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Coupon Observation Dates and Coupon Payment Dates*
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Coupon Observation Dates
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Coupon Payment Dates
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August 8, 2024
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August 12, 2024
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November 8, 2024(1)
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November 13, 2024(2)
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February 10, 2025(1)
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February 12, 2025(2)
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May 8, 2025(1)
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May 12, 2025(2)
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August 8, 2025(1)
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August 12, 2025(2)
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November 10, 2025(1)
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November 13, 2025(2)
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February 9, 2026(1)
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February 11, 2026(2)
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May 8, 2026(1)
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May 12, 2026(2)
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August 10, 2026(1)
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August 12, 2026(2)
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November 9, 2026(1)
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November 12, 2026(2)
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February 8, 2027(1)
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February 10, 2027(2)
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May 10, 2027(3)
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May 13, 2027(4)
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(1)
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These Coupon Observation Dates are also Call Observation Dates.
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(2)
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These Coupon Payment Dates are also Call Settlement Dates. |
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(3)
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This is also the Final Valuation Date. |
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(4)
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This is also the maturity date. |
* Expected. Subject to postponement if a market disruption event occurs, as described under “General Terms of the Notes—Payment at Maturity” in the accompanying product prospectus supplement no. UBS-TACYN-1.
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Underlying. In addition, your investment in the Notes entails other risks not
associated with an investment in conventional debt securities. You should consider carefully the following discussion of risks, and those set forth in the product prospectus supplement, before you decide that an investment in the
Notes is suitable for you. We also urge you to consult your investment, legal, tax, accounting and other advisors before investing in the Notes.
Risks Relating to the Terms and Structure of the Notes
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♦ |
You may lose some or all of the principal amount at maturity — The Notes differ from ordinary debt securities in that we will not necessarily repay the full principal
amount of the Notes at maturity. If the Notes are not called, we will repay you the principal amount of your Notes in cash only if the Final Price is greater than or equal to the Downside Threshold, and will only make that payment at
maturity. If the Notes are not called and the Final Price is less than the Downside Threshold, you will lose some or all of your initial investment in an amount proportionate to the decline in the price of the Underlying.
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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 Underlying is above the Downside Threshold.
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♦ |
You may not receive any Contingent Coupons — We will not necessarily make periodic Contingent Coupon payments on the Notes. If the closing price of the Underlying on a
Coupon Observation Date is less than the Coupon Barrier, we will not pay you the Contingent Coupon applicable to that Coupon Observation Date. If the closing price of the Underlying is less than the Coupon Barrier on each of the Coupon
Observation Dates, we will not pay you any Contingent Coupons during the term of, and you will not receive a positive return on, your Notes. Generally, this non-payment of the Contingent Coupon coincides with a greater risk of principal
loss on your Notes. Accordingly, if we do not pay the Contingent Coupon on the maturity date, you will incur a loss of principal, because the Final Price will be less than the Downside Threshold.
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♦ |
The call feature and the Contingent Coupon feature limit your potential return — The return potential of the Notes is limited to the pre-specified Contingent Coupon
Rate, regardless of the appreciation of the Underlying. In addition, the total return on the Notes will vary based on the number of Coupon Observation Dates on which the Contingent Coupon becomes payable prior to maturity or an
automatic call. Further, if the Notes are called due to the automatic call feature, you will not receive any Contingent Coupons or any other payment in respect of any Coupon Observation Dates after the applicable Call Settlement Date.
Since the Notes could be called as early as the first Call Observation Date, the total return on the Notes could be minimal. If the Notes are not called, you may be subject to the full downside performance of the Underlying, even though
your potential return is limited to the Contingent Coupon Rate. Generally, the longer the Notes are outstanding, the less likely it is that they will be automatically called due to the decline in the price of the Underlying and the
shorter time remaining for the price of the Underlying to recover. As a result, the return on an investment in the Notes could be less than the return on a direct investment in the Underlying or on a similar security that allows you to
participate in the appreciation of the price of the Underlying.
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♦ |
Owning the Notes is not the same as owning the Underlying — The return on your Notes may not reflect the return you would realize if you actually owned the Underlying.
As a holder of the Notes, you will not have voting rights or rights to receive dividends or other distributions or other rights that holders of the Underlying would have, and any such dividends will not be incorporated in the
determination of the amounts payable on the Notes.
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The Contingent Coupon Rate reflects in part the volatility of the Underlying 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 Underlying. The greater the volatility of the Underlying, the more likely it is that the price of that Underlying could close below the Downside Threshold on the Final
Valuation Date. This risk is generally reflected in a higher Contingent Coupon Rate for the Notes than the interest rate payable on our conventional debt securities with a comparable term. However, while the Contingent Coupon is a fixed
amount, the Underlying’s volatility can change significantly over the term of the Notes, and may increase. The price of the Underlying could fall sharply as of the Final Valuation Date, which could result in missed Contingent Coupon
payments and a significant loss of your principal amount.
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The Notes may be called early and are subject to reinvestment risk — The Notes will be called automatically if the closing price of the Underlying is greater than or
equal to the Initial Price on any Call Observation Date. In the event that the Notes are called prior to maturity, there is no guarantee that you will be able to reinvest the proceeds at a comparable rate of return for a similar level
of risk. To the extent you are able to reinvest your proceeds in an investment comparable to the
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Notes, you will incur transaction costs and the original issue price for such an investment is likely to include certain built in costs such as dealer discounts
and hedging costs.
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The Notes are subject to our credit risk — The Notes are subject to our credit risk, and our credit ratings and credit spreads may adversely affect the market value of
the Notes. Investors are dependent on our ability to pay all amounts due on the Notes, and therefore investors are subject to our credit risk and to changes in the market’s view of our creditworthiness. Any decline in our credit ratings
or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of the Notes. If we default on our payment obligations, you may not receive any amounts owed to you under the
Notes and you could lose your entire investment.
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The Notes will be subject to risks, including non-payment in full, under Canadian bank resolution powers — Under Canadian bank resolution powers, the Canada Deposit
Insurance Corporation (“CDIC”) may, in circumstances where we have ceased, or are about to cease, to be viable, assume temporary control or ownership over us and may be granted broad powers by one or more orders of the Governor in
Council (Canada), including the power to sell or dispose of all or a part of our assets, and the power to carry out or cause us to carry out a transaction or a series of transactions the purpose of which is to restructure our business.
See “Description of Debt Securities – Canadian Bank Resolution Powers” in the accompanying prospectus for a description of the Canadian bank resolution powers, including the bail-in regime. If the CDIC were to take action under the
Canadian bank resolution powers with respect to us, holders of the Notes could be exposed to losses.
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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
the Underlying will rise or fall. The closing price of the Underlying will be influenced by complex and interrelated political, economic, financial and other factors that affect the Underlying and the stocks that it holds. You should be
willing to accept the downside risks of owning equities in general and the Underlying in particular, and the risk of losing some or all of your initial investment.
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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 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 for the Notes that is set forth on the cover page of this
pricing supplement is less than the public offering price you pay for the Notes, and 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 Underlying, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to public of the underwriting discount and our estimated profit and the costs relating to our hedging of the 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 or 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 market 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.
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Our initial estimated value of the Notes is an estimate only, calculated as of the time the terms of the Notes were set — The initial estimated value of the Notes is
based on the value of our obligation to make the payments on the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes. See “Structuring the Notes” below. Our estimate is based on a variety of
assumptions, including our credit spreads, expectations as to dividends, interest rates and volatility, and the expected term of the Notes. These assumptions are based on certain forecasts about future events, which may prove to be
incorrect. Other entities may value the Notes or similar securities at a price that is significantly different than we do.
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The value of the Notes at any time after the Trade Date will vary based on many factors, including changes in market conditions, and cannot be predicted with accuracy. As a result,
the actual value you would receive if you sold the Notes in
any secondary market, if any, should be expected to differ materially from the initial estimated value of your Notes and the amounts that may be paid on the Notes.
Risks Relating to the Secondary Market for the Notes
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The Notes are expected to have a limited trading market — 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.
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The terms of the Notes at issuance were influenced by, 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 influence 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 value of the Underlying 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 values of the Underlying. 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 actual and expected volatility of the price of the Underlying;
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the time remaining to maturity of the Notes;
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the dividend rate on the Underlying;
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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;
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the occurrence of certain events relating to the Underlying that may or may not require an adjustment to the terms of the Notes; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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Some or all of these factors influenced the terms of the Notes at issuance, and will influence the price you will receive if you choose to sell the Notes prior to maturity. The
impact of any of the factors set forth above may enhance or offset some or all of any change resulting from another factor or factors. You may have to sell the Notes at a substantial discount from the principal amount if, for example, the price
of the Underlying is at, below or not sufficiently above, its Downside Threshold.
Risks Relating to the Underlying
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An investment in the Notes is subject to risks relating to the home builder sector—The stocks held by the Underlying are issued by companies engaged in the home builder
sector. Accordingly, an investment in the Notes is subject to the specific risks of companies that operate in the home builder sector. An investment in the Notes may accordingly be more risky than a security linked to a more diversified
set of securities.
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The policies of the Underlying’s investment adviser could affect the amount payable on the Notes and their market value—The policies of the Underlying’s investment
adviser concerning the management of the Underlying, additions, deletions or substitutions of the securities held by the Underlying could affect the market price of shares of the Underlying and, therefore, the amounts payable on the
Notes and the market value of the Notes prior to maturity. The amount payable on the Notes and their market value could also be affected if the Underlying investment adviser changes these policies, for example, by changing the manner in
which it manages the Underlying, or if the Underlying investment adviser discontinues or suspends maintenance of the Underlying, in which case it may become difficult to determine the market value of the Notes. The Underlying’s
investment adviser has no connection to the offering of the Notes and has no obligations to you as an investor in the Notes in making its decisions regarding the Underlying.
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Historical prices of the Underlying should not be taken as an indication of its future prices during the term of the Notes—The trading prices of the Underlying will
determine the value of the Notes at any given time. However, it is impossible to predict whether the price of the Underlying will rise or fall, and trading prices of the common stocks held by the Underlying will be influenced by complex
and interrelated political, economic, financial and other factors that can affect the issuers of those stocks, and therefore, the price of the Underlying.
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The Underlying and its underlying index are different—The performance of the Underlying may not exactly replicate the performance of the underlying index, because the
Underlying will reflect transaction costs and fees that are not included in the calculation of the underlying index. It is also possible that the performance of the Underlying may not fully replicate or may in certain circumstances
diverge significantly from the performance of the underlying index due to the temporary unavailability of certain securities in the secondary market, the performance of any derivative instruments contained in the Underlying or due to
other circumstances. The Underlying may use futures contracts, options, swap agreements, currency forwards and repurchase agreements in seeking performance that corresponds to the underlying index and in managing cash flows.
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During periods of market volatility, securities underlying the Underlying may be unavailable in the secondary market, market participants may be unable to calculate accurately the
net asset value per share of the Underlying and the liquidity of the Underlying may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the Underlying.
Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Underlying. As a result, under these circumstances, the market value of shares of the
Underlying may vary substantially from the net asset value per share of the Underlying. For all of the foregoing reasons, the performance of the Underlying may not correlate with the performance of its underlying index as well as its net asset
value per share, 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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An investment in the Notes is subject to management risk—The Underlying is not managed according to traditional methods of “active” investment management, which involve
the buying and selling of securities based on economic, financial and market analysis and investment judgment. Instead, the Underlying, utilizing a “passive” or indexing investment approach, attempts to approximate the investment
performance of its underlying index by investing in a portfolio of securities that generally replicate the underlying index. Therefore, unless a specific security is removed from the underlying index, the Underlying generally would not
sell a security because the security’s issuer was in financial trouble. In addition, the Underlying is subject to the risk that the investment strategy of the Underlying’s investment advisor may not produce the intended results.
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Changes affecting the Underlying could impact the payments on the Notes —The policies of the index sponsor concerning additions, deletions and substitutions of the
stocks included in the Underlying and the manner in which the index sponsor takes account of certain changes affecting those stocks included in the Underlying may adversely affect its price. The policies of the index sponsor with
respect to the calculation of the underlying index could also adversely affect the price of the Underlying. The index sponsor may discontinue or suspend calculation or dissemination of the underlying index and has no obligation to
consider your interests in the Notes when taking any action. Any such actions could have an adverse effect on the value of the Notes and the amounts payable on the Notes.
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The probability that the Underlying will fall below the Downside Threshold on the Final Valuation Date will depend on the volatility of the Underlying—“Volatility”
refers to the frequency and magnitude of changes in the price of the Underlying. Greater expected volatility with respect to the Underlying reflects a higher expectation as of the Trade Date that the Underlying could close below the
Downside Threshold on the Final Valuation Date, resulting in the loss of up to 100% of your investment. However, an Underlying’s volatility can change significantly over the term of the Notes. The price of the Underlying could fall
sharply, which could result in a significant loss of principal.
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Risks Relating to Conflicts of Interest
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We and our affiliates will have potential conflicts of interest in connection with the Notes — 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.
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Our activities and those of UBS may adversely affect the value of the Notes — Trading or other transactions by us, UBS and our respective affiliates in the Underlying
or the securities that it holds, or in futures, options, exchange-traded funds or other derivative products on the Underlying or those securities may adversely affect the market value of the Underlying and, therefore, the market value
of the Notes.
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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 Underlying 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 Underlying, and therefore, the market value of the Notes.
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These terms are only hypothetical. Please see the cover page for the actual terms of the Notes.
The following examples are hypothetical and provided for illustrative purposes only. They do not purport to be representative of every possible scenario concerning increases or
decreases in the price of the Underlying relative to its Initial Price. We cannot predict the Final Price. You should not take these examples as an indication or assurance of the expected performance of the Underlying. The numbers appearing in
the examples and tables below have been rounded for ease of analysis. The following examples and tables illustrate the Payment at Maturity or upon an automatic call per Note on a hypothetical offering of the Notes, based on the following
hypothetical assumptions (the actual Contingent Coupon Rate, Initial Price, Coupon Barrier and Downside Threshold are set forth on the cover page of this pricing supplement):
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Principal Amount:
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$10.00
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Term:
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Approximately three years
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Coupon Observation Dates:
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Quarterly
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Call Observation Dates:
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Quarterly, beginning November 2024
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Hypothetical Initial Price of the Underlying*:
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$100.00
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Contingent Coupon Rate:
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9.05% per annum (or 2.2625% per quarter)
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Contingent Coupon**:
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$0.22625 per quarter
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Hypothetical Coupon Barrier*:
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$70.00 (which is 70.00% of the hypothetical Initial Price)
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Hypothetical Downside Threshold*:
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$70.00 (which is 70.00% of the hypothetical Initial Price)
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* Not the actual Initial Price, Coupon Barrier or Downside Threshold applicable to the Notes. The actual Initial Price, Coupon Barrier and Downside Threshold are set forth on
the cover page of this pricing supplement.
** Contingent Coupon payments, if payable, will be paid in arrears in equal quarterly installments during the term of the Notes unless earlier called.
Scenario #1: Notes Are Called on the Second Coupon Observation Date (which is the first Call Observation Date).
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Date
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Closing Price
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Payment (per Note)
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First Coupon Observation Date
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$105.00 (at or above Coupon Barrier and Initial Price)
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$0.22625 (Contingent Coupon – Not Callable)
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Second Coupon Observation Date
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$120.00 (at or above Coupon Barrier and Initial Price)
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$10.22625 (Call Settlement Amount)
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Total Payment:
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$10.4525 (4.525% return)
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Since the Notes are called on the second Coupon Observation Date, we will pay you on the Call Settlement Date a total of $10.22625 per Note, reflecting your principal amount plus the applicable
Contingent Coupon. When added to the Contingent Coupon payment of $0.22625 received in respect of the prior Coupon Observation Date, we will have paid you a total of $10.4525 per Note, for a 4.525% total return on the Notes. No further amount
will be owed to you under the Notes.
Scenario #2: Notes Are NOT Called and the Final Price of the Underlying Is at or Above the Downside Threshold
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Date
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Closing Price
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Payment (per Note)
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First Coupon Observation Date
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$85.00 (at or above Coupon Barrier; below Initial Price)
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$0.22625 (Contingent Coupon – Not Callable)
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Second Coupon Observation Date
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$86.00 (at or above Coupon Barrier; below Initial Price)
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$0.22625 (Contingent Coupon – Not Called)
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Third Coupon Observation Date
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$77.00 (at or above Coupon Barrier; below Initial Price)
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$0.22625 (Contingent Coupon – Not Called)
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Fourth Coupon Observation Date
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$75.00 (at or above Coupon Barrier; below Initial Price)
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$0.22625 (Contingent Coupon – Not Called)
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Fifth to Eleventh Coupon Observation Dates
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Various (each at or above Coupon Barrier; below Initial Price)
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$1.58375 (seven Contingent Coupon payments of $0.22625 – Not Called)
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Final Valuation Date
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$85.00 (at or above Downside Threshold and Coupon Barrier; below Initial Price)
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$10.22625 (Payment at Maturity)
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Total Payment:
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$12.715 (27.15% return)
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At maturity, we will pay you a total of $10.22625 per Note, reflecting your principal amount plus the applicable Contingent Coupon. When added to the Contingent Coupon payments of $2.48875 received in respect of the
prior Coupon Observation Dates, we will have paid you a total of $12.715 per Note, for a 27.15% total return on the Notes. No further amount will be owed to you under the Notes.
Scenario #3: Notes Are NOT Called and the Final Price of the Underlying Is Below the Downside Threshold
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Date
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Closing Price
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Payment (per Note)
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First Coupon Observation Date
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$85.00 (at or above Coupon Barrier; below Initial Price)
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$0.22625 (Contingent Coupon – Not Callable)
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Second Coupon Observation Date
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$86.00 (at or above Coupon Barrier; below Initial Price)
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$0.22625 (Contingent Coupon – Not Called)
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Third Coupon Observation Date
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$77.00 (at or above Coupon Barrier; below Initial Price)
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$0.22625 (Contingent Coupon – Not Called)
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Fourth Coupon Observation Date
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$50.00 (below Coupon Barrier; below Initial Price)
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$0.00 (Not Called)
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Fifth to Eleventh Coupon Observation Dates
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Various (each below Coupon Barrier; below Initial Price)
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$0.00 (Not Called)
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Final Valuation Date
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$30.00 (below Downside Threshold and Coupon Barrier)
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$10.00 + [$10.00 x Underlying Return] =
$10.00 + [$10.00 x -70.00%] =
$3.00 (Payment at Maturity)
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Total Payment:
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$3.67875 (-63.2125% return)
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Since the Notes are not called and the Final Price of the Underlying is below the Downside Threshold, we will pay you at maturity $3.00 per Note. When added to the Contingent Coupon payments of
$0. 67875 received in respect of prior Coupon Observation Dates, we will have paid you $3.67875 per Note, for a loss on the Notes of 63.2125%.
The Notes differ from ordinary debt securities in that, among other features, we are not necessarily obligated to repay the full amount of your initial investment. If the Notes
are not called on any Call Observation Date, you may lose some or all of your initial investment. Specifically, if the Notes are not called and the Final Price is less than the Downside Threshold, you will lose 1% (or a fraction thereof) of
your principal amount for each 1% (or a fraction thereof) that the Underlying Return is less than zero.
Any payment on the Notes, including payments in respect of an automatic call, Contingent Coupon or any repayment of principal provided at maturity, is dependent on our ability to satisfy our
obligations when they come due. If we are unable to meet our obligations, you may not receive any amounts due to you under the Notes.
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What Are the Tax Consequences of the Notes?
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U.S. Federal Income Tax Consequences
The following, together with the discussion of U.S. federal income tax in the accompanying product prospectus supplement, prospectus supplement, and prospectus, is a general
description of the material U.S. federal income tax consequences relating to an investment in the Notes. The following summary is not complete and is qualified in its entirety by the discussion under the section entitled “Supplemental
Discussion of U.S. Federal Income Tax Consequences” in the accompanying product prospectus supplement no. UBS-TACYN-1, the section entitled “Certain Income Tax Consequences” in the accompanying prospectus supplement, and the section entitled
“Tax Consequences” in the accompanying prospectus, which you should carefully review prior to investing in the Notes.
In the opinion of our special U.S. tax counsel, Ashurst LLP, it would generally be reasonable to treat the Notes as a callable pre-paid cash-settled contingent income-bearing
derivative contract linked to the Underlying 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. Although the U.S. federal income tax treatment of the Contingent Coupons is uncertain, we intend to take the position, and the following discussion assumes, that such Contingent Coupons
(including any coupon paid on or with respect to the call or maturity date) constitute taxable ordinary income to a U.S. holder at the time received or accrued in accordance with the holder’s regular method of accounting. If the Notes are
treated as described above, subject to the potential application of the “constructive ownership” rules under Section 1260 of the Internal Revenue Code, a U.S. holder should generally recognize capital gain or loss upon the call, sale or
maturity of the Notes in an amount equal to the difference between the amount a holder receives at such time (other than amounts properly attributable to any Contingent Coupon, which would be taxed, as described above, as ordinary income) and
the holder’s tax basis in the Notes. Capital gain recognized by an individual U.S. holder is generally taxed at preferential rates where the property is held for more than one year and is generally taxed at ordinary income rates where the
property is held for one year or less. The deductibility of capital losses is subject to limitations.
Alternative tax treatments are also possible and the Internal Revenue Service (the “IRS”) might assert that a treatment other than that described above is more appropriate. In
addition, the IRS has released a notice that may affect the taxation of holders of the Notes. According to the notice, the IRS and the Treasury Department are actively considering whether the holder of an instrument such as the Notes should be
required to accrue ordinary income on a current basis. It is not possible to determine what guidance will ultimately be issued, if any. It is possible, however, that under such guidance, holders of the Notes will ultimately be required to
accrue income currently and this could be applied on a retroactive basis. The IRS and the Treasury Department are also considering other relevant issues, including whether additional gain or loss from such instruments should be treated as
ordinary or capital and whether the special “constructive ownership rules” of Section 1260 of the Internal Revenue Code might be applied to such instruments. Holders are urged to consult their tax advisors concerning the significance, and the
potential impact, of the above considerations.
Non-U.S. holders. The following discussion applies to non-U.S. holders of the Notes. A non-U.S. holder is a beneficial owner of a Note that, for U.S. federal income tax purposes,
is a non-resident alien individual, a foreign corporation, or a foreign estate or trust.
While the U.S. federal income tax treatment of the Notes (including proper characterization of the Contingent Coupons for U.S. federal income tax purposes) is uncertain, U.S.
federal income tax at a 30% rate (or at a lower rate under an applicable income tax treaty) will be withheld in respect of the Contingent Coupons paid to a non-U.S. holder unless such payments are effectively connected with the conduct by the
non-U.S. holder of a trade or business in the U.S. (in which case, to avoid withholding, the non-U.S. holder will be required to provide a Form W-8ECI). We will not pay any additional amounts in respect of such withholding. To claim benefits
under an income tax treaty, a non-U.S. holder must obtain a taxpayer identification number and certify as to its eligibility under the appropriate treaty’s limitations on benefits article, if applicable (which certification may generally be
made on a Form W-8BEN or W-8BEN-E, or a substitute or successor form). In addition, special rules may apply to claims for treaty benefits made by corporate non-U.S. holders. A non-U.S. holder that is eligible for a reduced rate of U.S. federal
withholding tax pursuant to an income tax treaty may obtain a refund of any excess amounts withheld by filing an appropriate claim for refund with the IRS. The availability of a lower rate of withholding or an exemption from withholding under
an applicable income tax treaty will depend on the proper characterization of the Contingent Coupons under U.S. federal income tax laws and whether such treaty rate or exemption applies to such Contingent Coupon payments. No assurance can be
provided on the proper characterization of the Contingent Coupons for U.S. federal income tax purposes and, accordingly, no assurance can be provided on the availability of benefits under any income tax treaty. Non-U.S. holders should consult
their tax advisors in this regard.
Except as discussed below, a non-U.S. holder will generally not be subject to U.S. federal income or withholding tax on any gain (not including, for the avoidance of doubt, any amounts properly
attributable to any Contingent Coupon which would be subject to the
rules discussed in the previous paragraph) upon the call, sale or maturity of the Notes, provided that (i) the holder complies with any applicable certification requirements
(which certification may generally be made on a Form W-8BEN or W-8BEN-E, or a substitute or successor form), (ii) the payment is not effectively connected with the conduct by the holder of a U.S. trade or business, and (iii) if the holder is a
non-resident alien individual, such holder is not present in the U.S. for 183 days or more during the taxable year of the call, sale or maturity of the Notes. In the case of (ii) above, the holder generally would be subject to U.S. federal
income tax with respect to any income or gain in the same manner as if the holder were a U.S. holder and, in the case of a holder that is a corporation, the holder may also be subject to a branch profits tax equal to 30% (or such lower rate
provided by an applicable U.S. income tax treaty) of a portion of its earnings and profits for the taxable year that are effectively connected with its conduct of a trade or business in the U.S., subject to certain adjustments. Payments made to
a non-U.S. holder may be subject to information reporting and to backup withholding unless the holder complies with applicable certification and identification requirements as to its foreign status.
Under Section 871(m) of the Internal Revenue 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 Underlying or the Notes (for example, upon a rebalancing of the Underlying), 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 Underlying 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.
As discussed above, alternative characterizations of the Notes for U.S. federal income tax purposes are possible. Should an alternative characterization, by reason of change or
clarification of the law, by regulation or otherwise, cause payments as to the Notes to become subject to withholding tax in addition to the withholding tax described above, we (or the applicable withholding agent) will withhold tax at the
applicable statutory rate. The IRS has also indicated that it is considering whether income in respect of instruments such as the Notes should be subject to withholding tax. Prospective investors should consult their own tax advisors in this
regard.
Canadian Federal Income Tax Consequences
For a discussion of the material Canadian federal income tax consequences relating to an investment in the Notes, please see the section entitled “Tax Consequences—Canadian Taxation” in the
accompanying prospectus, which you should carefully review prior to investing in the Notes.
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Information About the Underlying
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We have derived the following information regarding the Underlying from publicly available documents. We have not independently verified the accuracy or completeness of the
following information. We are not affiliated with the Underlying, and the Underlying will have no obligations with respect to the Notes. This document relates only to the Notes and does not relate to the shares of the Underlying or any
securities included in the Underlying’s underlying index. Neither we nor our affiliates participates in the preparation of the publicly available documents described below. Neither we nor our affiliates has made any due diligence inquiry with
respect to the Underlying in connection with the offering of the Notes.
The selection of the Underlying relating to the Notes is not a recommendation to buy or sell the shares of the Underlying. Neither we nor any of our affiliates make any
representation to you as to the performance of the shares of the Underlying. Information provided to or filed with the SEC under the Securities Exchange Act of 1934 and the Investment Company Act of 1940 relating to the Underlying may be
obtained through the SEC’s website at http://www.sec.gov.
The SPDR® S&P® Homebuilders ETF (“XHB”)
The XHB seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the S&P® Homebuilders
Select Industry™ Index, which is its underlying index (the “underlying index”). The XHB is composed of companies engaged in the U.S. homebuilding industry. The XHB trades on the NYSE Arca under the ticker symbol “XHB.”
In seeking to track the performance of the S&P® Homebuilders Select Industry™ Index, the XHB employs a sampling strategy, which means that the
XHB is not required to purchase all of the securities represented by the underlying index. Instead, the XHB may purchase a subset of the securities in the underlying index in an effort to hold a portfolio of securities with generally the same
risk and return characteristics of the underlying index
Under normal market conditions, the XHB generally invests substantially all, but at least 80%, of its total assets in the securities comprising the underlying index. In addition,
in seeking to track the underlying index, the XHB may invest in equity securities that are not included in the underlying index, cash and cash equivalents or money market instruments, such as repurchase agreements and money market funds.
Futures contracts may be used by the XHB in seeking performance that corresponds to the underlying index and in managing cash flows.
The underlying index represents the homebuilders segment of the S&P Total Market Index (“S&P TMI”). The S&P TMI is designed to track the broad U.S. equity market. The homebuilders segment of the S&P
TMI comprises the Homebuilding sub-industry. The underlying index is one of twenty-one (21) of the S&P Select Industry Indices (the “Select Industry Indices”), each designed to measure the performance of a narrow sub-industry or group of
sub-industries determined based on the Global Industry Classification Standard (“GICS”). Membership in the Select Industry Indices is based on the GICS classification, as well as liquidity and market cap requirements. Companies in the Select
Industry Indices are classified according to GICS, which determines classifications primarily based on revenues; however, earnings and market perception are also considered. The underlying index consists of the S&P TMI constituents
belonging to the Homebuilding sub-industry that satisfy the following criteria: (i) have a float-adjusted market capitalization greater than or equal to $500 million with a float-adjusted liquidity ratio (defined by dollar value traded over the
previous 12 months divided by the float-adjusted market capitalization as of the index rebalancing reference date) greater than or equal to 90% or have a float adjusted market capitalization greater than or equal to $400 million with a
float-adjusted liquidity ratio (as defined above) greater than or equal to 150%; and (ii) are U.S. based companies. To evaluate liquidity, the dollar value traded for initial public offerings or spin-offs that do not have 12 months of trading
history is annualized. If there are fewer than 35 stocks, stocks from the Building Products, Home Furnishings, Home Improvement Retail, Homefurnishing Retail, or Household Appliances sub-industries that meet the market capitalization and
liquidity thresholds are included in order of their float-adjusted market capitalization from largest to smallest. If there continues to be fewer than 22 stocks, the market capitalization threshold may be relaxed to ensure that there are at
least 22 stocks in the Index as of the rebalancing effective date. Existing index constituents are removed at the quarterly rebalancing effective date if either their float-adjusted market capitalization falls below $300 million or their
float-adjusted liquidity ratio falls below 50%. The market capitalization threshold and the liquidity threshold are each reviewed from time to time based on market conditions. The underlying index rebalances and reconstitutes quarterly on the
third Friday of the quarter ending month. The reference date for additions and deletions is after the close of the last trading date of the previous month. The S&P TMI tracks all eligible U.S. common equities listed on the NYSE, NYSE Arca,
NYSE American, Nasdaq Global Select Market, Nasdaq Select Market, Nasdaq Capital Market, Cboe BZX, Cboe BYX, Cboe EDGA, or Cboe EDGX exchanges. The Index is modified equal weighted.
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SPDR® S&P® Homebuilders ETF
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Historical Information
The graph below illustrates the performance of the Underlying from May 8, 2014 to May 8, 2024, based on the Initial Price of $105.42, which was its closing price on May 8, 2024.
The horizontal green line represents the Coupon Barrier and Downside Threshold of $73.79, which is 70% of the Initial Price, rounded to two decimal places.
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■ Coupon Barrier / Downside Threshold = 70.00% of the Initial Price
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HISTORICAL PERFORMANCE IS NOT AN INDICATION OF FUTURE PERFORMANCE.
Source: Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P.
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Supplemental Plan of Distribution (Conflicts of Interest)
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We have agreed to indemnify UBS and RBCCM against liabilities under the Securities Act of 1933, as amended, or to contribute payments that UBS and RBCCM may be required to make
relating to these liabilities as described in the prospectus supplement and the prospectus. We have agreed that UBS may sell all or a part of the Notes that it will purchase from us to investors or to its affiliates at the price to public
listed on the cover page of this pricing supplement.
UBS may allow a concession not in excess of the underwriting discount set forth on the cover page of this pricing supplement to its affiliates for distribution of the Notes.
We expect to deliver the Notes on a date that is greater than two business days following the Trade 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 more than two business days prior to the original issue date will be
required to specify alternative settlement arrangements to prevent a failed settlement.
Subject to regulatory constraints and market conditions, RBCCM intends to offer to purchase the Notes in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of
the Notes and RBCCM and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Use of Proceeds and Hedging” in the product prospectus supplement.
The value of the Notes shown on your account statement may 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
eight months after the issue date of the Notes, the value of the Notes that may be shown on your account statement may be higher than RBCCM’s estimated value of the Notes at that time. This is because the estimated value of the Notes will not
include the underwriting discount or our hedging costs and profits; however, the value of the Notes shown on your account statement during that period may be a higher amount, reflecting the addition of the underwriting discount and our
estimated costs and profits from hedging the Notes. Any such excess is expected to decrease over time until the end of this period. After this period, if RBCCM repurchases your Notes, it expects to do so at prices that reflect their estimated
value. This period may be reduced at RBCCM’s discretion based on a variety of factors, including but not limited to, the amount of the Notes that we repurchase and our negotiated arrangements from time to time with UBS.
For additional information as to the relationship between us and RBCCM, please see the section “Plan of Distribution—Conflicts of Interest” in the prospectus dated December 20, 2023.
The Notes are our debt securities, the return on which is linked to the performance of the Underlying. 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. Using this relatively lower implied borrowing rate rather
than the secondary market rate is a factor that resulted in a higher initial estimated value of the Notes at the time their terms were set than if the secondary
market rate was used. Unlike the estimated value that is set forth on the cover page of this pricing supplement, any value of the Notes determined for purposes of a secondary market transaction may be based on a different borrowing rate, which
may result in a lower value for the Notes than if our initial internal borrowing rate were used.
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
Underlying, and the tenor of the Notes. The economic terms of the Notes and their initial estimated value depend in part on the terms of these hedging arrangements.
The lower implied borrowing rate is a factor that reduced the economic terms of the Notes to you. The initial offering price of the Notes also reflects the underwriting commission
and our estimated hedging costs. These factors resulted in the initial estimated value for the Notes on the Trade Date being less than their public offering price. See “Key Risks—The Initial Estimated Value of the Notes Is Less than the Price
to the Public” above.
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Terms Incorporated in the Master Note
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The terms appearing above under the caption “Final Terms of the Notes” and in the product prospectus supplement under the caption “General Terms of the Notes” are incorporated into the master
note issued to DTC, the registered holder of the Notes.
In the opinion of Norton Rose Fulbright Canada LLP, as Canadian counsel to the Issuer, 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 federal laws of Canada applicable therein, will be valid obligations of the Issuer, subject to the following limitations: (i) the enforceability
of the Indenture may be limited by the Canada Deposit Insurance Corporation Act (Canada), the Winding-up and Restructuring Act (Canada) and bankruptcy, insolvency, reorganization, receivership, moratorium, arrangement or winding-up laws or
other similar laws of general application affecting the enforcement of creditors’ rights generally; (ii) the enforceability of the Indenture is subject to general equitable principles, including the principle that the availability of equitable
remedies, such as specific performance and injunction, may only be granted at the discretion of a court of competent jurisdiction; (iii) under applicable limitations statutes generally, including that the enforceability of the Indenture will be
subject to the limitations contained in the Limitations Act, 2002 (Ontario), and such counsel expresses no opinion as to whether a court may find any provision of the Indenture to be unenforceable as an attempt to vary or exclude a limitation
period under such applicable limitations statutes; (iv) rights to indemnity and contribution under the Notes or the Indenture which may be limited by applicable law; and (v) courts in Canada are precluded from giving a judgment in any currency
other than the lawful money of Canada and such judgment may be based on a rate of exchange in existence on a day other than the day of payment, 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 therein. 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 to such counsel’s reliance on the Issuer and other sources as to certain factual matters, all as stated in the opinion letter of such counsel dated December 20, 2023, which has been filed as
Exhibit 5.3 to the Issuer’s Form 6-K filed with the SEC dated December 20, 2023.
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, 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 December 20, 2023, which has been filed as Exhibit 5.4 to the Issuer’s Form 6-K dated December 20, 2023.
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