially and adversely affected. In addition, all
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PS-6
determinations and calculations concerning any such adjustments will be made in the sole discretion of the calculation agent, which will be binding on you absent manifest
error. You should be aware that the calculation agent may make any such adjustment, determination or calculation in a manner that differs from that discussed in this pricing supplement or the product prospectus supplement as necessary to achieve an
equitable result.
Risks Relating to Conflicts of Interest
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The Business Activities of Royal Bank and Our Affiliates May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the
Reference Asset or the securities that it holds that are not for the account of holders of the Notes or on their behalf. These trading activities may present a conflict between the holders’ interests in the Notes and the interests we and our
affiliates will have in their proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for their customers and in accounts under their management. These trading activities, if they influence
the price of the Reference Asset, could be adverse to the interests of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with the Reference Asset or the issuers of the
securities that it holds, including making loans to or providing advisory services. These services could include investment banking and merger and acquisition advisory services. These activities may present a conflict between our or one or
more of our affiliates’ obligations, and your interests as a holder of the Notes. Moreover, we and our affiliates may have published, and in the future expect to publish, research reports with respect to the Reference Asset and/or the issuers
of the securities that it holds. This research is modified from time to time without notice and may express opinions or provide recommendations that are inconsistent with purchasing or holding the Notes. Any of these activities may affect the
price of the Reference Asset and, therefore, the market value of the Notes.
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Additionally, we or our affiliates may serve as issuer, agent or underwriter for additional issuances of securities with returns linked or related to changes in the
price of the Reference Asset and/or the securities that it holds. By introducing competing products into the marketplace in this manner, we could adversely affect the value of the Notes.
We may hedge our obligations under the Notes through certain affiliates, who would expect to make a profit on such hedge. We or our affiliates may adjust these hedges
by, among other things, purchasing or selling those assets at any time, including around the time of the Valuation Date, which could have an impact on the return of the Notes. Because hedging our obligations entails risk and may be influenced by
market forces beyond our or our affiliates' control, such hedging may result in a profit that is more or less than expected, or it may result in a loss.
PS-7
Information Regarding the Reference Asset
The Reference Asset is registered under the Securities Exchange Act of 1934 (the “Exchange Act”). Companies with securities registered under that Act are required to file periodically certain financial
and other information specified by the Securities and Exchange Commission (the “SEC”). Information provided to or filed with the SEC can be obtained through the SEC’s website at www.sec.gov. In addition, information regarding the Reference Asset may
be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
The following information regarding the Reference Asset is derived from publicly available information.
We have not independently verified the accuracy or completeness of reports filed by the Reference Asset with the SEC, information published by it on its website or in any other format, information about
it obtained from any other source or the information provided below.
The SPDR® S&P 500® ETF Trust ("SPY")
The Reference Asset is an exchange-traded fund that seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500® Index
(the "SPX").
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.
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 payments on the Notes.
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
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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 were 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.
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.
Additional information regarding the calculation and composition of the underlying index, including the index methodology, may be found on S&P’s website. Information included in that website is not
included or incorporated by reference into this document. The prospectus for the Reference Asset may be found at the following link: https://www.ssga.com/us/en/intermediary/etfs/resources/doc-viewer#spy&prospectus
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Historical Information
The following graph sets forth the historical performance of the Reference Asset from January 1, 2018 through September 21, 2023. The closing price of the Reference Asset on September 21, 2023 was
$431.39. The red line represents the Buffer Price of $388.25, which is equal to 90.00% of the closing price on September 21, 2023 (rounded to two decimal places).
We obtained the information regarding the historical performance of the Reference Asset in the graph above from Bloomberg Financial Markets.
We have not independently verified the accuracy or completeness of the information obtained from Bloomberg Financial Markets. The historical performance of the Reference Asset should not be taken as an indication of future
performance, and no assurance can be given as to the closing price of the Reference Asset on the Valuation Date.
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Supplemental Plan of Distribution
JPMorgan Chase Bank, N.A., J.P. Morgan Securities LLC and its affiliates will act as placement agents for the Notes and will receive a fee from the Issuer of $100.00 per $10,000 in principal amount of
the Notes, but will forgo any fees for sales to certain fiduciary accounts. We or one of our affiliates will also pay an expected fee to a broker-dealer that is unaffiliated with us for providing certain electronic platform services with respect to
this offering.
Delivery of the Notes will be made against payment for the Notes on September 27, 2023, which is more than two business days following the Pricing Date. Under Rule 15c6-1 of the Exchange Act, trades in
the secondary market generally are required to settle in two business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes on any date prior to two business days before delivery
will be required to specify alternative settlement arrangements to prevent a failed settlement.
In addition, RBCCM or another of its affiliates or agents may use this document in market-making transactions after the initial sale of the Notes, but is under no obligation to do so and may discontinue
any market-making activities at any time without notice.
The value of the Notes shown on your account statement will be based on RBCCM’s estimate of the value of the Notes if RBCCM or another of our affiliates were to make a market in the Notes (which it is
not obligated to do). That estimate will be based upon the price that RBCCM may pay for the Notes in light of then prevailing market conditions, our creditworthiness and transaction costs. For a period of approximately 6 months after the issue date
of the Notes, the price shown on your account statement may initially be higher than RBCCM’s estimated value of the Notes. This is because the estimated value of the Notes will reflect the reduction of the underwriting discount and our hedging costs
and profits; however, the value of the Notes shown on your account statement during that period is expected to be a higher amount, reflecting the amortization of RBCCM’s underwriting discount and our estimated profit from hedging the Notes. After
this period, if RBCCM repurchases your Notes, it expects to do so at prices that reflect its estimated value.
The Notes are our debt securities, the return on which is linked to the performance of the Reference Asset. As is the case for all of our debt securities, including our structured notes, the economic
terms of the Notes reflect our actual or perceived creditworthiness at the time of pricing. In addition, because structured notes result in increased operational, funding and liability management costs to us, we typically borrow the funds under these
Notes at a rate that is more favorable to us than the rate that we might pay for a conventional fixed or floating rate debt security of comparable maturity. This relatively lower implied borrowing rate, which is reflected in the economic terms of the
Notes, along with the fees and expenses associated with structured notes, reduced the initial estimated value of the Notes at the time the terms of the Notes were set.
In order to satisfy our payment obligations under the Notes, we may choose to enter into certain hedging arrangements (which may include call options, put options or other derivatives) on the issue date
with RBCCM or one of our other subsidiaries. The terms of these hedging arrangements take into account a number of factors, including our creditworthiness, interest rate movements, the volatility of the Reference Asset, and the tenor of the Notes.
The economic terms of the Notes depend in part on the terms of these hedging arrangements.
The lower implied borrowing rate, the underwriting commission and the hedging-related costs relating to the Notes reduced the economic terms of the Notes to you and resulted in the initial estimated
value for the Notes being less than their public offering price. See “Selected Risk Considerations—The Initial Estimated Value of the Notes Is Less than the Price to the Public” above.
U.S. Federal Income Tax Consequences
The following disclosure supplements, and to the extent inconsistent supersedes, the discussion in the product prospectus supplement under “Supplemental Discussion of U.S. Federal Income Tax
Consequences.”
In the opinion of our special U.S. counsel, Ashurst LLP, it would generally be reasonable to treat a Note with terms described herein as a pre-paid derivative contract in respect of the Reference Asset for U.S. federal
income tax purposes, and the terms of the Notes require a holder (in the absence of a change in law or an administrative or judicial ruling to the contrary) to treat the Notes for all tax purposes in accordance with such characterization. However,
the U.S. federal income tax consequences of your investment in the Notes are uncertain and the Internal Revenue Service (the “IRS”) could assert that the Notes should be taxed in a manner that is different from that described in the preceding
sentence.
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If the Notes are settled by physical delivery of a number of shares of the Reference Asset at maturity, although no assurances can be provided in this regard, a U.S. holder may generally expect not to
recognize gain or loss upon maturity. However, a U.S. holder would generally be required to recognize gain or loss, if any, with respect to any cash received in lieu of fractional shares, equal to the difference between the cash received and the pro
rata portion of the tax basis allocable to those fractional shares. Any such gain or loss would be treated as capital gain or loss, subject to the potential application of the “constructive ownership” rules under Section 1260 of the Code. A U.S.
holder’s tax basis in the shares of the Reference Asset delivered would generally equal its tax basis in the Notes, other than any amount allocable to a fractional share. A U.S. holder’s holding period for the shares of the Reference Asset delivered
would begin on the day after the shares of the Reference Asset are received.
Under Section 871(m) of the Code, a “dividend equivalent” payment is treated as a dividend from sources within the United States. Such payments generally would be subject to a 30% U.S. withholding tax
if paid to a non-U.S. holder. Under U.S. Treasury Department regulations, payments (including deemed payments) with respect to equity-linked instruments (“ELIs”) that are “specified ELIs” may be treated as dividend equivalents if such specified ELIs
reference, directly or indirectly, an interest in an “underlying security,” which is generally any interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment with respect to such interest could give rise to a
U.S. source dividend. However, the IRS has issued guidance that states that the U.S. Treasury Department and the IRS intend to amend the effective dates of the U.S. Treasury Department regulations to provide that withholding on dividend equivalent
payments will not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2025. Based on our determination that the Notes are not delta-one instruments, non-U.S. holders should not be subject to withholding on
dividend equivalent payments, if any, under the Notes. However, it is possible that the Notes could be treated as deemed reissued for U.S. federal income tax purposes upon the occurrence of certain events affecting the Reference Asset or the Notes
(for example, upon a rebalancing of the Reference Asset), and following such occurrence the Notes could be treated as subject to withholding on dividend equivalent payments. Non-U.S. holders that enter, or have entered, into other transactions in
respect of the Reference Asset or the Notes should consult their tax advisors as to the application of the dividend equivalent withholding tax in the context of the Notes and their other transactions. If any payments are treated as dividend
equivalents subject to withholding, we (or the applicable withholding agent) would be entitled to withhold taxes without being required to pay any additional amounts with respect to amounts so withheld.
Terms Incorporated in the Master Note
All of the terms appearing in the sections “Key Terms” (except the item captioned “Estimated Value”), “U.S. Federal Tax Consequences” and “Market Disruption Events on a Valuation Date” in this pricing
supplement, and the applicable terms included in the product prospectus supplement, the Series I MTN prospectus supplement and the prospectus are incorporated into the master global note that represents the Notes and is held by the Depository Trust
Company.
Validity of the Notes
In the opinion of Norton Rose Fulbright Canada LLP, the issue and sale of the Notes has been duly authorized by all necessary corporate action of the Issuer in conformity with the Indenture, and when
the Notes have been duly executed, authenticated and issued in accordance with the Indenture and delivered against payment therefor, the Notes will be validly issued and, to the extent validity of the Notes is a matter governed by the laws of the
Province of Ontario or Québec, or the laws of Canada applicable therein, will be valid obligations of the Issuer, subject to equitable remedies which may only be granted at the discretion of a court of competent authority, subject to applicable
bankruptcy, to rights to indemnity and contribution under the Notes or the Indenture which may be limited by applicable law; to insolvency and other laws of general application affecting creditors’ rights, to limitations under applicable limitations
statutes, and to limitations as to the currency in which judgments in Canada may be rendered, as prescribed by the Currency Act (Canada). This opinion is given as of the date hereof and is limited to the laws of the Provinces of Ontario and Québec
and the federal laws of Canada applicable thereto. In addition, this opinion is subject to customary assumptions about the Trustee’s authorization, execution and delivery of the Indenture and the genuineness of signatures and certain factual matters,
all as stated in the letter of such counsel dated September 14, 2021, which has been filed as Exhibit 5.3 to the Issuer’s Form 6-K filed with the SEC on September 14, 2021.
In the opinion of Ashurst LLP, when the Notes have been duly completed in accordance with the Indenture and issued and sold as contemplated by the prospectus supplement and the prospectus, the Notes will be valid, binding
and enforceable obligations of the Issuer, entitled to the benefits of the Indenture, subject to applicable bankruptcy,
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insolvency, fraudulent transfer, reorganization, moratorium and similar laws of general applicability relating to or affecting creditors' rights and subject to general principles of equity, public policy considerations and
the discretion of the court before which any suit or proceeding may be brought. This opinion is given as of the date hereof and is limited to the laws of the State of New York. This opinion is subject to customary assumptions about the Trustee’s
authorization, execution and delivery of the Indenture and the genuineness of signatures and to such counsel’s reliance on the Issuer and other sources as to certain factual matters, all as stated in the legal opinion dated September 14, 2021, which
has been filed as Exhibit 5.4 to the Issuer’s Form 6-K dated September 14, 2021.
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