RYLBF Royal Bank (PK)

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Reference Asset		Initial Level*
S&P 500 Market Agility 10 TCA 0.5% Decrement Index (“SPMKTD”)

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If the Final Level of the Reference Asset is greater than the Initial Level, the Notes will pay at maturity a return equal to 130% of the Percentage Change.

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If the Final Level of the Reference Asset is equal to or less than the Initial Level the investor will receive the principal amount at maturity, and no additional payment.

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Any payments on the Notes are subject to our credit risk.

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The Notes do not pay interest.

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The Notes will not be listed on any securities exchange.

	Per Note		Total
Price to public(1)	100.00%		$
Underwriting discounts and commissions(1)	1.00%		$
Proceeds to Royal Bank of Canada	99.00%		$

Issuer:	Royal Bank of Canada (the “Bank”)
Underwriter:	RBC Capital Markets, LLC (“RBCCM”)
Reference Asset:	S&P 500 Market Agility 10 TCA 0.5% Decrement Index (Bloomberg L.P. symbol “SPMKTD Index”). Please see the following sections "Selected Risk Considerations—Risks Relating to the Reference Asset" and "Information About the Reference Asset" below and “Risk Factors” and "The Index" in the index supplement dated May 14, 2024 for additional information.
Minimum Investment:	$1,000 and minimum denominations of $1,000 in excess thereof
Trade Date (Pricing Date):	May 31, 2024
Issue Date:	June 5, 2024
Valuation Date:	June 1, 2026
Maturity Date:	June 4, 2026, subject to extension for market and other disruptions, as described in the product prospectus supplement dated December 20, 2023.
Payment at Maturity (if held to maturity):	If the Final Level is greater than the Initial Level (that is, the Percentage Change is positive), then the investor will receive an amount per $1,000 in principal amount per Note equal to: Principal Amount + [Principal Amount x (Percentage Change x Participation Rate)] If the Final Level is less than or equal to the Initial Level, then the investor will receive a cash amount equal to the principal amount only.
Percentage Change:	The Percentage Change, expressed as a percentage, is calculated using the following formula:
Initial Level:	The closing level of the Reference Asset on the Trade Date.
Final Level:	The closing level of the Reference Asset on the Valuation Date.
Participation Rate:	130%
Calculation Agent:	RBCCM
U.S. Tax Treatment:	We intend to take the position that the Notes will be treated as debt instruments subject to the special tax rules governing contingent payment debt instruments for U.S. federal income tax purposes. Please see the section below, “Supplemental Discussion of U.S. Federal Income Tax Consequences” which applies to the Notes.
Secondary Market:	RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary market in the Notes after the issue date. The amount that you may receive upon sale of your Notes prior to maturity may be less than the principal amount of your Notes.
Listing:	The Notes will not be listed on any securities exchange.
Clearance and Settlement:	DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as described under “Ownership and Book-Entry Issuance” in the prospectus dated December 20, 2023).
Terms Incorporated in the Master Note:	All of the terms appearing on the cover page and above the item captioned “Secondary Market” in this section and the terms appearing under the caption “General Terms of the Notes” in the product prospectus supplement, as modified by this terms supplement.

Example 1 —	Calculation of the Payment at Maturity where the Percentage Change is positive.
	Percentage Change:	30%
	Payment at Maturity:	$1,000 + [$1,000 x (30% x 130%)] = $1,000 + $390 = $1,390
	On a $1,000 investment, a Percentage Change of 30% results in a Payment at Maturity of $1,390, a return of 39.00% on the Notes.

Example 2 —	Calculation of the Payment at Maturity where the Percentage Change is negative.
	Percentage Change:	-10%
	Payment at Maturity:	At maturity, even though the Percentage Change is negative, you will receive the principal amount of your Notes.
	On a $1,000 investment, a Percentage Change of -10% results in a Payment at Maturity of $1,000, a return of 0.00% on the Notes.

Hypothetical Percentage Change	Payment at Maturity as Percentage of Principal Amount	Payment at Maturity per $1,000 in Principal Amount
50.00%	165.000%	$1,650.00
40.00%	152.000%	$1,520.00
30.00%	139.000%	$1,390.00
20.00%	126.000%	$1,260.00
10.00%	113.000%	$1,130.00
0.00%	100.00%	$1,000.00
-10.00%	100.00%	$1,000.00
-20.00%	100.00%	$1,000.00
-30.00%	100.00%	$1,000.00
-40.00%	100.00%	$1,000.00
-50.00%	100.00%	$1,000.00
-60.00%	100.00%	$1,000.00
-70.00%	100.00%	$1,000.00
-80.00%	100.00%	$1,000.00
-90.00%	100.00%	$1,000.00
-100.00%	100.00%	$1,000.00

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You May Not Earn a Positive Return on Your Investment – The payment you will receive at maturity will depend on whether the level of the Reference Asset increases from the Initial Level to the Final Level. If the level of the Reference Asset decreases from the Initial Level to the Final Level (or if the level of the Reference Asset is unchanged), you will not receive any positive return on the Notes and you will only receive the principal amount.

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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 as little as 0%, may be less than the return you could earn on other investments. Even if your return is positive, your return may be less than the return you would earn if you purchased one of our conventional senior interest bearing debt securities.

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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 obligations at that time. This will be the case even if the level of the Reference Asset increases after the Trade Date. No assurance can be given as to what our financial condition will be at the maturity of the Notes.

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You Will Be Required to Include Income on the Notes Over Their Term Based Upon a Comparable Yield, Even Though You Will Not Receive Any Payments Until Maturity – We intend to take the position that the Notes will be treated as debt instruments subject to the special tax rules governing contingent payment debt instruments for U.S. federal income tax purposes. Under such treatment, the Notes are considered to be issued with original issue discount. You will be required to include income on the Notes over their term based upon a comparable yield, even though you will not receive any payments until maturity. You are urged to review the section entitled “Supplemental Discussion of U.S. Federal Income Tax Consequences” and consult your own tax advisor.

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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 of our other affiliates 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 ask prices for your Notes in any secondary market could be substantial.

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The Initial Estimated Value of the Notes Will Be Less than the Price to the Public — The initial estimated value of the Notes that will be set forth on the cover page of the final pricing supplement for the Notes will 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 level of the Reference Asset, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to the

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The Initial Estimated Value of the Notes that We Will Provide in the Final Pricing Supplement Will Be an Estimate Only, Calculated as of the Time the Terms of the Notes Are Set — The initial estimated value of the Notes will be 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 will be 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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Our Business Activities and Those of Our Affiliates May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the Reference Asset 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 level 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 companies included in the Reference Asset, 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. 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 by us or one or more of our affiliates may affect the level of the Reference Asset, and, therefore, the market value of the Notes.

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The Reference Asset Has a Limited Operating History and May Perform in Unanticipated Ways — The Reference Asset was launched on February 23, 2024 (the “launch date”). As a result, the Reference Asset has a very limited operating history. Because the Reference Asset is of recent origin and limited actual historical performance data exists with respect to it, your investment in the Notes may involve a greater risk than investing in securities linked to an index with a more established record of performance.

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The Reference Asset Is Subject to a Decrement Fee of 0.5% Per Annum That Will Adversely Affect Its Performance — The Reference Asset includes a decrement fee of 0.5% per annum (the "decrement fee”) that is applied and deducted from the level of the Reference Asset on each index calculation day. The decrement fee will reduce the performance of the Reference Asset, regardless of how the Reference Asset performs.

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The Reference Asset Relies on a Calculation of Realized Volatility to Predict Future Volatility and Thereby to Achieve the Volatility Target of 10%. There Is No Assurance that the Reference Asset's Method for Calculating Realized Volatility Is the Best Way to Calculate Realized Volatility or a Reliable Way to Predict Future Volatility or to Achieve the Volatility Target — For the purposes of determining the Reference Asset's exposure to the MA Index on each index calculation day, the Reference Asset uses an exponentially weighted measure of realized volatility ("MA Index exponentially weighted volatility”) to predict the deviation of returns of the MA Index. There are alternative methods one could use to measure realized volatility or predict future volatility. There is no assurance that using MA Index exponentially weighted volatility is the best way to measure realized volatility or a reliable way to predict future volatility or to achieve the volatility target. For example, an alternative measure of realized volatility may more accurately assess how volatile an asset is, or may better predict future volatility and more consistently achieve the volatility target. In addition, an alternative measure of realized volatility may produce more favorable investment results.

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There Is No Guarantee that the Reference Asset Will Achieve the 10% Volatility Target — The Reference Asset attempts to maintain the volatility target of 10% by adjusting exposure to the MA Index on a daily basis. The exposure of the Reference Asset to the MA Index is subject to a maximum exposure of 150%, which may limit the ability of the Reference Asset to achieve a volatility target of 10%, if achieving that volatility target would require exposure in excess of 150%. Additionally, the applicable measure of realized volatility (i.e., MA Index exponentially weighted volatility) is not necessarily an accurate predictor of future volatility and therefore the actual volatility may differ significantly from the target volatility. For example, the actual volatility may be higher or lower than the volatility target due to rapid moves in the market either intraday and/or overnight, and/or because the applicable measure of realized volatility may not be a reliable signal for future volatility. Therefore, there is no guarantee that the Reference Asset will achieve the 10% volatility target.

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There May Be Overexposure to the MA Index When the Level of the MA Index Is Falling or Underexposure to the MA Index When the Level of the MA Index Is Rising — The Reference Asset is designed to achieve a volatility target of 10%, subject to a maximum exposure of 150%. If the level of the MA Index is rising and the applicable measure of realized volatility (i.e., MA Index exponentially weighted volatility) is greater than the volatility target of 10%, some of the Reference Asset's exposure will be moved from the MA Index to the hypothetical non-interest bearing cash position, and the Reference Asset will experience lower returns than the MA Index. In contrast, if the level of the MA Index is falling and the applicable measure of realized volatility is less than the volatility target of 10%, the Reference Asset will be exposed to more than 100% of the losses in the MA Index and Index will experience lower returns than the MA Index. Therefore, the volatility target may adversely affect the level of the Reference Asset.

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The Reference Asset's Exposure to the MA Index May Be Rebalanced into a Hypothetical Non-Interest Bearing Cash Position on Any or All Days During the Term of the Notes. The Non-Interest Bearing Cash Position Will Not Earn Interest or a Positive Yield — The Reference Asset has a daily rebalancing feature which can result in a rebalancing between the exposure to the MA Index and the hypothetical non-interest bearing cash position. This could have the effect of reducing the Reference Asset's exposure to the MA Index to less than 100% in an attempt to reduce the volatility to 10%. The minimum exposure is 0%. Therefore, there is no guarantee that the Reference Asset will not be rebalanced so that the hypothetical non-interest bearing cash position represents a significant portion of the Reference Asset (up to 100% of the Reference Asset). In addition, the non-interest bearing cash position will not earn interest or a positive yield, because the Reference Asset has been designed as an excess return index (i.e., any positive or negative performance of the Reference Asset is therefore considered to be in excess of the prevailing cash rate). As a result, any rebalancing into a hypothetical non-interest bearing cash position will limit the performance of the Reference Asset.

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The S&P 500 Market Agility TCA Index (the "MA Index") Is Subject to a Transaction Cost That Will Adversely Affect Its Performance of and, Therefore, the Performance of the Reference Asset — The MA Index is subject to a transaction cost that is calculated and deducted from the level of the MA Index. The transaction cost is equal to 0.01% of the level of the equity component times the absolute value of the incremental change in exposure to the equity component and 0.015% of the level of the fixed income component times the absolute value of the incremental change in exposure to the fixed income component, in each case, from the prior index calculation day to the current index calculation day. The transaction cost will reduce the performance of the MA Index and, therefore, the performance of the Reference Asset. The MA Index rebalances between the equity component and the fixed index component on a monthly basis, and therefore the transaction cost will be deducted from the MA Index on a monthly basis, when such rebalancing is scheduled to occur.

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The 70/30 Weighting Between the Equity Component and the Fixed Income Component in Respect of the MA Index May Not Be Suitable for All Market Conditions or Objectives — The MA Index is subject to a monthly rebalancing mechanism between the equity component and the fixed income component to achieve a target weight of 70% with respect to the equity component and 30% with respect to the fixed income component. The choice of target weights may not be appropriate for all market conditions or objectives. For example, it is possible that a different choice of target weights may lead to a better investment outcome for the investor under different market conditions.

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The MA Index is Rebalanced on a Monthly Basis. Such Rebalancing May Have an Adverse Effect on the Performance of the MA Index and/or May Result in Weighting Between the Equity Component and Fixed Income Component that Diverges Significantly From the 70/30 Weighting in Between Rebalance Days — The MA Index is subject to a monthly rebalancing mechanism between the equity component and the fixed income component to achieve a target weight of 70% with respect to the equity component and 30% with respect to the fixed income component. Such a rebalancing mechanism may cause an adverse performance impact, if the equity component performance was higher (lower) following a reduction (increase) in exposure to the equity component and similarly, if the fixed income component performance was higher (lower) following a reduction (increase) in exposure to the fixed income component. Additionally, in the event of outperformance of one component over the other between monthly rebalance days, the weighting between components may diverge significantly from the 70/30 weighting, and the MA Index may be significantly more or less diversified between asset classes than on each basket rebalance day.

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Even Though the Title of the S&P 500 Long/Short Risk Aware Daily Risk Control 10% TCA Excess Return Index (the "Equity Component") Includes the Phrase "Risk Control," the Equity Component May Decrease Significantly or Not Increase Significantly Relative to the S&P 500 Total Return Index (the "SPXT") — The equity component is linked to the daily percentage change of the SPXT, subject to a risk control strategy that dynamically increases or decreases the target weight of the daily percentage change of the SPXT (by changing the number of units of the equity component) in an attempt to achieve a 10% volatility target, subject to a maximum target weight of 150%. The target weight can be greater than, less than or equal to 100%. While the performance of the equity component is taken into account to an extent in determining whether the equity component takes a long or short position, the performance of the equity component is not taken into account when implementing the risk control strategy, and therefore could result in leveraged exposure to the SPXT in a falling stock market or deleveraged exposure to the SPXT in a rising stock market (or, alternatively, could result in leveraged short exposure to the SPXT in a rising stock market or deleveraged short exposure to the SPXT in a falling stock market). Therefore, although the title of the equity component includes the phrase “Risk Control,” the equity component may decrease significantly more or increase significantly less than the SPXT and/or may experience higher volatility than the SPXT. Similarly, the Notes are not necessarily less risky than, and will not necessarily have better returns or lower volatility than, any securities that are linked to the SPXT.

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There Is No Guarantee that the Equity Component Will Achieve the 10% Volatility Target — The equity component is linked to the daily percentage change of the SPXT, subject to a 10% volatility target. The exposure of the equity component to the daily percentage change of the SPXT is subject to a maximum exposure of 150%, which may limit the ability of the equity component to achieve a volatility target of 10%, if achieving that volatility target would require a leverage factor in excess of 150%. Additionally, historical realized volatility is not necessarily an accurate predictor of future volatility and therefore the actual volatility may differ significantly from the target volatility. For example, the actual volatility may be higher or lower than the target due to rapid moves in the market either intraday and/or overnight and/or because of the choice of method used to calculate the realized volatility of the SPXT. Therefore, there is no guarantee that the equity component will achieve the 10% volatility target.

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There Is No Assurance that the Method for Calculating the Realized Volatility of the Equity Component for Purpose of the Volatility Targeting Will Be Successful — For purposes of determining the exposure to the SPXT on each index calculation day, a volatility measure (i.e., daily SPXT volatility) is used to predict the deviation of returns of the SPXT using the two most recent index calculation days of price moves. Out of the various volatility measures, there is no assurance that the chosen measure as it is calculated in respect of the equity component is the most suitable way to measure realized volatility in a given market environment. For example, in a sideways, mean-reverting market, the use of this volatility measure may adversely impact the performance of the equity component as compared to other volatility measures based on longer-term, relatively more stable volatility measures. An alternative volatility method may produce more favorable investment results for the investor.

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Controlled Volatility Does Not Mean the Equity Component Will Have Lower Volatility than the SPXT —The equity component employs a risk-control strategy that uses mathematical equations to target 10% volatility. The strategy does not have a goal of achieving lower volatility than the SPXT. In fact, if the daily SPXT volatility is less than the volatility target of 10%, the exposure to the daily percentage change of the SPXT will be increased in an attempt to achieve the volatility target of 10%. Any time the equity component's exposure to the daily percentage change of the SPXT is greater than 100%, the equity component would be more volatile than the SPXT.

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Because the Equity Component May Include Notional Short Positions, the Notes May Be Subject to Additional Risks — The equity component takes long or short positions with respect to the SPXT using momentum and volatility indicators. Unlike long positions, short positions are subject to unlimited risk of loss because there is no limit on the appreciation of the value of the relevant asset before the short position is closed. It is possible that the SPXT may appreciate substantially while the equity component is providing notional short exposure to the SPXT, thus resulting in an adverse effect on the level of the equity component and the performance of the Reference Asset. Moreover, the short exposure to the SPXT may exceed 100% exposure, perhaps significantly, which increases the risk that the equity component will suffer losses, thereby adversely affecting the performance of the Reference Asset.

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There May Be Overexposure to the SPXT When the Level of the SPXT Is Falling (or Rising in the Case of a Short Position) or Underexposure to the SPXT When the Level of the SPXT Is Rising (or Falling in the Case of a Short Position) — The equity component is designed to achieve a volatility target of 10%, subject to a maximum exposure of 150%. For example, if the equity component has taken a long position and the level of the SPXT is rising and the daily SPXT volatility is greater than the volatility target of 10%, some of the equity component's exposure will be moved from the SPXT to the hypothetical non-interest bearing cash position, and the equity component will experience lower returns than the SPXT. In contrast, if the equity component has taken a long position and the level of the SPXT is falling and the daily SPXT volatility is less than the volatility target of 10%, the equity component will be exposed to more than 100% of the losses in the SPXT and the equity component will experience greater losses than the SPXT. The inverse is true with respect to exposure of greater than or less than 100% when the equity component has taken a short position.

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The Equity Component's Exposure to the SPXT May Be Rebalanced into a Hypothetical Non-Interest Bearing Cash Position on Any or All Days During the Term of the Notes. The Non-Interest Bearing Cash Position Will Not Earn Interest or a Positive Yield — The equity component has a daily rebalancing feature which can result in a rebalancing between the exposure to the daily percentage change of the SPXT and the hypothetical non-interest bearing

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The Equity Component Is Subject to a Funding Cost That Will Adversely Affect the Performance of the Equity Component and, Therefore, the Performance of the Reference Asset — The equity component is subject to a funding cost that is calculated and deducted from the level of the equity component on each index calculation day. The funding cost is equal to the funding cost rate times the change in the equity component's exposure to the daily percentage change of the SPXT from the prior index calculation day to the current index calculation day. Currently, the funding cost rate is the sum of 0.25% and the U.S. SOFR Secured Overnight Financing Rate. The funding cost will reduce the performance of the equity component and, therefore, the performance of the Reference Asset.

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The Equity Component Is Subject to a Transaction Cost That Will Adversely Affect the Performance of the Equity Component and, Therefore, the Performance of the Reference Asset — The equity component is subject to a transaction cost that is calculated and deducted from the level of the equity component on each index calculation day. The transaction cost is equal to 0.01% of the level of the SPXT times the absolute value of the incremental exposure of the SPXT from the prior index calculation day to the current index calculation day. The transaction cost will reduce the performance of the equity component and, therefore, the performance of the Reference Asset.

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The Methodology for Determining the Exposure Direction May Not Be a Reliable Predictor of Whether the Daily Percentage Change of the SPXT Will be Positive or Negative — The equity component uses momentum and volatility indicators to determine "exposure direction" (i.e., whether the equity component will take a long or short position with respect to the SPXT). The investment thesis for the equity component assumes that these momentum and volatility indicators are useful to predict whether the daily percentage change of the SPXT will be positive or negative. However, these momentum and volatility indicators may not be reliable predictors of the direction of the daily percentage change of the SPXT. Even if these indicators predicted the direction of the daily percentage change of the SPXT in the past, it may not do so again in the future. Additionally, there are multiple ways and time periods over which to measure momentum and volatility and the methods used by the equity component may not be the best indicators to predict the future direction of the daily percentage change of the SPXT. Therefore, the investment thesis for the equity component may be incorrect and the method for determining the exposure direction may not predict the future direction of the daily percentage change of the SPXT at all or as well as alternative momentum indicators. As a result, the exposure direction could adversely affect the performance of the equity component and, consequently, the performance of the Reference Asset.

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Even Though the Title of the S&P U.S. Treasury Futures Long/Short Risk Aware Daily Risk Control 10% TCA Excess Return Index (the "Fixed Income Component") Includes the Phrase "Risk Control," the Fixed Income Component May Decrease Significantly or Not Increase Significantly Relative to the Treasury Indices — The fixed income component is linked to the daily percentage changes of the 10-Year Treasury Index and the 2-Year Treasury Index, subject to a risk control strategy that dynamically increases or decreases the target weights of the Treasury Indices in an attempt to achieve a 10% volatility target, subject to a maximum target weight of 150%, with respect to the 10-Year Treasury Index, and a maximum target weight of 300%, with respect to the 2-Year Treasury Index. The target weights can be greater than, less than or equal to 100%. The risk control method could result in leveraged exposure to the 10-Year Treasury Index when the relevant Treasury futures prices are falling or a deleveraged exposure to the 10-Year Treasury Index when relevant Treasury futures prices are rising (or, alternatively, could result in leveraged short exposure to the 2-Year Treasury Index when relevant Treasury futures prices are rising or deleveraged short exposure to the 2-Year Treasury Index when relevant Treasury futures prices are falling). Therefore, although the title of the fixed income component includes the phrase “Risk Control,” the fixed income component may

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There Is No Guarantee that the Fixed Income Component Will Achieve the 10% Volatility Target — The fixed income component is linked to the daily percentage changes of the 10-Year Treasury Index and the 2-Year Treasury Index, subject to a 10% volatility target. The exposure of the fixed income component to the daily percentage changes of the 10-Year Treasury Index and the 2-Year Treasury Index is subject to a maximum exposure of 150%, with respect to the 10-Year Treasury Index, and a maximum exposure of 300%, with respect to the 2-Year Treasury Index, which may limit the ability of the fixed income component to achieve a volatility target of 10%, if achieving that volatility target would require a leverage factor in excess of 150%, with respect to the 10-Year Treasury Index, or in excess of 300%, with respect to the 2-Year Treasury Index. Additionally, historical realized volatility is not necessarily an accurate predictor of future volatility and therefore the actual volatility may differ significantly from the target volatility. For example, the actual volatility may be higher or lower than the target due to rapid moves in the market either intraday and/or overnight and/or because of the choice of method used to calculate the realized volatility of the applicable Treasury Index. Therefore, there is no guarantee that the fixed income component will achieve the 10% volatility target.

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Controlled Volatility Does Not Mean the Fixed Income Component Will Have Lower Volatility than the S&P 10-Year U.S. Treasury Note Futures Excess Return Index (the "10-Year Treasury Index") or the S&P 2-Year U.S. Treasury Note Futures Excess Return Index (the "2-Year Treasury Index" and, together with the 10-Year Treasury Index, each a "Treasury Index") — The fixed income component employs a risk-control strategy that uses mathematical equations to target 10% volatility. The strategy does not have a goal of achieving lower volatility than the 10-Year Treasury Index or the 2-Year Treasury Index. In fact, if the daily volatility of the relevant Treasury Index is less than the volatility target of 10%, the exposure to the relevant Treasury Index will be increased in an attempt to raise the volatility of the fixed income component to 10%. Any time the exposure to a Treasury Index is greater than 100%, the fixed income component would be more volatile than that Treasury Index.

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Because the Fixed Income Component May Include Notional Short Positions, the Notes May Be Subject to Additional Risks — The fixed income component may take short positions with respect to the 2-Year Treasury Index based on the application of momentum and volatility indicators. Unlike long positions, short positions are subject to unlimited risk of loss because there is no limit on the appreciation of the price of the relevant asset before the short position is closed. It is possible that the 2-Year Treasury Index may appreciate substantially while the fixed income component is providing a notional short exposure to the 2-Year Treasury Index, thus resulting in an adverse effect on the level of the fixed income component and the performance of the Reference Asset. Moreover, the short position may have up to 300% exposure, which increases the risk that the fixed income component will suffer losses, thereby adversely affecting the performance of the Reference Asset.

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There May Be Overexposure to a Treasury Index When the Level of a Treasury Index Is Falling (or Rising, in the Case of a Short Position) or Underexposure to a Treasury Index When the Level of a Treasury Index Is Rising (or Falling, in the Case of a Short Position) — The fixed income component is designed to achieve a volatility target of 10%, subject to a maximum exposure of 150%, with respect to the 10-Year Treasury Index, and a maximum exposure of 300%, with respect to the 2-Year Treasury Index. For example, if the fixed income component has taken a long position in the 10-Year Treasury Index and the level of such Treasury Index is rising and the daily volatility of such Treasury Index is greater than the volatility target of 10%, some of the fixed income component’s exposure will be moved from the Treasury Index to the hypothetical non-interest bearing cash position, and the fixed income component will experience lower returns than the Treasury Index. In contrast, if the fixed income component has taken a long position in the 10-Year Treasury Index and the level of such Treasury Index is falling and the daily volatility of such Treasury Index is less than the volatility target of 10%, the fixed income component will be exposed to more than 100% of the losses in the Treasury Index and the fixed income component will experience lower returns than the Treasury Index. The inverse is true with respect to exposure of greater than or less than 100% when the fixed income component has taken a short position in the 2-Year Treasury Index.

•	The Fixed Income Component's Exposure to the Treasury Indices May Be Rebalanced into a Hypothetical Non-Interest Bearing Cash Position on Any or All Days During the Term of the Notes. The Non-Interest Bearing Cash

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The Fixed Income Component Is Subject to a Transaction Cost That Will Adversely Affect the Performance of the Fixed Income Component and, Therefore, the Performance of the Reference Asset — The fixed income component is subject to a transaction cost that is calculated and deducted from the level of the fixed income component on each index calculation day. The transaction cost is calculated for each Treasury Index and is equal to 0.015% of the level of the Treasury Index times the absolute value of the change in the number of units of the Treasury Index from the prior index calculation day to the current index calculation day. The transaction cost will reduce the performance of the fixed income component and, therefore, the performance of the Reference Asset.

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The Methodology for Determining the Exposure Direction May Not Be a Reliable Predictor of Whether the Daily Percentage Change of a Treasury Index Will Be Positive or Negative — The fixed income component uses a momentum indicator called the "exposure direction" to determine whether the fixed income component's exposure to the daily percentage change of the applicable Treasury Index will be short with respect to the 2-Year Treasury Index or long with respect to the 1-Year Treasury Index. The investment thesis for the fixed income component assumes that the 10-year Treasury yield and 10-year/2-year yield curve momentum indicators are useful to predict the future direction of the daily percentage change of a Treasury Index. However, these indicators may not be reliable predictors of the direction of the daily percentage change of a Treasury Index. Even if these indicators predicted the direction of the daily percentage change of a Treasury Index in the past, they may not do so again in the future. Additionally, there are multiple ways and time periods over which to measure momentum and the method used by the fixed income component may not be the best method to predict the future direction of the daily percentage change of a Treasury Index. Therefore, the investment thesis for the fixed income component may not be correct and the momentum indicators utilized may not predict the future direction of the daily percentage change of a Treasury Index at all or as well as alternative momentum indicators. As a result, the exposure direction could adversely affect the performance of the fixed income component and, consequently, the performance of the Reference Asset.

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The Reference Asset, Via the Fixed Income Component that Is Part of the MA Index, Is Linked In Part to the Performance of the Treasury Indices, Which Are Comprised of Futures Contracts — The Reference Asset is linked in part to the performance of the 10-Year Treasury Index, which is comprised of the nearest maturity 10-year U.S. Treasury futures contract, and the 2-Year Treasury Index, which is comprised of the nearest maturity 2-year U.S. Treasury futures contract. Both underlying contracts are traded on the Chicago Mercantile Exchange ("CME"). On a given day, a “futures price” is the price at which market participants may agree to buy or sell the asset underlying a futures contract in the future, and the “spot price” is the current price of such underlying asset for immediate delivery. A variety of factors can lead to a disparity between the price of a futures contract at a given point in time and the spot price of its underlying asset, such as the expected yields of the Treasury securities that comprise such underlying assets, the implicit financing cost associated with the futures contract and market expectations related to the future price of the futures contract’s underlying asset.

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Negative Roll Yields Will Adversely Affect the Level of the Treasury Indices Over Time and Therefore the Payment at Maturity — The 10-Year Treasury Index is linked to the U.S. 10-year U.S. Treasury futures contract and the 2-Year Treasury Index is linked to and the U.S. 2-year Treasury futures contract. Futures contracts normally specify a certain date for cash settlement of a financial future or delivery of the underlying physical commodity for a deliverable future. As the exchange-traded futures contract that comprises a Treasury Index approaches expiration, it is replaced by a similar contract that has a later expiration. Thus, for example, a futures contract purchased and held in September may specify a December expiration. As time passes, the contract expiring in December may be replaced by a contract for delivery in March. This process is referred to as “rolling.”

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The Treasury Indices Are Excess Return Indices, Not Total Return Indices — The Treasury Indices are excess return indices, not total return indices. With respect to an index comprised of futures contracts, an "excess return" index reflects the "price yield" generated by a change in the price of the futures contract comprising the index and the "roll yield" that is generated when the first expiring futures contract is rolled into the second expiring futures contract, but it does not include interest earned on collateral that a hypothetical investor must provide to secure its performance under the futures contract. By contrast, a “total return” index, reflects interest earned on a hypothetical fully collateralized contract position, in addition to the price yield and the roll yield.

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Owning the Notes Is Not the Same as Directly Owning the Treasuries or Futures Contract Directly or Indirectly Tracked by the Treasury Indices — Your return on the Notes will not reflect the return you would have realized on a direct investment in the futures contracts currently listed for trading on the CME or any of the Treasury securities comprising the Treasury Indices. Therefore, the return on your investment may differ from the return based on the purchase of any futures contracts or Treasury securities that are tracked directly or indirectly by the Treasury Indices.

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Suspension or Disruptions of Market Trading in Treasuries or Futures Contracts May Adversely Affect the Value of the Notes — Treasury markets and futures markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators, and government regulation and intervention. In addition, futures markets typically have regulations that limit the amount of fluctuation in some futures contract prices that may occur during a single business day. These limits are generally referred to as “daily price fluctuation limits,” and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a “limit price.” Once the limit price has been reached in a particular contract, no trades may be made at a price beyond the limit, or trading may be limited for a specified period of time. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at potentially disadvantageous times or prices.

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Legal and Regulatory Changes Could Adversely Affect the Return on and Value of the Notes — Futures contracts are subject to extensive statutes, regulations, and margin requirements, many of which have been subject to recent changes. The Commodity Futures Trading Commission, and the exchanges on which futures contracts trade are authorized to take extraordinary actions in the event of a market emergency, including, for example, the implementation of position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. Furthermore, certain exchanges have regulations that limit the amount of fluctuations in futures contract prices that may occur during a single five-minute trading period. Any legal or regulatory changes could impact the levels of the Treasury Indices, and therefore the performance of the Reference Asset.

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You Will Not Have Any Rights to the Securities Included in the Reference Asset or Any of the Underlying Indices — As a holder of the Notes, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities included in the Reference Asset or any of the underlying indices would have.

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The Payments on the Notes Are Subject to Postponement Due to Market Disruption Events and Adjustments — The Payment at Maturity and the Valuation Date 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, see “General Terms of the Notes—Market Disruption Events” in the product prospectus supplement.

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