RYLBF Royal Bank (PK)

Filed Pursuant to Rule 424(b)(2)

Registration Statement No. 333-275898

Index Supplement SPMKTD-1 to the Prospectus, the Series J Note Prospectus Supplement,

the Warrant Prospectus Supplement, each dated December 20, 2023

Royal Bank of Canada may offer and sell notes or warrants (the “Securities”), the payments and performance of which will be linked to the performance of the S&P 500 Market Agility 10 TCA 0.5% Decrement Index.

Throughout this document we refer to the S&P 500 Market Agility 10 TCA 0.5% Decrement Index as the "Index." The prospectus dated December 20, 2023, the applicable prospectus supplement dated December 20, 2023 and the relevant product prospectus supplement, if any, describe the terms of different kinds of Securities and the terms that may apply generally to the Securities, including any Securities you purchase. For each offering of Securities that you purchase, a separate pricing supplement will describe terms that apply specifically to your Securities, including any changes to the terms in the applicable prospectus, prospectus supplement or the relevant product prospectus supplement (if any). If the provisions of relevant pricing supplement are inconsistent with this document, the provisions in the applicable pricing supplement are controlling.

Your investment in the Securities involves certain risks. See “Risk Factors” beginning on page S-1 of this document, on page PS-3 of the Series J note prospectus supplement, page S-1 of the warrant prospectus supplement and on page 1 of the prospectus to read about investment risks relating to the Securities.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these Securities or passed upon the accuracy of this index supplement or the applicable prospectus, prospectus supplement or, if applicable, product prospectus supplement. Any representation to the contrary is a criminal offense.

The Securities will not constitute deposits insured under the Canada Deposit Insurance Corporation or by the U.S. Federal Deposit Insurance Corporation or any other Canadian or U.S. governmental agency or instrumentality.

RBC Capital Markets, LLC

Index Supplement No. SPMKTD-1 dated May 14, 2024.

TABLE OF CONTENTS

Index Supplement

References to the “prospectus” mean the prospectus dated December 20, 2023, as supplemented by the applicable prospectus supplement dated December 20, 2023, and any applicable product prospectus supplement of Royal Bank of Canada. References to the “relevant pricing supplement” or the “applicable pricing supplement” mean the pricing supplement that describes the specific terms of your Securities. We may use this index supplement in the initial sale of Securities. In addition, RBC Capital Markets, LLC ("RBCCM") or another of our affiliates may use this index supplement in a market-making transaction in Securities after their initial sale. Unless we or our agent informs the purchaser of the Securities otherwise in the confirmation of sale, this index supplement is being used in a market-making transaction.

RISK FACTORS

If the applicable pricing supplement provides hypothetical back-tested performance data of the Index, such data refers to simulated performance data created by applying the Index’s calculation methodology to historical levels of the applicable indices and historical prices of the applicable Treasury futures contracts. Such simulated performance data will be produced by the retroactive application of a back-tested methodology in hindsight. Hypothetical back-tested results are neither an indicator nor a guarantee of future results.

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.

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.

calculation days of price moves. This is a relatively short-term measure of volatility. Such a volatility measure may increase (decrease) sharply when current volatility increases (decreases), which will quickly reduce (increase) exposure to the daily percentage change of the SPXT. This may result in more frequent and more significant changes in daily exposure than a volatility targeting methodology that uses a longer-term realized volatility measure. 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.

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 decrease significantly more or increase significantly less than the Treasury Indices, and the applicable Securities are not necessarily less risky than, and will not necessarily have better returns than, any securities that are linked to the Treasury Indices.

Year Treasury yield trending higher combined with the 10-year/2-year yield curve trending towards inversion or further inversion is useful in predicting that the daily percentage change in the 2-Year Treasury Index will be negative. 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 Index.

Purchasing a futures contract is similar to borrowing money to buy the underlying asset of such futures contract, because it enables an investor to gain exposure to such underlying asset without having to pay the full cost of such exposure up front, and therefore entails a financing cost. As a result, the Index is expected to reflect not only the performance of the Treasury Indices, but also the implicit financing cost of the underlying futures contracts, among other factors. This implicit financing cost will adversely affect the level of the Index. Any increase in market interest rates will be expected to further increase this implicit financing cost and will have an adverse effect on the level of the Index and, therefore, the value of and return on the applicable Securities.

The price movement of a futures contract is typically correlated with the movements of the price of its underlying asset, but the correlation is generally imperfect, and price movements in the spot market may not be reflected in the futures market (and vice versa). Accordingly, the applicable Securities may underperform a similar investment that more directly reflects the return on the underlying Treasury securities.

As a futures contract approaches expiration, its value will generally approach the spot price of its underlying asset because by expiration it will closely represent a contract to buy or sell such underlying asset for immediate delivery. If the market for a futures contract is in “contango,” where the price of the

futures contract with a later expiration date during a rolling period is higher than the spot price of its underlying asset, then the value of such futures contract would tend to decline over time (assuming the spot price and other relevant factors remain unchanged), because the higher futures price would decline as it approaches the lower spot price by expiration. This negative effect on the futures price is referred to as a negative “carry” or “roll yield” and is realized over the term of such contract. A negative roll yield will adversely affect the level of a Treasury Index over time and therefore the performance of the Index. Because of the potential effects of negative roll yields, it is possible for the level of the Index to decrease significantly over time.

THE INDEX

All information contained in this index supplement and the applicable pricing supplement regarding the Index, including, without limitation, its make-up, its method of calculation and its historical closing levels, is derived from information prepared by S&P Dow Jones Indices LLC (the "index sponsor"). Such information reflects the policies of, and is subject to change by, the index sponsor. The Index is calculated and maintained by the index sponsor. Neither RBCCM, in its role as calculation agent for the applicable Securities, nor any of our other affiliates, has participated in the preparation of such documents or made any due diligence inquiry with respect to the Index or the index sponsor in connection with the offering of the Securities. In connection with the offering of the Securities, neither RBCCM, in its role as calculation agent, nor any of our other affiliates, makes any representation that such information regarding the Index or the index sponsor is accurate or complete.

In this index supplement and the applicable product prospectus supplement, if any, and/or the applicable pricing supplement, unless the context requires otherwise, references to the Index below and/or in the applicable pricing supplement will include any successor index to such Index and references to the index sponsor will include any successor thereto.

S&P 500 Market Agility 10 TCA 0.5% Decrement Index

Introduction

The S&P 500 Market Agility 10 TCA 0.5% Decrement Index (the “Index”) (Bloomberg symbol: “SPMKTD”) measures the performance of the S&P 500 Market Agility TCA Index (the "MA Index"), subject to a 10% volatility target, less a decrement fee of 0.5% per annum (as described below). On each index calculation day, the Index measures the exponentially weighted realized volatility of the MA Index to adjust its exposure to the MA Index in an attempt to achieve the 10% volatility target, subject to a maximum weight of 150%. The Index was first calculated on February 23, 2024, with a base value of 1,000.00, as of the base date of June 23, 2011.

The MA Index measures the performance of a basket consisting of an equity component and a fixed income component that is rebalanced on a monthly basis into a 70% equity/30% fixed income allocation, less a transaction cost subtracted from the level of the MA Index on each monthly rebalancing (as described below). The equity component is the S&P 500 Long/Short Risk Aware Daily Risk Control 10% TCA Excess Return Index (the "equity component") and the fixed income component is the S&P U.S. Treasury Futures Long/Short Risk Aware Daily Risk Control 10% TCA Excess Return Index (the "fixed income component"). The MA Index was first calculated on February 23, 2024, with a base value of 1,000.00, as of the base date of June 23, 2011.

The equity component is linked to the performance of the S&P 500 Total Return Index (the "SPXT") and a non-interest-bearing cash position. The equity component takes either a long or short position with respect to the SPXT using momentum and volatility indicators, and uses volatility observations from intraday high and low levels of the SPXT over the two most recent index calculation days (the "daily SPXT volatility") to adjust its exposure to the SPXT on a daily basis, with a 10% target volatility, subject to a maximum exposure of 150%. As described in more detail below, the equity component will take a short position with respect to the SPXT if momentum of the SPXT is negative and a measure of short-term volatility of the SPXT is elevated, and otherwise will take a long position with respect to the SPXT.

Exposure to the SPXT will be greater than 100% when the daily SPXT volatility is lower than the 10% target volatility, subject to the 150% maximum exposure, and will be less than 100% when the daily SPXT volatility is higher than the 10% target volatility. The equity component level is reduced by a funding cost based on the notional exposure to the SPXT and a transaction cost based on the change in exposure to the SPXT (both as described below). The equity component was first calculated on February 23, 2024, with a base value of 1,000.00 as of the base date of June 23, 2011.

The fixed income component is linked to the performance of the S&P 10-Year U.S. Treasury Note Futures Excess Return Index (the "10-Year Treasury Index"), 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") and a non-interest-bearing cash position. The fixed income component takes either a long position in the 10-Year Treasury Index or a short position in the 2-Year Treasury Index using momentum indicators based on the 10-year Treasury yield and the 10-year/2-year yield curve (i.e., 10-year Treasury yield minus the 2-year Treasury yield) and uses volatility observations from intraday high and low levels of each Treasury Index over the most recent two days (the "daily volatility of a Treasury Index") to adjust its exposure to the respective Treasury Index on a daily basis, with a 10% target volatility, 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. As described in more detail below, the fixed income component will take a short position in the 2-Year Treasury Index if momentum in the 10-year Treasury yield is positive and momentum in the 10-year/2-year yield curve is negative (i.e., trending towards inversion or greater inversion), and will otherwise take a long position in the 10-Year Treasury Index. Exposure to the relevant Treasury Index will be greater than 100% when the daily volatility of the relevant Treasury Index is lower than the 10% target volatility, subject to the 150% maximum exposure, in the case of the 10-Year Treasury Index, or 300% maximum exposure, in the case of the 2-Year Treasury Index, and will be less than 100% when the daily volatility of the relevant Treasury Index is higher than the 10% target volatility. The fixed income component level is reduced by a transaction cost based on the change in exposure to

each Treasury Index (as described below). The fixed income component was first calculated on February 23, 2024, with a base value of 1,000.00 as of the base date of March 29, 2011.

The decrement fee, the transaction costs and the funding cost will reduce the performance of the Index.

The Index, the MA Index, the equity component, the SPXT, the fixed income component, the 10-Year Treasury Index and the 2-Year Treasury Index are sponsored, calculated, published and disseminated by S&P Dow Jones Indices LLC (the "index sponsor"). Additional information regarding these indices, including a more complete description of the index methodology including the mathematical formulas used to make the determinations and calculations described below, may be obtained from the S&P website: www.spglobal.com/. We are not incorporating by reference in this document the index sponsor's website or any material it includes.

Index Construction

S&P 500 Market Agility 10 TCA 0.5% Decrement Index Calculation

On each index calculation day, the closing level of the Index is equal to (a) the closing level of the Index on the prior index calculation day, plus (b) (i) the number of units of the Index on the prior index calculation day, times (ii) (A) the closing level of the S&P 500 Market Agility TCA Index (the "MA Index") on the index calculation day, minus (B) the closing level of the MA Index on the prior index calculation day, minus (c) the decrement fee on the index calculation day. Accordingly, the daily percentage change of the Index on any index calculation day is determined by the number of units of the Index (determined on the prior index calculation day) and the daily percentage change in the level of the MA Index, less the decrement fee.

On each index calculation day, the exposure to the MA Index (i.e., the number of units of the MA Index) is adjusted in an attempt to achieve realized volatility of approximately 10%. Exposure to the MA Index will be greater than 100% (but not more than 150%, as described below) when the realized volatility of the MA Index, calculated as described below, is less than the volatility target of 10%, and will be less than 100% when such measure of realized volatility is greater than the volatility target of 10%. The “realized volatility” of the MA Index used for the volatility targeting is calculated as the greater of two exponentially weighted volatility measures: (1) a “short-term” calculation that assigns greater weight to more recent index calculation days and (2) a “long-term” calculation that assigns lesser weight to more recent index calculation days (the “MA Index exponentially weighted volatility”).

More specifically, on each index calculation day, the number of units of the MA Index is equal to (a) the lesser of (i) 1.5, and (ii) (A) the volatility target of 10%, divided by (B) the MA Index exponentially weighted volatility on the prior index calculation day, times (b) (i) the closing level of the Index on the prior index calculation day, divided by (ii) the closing level of the MA Index on the prior index calculation day. This step adjusts the Index's exposure to the daily percentage change of the MA Index by adjusting the number of units of the Index in an attempt to achieve the 10% volatility target, subject to a maximum weight of 150%. Because there is a maximum exposure of 150%, it is possible that the Index will not be able to achieve the 10% volatility target, if exposure greater than 150% is required to achieve the 10% volatility target. If the exposure is less than 100% (which occurs when the MA Index exponentially weighted volatility exceeds the 10% volatility target), the difference between the exposure and 100% will be hypothetically allocated to a non-interest bearing cash position, which offers some protection against decreases in the level of the MA Index but does not earn interest or a positive yield.

MA Index exponentially weighted volatility is a measurement of variations in the historical daily percentage changes of the MA Index and is calculated as the greater of short-term volatility and long-term volatility. Both short-term volatility and long-term volatility are calculated based on the historical daily percentage changes over the same time period (from March 30, 2011 to the prior index calculation day) and both apply

a discount that gradually reduces the significance of a given historical daily percentage change as it moves farther into the past. However, short-term volatility applies a larger discount (0.94) than does long-term volatility (0.97). The discount for short-term volatility is slightly more than double the discount for long-term volatility. As a result, the 11 most recent index calculation days account for approximately 50% of the weighting when determining short-term volatility, while the 23 most recent index calculation days account for approximately 50% of the weighting when determining long-term volatility.

On each index calculation day, the decrement fee is equal to (a) the closing level of the MA Index on the prior index calculation day, times (b) the decrement rate of 0.50%, times (c) the calendar day count fraction between the index calculation day and the prior index calculation day. The decrement fee accrues on a daily basis, including on days that are not index calculation days, and is deducted on each index calculation day irrespective of the exposure to the MA Index. The decrement fee will reduce the performance of the Index.

S&P 500 Market Agility TCA Index

The S&P 500 Market Agility TCA Index (the “MA Index”) measures the performance of the equity component and the fixed income component, with the weighting set to 70/30 between the two components on the basket rebalance day (as defined below)at the end of each month.

On each index calculation day, the closing level of the MA Index is equal to (a) the closing level of the MA Index on the prior index calculation day, plus (b) the daily return of the equity component on the index calculation day, plus (c) the daily return of the fixed income component on the index calculation day, minus (d) the transaction cost on the prior index calculation day.

On each index calculation day, the daily return of the equity component is equal to (a) the number of units of the equity component on the prior index calculation day, times (b) (i) the closing level of the equity component on the index calculation day, minus (ii) the closing level of the equity component on the prior index calculation day. Accordingly, the daily return of the equity component is determined by the number of units of the equity component and the daily percentage change in the level of the equity component. For purposes of calculating the level of the MA Index, the number of units of the equity component will be fixed on the last index calculation day of each month, as described below, and otherwise will not change until the next basket rebalance day.

On each index calculation day, the daily return of the fixed income component is equal to (a) the number of units of the fixed income component on the prior index calculation day, times (b) (i) the closing level of the fixed income component on the index calculation day, minus (ii) the closing level of the fixed income component on the prior index calculation day. Accordingly, the daily return of the fixed income component is determined by the number of units of the fixed income component and the daily percentage change in the level of the fixed income component. For purposes of calculating the level of the MA Index, the number of units of the fixed income component will be fixed on the last index calculation day of each month, as described below, and otherwise will not change until the next basket rebalance day.

On each index calculation day, the number of units of the equity component is equal to (a) if the index calculation day is the last index calculation day of the month (a "basket rebalance day"), (i) 0.7, times (ii) (A) the closing level of the MA Index on the prior index calculation day, divided by (B) the closing level of the equity component on the prior index calculation day, and (b) otherwise, the number of units of the equity

component on the prior index calculation day. This step resets the MA Index's exposure to the equity component on a basket rebalance day to 70%.

On each index calculation day, the number of units of the fixed income component is equal to (a) if the index calculation day is a basket rebalance day, (i) 0.3, times (ii) (A) the closing level of the MA Index on the prior index calculation day, divided by (B) the closing level of the fixed income component on the prior index calculation day, and (b) otherwise, the number of units of the fixed income component on the prior index calculation day. This step resets the MA Index's exposure to the fixed income component on a basket rebalance day to 30%.

A transaction cost at a rate of 0.01% with respect to the equity component and 0.015% with respect to the fixed income component is charged and deducted from the level of the MA Index based on changes in the number of units of the equity component and the fixed income component, respectively. Because the number of units of each component will only change on a basket rebalance day, the transaction cost will only be assessed on a basket rebalance day and deducted from the level of the MA Index on the following index calculation day.

On each basket rebalance day, the transaction cost of the MA Index is equal to (a) (i) 0.01%, times (ii) the absolute value of (A) the number of units of the equity component on the basket rebalance day, minus (B) the number of units of the equity component on the prior index calculation day, times (iii) the closing level of the equity component on the basket rebalance day, plus (b) (i) 0.015%, times (ii) the absolute value of (A) the number of units of the fixed income component on the basket rebalance day, minus (B) the number of units of the fixed income component on the prior index calculation day, times (iii) the closing level of the fixed income component on the basket rebalance day. The transaction cost will reduce the performance of the MA Index and, therefore, the performance of the Index.

Equity Component Calculation

The equity component is linked to the performance of the S&P 500 Total Return Index (the "SPXT") and a non-interest-bearing cash position. The performance of the equity component will generally depend on whether the equity component has taken a long or short position with respect to the SPXT on the particular index calculation day, the level of exposure to the SPXT on the particular index calculation day and the change in the level of the SPXT.

On each index calculation day, the closing level of the equity component is equal to (a) the closing level of the equity component on the prior index calculation day, plus (b) (i) the number of units of the SPXT on the prior index calculation day, times (ii) (A) the closing level of the SPXT on the index calculation day, minus (B) the closing level of the SPXT on the prior index calculation day, minus (c) the funding cost on the index calculation day, minus (d) the transaction cost on the prior index calculation day. Accordingly, the daily percentage change in the level of the equity component is determined by the number of units of the SPXT and the daily percentage change in the level of the SPXT, less the funding cost and the transaction cost.

The number of units of the equity component on any index calculation day is determined based on the realized volatility of the SPXT compared to the volatility target of 10%, while the exposure direction will be determined based on momentum and volatility of the SPXT, as described further below.

On each index calculation day, the number of units of the SPXT is equal to (a) the exposure direction on the prior index calculation day (-1, if negative, or 1, if positive), times (b) the target weight on the index

calculation day, times (c) (i) the closing level of the equity component on the prior index calculation day, divided by (ii) the closing level of the SPXT on the prior index calculation day.

The exposure direction will be negative (i.e., the equity component will take a short position with respect to the SPXT) if momentum of the SPXT is negative and a measure of short-term volatility of the SPXT is elevated, as described in more detail below. Otherwise, the exposure direction will be positive (i.e., the equity component will take a long position with respect to the SPXT).

On each index calculation day, momentum of the SPXT is deemed to be negative if the closing level of the SPXT on the index calculation day is lower than the closing level of the SPXT on the twentieth prior index calculation day, and short-term volatility of the SPXT is deemed to be elevated if the five-day rolling realized volatility is greater than the aggregate of the 20-day rolling average of the five-day rolling realized volatility and the rolling 252 day volatility of the five-day rolling realized volatility. This volatility comparison is intended to assess whether a measure of short-term volatility (i.e., the five-day rolling realized volatility, measured over five index calculation days, i.e., one week) is greater than the aggregate of a measure of medium-term volatility (i.e., the 20-day rolling average of the five-day rolling realized volatility, measured over 20 index calculation days, i.e., approximately one month) and a measure of long-term volatility (i.e., the rolling 252 day volatility of the five-day rolling realized volatility, measured over 252 index calculation days, i.e., approximately one year).

The target weight is updated on a daily basis and is used to determine the equity component's exposure (but not the direction) to the daily percentage change in the level of the SPXT in an attempt to achieve the 10% volatility target, subject to a maximum target weight of 150%. Exposure to the equity component will generally be greater than 100% when the daily SPXT volatility is less than the 10% volatility target and will be less than 100% when the daily SPXT volatility is greater than the 10% volatility target. The daily SPXT volatility is a measure of short-term volatility calculated using intraday high and low levels of the SPXT over the two most recent index calculation days, inclusive of the current index calculation day.

On each index calculation day, the target weight is equal to the lesser of (a) 1.5, and (b) (i) the volatility target of 10%, divided by (ii) the daily SPXT volatility. Because there is a maximum target weight of 150%, it is possible that the equity component will not be able to achieve the 10% volatility target, if a target weight greater than 150% is required to achieve the 10% volatility target. If the target weight is less than 100% (which occurs when the daily SPXT volatility exceeds the 10% volatility target), the difference between the target weight and 100% is hypothetically allocated to a non-interest bearing cash position, which offers some protection against decreases in the level of the SPXT but does not earn interest or a positive yield.

A funding cost is deducted from the equity component on each index calculation day based on the number of units of the SPXT and the level of the SPXT. On each index calculation day, the funding cost is equal to (a) the number of units of the SPXT on the prior index calculation day, times (b) the closing level of the SPXT on the prior index calculation day, times (c) (i) the funding cost rate on the prior index calculation day, divided by (ii) 100, times (d) (i) the number of calendar days from and including the prior index calculation day to but excluding the index calculation day, divided by (ii) 360. Prior to December 21, 2021, the funding cost rate is equal to USD 3 Month LIBOR. On or after this date, the funding cost rate is the sum of 0.25% and the Secured Overnight Financing Rate ("SOFR"), or any successor rate as determined in the future. The funding cost will reduce the performance of the equity component and, therefore, the performance of the Index.

A transaction cost at a rate of 0.01% is deducted from the equity component on each index calculation day based on the change in the number of units of the SPXT versus the prior index calculation day. On each index calculation day, the transaction cost is equal to (a) the absolute value of (i) the number of units of the SPXT on the index calculation day, minus (ii) the number of units of the SPXT on the prior index calculation day, times (b) the closing level of the SPXT on the index calculation day, times (c) the transaction cost rate

of 0.01%. In other words, the transaction cost applies to the change in the number of units. The transaction cost will reduce the performance of the equity component and, therefore, the performance of the Index.

S&P 500 Total Return Index

The S&P 500^® Index measures the performance of the large-cap segment of the U.S. market. The calculation of the level of the index is based on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943. The S&P 500^® Total Return Index (the "SPXT") is a total return version of the index, in which dividends paid on the applicable securities are included in the level of the index.

Additional information regarding the SPXT may be obtained from the S&P website: https://www.spglobal.com/spdji/en/indices/equity/sp-500/. We are not incorporating by reference the website or any material it includes in this document.

Stocks must meet the following eligibility factors to be considered eligible for the SPXT:

Domicile. The issuer of the security must be a U.S.-domiciled company. The incorporation and/or registration, operational headquarters location and primary stock exchange listing are the principal factors determining country of domicile. Other factors considered include the geographic breakdown of revenue and assets, ownership information, location of officers, directors and employees, investor perception and other factors deemed to be relevant by the Index Committee. All final domicile determinations are subject to review by the Index Committee.

Security Filing Type. The company issuing the security satisfies the Securities Exchange Act's periodic reporting obligations by filing certain required forms for domestic issuers, such as but not limited to: Form 10-K annual reports, Form 10-Q quarterly reports and Form 8-K current reports.

Exchange Listing. The security must have a primary listing on one of the following U.S. exchanges: NYSE; Nasdaq Capital Market; NYSE Arca; Cboe BZX; NYSE American; Cboe BYX; Nasdaq Global Select Market; Cboe EDGA; Nasdaq Select Market; and Cboe EDGX. Over-the-counter (OTC) markets including Pink Open Market, do not satisfy this criterion.

Organizational Structure and Share Type. The issuer of the security must be a corporation (including equity and mortgage REITs) and the security must be common stock (i.e., shares). The following organizational structures and share types do not satisfy this criterion: business development companies; preferred stock; limited partnerships; convertible preferred stock; master limited partnerships; unit trusts; limited liability companies; equity warrants; closed-end funds; convertible bonds; exchange-traded funds; investment trusts; exchange-traded notes; rights; royalty trusts; American depositary receipts; and special purpose acquisition companies.

Tracking Stocks. Tracking stocks are not eligible for inclusion.

Multiple Share Classes. Effective with the September 2015 rebalance, consolidated share class lines will no longer be included in the SPXT. Each share class line will be subject to public float and liquidity criteria individually, but the company’s total market capitalization will be used to evaluate each share class line. This may result in one listed share class line of a company being included in the SPXT while a second listed share class line of the same company is excluded.

Market Capitalization. In order for a security to be eligible, the issuer of the security must have a total market capitalization of $15.8 billion or more.

Investable Weight Factor (IWF). A security must have an IWF of at least 0.10 as of the rebalancing effective date. The IWF is calculated by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total shares outstanding less shares held by control holders (i.e., shareholder who purchase shares for control and not investment). Control holders generally include, but are not limited to: officers and directors; private equity, venture capital and special equity firms; asset managers and

insurance companies with direct board of director representation; shares held by another publicly traded company; holders of restricted shares; company-sponsored employee share plans/trusts, defined contribution plans/savings and investment plans; foundations or family trusts associated with the company; government entities at all levels except government retirement/pension funds; sovereign wealth funds; and any individual person listed as a 5% or greater stakeholder in a company as reported in regulatory filings (a 5% threshold is used as detailed information on holders and their relationship to the company is generally not available for holders below that threshold). In addition, treasury stock, stock options, equity participation units, warrants, preferred stock, convertible stock and rights are not part of the float. In most cases, an IWF is reported to the nearest one percentage point. This calculation is subject to a 5% minimum threshold for control blocks. For example, if a company’s officers and directors hold 3% of the company’s shares and no other control group holds 5% of the company’s shares, the index sponsor would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However, if a company’s officers and directors hold 3% of the company’s shares and another control group holds 20% of the company’s shares, the index sponsor would assign an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are considered to be held for control.

Liquidity. The security must trade a minimum of 250,000 shares in each of the six months leading up to the evaluation date and have a float-adjusted liquidity ratio (defined as the annual dollar value traded divided by the float-adjusted market capitalization) greater than or equal to 0.75 at the time of addition to the SPXT. Current constituents have no minimum requirement.

Financial Viability. The sum of the most recent four consecutive quarters’ Generally Accepted Accounting Principles (GAAP) earnings (net income excluding discontinued operations) should be positive, as should the most recent quarter. For equity real estate investment trusts (REITs), financial viability is based on GAAP earnings and/or Funds From Operations (FFO), if reported. For IPOs, the company must be traded on an eligible exchange for at least twelve months (for former SPACs, the index sponsor considers the de-SPAC transaction to be an event equivalent to an IPO, and twelve months of trading post the de-SPAC event are required before a former SPAC can be considered for inclusion in the SPXT. Spin-offs or in-specie distributions from existing constituents do not need to be traded on an eligible exchange for twelve months prior to their inclusion in the SPXT).

Index constituents are selected from the S&P Total Market Index, which measures the performance of the broad U.S. market and includes all eligible U.S. common equities. Constituent selection is at the discretion of the Index Committee and is based on the eligibility criteria. The SPXT has a fixed constituent count of 500. Sector balance, as measured by a comparison of each Global Industry Classification Standard (GICS^®) sector’s weight in the SPXT with its weight in the S&P Total Market Index, in the relevant market capitalization range, is also considered in the selection of companies for the SPXT.

The SPXT is weighted by float-adjusted market capitalization. Under float adjustment, the share counts used in calculating the SPXT reflect only those shares that are available to investors, not all of a company’s outstanding shares. Float adjustment excludes shares that are closely held by control holders.

The SPXT is calculated using a base-weighted aggregate methodology. The calculation of the SPXT begins with the price return calculation of the S&P 500^® Index (the "price return index"). The level of the price return index reflects the total market value of all 500 component stocks relative to the base period of the years 1941 through 1943. An indexed number is used to represent the results of this calculation in order to make the level easier to use and track over time. The actual total market value of the component stocks during the base period of the years 1941 through 1943 has been set to an indexed level of 10. This is often indicated by the notation 1941-43 = 10. In practice, the daily calculation of the price return index is computed by dividing the total market value of the component stocks by the “index divisor.” By itself, the index divisor is an arbitrary number. However, in the context of the calculation of the price return index, it serves as a link to the original base period level of the price return index. The index divisor keeps the price return index comparable over time and is the manipulation point for all adjustments to the SPXT, which is explained further in the section "Index Maintenance" below.

Once the price return index has been calculated, the level of the SPXT (i.e., the total return calculation of the price return index) is calculated. First, the total daily dividend for each stock in the SPXT is calculated by multiplying the per share dividend by the number of shares included in the SPXT. Then the SPXT dividend is calculated by aggregating the total daily dividends for each of the stocks in the SPXT (which may be zero for some stocks) and dividing by the divisor for that day. Next the daily total return of the SPXT is calculated as a fraction minus 1, the numerator of which is the sum of the SPXT level plus the SPXT dividend and the denominator of which is the SPXT level on the previous day. Finally, the level of the SPXT for that day is calculated as the product of the level of the SPXT on the previous day times the sum of 1 plus the daily total return of the SPXT for that day.

Changes to index composition are made on an as-needed basis. There is no scheduled reconstitution. Rather, changes in response to corporate actions and market developments can be made at any time. Index additions and deletions are announced with at least three business days advance notice. Less than three business days’ notice may be given at the discretion of the Index Committee.

Index maintenance includes monitoring and completing the adjustments for company additions and deletions, share changes, stock splits, stock dividends and stock price adjustments due to company restructuring or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares outstanding and the stock prices of the companies in the SPXT and do not require index divisor adjustments. When a company pays an ordinary cash dividend, the SPXT does not make any adjustments to the price or shares of the stock. As a result, there are no divisor adjustments to the SPXT.

To prevent the level of the SPXT from changing due to corporate actions, corporate actions which affect the total market value of the SPXT require an index divisor adjustment. By adjusting the index divisor for the change in market value, the level of the SPXT remains constant and does not reflect the corporate actions of individual companies in the SPXT. Index divisor adjustments are made after the close of trading and after the calculation of the SPXT closing level.

Share counts are updated to the latest publicly available filings on a quarterly basis. IWF changes will only be made at the quarterly review if the change represents at least 5% of total current shares outstanding and is related to a single corporate action that did not qualify for the accelerated implementation rule, regardless of whether there is an associated share change. Certain mandatory actions, such as M&A driven share/IWF changes, stock splits and mandatory distributions, are implemented when they occur and not subject to a minimum threshold for implementation. Material share/IWF changes resulting from certain non-mandatory corporate actions follow the accelerated implementation rule.

Accelerated Implementation Rule

Public offerings. Public offerings of new company-issued shares and/or existing shares offered by selling shareholders, including block sales and spot secondaries, will be eligible for accelerated implementation treatment if the size of the event meets the materiality threshold criteria: (a) at least $150 million and (b) at least 5% of the pre-event total shares. In addition to the materiality threshold, public offerings must be underwritten, have a publicly available prospectus, offering document, or prospectus summary filed with the relevant authorities and have a publicly available confirmation from an official source that the offering has been completed. For public offerings that involve a concurrent combination of new company shares and existing shares offered by selling shareholders, both events are implemented if either of the public offerings represent at least 5% of total shares and US $150 million. Any concurrent share repurchase by the affected company will also be included in the implementation.

Dutch Auctions, Self-tender Offer Buybacks and Split-off Exchange Offers. These non-mandatory corporate action types will be eligible for accelerated implementation treatment regardless of size once the final results are publicly announced and verified by the index sponsor.

For non-mandatory corporate actions subject to the accelerated implementation rule with a size of at least $1 billion, the index sponsor will apply the share change, and any resulting IWF change, using the latest share and ownership information publicly available at the time of the announcement, even if the offering size is below the 5% threshold.

All non-mandatory events not covered by the accelerated implementation rule (including but not limited to private placements, acquisition of private companies and conversion of non-index share lines) will be implemented quarterly coinciding with the third Friday of the third month in each calendar quarter.

Accelerated implementation for events less than $1 billion will include an adjustment to the company’s IWF only to the extent that such an IWF change helps the new float share total mimic the shares available in the offering. To minimize unnecessary turnover, these IWF changes do not need to meet any minimum threshold requirement for implementation. Any IWF change resulting in an IWF of 0.96 or greater is rounded up to 1.00 at the next annual IWF review.

In addition to its daily governance of the SPXT, at least once within any 12-month period, the Index Committee reviews its methodology to ensure the SPXT continues to achieve its stated objectives and that the data and methodology remain effective. In certain instances, the index sponsor may publish a consultation inviting comments from external parties.

Fixed Income Component Calculation

The fixed income component is linked to the performance of the S&P 10-Year U.S. Treasury Note Futures Excess Return Index (the "10-Year Treasury Index") (on any index calculation day that the fixed income component takes a long position) 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") (on any index calculation day that the fixed income component takes a short position), together with a non-interest-bearing cash position. The performance of the fixed income component will generally depend on whether the fixed income component has taken a long or short position on the particular index calculation day, the level of exposure to the fixed income component on the particular index calculation day and the change in the level of the 10-Year Treasury Index or the 2-Year Treasury Index, as applicable.

On a given index calculation day, the fixed income component will only have exposure to either the 10-Year Treasury Index, if it took a long position on the prior index calculation day, or the 2-Year Treasury Index, if it took a short position on the prior index calculation day. On each index calculation day, the closing level of the fixed income component is equal to (a) the closing level of the fixed income component on the prior index calculation day, plus (b) (i) the number of units of the relevant Treasury Index on the prior index calculation day, times (ii) (A) the closing level of the relevant Treasury Index on the index calculation day, minus (B) the closing level of the relevant Treasury Index on the prior index calculation day, minus (c) the transaction cost on the prior index calculation day. Accordingly, the daily percentage change in the level of the fixed income component is determined by the number of units of the relevant Treasury Index and the daily percentage change in the level of the relevant Treasury Index, less the transaction cost.

The number of units of the fixed income component on any index calculation day is determined based on realized volatility of the respective Treasury Index compared to the volatility target of 10%, while the exposure direction will be determined based on momentum in the 10-Year treasury yield and the 10-year/2-Year yield curve, as described below.

On each index calculation day, the number of units of a Treasury Index is equal to (a) the exposure direction on the prior index calculation day, times (b) the target weight of the relevant Treasury Index on the index calculation day, times (c) (i) the closing level of the fixed income component on the prior index calculation day, divided by (ii) the closing level of the relevant Treasury Index on the prior index calculation day.

The exposure direction will be negative (i.e., the fixed income component will take a short position with respect to the 2-Year Treasury Index) if there is positive momentum in the 10-year Treasury yield and negative momentum in the 10-year/2-year yield curve (i.e., the yield curve is trending towards inversion or inverting further), in each case, relative to recent historical levels and as described in more detail below. Otherwise, the exposure direction will be positive (i.e., the fixed income component will take a long position with respect to the 10-Year Treasury Index).

On each index calculation day, momentum in the 10-year Treasury yield will be positive, if the change in the 100 day moving average of the 10-year Treasury yield over the five most recent index calculation days (the "10-Year Yield Delta") is greater than the 20-day rolling standard deviation of the 10-Year Yield Delta, and momentum in the 10-Year/2-Year yield curve will be negative, if the change in the 100 day moving average of the 10-year Treasury yield minus the 2-year Treasury yield (i.e., the 10-year/2-year yield curve) (the "Yield Curve Delta") is negative and the absolute value of the Yield Curve Delta is greater than the 20-day rolling standard deviation of the Yield Curve Delta. The 20-day rolling standard deviation of the Yield Curve Delta is a measure of the amount of variation in the Yield Curve Delta relative to its mean over a span of the preceding 20 index calculation days. A low standard deviation indicates that the values tend to be close to the mean (also called the expected value), while a high standard deviation indicates that the values are spread out over a wider range. These momentum signals are intended to assess whether short-term movements in the moving averages of the 10-Year Treasury yield and the 10-Year/2-Year yield curve (over one trading week) are greater than typically observed over the medium-term (approximately one month).

On each index calculation day, the 10-Year Yield Delta is equal to (a) 1/100, times (b) the sum of, for each of the 100 most recent index calculation days, the US 10-year Treasury yield.

On each index calculation day, the Yield Curve Delta, is equal to (a) 1/100, times (b) the sum of, for each of the 100 most recent index calculation days, (c) (i) the US 10-year Treasury yield on a given index calculation day, minus (ii) the US 2-year Treasury yield on the given index calculation day.

The target weight of each Treasury Index is updated on a daily basis and is used to determine the fixed income component's exposure (but not the direction) to the daily percentage change in the level of the 10-Year Treasury Index or the 2-Year Treasury Index, as applicable, in an attempt to achieve the 10% volatility target, subject to a maximum target weight of 150%, with respect to the 10-Year Treasury Index, and 300%, with respect to the 2-Year Treasury Index. Exposure to the fixed income component will be greater than 100% when the daily volatility of the relevant Treasury Index is less than the 10% volatility target and will be less than 100% when the daily volatility of the relevant Treasury Index is greater than the 10% volatility target, as described below. The daily volatility of a Treasury Index is a short-term measure of realized volatility calculated using intraday high and low levels of the relevant Treasury Index over the two most recent index calculation days, inclusive of the current index calculation day.

On each index calculation day, the target weight of the 10-Year Treasury Index is equal to (a) if the exposure direction on the prior index calculation day is positive (i.e., the fixed income component has taken a long position), the lesser of (i) 1.5 and (ii) (A) the volatility target of 10%, divided by (B) the daily volatility of the 10-Year Treasury Index, and (b) otherwise, 0.

On each index calculation day, the target weight of the 2-Year Treasury Index is equal to (a) if the exposure direction on the prior index calculation day is less than 0 (i.e., the fixed income component has taken a short position), the lesser of (i) 3 and (ii) (A) the volatility target of 10%, divided by (B) the daily volatility of the 2-Year Treasury Index, and (b) otherwise 0.

Because there is a maximum target weight of 150%, in the case of the 10-Year Treasury Index, or 300%, in the case of the 2-Year Treasury Index, it is possible that the fixed income component will not be able to achieve the 10% volatility target, if a target weight greater than 150% or 300%, as the case may be, is required to achieve the 10% volatility target. If the target weight is less than 100% (which occurs when the daily volatility of a Treasury Index exceeds the 10% volatility target), the difference between the target weight and 100% is hypothetically allocated to a non-interest bearing cash position, which offers some protection against decreases in the level of the relevant Treasury Index but does not earn interest or a positive yield.

A transaction cost at a rate of 0.015% is deducted from the fixed income component on each index calculation day based on the change in the number of units of each Treasury Index versus the prior index calculation day.

On each index calculation day, the transaction cost is equal to the sum of, for each of the 10-Year Treasury Index and the 2-Year Treasury Index, (a) the absolute value of (i) the number of units of the relevant Treasury Index on the index calculation day, minus (ii) the number of units of the relevant Treasury Index on the prior index calculation day, times (b) the closing level of the relevant Treasury Index on the index calculation day, times (c) the transaction cost rate of 0.015%. The transaction cost is applied to the incremental increase or decrease in the number of units of a Treasury Index and will reduce the performance of the fixed income component and, therefore, the performance of the Index.

S&P 10-Year U.S. Treasury Note Futures Excess Return Index and the S&P 2-Year U.S. Treasury Note Futures Excess Return Index

The 10-Year Treasury Index and the 2-Year Treasury Index measure the performance of the nearest maturity U.S. Treasury futures contracts. The 10-Year Treasury Index is comprised of the nearest maturity 10-year U.S. Treasury futures contract, and the 2-Year Treasury Index is comprised of the nearest maturity 2-year U.S. Treasury futures contract. Both underlying contracts are traded on the Chicago Mercantile Exchange.

Each Treasury Index includes provisions for the replacement of the futures contracts as they approach maturity (also referred to as “rolling”). This replacement occurs over a one-day rolling period every quarter, effective prior to open of trading one business day preceding the first position date (i.e., the first date on which CME Clearing will accept intents and run assignments for deliverable contracts) as published by the CME Group.

Each Treasury Index is an excess return index, meaning that it reflects the "price yield" generated by a change in the price of the futures contract comprising the index (i.e., the contract daily return) and the "roll yield" that is generated when the first expiring futures contract is rolled into the second expiring futures contract.

If the first expiring futures contract has a less expensive contract price than the second expiring futures contract, the roll yield will decrease the exposure to the underlying U.S. Treasuries futures contract (since selling less expensive contracts and buying more expensive contracts will result in fewer contracts). On the other hand, if the first expiring futures contract has a more expensive contract price than the second expiring futures contract, the roll yield will increase the exposure to the underlying U.S. Treasuries futures contract (since selling more expensive contracts and buying less expensive contracts will result in more contracts).

Each Treasury Index is calculated from the price change of the underlying U.S. Treasury futures contract. On each index calculation day, the level of a Treasury Index is equal to (a) the level of the Treasury Index on the prior index calculation day multiplied by (b) one plus the contract daily return on the index calculation day.

Index Maintenance

The Index, the equity component and the fixed income component rebalance daily, and leverage is evaluated daily at the close of each trading day, effective prior to the open of the next trading day.

The MA Index rebalances monthly to re-allocate component weights into a 70/30 ratio between the equity component and the fixed income component. Component units and weights calculate and reallocate based on the returns calculated at the end of each month for each of the components.

License Agreement

S&P^® is a registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). These trademarks have been licensed for use by S&P. “Standard & Poor’s^®”, “S&P 500^®” and “S&P^®” are trademarks of Standard & Poor’s Financial Services LLC. These trademarks have been sublicensed for certain purposes by us. The S&P 500 Market Agility 10 TCA 0.5% Decrement Index is a product of S&P and/or its affiliates and has been licensed for use by us. The Securities are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Standard & Poor’s Financial Services LLC or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the holders of the Securities or any member of the public regarding the advisability of investing in securities generally or in the Securities particularly or the ability of the S&P 500 Market Agility 10 TCA 0.5% Decrement Index to track general market performance. S&P Dow Jones Indices’ only relationship to us with respect to the S&P 500 Market Agility 10 TCA 0.5% Decrement Index is the licensing of the S&P 500 Market Agility 10 TCA 0.5% Decrement Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The S&P 500 Market Agility 10 TCA 0.5% Decrement Index is determined, composed and calculated by S&P Dow Jones Indices without regard to us or the Securities. S&P Dow Jones Indices have no obligation to take our needs or the needs of holders of the Securities into consideration in determining, composing or calculating the S&P 500 Market Agility 10 TCA 0.5% Decrement Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of the Securities or the timing of the issuance or sale of the Securities or in the determination or calculation of the equation by which the Securities are to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of the Securities. There is no assurance that investment products based on the S&P 500 Market Agility 10 TCA 0.5% Decrement Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion of a security or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the Securities currently being issued by us, but which may be similar to and competitive with the Securities. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the S&P 500 Market Agility 10 TCA 0.5% Decrement Index. It is possible that this trading activity will affect the value of the Securities.

S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P 500 MARKET AGILITY 10 TCA 0.5% DECREMENT INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY US, HOLDERS OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500 MARKET AGILITY 10 TCA 0.5% DECREMENT INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND US, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

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