[SD] ArcelorMittal Specialized Disclosure Report

Rhea-AI Filing Summary

Royal Bank of Canada (RY) has filed a Rule 424(b)(2) pricing supplement for a US$917,000 issuance of Auto-Callable Contingent Coupon Barrier Notes (Series J) due April 1 2030. The notes are senior unsecured obligations linked to the worst performer among three major U.S. equity indices: the Nasdaq-100 (NDX), Russell 2000 (RTY) and S&P 500 (SPX).

Key economics

• Issue price: 100% of principal; minimum investment US$1,000.
• Contingent coupon: 2.40% per quarter (9.60% p.a.) paid only if, on each quarterly observation date, every index closes ≥75% of its initial level.
• Call feature: Beginning June 29 2026 (≈1 year after trade date), the notes are automatically redeemed at par plus the coupon if all indices are at or above their initial levels.
• Principal protection: At maturity, full principal is returned only if the worst-performing index is ≥60% of its initial level; otherwise investors lose 1% of principal for every 1% decline in that index.
• Initial index levels: NDX 22,534.20; RTY 2,172.526; SPX 6,173.07. Corresponding 75% coupon thresholds and 60% barriers are fixed for the life of the notes.
• Initial estimated value: US$988.06 per US$1,000 note, below the public offering price, reflecting structuring and hedging costs.
• Fees: Underwriting discount 0.027% (≈US$250 total) plus selling concessions up to US$2.50 per US$1,000 and potential referral fees up to US$10.
• Listing & liquidity: The notes will not be listed on any exchange; secondary market making is discretionary by RBC Capital Markets (RBCCM).

Risk highlights

• Credit risk of Royal Bank of Canada; notes are senior unsecured claims.
• Market risk concentrated in the weakest of the three indices; no benefit from positive performance of the other two.
• No participation in index appreciation beyond the fixed coupon; total return is capped.
• Investors may receive zero coupons during the term and could lose up to 100% of principal if the worst index closes <60% of its initial value at maturity.
• Uncertain tax treatment; coupons expected to be ordinary income; potential 30% withholding for non-U.S. holders.
• Illiquid secondary market; sale prior to maturity likely at a discount to both par and initial estimated value.

The product targets yield-seeking investors comfortable with equity-linked downside risk and the possibility of early redemption. Given the 9.60% contingent coupon and a 40% downside buffer, the structure offers enhanced income relative to traditional fixed-rate RBC debt, but investors bear path-dependent coupon risk, barrier risk, and issuer credit exposure.

Positive

• Attractive contingent income: 9.60% annual coupon, significantly above current investment-grade yields.
• 40% downside buffer: Full principal protection at maturity provided the worst index remains ≥60% of its initial level.
• Early call potential: Notes may return capital plus coupon after one year if all indices are at or above initial levels, shortening duration risk.
• Investment-grade issuer: Royal Bank of Canada is a well-capitalized bank, enhancing relative credit strength.

Negative

• Principal at risk: If the worst-performing index finishes <60% of its start level, losses mirror the decline one-for-one.
• Coupon uncertainty: Payments halt for any quarter in which even one index closes below 75% of its initial value.
• No upside participation: Investors do not benefit from index gains beyond receiving the fixed coupon.
• Liquidity risk: Notes are unlisted; resale depends on RBCCM’s discretion and likely at a discount.
• Estimated value below par: Initial fair value of US$988.06 signals embedded costs and potential mark-to-market drag.
• Uncertain tax treatment: Coupons treated as ordinary income; potential 30% withholding for non-U.S. holders.

Insights

Structured Products Analyst

TL;DR: High coupon balanced by significant downside and path-dependency; overall risk-adjusted view is neutral.

The 9.60% annual coupon looks attractive, especially with investment-grade issuer RBC, yet receipt is contingent on all three indices staying above 75% of their initial marks each quarter. Historical drawdowns show NDX and RTY have breached that threshold multiple times in normal cycles, so uninterrupted coupon flow is far from certain. A 60% barrier offers a 40% buffer at maturity, but once breached the payoff becomes linear to the downside, mirroring equity risk without upside. Automatic call after one year mitigates duration if markets remain strong, but also curtails income potential. The initial estimated value at 98.8% of par implies roughly 1.2% in structural costs—lean for retail notes, yet the absence of listing limits exit flexibility. Overall, the note suits tactical yield enhancement but should be sized modestly within a diversified portfolio.

Portfolio Manager – Multi-Asset Income

TL;DR: Coupon is enticing, but low liquidity and worst-of index linkage create asymmetric risk; modestly negative impact.

From an income-portfolio lens, the security delivers headline yield competitive with BB high-yield bonds while carrying RBC senior credit exposure—a positive. However, worst-of basket design subjects investors to small-cap volatility (RTY) and tech-heavy NDX concentrations. During the 2020 sell-off, RTY fell over 40%, which would have triggered capital loss under this structure. Investors also face reinvestment risk if markets rally and the note is called year one, likely when spreads are tighter and coupons lower. Lack of secondary market depth makes risk management challenging. Given these trade-offs, I see limited incremental benefit versus holding a diversified mix of dividend equities and RBC vanilla debt.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM SD

SPECIALIZED DISCLOSURE REPORT

ArcelorMittal

(Exact name of registrant as specified in its charter)

Grand Duchy of Luxembourg                001-35788                Not applicable

(Jurisdiction of incorporation or organization)        (Commission File Number)            (I.R.S. Employer Identification No.)

 24-26, Boulevard d’Avranches,

L-1160 Luxembourg

Grand Duchy of Luxembourg

(Address of principal executive offices) (Zip Code)

 Henk Scheffer,

Company Secretary,

24-26, Boulevard d’Avranches,

L-1160 Luxembourg,

Grand Duchy of Luxembourg.

Telephone: +352 4792-1

((Name and telephone number, including area code,

of the person to contact in connection with this report.)

Check the appropriate box to indicate the rule pursuant to which this Form is being submitted, and provide the period to which the information in this Form applies:

☐ Rule 13p-1 under the Securities Exchange Act (17 CFR 240.13p-1) for the reporting period from January 1 to December 31, 2024.

☒ Rule 13q-1 under the Securities Exchange Act (17 CFR 240.13q-1) for the fiscal year ended December 31, 2024.

Section 2—Resource Extraction Issuer Disclosure

Item 2.01 Resource Extraction Issuer Disclosure and Report

Disclosure of payments by resource extraction issuers.

The payment disclosure required by Item 2.01 of Form SD is included as Exhibit 2.01 hereto (the “Report”). The Report on payments to governments with respect to its extractive activities is in accordance with the European Union directives 2013/34/EU and 2013/50/EU (“EU Directives”) as transposed into the Luxembourg laws of December 18, 2015 and May 10, 2016 (the “Transparency Law”). These EU Directives have been derived from the Extractive Industries Transparency Initiative (“EITI”), a global standard to promote the open and accountable management of natural resources of which ArcelorMittal is a corporate supporter in order to strengthen governance, foster socio-economic development and help the overall business climate to become more open, fair and competitive. The EU Directives are recognized by the United States Securities and Exchange Commission as an alternative reporting regime that satisfies the transparency objections of Section 13(q) under the Securities Exchange Act of 1934 for purposes of alternative reporting under Rule 13q-1(c) and paragraph (c) of Item 2.01 of Form SD. The Report has been delivered to the Luxembourg Trade and Companies Register (Registre de commerce et des sociétés – RCS) required by the EU Directives and is available on the Luxembourg Business Registers website. It is also available on the ArcelorMittal website at: https://corporate.arcelormittal.com/corporate-library/reporting-hub?type=Payments%20to%20government#.

Section 3—Exhibits

Item 3.01 Exhibits

The following exhibit is submitted as part of this report.

Exhibit 2.01 – ArcelorMittal Report on Payments to Governments in respect of Extractive Activities for the year ended December 31, 2024.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the authorized undersigned.

ARCELORMITTAL
(Registrant)

/s/ Henk Scheffer

Henk Scheffer

Company Secretary

Date: July 1, 2025

FAQ

What coupon rate do the Royal Bank of Canada (RY) 424B2 notes pay?

The notes offer a contingent coupon of 2.40% per quarter, or 9.60% per annum, payable only if each index stays above its 75% coupon threshold on the observation date.

When can the auto-call feature on the RY barrier notes be triggered?

Beginning on the fourth observation date, June 29 2026, the notes are automatically called if all three indices close at or above their initial levels.

How much principal protection do investors have at maturity?

Full principal is returned only if the worst-performing index is at least 60% of its initial level. Below that, principal declines 1% for each 1% drop.

What is the initial estimated value versus the public offering price?

RBC calculated an initial estimated value of US$988.06 per US$1,000 note, about 1.2% below the US$1,000 offering price.

Will the notes be listed on an exchange for trading?

No. The notes will not be listed. Any secondary trading will depend on RBC Capital Markets making a market, which it is not obligated to do.

What are the key index levels that determine coupons and protection?

Initial levels: NDX 22,534.20, RTY 2,172.526, SPX 6,173.07. Coupon threshold is 75% of each level; barrier is 60%.