We could not find any results for:
Make sure your spelling is correct or try broadening your search.
Share Name | Share Symbol | Market | Type |
---|---|---|---|
Royal Bank of Canada | NYSE:RY | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
1.40 | 1.36% | 104.61 | 104.71 | 103.30 | 103.50 | 561,560 | 00:58:01 |
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-275898
|
|||
Pricing Supplement
Dated March 7, 2024
To the Product Prospectus Supplement No.
CCBN-1, the Prospectus Supplement and the Prospectus, Each Dated December 20, 2023
|
$300,000
Auto-Callable Contingent Coupon Barrier Notes with
Daily Observation Linked to the Lesser Performing of
Two Exchange Traded Funds, Due March 10, 2027
Royal Bank of Canada |
||
Reference Assets
|
Initial Prices*
|
Coupon Barriers and Trigger Prices**
|
iShares® MSCI Emerging Markets ETF (“EEM”)
|
$40.03
|
$24.02, which is 60% of its Initial Price
|
VanEck® Gold Miners ETF (“GDX”)
|
$28.66
|
$17.20, which is 60% of its Initial Price
|
Issuer:
|
Royal Bank of Canada
|
Stock Exchange Listing:
|
None
|
Trade Date:
|
March 7, 2024
|
Principal Amount:
|
$1,000 per Note
|
Issue Date:
|
March 12, 2024
|
Maturity Date:
|
March 10, 2027
|
Observation Periods:
|
Quarterly, as set forth below.
|
Coupon Payment Dates:
|
Quarterly, as set forth below.
|
Valuation Date:
|
March 5, 2027
|
Contingent Coupon Rate:
|
10.15% per annum
|
Final Price:
|
For each Reference Asset, its closing price on the Valuation Date.
|
||
Contingent Coupon
Feature:
|
• If the closing price of each Reference Asset is greater than or equal to its Coupon Barrier on each scheduled trading day during the applicable quarterly Observation Period, we will pay the Contingent
Coupon on the applicable Coupon Payment Date.
• If, on any scheduled trading day during the applicable Observation Period, the closing price of either Reference Asset is less than its Coupon Barrier, no Contingent Coupon will be paid with respect to
that Coupon Payment Date.
You may not receive any Contingent Coupons during the term of the Notes.
|
||
Payment at Maturity (if
held to maturity):
|
If the Notes are not previously called, the investor will receive at maturity, for each $1,000 in principal amount:
• If the Final
Price of the Lesser Performing Reference Asset is greater than or equal to its Trigger Price, $1,000 plus the Contingent Coupon due at maturity (if payable).
• If the Final
Price of the Lesser Performing Reference Asset is less than its Trigger Price, a cash payment equal to:
$1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset)
In this case, investors will lose some or all of the principal amount and will not receive the Contingent Coupon at maturity.
|
||
Lesser Performing
Reference Asset:
|
The Reference Asset with the lowest Percentage Change.
|
||
Call Feature:
|
If the closing price of each Reference Asset is greater than or equal to its Initial Price starting on March 7, 2025 and on any quarterly Call Observation
Date thereafter, the Notes will be automatically called for 100% of their principal amount, plus the Contingent Coupon applicable to the corresponding Coupon Payment Date (if payable).
|
||
CUSIP:
|
78017FMC4
|
Per Note
|
Total
|
||
Price to public
|
100.00%
|
$300,000
|
|
Underwriting discounts and commissions(1)
|
0.00%
|
$0
|
|
Proceeds to Royal Bank of Canada
|
100.00%
|
$300,000
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
General:
|
This pricing supplement relates to an offering of Auto-Callable Contingent Coupon Barrier Notes with Daily Observation (the “Notes”) linked to the lesser performing of the shares of two
exchange traded funds (the “Reference Assets”).
|
Issuer:
|
Royal Bank of Canada (the “Bank”)
|
Strike Date:
|
March 5, 2024
|
Trade Date:
|
March 7, 2024
|
Issue Date:
|
March 12, 2024
|
Valuation Date:
|
March 5, 2027
|
Maturity Date:
|
March 10, 2027
|
Denominations:
|
Minimum denomination of $1,000, and integral multiples of $1,000 thereafter.
|
Contingent Coupon:
|
We will pay you a Contingent Coupon during the term of the Notes, periodically in arrears on each Coupon Payment Date, under the conditions described below:
• If the
closing price of each Reference Asset is greater than or equal to its Coupon Barrier on each scheduled trading day during the applicable Observation Period, we will pay the Contingent Coupon on the
applicable Coupon Payment Date.
• If, on any scheduled trading day during the applicable Observation Period, the closing price of either Reference Asset is less than its Coupon Barrier (a “Barrier Event”), no Contingent Coupon will be
paid with respect to that Coupon Payment Date.
You may not receive a Contingent Coupon for one or more quarterly periods during the term of the Notes.
|
Contingent Coupon Rate:
|
10.15% per annum (2.5375% per quarter).
|
Observation Periods, Call Observation Dates and
|
The Observation Periods, Call Observation Dates and Coupon Payment Dates will occur quarterly, as set forth in the table below.
|
Coupon Payment Dates:
|
Observation Periods
|
Call Observation Dates
|
Coupon Payment Dates
|
||||
March 6, 2024 to June 7, 2024
|
Non-Callable
|
June 12, 2024
|
|||||
June 10, 2024 to September 9, 2024
|
Non-Callable
|
September 12, 2024
|
|||||
September 10, 2024 to December 9, 2024
|
Non-Callable
|
December 12, 2024
|
|||||
December 10, 2024 to March 7, 2025
|
March 7, 2025
|
March 12, 2025
|
|||||
March 10, 2025 to June 9, 2025
|
June 9, 2025
|
June 12, 2025
|
|||||
June 10, 2025 to September 8, 2025
|
September 8, 2025
|
September 11, 2025
|
|||||
September 9, 2025 to December 8, 2025
|
December 8, 2025
|
December 11, 2025
|
|||||
December 9, 2025 to March 9, 2026
|
March 9, 2026
|
March 12, 2026
|
|||||
March 10, 2026 to June 8, 2026
|
June 8, 2026
|
June 11, 2026
|
|||||
June 9, 2026 to September 8, 2026
|
September 8, 2026
|
September 11, 2026
|
|||||
September 9, 2026 to December 7, 2026
|
December 7, 2026
|
December 10, 2026
|
|||||
December 8, 2026 to March 5, 2027
|
March 5, 2027 (the Valuation Date)
|
March 10, 2027 (the Maturity Date)
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
Record Dates:
|
The record date for each Coupon Payment Date will be one business day prior to that scheduled Coupon Payment Date; provided, however, that any Contingent Coupon payable at maturity or upon an
automatic call will be payable to the person to whom the payment at maturity or call, as the case may be, will be payable.
|
Call Feature:
|
If, starting on March 7, 2025 and on any quarterly Call Observation Date thereafter, the closing price of each Reference Asset is greater than or equal
to its Initial Price, then the Notes will be automatically called.
|
Payment if Called:
|
If the Notes are automatically called, then, on the applicable Call Settlement Date, for each $1,000 in principal amount, you will receive $1,000 plus the Contingent Coupon (if payable).
|
Call Settlement Date:
|
The Coupon Payment Date immediately following the applicable Call Observation Date.
|
Initial Price:
|
For each Reference Asset, its closing price on the Strike Date, as set forth on the cover page of this document.
|
Final Price:
|
For each Reference Asset, its closing price on the Valuation Date.
|
Coupon Barrier and
Trigger Price:
|
For each Reference Asset, 60% of its Initial Price, as set forth on the cover page of this document.
|
Payment at Maturity (if not
previously called and held
to maturity):
|
If the Notes are not previously called, the investor will receive at maturity, for each $1,000 in principal amount:
• If the Final
Price of the Lesser Performing Reference Asset is greater than or equal to its Trigger Price, $1,000 plus the Contingent Coupon due at maturity (if payable).
• If the Final
Price of the Lesser Performing Reference Asset is less than its Trigger Price, a cash payment equal to:
$1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset)
In this case, investors will lose some or all of the principal amount and will not receive the Contingent Coupon at maturity.
|
Percentage Change:
|
With respect to each Reference Asset:
Final Price - Initial Price
Initial Price
|
Stock Settlement:
|
Not applicable. Payments on the Notes will be made only in cash.
|
Lesser Performing
Reference Asset:
|
The Reference Asset with the lowest Percentage Change.
|
Market Disruption Events:
|
The occurrence of a market disruption event (or a non-trading day) as to either of the Reference Assets will result in the postponement of a Call Observation Date or the Valuation Date
as to that Reference Asset, as described in the product prospectus supplement, but not to any non-affected Reference Asset. If a market disruption event occurs on any trading day during an Observation Period other than a Call Observation
Date, and on that trading day, the closing price of a Reference Asset is less than its Coupon Barrier, the Calculation Agent will have the discretion to determine whether or not a Barrier Event has occurred on such date.
|
Calculation Agent:
|
RBC Capital Markets, LLC (“RBCCM”)
|
U.S. Tax Treatment:
|
By purchasing a Note, each holder agrees (in the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat the Note as a callable
pre-paid cash-settled contingent income-bearing derivative contract linked to the Reference Assets for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the Notes are uncertain and the
Internal Revenue Service could assert that the Notes should be taxed in a manner that is different from that described in the preceding sentence. Please see the section below, “Supplemental Discussion of U.S. Federal Income Tax Consequences,”
and the discussion (including the opinion of Ashurst LLP, our special U.S. tax counsel) in the product prospectus supplement dated December 20, 2023 under “Supplemental Discussion of U.S. Federal Income Tax Consequences,” which apply to the
Notes.
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
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.
|
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 in this section and the terms appearing under the caption “General Terms of the Notes” in the product prospectus supplement, as modified by this pricing
supplement.
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
Hypothetical Initial Price (for each Reference Asset):
|
$100.00*
|
|
Hypothetical Trigger Price (for each Reference Asset):
|
60% of each hypothetical Initial Price
|
|
Principal Amount:
|
$1,000 per Note
|
Hypothetical Final Price of the Lesser
Performing Reference Asset
|
Payment at Maturity as
Percentage of Principal Amount
|
Cash Payment Amount per
$1,000 in Principal Amount
|
$130.00
|
100.00%
|
$1,000.00
|
$120.00
|
100.00%
|
$1,000.00
|
$110.00
|
100.00%
|
$1,000.00
|
$100.00
|
100.00%
|
$1,000.00
|
$90.00
|
100.00%
|
$1,000.00
|
$80.00
|
100.00%
|
$1,000.00
|
$70.00
|
100.00%
|
$1,000.00
|
$60.00
|
100.00%
|
$1,000.00
|
$59.99
|
59.99%
|
$599.90
|
$50.00
|
50.00%
|
$500.00
|
$40.00
|
40.00%
|
$400.00
|
$30.00
|
30.00%
|
$300.00
|
$20.00
|
20.00%
|
$200.00
|
$10.00
|
10.00%
|
$100.00
|
$0.00
|
0.00%
|
$0.00
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
• |
You May Receive Less than the Principal Amount at Maturity — Investors in the Notes could lose all or a substantial portion of their principal amount if there is a decline in
the price of the Lesser Performing Reference Asset between the Strike Date and the Valuation Date. If the Final Price of the Lesser Performing Reference Asset is less than its Trigger Price, the amount of cash that you receive at maturity
will represent a loss of your principal that is proportionate to the decline in the closing price of the Lesser Performing Reference Asset from the Strike Date to the Valuation Date. Any Contingent Coupons received on the Notes on or prior to
the Maturity Date may not be sufficient to compensate for any such loss.
|
• |
You Will Not Receive Any Contingent Coupon for Any Observation Period Where the Closing Price of Either Reference Asset is Less Than Its Coupon Barrier on One or More Scheduled
Trading Days During That Observation Period — We will pay you the Contingent Coupon for the applicable Observation Period only if the closing price of each Reference Asset is greater than or equal to its Coupon Barrier on each scheduled trading day during that Observation Period. If the closing price of either Reference Asset is below its Coupon Barrier on at least one scheduled trading day during the applicable Observation
Period, you will not receive any Contingent Coupon for that Observation Period.
|
• |
The Notes Are Subject to an Automatic Call — If on any quarterly Call Observation Date, beginning in March 2025, the closing price of each Reference Asset is greater than or
equal to its Initial Price, then the Notes will be automatically called. If the Notes are automatically called, then, on the applicable Coupon Payment Date, for each $1,000 in principal amount, you will receive $1,000 plus the Contingent
Coupon due on the applicable Coupon Payment Date (if payable). You will not receive any Contingent Coupons after that payment. You may be unable to reinvest your proceeds from the automatic call in an investment with a return that is as high
as the return on the Notes would have been if they had not been called.
|
• |
The Notes Are Linked to the Lesser Performing Reference Asset, Even if the Other Reference Asset Performs Better — If either of the Reference Assets has a Final Price that
is less than its Trigger Price, your return on the Notes will be linked to the lesser performing of the Reference Assets. Even if the Final Price of the other Reference Asset has increased compared to its Initial Price, or has experienced a
decrease that is less than that of the Lesser Performing Reference Asset, your return will only be determined by reference to the performance of the Lesser Performing Reference Asset, regardless of the performance of the other Reference
Asset.
|
• |
Your Payment on the Notes Will Be Determined by Reference to Each Reference Asset Individually, Not to a Basket, and the Payment at Maturity Will Be Based on the Performance of the
Lesser Performing Reference Asset — The Payment at Maturity will be determined only by reference to the performance of the Lesser Performing Reference Asset, regardless of the performance of the other Reference Asset. The Notes are
not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components. For example, in the case of notes linked to a weighted basket, the return would depend on the weighted aggregate
performance of the basket components reflected as the basket return. As a result, the depreciation of one basket component could be mitigated by the appreciation of the other basket component, as scaled by the weighting of the basket
components. However, in the case of the Notes, the individual performance of each of the Reference Assets would not be combined, and the depreciation of one Reference Asset would not
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
• |
The Call Feature and the Contingent Coupon Feature Limit Your Potential Return — The return potential of the Notes is limited to the pre-specified Contingent Coupon Rate,
regardless of the appreciation of the Lesser Performing Reference Asset. In addition, the total return on the Notes will vary based on the number of Observation Periods for which the Contingent Coupon becomes payable prior to maturity or an
automatic call. Further, if the Notes are called due to the Call Feature, you will not receive any Contingent Coupons or any other payment after the applicable Coupon Payment Date. Since the Notes could be called as early as March 2025, the
total return on the Notes could be limited. If the Notes are not called, you may be subject to the full downside performance of the Lesser Performing Reference Asset even though your potential return is limited to the Contingent Coupon Rate.
As a result, the return on an investment in the Notes could be less than the return on a direct investment in the Reference Assets.
|
• |
Your Return on the Notes May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity — The return that you will receive on the Notes, which could be
negative, may be less than the return you could earn on other investments. 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.
|
• |
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 any Contingent Coupons, if payable, and the amount due on any applicable payment date is dependent upon our ability to repay our obligations on the applicable payment dates. This will be
the case even if the prices of the Reference Assets increase after the Trade Date. No assurance can be given as to what our financial condition will be at any time during the term of the Notes.
|
• |
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.
|
• |
The Initial Estimated Value of the Notes Is Less than the Price to the Public — The initial estimated value that is set forth on the
cover page of this pricing supplement does not represent a minimum price at which we, RBCCM or any of our affiliates would be willing to purchase the Notes in any secondary market (if any exists) at any time. If you attempt to sell the Notes
prior to maturity, their market value may be lower than the price you paid for them and the initial estimated value. This is due to, among other things, changes in the prices of the Reference Assets, the borrowing rate we pay to issue
securities of this kind, and the inclusion in the price to the public of the estimated costs relating to our hedging of the Notes. These factors, together with various credit, market and economic factors over the term of the Notes, are
expected to reduce the price at which you may be able to sell the Notes in any secondary market and will affect the value of the Notes in complex and unpredictable ways. Assuming no change in market conditions or any other relevant factors,
the price, if any, at which you may be able to sell your Notes prior to maturity may be less than your original purchase price, as any such sale price would not be expected to include our hedging costs relating to the Notes. In addition to
bid-ask spreads, the value of the Notes determined by RBCCM for any secondary market price is expected to be based on the secondary rate rather than the internal funding rate used to price the Notes and determine the initial estimated value.
As a result, the secondary price will be less than if the internal funding rate was used. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
|
• |
The Initial Estimated Value of the Notes that Is Set Forth on the Cover Page of this Pricing Supplement Is an Estimate Only, Calculated as of the Time the Terms of the Notes Were
Set — The initial estimated value of the Notes is based on the value of our obligation to make the payments on the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes. See “Structuring the
Notes” below. Our
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
• |
Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the Reference Assets or to the securities
represented by the Reference Assets 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 share
prices of the Reference Assets, could be adverse to the interests of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with the securities represented by the Reference Assets,
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 Assets or the securities represented by the
Reference Assets. 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 share price or share prices, as applicable, of the Reference Assets, and therefore, the market value of the Notes.
|
• |
An Investment in the Notes Is Subject to Risks Associated with the Gold and Silver Mining Industry — The stocks held by the GDX are linked are issued by companies engaged in
a specific sector of the economy, specifically, the gold and silver mining industry, as to the GDX. Accordingly, an investment in the Notes is subject to the specific risks of companies that operate in this sector. An investment in the Notes
may accordingly be more risky than a security linked to a more diversified set of securities.
|
• |
An Investment in the Notes Is Subject to Risks Associated with the Gold and Silver Mining Industries — All or substantially all of the stocks held by the GDX are issued by
gold or silver mining companies. As a result, the stocks that will determine the performance of the GDX are concentrated in one sector. Although an investment in the Notes will not give holders any
ownership or other direct interests in the stocks held by the GDX, the return on the Notes will be subject to certain risks associated with a direct equity investment in gold or silver mining companies.
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
• |
An Investment in the Notes Is Subject to Risks Relating to Non-U.S. Securities Markets — Because foreign companies or foreign equity securities represented by the EEM and the
GDX are publicly traded in the applicable foreign countries and are denominated in non-U.S. currencies, an investment in the Notes involves particular risks. For example, the non-U.S. securities markets may be more volatile than the U.S.
securities markets, and market developments may affect these markets differently from the U.S. or other securities markets. Direct or indirect government intervention to stabilize the securities markets outside the U.S., as well as
cross-shareholdings in certain companies, may affect trading prices and trading volumes in those markets. Also, the public availability of information concerning the foreign issuers may vary depending on their home jurisdiction and the
reporting requirements imposed by their respective regulators. In addition, the foreign issuers may be subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting
companies.
|
• |
An Investment in the Notes Is Subject to Risks Associated with Emerging Markets — Investments in securities linked directly or indirectly to emerging market equity
securities, such as the securities held by the EEM, involve many risks, including, but not limited to: economic, social, political, financial and military conditions in the emerging market; regulation by national, provincial, and local
governments; less liquidity and smaller market capitalizations than exist in the case of many large U.S. companies; different accounting and disclosure standards; and political uncertainties. Stock prices of emerging market companies may be
more volatile and may be affected by market developments differently than U.S. companies. Government intervention to stabilize securities markets and cross-shareholdings may affect prices and volume of trading of the securities of emerging
market companies. Economic, social, political, financial and military factors could, in turn, negatively affect such companies’ value. These factors could include changes in the emerging market government’s economic and fiscal policies,
possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to the emerging market companies or investments in their securities, and the possibility of fluctuations in the rate of exchange between
currencies. Moreover, emerging market economies may differ favorably or unfavorably from the U.S. economy in a variety of ways, including growth of gross national product, rate of inflation, capital reinvestment, resources and
self-sufficiency. You should carefully consider the risks related to emerging markets, to which the Notes are susceptible, before making a decision to invest in the Notes.
|
• |
The Notes Are Subject to Exchange Rate Risks — The share prices of the
EEM and the GDX will fluctuate based in large part upon its net asset value, which will in turn depend in part upon changes in the value of the currencies in which the stocks held by the EEM and GDX are traded. Accordingly, investors in the
Notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the stocks held by the EEM and the GDX are traded. An investor’s net exposure will depend on the extent to which these currencies strengthen
or weaken against the U.S. dollar. If the dollar strengthens against these currencies, the net asset value of the EEM and the GDX will be adversely affected and the price of the EEM and the GDX, and consequently, the market value of the Notes
may decrease.
|
• |
Owning the Notes Is Not the Same as Owning Shares of the Reference Assets or the Securities Represented by the Reference Assets — The return on your Notes is unlikely to
reflect the return you would realize if you actually owned shares of the Reference Assets or the securities represented by the Reference Assets. For instance, you will not receive or be entitled to receive any dividend payments or other
distributions on those securities during the term of your Notes. As an owner of the Notes, you will not have voting rights or any other rights that holders of those securities may have. Furthermore, the Reference Assets may appreciate
substantially during the term of the Notes, while your potential return will be limited to the applicable Contingent Coupon payments.
|
• |
You Must Rely on Your Own Evaluation of the Merits of an Investment Linked to the Reference Assets — In the ordinary course of their business, our affiliates may have
expressed views on expected movements in the
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
• |
An Investment in the Notes Is Subject to Management Risk — The Reference Assets are not managed according to traditional methods of ‘‘active’’ investment management, which
involve the buying and selling of securities based on economic, financial and market analysis and investment judgment. Instead, each Reference Asset, utilizing a ‘‘passive’’ or indexing investment approach, attempts to approximate the
investment performance of its underlying index by investing in a portfolio of securities that generally replicate its underlying index. Therefore, unless a specific security is removed from its underlying index, the Reference Asset generally
would not sell a security because the security’s issuer was in financial trouble. In addition, each Reference Asset is subject to the risk that the investment strategy of its investment advisor may not produce the intended results.
|
• |
The Reference Assets and their Underlying Indices Are Different — The performance of each Reference Asset may not exactly replicate the performance of its respective
underlying index, because these Reference Assets will reflect transaction costs and fees that are not included in the calculation of its underlying index. It is also possible that the performance of these Reference Assets may not fully
replicate or may in certain circumstances diverge significantly from the performance of their underlying indices due to the temporary unavailability of certain securities in the secondary market, the performance of any derivative instruments
contained in the Reference Assets, or due to other circumstances. These Reference Assets may use a variety of instruments, including futures contracts, options, swap agreements and other instruments, in seeking performance that corresponds to
their underlying indices and in managing cash flows.
|
• |
We and Our Affiliates Do Not Have Any Affiliation with the Investment Advisor of Any Reference Asset or the Sponsor of Any Underlying Index and Are Not Responsible for Their Public
Disclosure of Information — We and our affiliates are not affiliated with the investment advisor of any Reference Asset or the sponsor of any underlying index in any way and have no ability to
control or predict their actions, including any errors in or discontinuance of disclosure regarding their methods or policies relating to the Reference Assets or the underlying indices. The investment advisors of the Reference Assets and the
sponsors of the underlying indices are not involved in the offering of the Notes in any way and have no obligation to consider your interests as an owner of the Notes in taking any actions relating to the Reference Assets or the underlying
indices that might affect the value of the Notes. Neither we nor any of our affiliates has independently verified the adequacy or accuracy of the information about the investment advisors, the sponsors, the Reference Assets or the underlying
indices contained in any public disclosure of information. You, as an investor in the Notes, should make your own investigation into the Reference Assets.
|
• |
The Policies of the Investment Advisors of the Reference Assets or the Sponsors of the Underlying Indices Could Affect the Amount Payable on the Notes and Their Market Value — The
policies of the investment advisors concerning the management of the Reference Assets or the sponsors concerning the calculation of the underlying indices, additions, deletions or substitutions of the securities held by the Reference Assets
could affect the market price of shares of the Reference Assets and, therefore, the amounts payable on the Notes and the market value of the Notes. The amounts payable on the Notes and their market value could also be affected if the
investment advisors or the sponsors change these policies, for example, by changing the manner in
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
• |
The Payments on the Notes Are Subject to Postponement due to Market Disruption Events and Adjustments — The payment at maturity, each Call Observation Date 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.
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
• |
defining the equity universe;
|
• |
determining the market investable equity universe for each market;
|
• |
defining market capitalization size segments for each market;
|
• |
applying index continuity rules for the MSCI Standard Index;
|
• |
creating style segments within each size segment within each market; and
|
• |
classifying securities under the Global Industry Classification Standard (the “GICS”).
|
• |
Identifying Eligible Equity Securities: the equity universe initially looks at securities listed in any of the countries in the MSCI Global Index Series, which will be classified as either Developed Markets (“DM”)
or Emerging Markets (“EM”). All listed equity securities, including Real Estate Investment Trusts and certain income trusts in Canada, are eligible for inclusion in the equity universe. Limited partnerships, limited liability companies, and
business trusts, which are listed in the U.S. and are not structured to be taxed as limited partnerships, are likewise eligible for inclusion in the equity universe. Conversely, mutual funds, ETFs, equity derivatives, and most investment
trusts, are not eligible for inclusion, are eligible for inclusion in the equity universe. Conversely, mutual funds, ETFs, equity derivatives, and most investment trusts, are not. Preferred shares that exhibit characteristics of equity
securities are analyzed for eligibility by MSCI on a case by case basis. Stapled securities are considered eligible if each of the underlying components exhibit characteristics of equity securities.
|
• |
Classifying Eligible Securities into the Appropriate Country: each company and its securities (i.e., share classes) is classified in only one country. All securities in the Equity Universe classified into a
Developed Market make up the DM Equity Universe, while all securities in the Equity Universe classified into an Emerging Market make up the EM Equity Universe. Additionally, all securities in the Equity Universe classified into a Frontier
Market make up the FM Equity Universe.
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
• |
The security is classified in a country that meets the Foreign Listing Materiality Requirement, and
|
• |
The security’s foreign listing is traded on an eligible stock exchange of: a DM country if the security is classified in a DM country, a DM or an EM country if the security is classified in an EM country, or a DM
or an EM or a FM country if the security is classified in a FM country. If a country does not meet the Foreign Listing Materiality Requirement set forth in the index methodology, then securities in that country may not be represented by a
foreign listing in the global investable equity.
|
• |
Equity Universe Minimum Size Requirement: this investability screen is applied at the company level. In order to be included in a market investable equity universe, a
company must have the required minimum full market capitalization. This minimum full market capitalization is referred to as the Equity Universe Minimum Size Requirement. The Equity Universe Minimum Size Requirement applies to all companies
in all markets, Developed and Emerging, and is derived as follows: first, the companies in the DM Equity Universe are sorted in descending order of full market capitalization and the cumulative coverage of free float-adjusted market
capitalization of the DM Equity Universe is calculated at each company; second, when the free float-adjusted market capitalization coverage of 99% of the sorted Equity Universe is achieved, the full market capitalization of the company at
that point defines the Equity Universe Minimum Size Requirement. The rank of each company by descending order of full market capitalization within the DM Equity Universe is noted, and will be used in determining the Equity Universe Minimum
Size Requirement at the next rebalance.
|
• |
Equity Universe Minimum Free Float−Adjusted Market Capitalization Requirement: this investability screen is applied at the individual security level. To be eligible for
inclusion in a market investable equity universe, a security must have a free float−adjusted market capitalization equal to or higher than 50% of the equity universe minimum size requirement.
|
• |
DM and EM Minimum Liquidity Requirement: this investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity
universe, a security must have adequate liquidity. The twelve-month and three-month Annual Traded Value Ratio (“ATVR”), a measure that mitigates the impact of extreme daily trading volumes and takes into account the free float-adjusted market
capitalization of securities, together with the three-month frequency of trading, are used to select securities with a sound long and short-term liquidity. A minimum liquidity level of 20% of three- and twelve-month ATVR and 90% of
three-month frequency of trading over the last four consecutive quarters is required for inclusion of a security in a market investable equity universe of a Developed Market, and a minimum liquidity level of 15% of three- and twelve-month
ATVR and 80% of three-month frequency of trading over the last four consecutive quarters is required for inclusion of a security in a market investable equity universe of an Emerging Market. Emerging Market. Certain securities in the MSCI
China Equity Universe are not eligible for inclusion in the market investable equity universe unless they meet additional requirements as described further in the index methodology Only one listing per security may be included in the market
investable equity universe and priority rules described in the index methodology will be applied in instances when a security has two or more eligible listings that meet the above liquidity requirements. A stock-price limit of $10,000 has
been set, thus securities with stock prices above $10,000 fail the liquidity screening. The stock-price limit applies only for non-constituents of the MSCI Global Investable Markets Indexes and does not apply to constituents of the MSCI
Global Investable Market Indexes if the stock price surpasses the $10,000 threshold.
|
• |
Global Minimum Foreign Inclusion Factor Requirement: this investability screen is applied at the individual security level. To be eligible for inclusion in a market
investable equity universe, a security’s Foreign Inclusion Factor (“FIF”) must reach a certain threshold. The FIF of a security is defined as the proportion of shares outstanding that is available for purchase in the public equity markets by
international investors. This proportion accounts for the available free float of and/or the foreign ownership limits applicable to a specific security (or company). In general, a security must have an FIF equal to or larger than 0.15 to be
eligible for inclusion in a market investable equity universe. MSCI may make exceptions to this general rule in the limited cases where the exclusion of securities of
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
• |
Minimum Length of Trading Requirement: this investability screen is applied at the individual security level. For an initial public offering (“IPO”) to be eligible for
inclusion in a market investable equity universe, the new issue must have started trading at least three months before the implementation of an index review (as described below). This requirement is applicable to small new issues in all
markets. Large IPOs are not subject to the minimum length of trading requirement and may be included in a market investable equity universe and the Standard Index outside of an index review
|
• |
Minimum Foreign Room Requirement: this investability screen is applied at the individual security level. For a security that is subject to a foreign ownership limit to be
eligible for inclusion in a market investable equity universe, the proportion of shares still available to foreign investors relative to the maximum allowed (referred to as “foreign room”) must be at least 15%. The index methodology applies
an adjustment to securities within the market investable equity universe that have foreign room less than 25%.
|
• |
Financial Reporting Requirement: this investability screen is applied at the company level.
|
• |
Investable Market Index (Large + Mid + Small);
|
• |
Standard Index (Large + Mid);
|
• |
Large Cap Index;
|
• |
Mid Cap Index; or
|
• |
Small Cap Index.
|
• |
defining the market coverage target range for each size segment;
|
• |
determining the global minimum size range for each size segment;
|
• |
determining the market size−segment cutoffs and associated segment number of companies;
|
• |
assigning companies to the size segments; and
|
• |
applying final size−segment investability requirements.
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
(i) |
Semi−Annual Index Reviews (“SAIRs”) in May and November of the Size Segment and Global Value and Growth Indices which include:
|
• |
updating the indices on the basis of a fully refreshed equity universe;
|
• |
taking buffer rules into consideration for migration of securities across size and style segments; and
|
• |
updating FIFs and Number of Shares (“NOS”).
|
(ii) |
Quarterly Index Reviews (“QIRs”) in February and August of the Size Segment Indices aimed at:
|
• |
including significant new eligible securities (such as IPOs that were not eligible for earlier inclusion) in the index;
|
• |
allowing for significant moves of companies within the Size Segment Indices, using wider buffers than in the SAIR; and
|
• |
reflecting the impact of significant market events on FIFs and updating NOS.
|
(iii) |
Ongoing Event−Related Changes: changes of this type are generally implemented in the indices as they occur. Significantly large IPOs are included in the indices after the close of the company’s tenth day of
trading.
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
(1) |
the weight of any single component security may not account for more than 20% of the total value of the Underlying Index;
|
(2) |
the component securities are split into two subgroups – large and small, which are ranked by their unadjusted market capitalization weight in the Underlying Index. Large securities are defined as having a
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
(3) |
the final aggregate weight of those component securities which individually represent more than 4.5% of the total value of the Underlying Index may not account for more than 45% of the total index value.
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Daily Observation Linked to the Lesser
Performing of Two Exchange Traded Funds
Royal Bank of Canada |
1 Year Royal Bank of Canada Chart |
1 Month Royal Bank of Canada Chart |
It looks like you are not logged in. Click the button below to log in and keep track of your recent history.
Support: +44 (0) 203 8794 460 | support@advfn.com
By accessing the services available at ADVFN you are agreeing to be bound by ADVFN's Terms & Conditions