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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 | |
---|---|---|---|---|---|---|---|---|
0.12 | 0.12% | 103.21 | 104.08 | 103.18 | 103.48 | 540,065 | 01:00:00 |
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-275898
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The information in this preliminary terms supplement is not complete and may be changed.
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Preliminary Terms Supplement
Subject to Completion:
Dated March 11, 2024
Pricing Supplement Dated March __, 2024 to the Product Prospectus Supplement ERN-EI-1, the Prospectus
Supplement and the Prospectus, Each Dated December 20, 2023
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$
Digital Barrier Return Notes Linked to the Lesser
Performing of Three Equity Indices Due April 21, 2025
Royal Bank of Canada
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Reference Assets
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Initial Level*
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Barrier Level
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Nasdaq-100 Index® (“NDX”)
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70.00% of its Initial Level
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Russell 2000® Index (“RTY”)
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70.00% of its Initial Level
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S&P 500® Index (“SPX”)
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70.00% of its Initial Level
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If the Final Level of the Lesser Performing Reference Asset (as defined below) is greater than or equal to 70% of its Initial Level (the “Barrier Level”), the Notes will pay at maturity a return equal to the Digital Return. The
Digital Return will be 9.75% of the principal amount. An investor’s return on the Notes will not exceed the Digital Return.
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If the Final Level of the Lesser Performing Reference Asset is less than its Barrier Level, investors will lose 1% of the principal amount for each 1% decrease from its Initial Level to its Final Level.
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Any payments on the Notes are subject to our credit risk.
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The Notes do not pay interest.
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The Notes will not be listed on any securities exchange.
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Per Note
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Total
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Price to public(1)
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100.00%
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$
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Underwriting discounts and commissions(1)
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0.60%
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$
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Proceeds to Royal Bank of Canada
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99.40%
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$
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
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General:
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This terms supplement relates to an offering of Digital Barrier Return Notes Linked to the Lesser Performing of Three Equity Indices (the “Notes”).
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Issuer:
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Royal Bank of Canada (the “Bank”)
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Trade Date (Pricing
Date):
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March 13, 2024
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Issue Date:
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March 18, 2024
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Valuation Date:
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April 14, 2025
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Maturity Date:
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April 21, 2025, subject to extension for market and other disruptions, as described in the product prospectus supplement dated December 20, 2023.
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Denominations:
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Minimum denomination of $1,000, and integral multiples of $1,000 thereafter.
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Initial Level:
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For each Reference Asset, its closing level on the Trade Date.
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Final Level:
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For each Reference Asset, its closing level on the Valuation Date.
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Barrier Level:
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For each Reference Asset, 70% of its Initial Level.
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Barrier Percentage:
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30%
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Payment at Maturity (if
held to maturity):
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We will pay you at maturity an amount based on the Final Level of the Lesser Performing Reference Asset:
If the Final Level of the Lesser Performing Reference Asset is greater than or equal to its Barrier Level (that is, its
Percentage Change is at least ‑30.00%), then the investor will receive, for each $1,000 in principal amount of the Notes, an amount equal to:
$1,000 + ($1,000 x Digital Return)
If the Final Level of the Lesser Performing Reference Asset is less than its Barrier Level (that is, its Percentage Change is
less than ‑30.00%), then the investor will receive, for each $1,000 in principal amount of the Notes:
$1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset)
In this case, you may lose all or a substantial portion of the principal amount.
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Percentage Change:
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With respect to each Reference Asset:
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Digital Return:
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9.75%. An investor’s return on the Notes will not exceed the Digital Return.
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Lesser Performing
Reference Asset:
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The Reference Asset which has the lowest Percentage Change.
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Market Disruption
Events:
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If a market disruption event occurs on the Valuation Date as to a Reference Asset, the determination of the Final Level of that Reference Asset will be postponed. However, the
determination of the Final Level of any Reference Asset that is not affected by that market disruption event will not be postponed.
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Calculation Agent:
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RBC Capital Markets, LLC (“RBCCM”)
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U.S. Tax Treatment:
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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 pre-paid cash-settled derivative
contract in respect of 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
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
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Tax Consequences,” and the discussion (including the opinion of our special U.S. tax counsel, Ashurst LLP) in the product prospectus supplement dated December 20, 2023 under
“Supplemental Discussion of U.S. Federal Income Tax Consequences,” which apply to the Notes.
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Secondary Market:
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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.
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Listing:
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The Notes will not be listed on any securities exchange.
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Settlement:
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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).
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Terms Incorporated in the
Master Note:
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All of the terms appearing on the cover page and above the item captioned “Secondary Market” in this section and the terms appearing under the caption “General Terms of the Notes” in the
product prospectus supplement, as modified by this terms supplement.
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
|
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
Hypothetical Initial Level (for each Reference Asset):
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1,000.00*
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Hypothetical Barrier Level (for each Reference Asset):
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700.00, which is 70.00% of the hypothetical Initial Level
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Digital Return:
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9.75%
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Principal Amount:
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$1,000 per Note
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Hypothetical Final Level of the
Lesser Performing Reference
Asset
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Payment at Maturity as
Percentage of Principal Amount
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Payment at Maturity per $1,000
in Principal Amount
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1,300.00
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109.75%
|
$1,097.50
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1,200.00
|
109.75%
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$1,097.50
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1,100.00
|
109.75%
|
$1,097.50
|
1,090.75
|
109.75%
|
$1,097.50
|
1,050.00
|
109.75%
|
$1,097.50
|
1,020.00
|
109.75%
|
$1,097.50
|
1,000.00
|
109.75%
|
$1,097.50
|
900.00
|
109.75%
|
$1,097.50
|
800.00
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109.75%
|
$1,097.50
|
700.00
|
109.75%
|
$1,097.50
|
699.00
|
69.90%
|
$699.00
|
600.00
|
60.00%
|
$600.00
|
500.00
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50.00%
|
$500.00
|
400.00
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40.00%
|
$400.00
|
300.00
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30.00%
|
$300.00
|
200.00
|
20.00%
|
$200.00
|
100.00
|
10.00%
|
$100.00
|
0.00
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0.00%
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$0.00
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|
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
Example 1 —
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Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is negative, but its Final Level is greater than its
Barrier Level.
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Percentage Change:
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-10%
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Payment at Maturity:
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$1,000 + ($1,000 x 9.75%) = $1,000 + $97.50 = $1,097.50
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In this case, on a $1,000 investment, a Percentage Change of -10% in the Lesser Performing Reference Asset results in a Payment at Maturity of $1,097.50, a return of
9.75% on the Notes.
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In this case, the return on the Notes is greater than the Percentage Change of the Lesser Performing Reference Asset. The return on the Notes is
positive, even though the Percentage Change of the Lesser Performing Reference Asset is negative.
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Example 2 —
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Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is positive.
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Percentage Change:
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20%
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Payment at Maturity:
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$1,000 + ($1,000 x 9.75%) = $1,000 + $97.50 = $1,097.50
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In this case, on a $1,000 investment, a Percentage Change of 20% in the Lesser Performing Reference Asset results in a Payment at Maturity of $1,097.50, a return of
9.75% on the Notes.
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In this case, the return on the Notes is less than the Percentage Change of the Lesser Performing Reference Asset.
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Example 3 —
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Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is negative (by more than the Barrier Percentage).
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Percentage Change:
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-50%
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Payment at Maturity:
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$1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset)
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$1,000 + ($1,000 x -50%) = $500
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In this case, on a $1,000 investment, a Percentage Change of -50% in the Lesser Performing Reference Asset results in a Payment at Maturity of $500, a return of -50%
on the Notes.
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|
Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
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• |
You May Lose Some or All of the Principal Amount at Maturity – Investors in the Notes could lose some or all of their
principal amount if there is a decline in the level of the Lesser Performing Reference Asset between the Trade Date and the Valuation Date of more than 30%. In such a case, you will lose 1% of the principal amount of your Notes for
each 1% that the Final Level of the Lesser Performing Reference Asset is less than its Initial Level.
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Your Potential Payment at Maturity Is Limited — The Notes will provide less opportunity to participate in the
appreciation of any of the Reference Assets than an investment in a security linked to that Reference Asset providing full participation in the appreciation, because the payment at maturity will not exceed the return represented by
the Digital Return. Accordingly, your return on the Notes may be less than your return would be if you made an investment in a security directly linked to the positive performance of the Lesser Performing Reference Asset.
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Your Payment at Maturity Will Be Determined Solely by Reference to the Lesser Performing Reference Asset Even if the Other Reference Assets Perform Better
– Your Payment at Maturity will be determined solely by reference to the performance of the Lesser Performing Reference Asset. Even if the Final Levels of the other Reference Assets have
increased compared to their Initial Levels, or have 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 Assets. 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 components, as scaled by the weighting of that basket component. 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 be mitigated by any appreciation of the other Reference Assets. Instead your return will depend solely on the Final Level of the Lesser Performing Reference Asset. Because each
Reference Asset tracks a different segment of the U.S. equities market, they may each decrease in a comparable manner.
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The Notes Do Not Pay Interest and Your Return May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity – You will not receive any interest payments on the Notes as there would be on a conventional fixed-rate or floating-rate debt security having the same maturity. The return that you will receive on the Notes,
which could be negative, may be less than the return you could earn on other investments. The return on the Notes may be less than the return you would earn if you purchased one of our conventional senior interest bearing debt
securities.
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Payments on the Notes Are Subject to Our Credit Risk, and Changes in Our Credit Ratings Are Expected to Affect the Market Value of the Notes — The Notes are our senior unsecured debt securities. As a result, your receipt of the Payment at Maturity is dependent upon our ability to repay our obligations at that time. This will be the case even if the
levels of the Reference Assets increase after the Trade Date. No assurance can be given as to what our financial condition will be at the maturity of the Notes.
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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
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
• |
The Initial Estimated Value of the Notes Will Be Less than the Price to the Public — The initial estimated value of
the Notes that will be set forth on the cover page of the final pricing supplement for the Notes 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 levels 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 underwriting discount and 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 the underwriting discount or the 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.
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The Initial Estimated Value of the Notes that We Will Provide in the Final Pricing Supplement Will Be an Estimate Only, Calculated as of the Time the Terms
of the Notes Are Set — The initial estimated value of the Notes will be based on the value of our obligation to make the payments on the Notes, together with the mid-market value of the
derivative embedded in the terms of the Notes. See “Structuring the Notes” below. Our estimate will be based on a variety of assumptions, including our credit spreads, expectations as to dividends, interest rates and volatility, and
the expected term of the Notes. These assumptions are based on certain forecasts about future events, which may prove to be incorrect. Other entities may value the Notes or similar securities at a price that is significantly
different than we do.
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• |
Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to 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 levels 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 companies included in 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. 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 levels of the Reference Assets, and, therefore, the
market value of the Notes.
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
• |
An Investment in the Notes Is Subject to Risks Relating to Non-U.S. Securities Markets — Because certain securities
included in the NDX are issued by non-U.S. issuers and/or are traded outside of the U.S., an investment in the Notes involves particular risks. For example, the relevant 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.
|
• |
An Investment in the Notes Linked to the RTY Is Subject to Risks Associated in Investing in Stocks With a Small Market Capitalization — The RTY consists of stocks
issued by companies with relatively small market capitalizations. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies. As a result, the level of the
RTY may be more volatile than that of a market measure that does not track solely small-capitalization stocks. Stock prices of small-capitalization companies are also generally more vulnerable than those of large-capitalization
companies to adverse business and economic developments, and the stocks of small-capitalization companies may be thinly traded, and be less attractive to many investors if they do not pay dividends. In addition, small capitalization
companies are often less well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of those individuals. Small
capitalization companies tend to have lower revenues, less diverse product lines, smaller shares of their target markets, fewer financial re-sources and fewer competitive strengths than large-capitalization companies. These companies
may also be more susceptible to adverse developments related to their products or services.
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• |
The Payments on the Notes Are Subject to Postponement Due to Market Disruption Events and Adjustments — The Redemption Amount and the Valuation Date are subject to
adjustment as to each Reference Asset as described in the product prospectus supplement. For a description of what constitutes a market disruption event as well as the consequences of that market disruption event, see “General Terms
of the Notes—Market Disruption Events” in the product prospectus supplement.
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|
Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
• |
the security must generally be a common stock, ordinary share, American Depositary Receipt (“ADR”), or tracking stock. Companies organized as real estate investment trusts are not eligible for index
inclusion. If the security is an ADR, then references to the “issuer” are references to the underlying security and the total shares outstanding is the actual ADRs outstanding as reported by the depositary banks. If an issuer has
listed multiple security classes, all security classes are eligible, subject to meeting all other security eligibility criteria;
|
• |
the security’s primary U.S. listing must exclusively be listed on the Nasdaq Global Select Market or the Nasdaq Global Market;
|
• |
if the security is issued by an issuer organized under the laws of a jurisdiction outside the United States, it must have listed options on a registered options market in the United States or be eligible
for listed-options trading on a registered options market in the United States;
|
• |
the security must be issued by a non-financial company (any industry other than Financials) according to the Industry Classification Benchmark;
|
• |
the security must have a minimum average daily trading volume of 200,000 shares s (measured over the three calendar months ending with the month that includes the reconstitution reference date);
|
• |
the security must have traded for at least three full calendar months, not including the month of initial listing, on an “eligible exchange,” which includes Nasdaq (Nasdaq Global Select Market, Nasdaq
Global Market, or Nasdaq Capital Market), NYSE, NYSE American or CBOE BZX. Eligibility is determined as of the constituent selection reference date, and includes that month. A security that was added to the NDX as a result of a
spin-off event will be exempt from this requirement;
|
• |
the security may not be issued by an issuer currently in bankruptcy proceedings; and
|
• |
the issuer of the security generally may not have entered into a definitive agreement or other arrangement that would make it ineligible for NDX inclusion and where the transaction is imminent as determined
by the Index Management Committee.
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
• |
The top 75 ranked issuers will be selected for inclusion in the NDX.
|
• |
Any other issuers that were already members of the NDX as of the reconstitution reference date and are ranked within the top 100 are also selected for inclusion in the NDX.
|
• |
In the event that fewer than 100 issuers pass the first two criteria, the remaining positions will first be filled, in rank order, by issuers currently in the index ranked in positions 101-125 that were
ranked in the top 100 at the previous reconstitution or replacement-or spin-off-issuers added since the previous reconstitution. In the event that fewer than 100 issuers pass the first three criteria, the remaining positions will be
filled, in rank order, by any issuers ranked in the top 100 that were not already members of the NDX as of the reconstitution reference date.
|
• |
No issuer weight may exceed 20% of the index.
|
• |
The aggregate weight of the subset of issuers whose Stage 1 weights exceed 4.5% is set to 40%.
|
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|
Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
• |
No security weight may exceed 14% of the index.
|
• |
The aggregate weight of the subset of index securities with the five largest market capitalizations is set to 38.5%.
|
• |
No security with a market capitalization outside the largest five may have a final index weight exceeding the lesser of 4.4% or the final index weight of the index security ranked fifth by market
capitalization.
|
• |
Listing on an ineligible index exchange;
|
• |
Merger, acquisition, or other major corporate event that would adversely impact the integrity of the NDX;
|
• |
If a company is organized as a real estate investment trust;
|
|
|
Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
• |
If an index security is classified as a financial company (Financials industry) according to the Industry Classification Benchmark;
|
• |
if the issuer has an adjusted market capitalization below 0.10% of the aggregate adjusted market capitalization of the NDX for two consecutive month ends; and
|
• |
If a security that was added to the NDX as the result of a spin-off event has an adjusted market capitalization below 0.10% of the aggregate adjusted market capitalization of the NDX at the end of its
second day of regular way trading as an index member.
|
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
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Digital Barrier Return Notes Linked to the
Lesser Performing of Three Equity Indices
|
1 Year Royal Bank of Canada Chart |
1 Month Royal Bank of Canada Chart |
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