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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 | |
---|---|---|---|---|---|---|---|---|
-0.76 | -0.71% | 105.60 | 105.80 | 105.06 | 105.80 | 482,560 | 01:00:00 |
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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-275898
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Pricing Supplement
Dated May 17, 2024
To the Product Prospectus Supplement ERN-EI-1, the Prospectus Supplement and the
Prospectus, Each Dated December 20, 2023
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$535,000
Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices Due June 23, 2025
Royal Bank of Canada
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Reference Assets
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Initial Levels
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Buffer Levels*
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Dow Jones Industrial Average® (“INDU”)
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40,003.59
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36,003.23, which is 90.00% of its Initial Level
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S&P 500® Index (“SPX”)
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5,303.27
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4,772.94, which is 90.00% of its Initial Level
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• |
If the Final Level of the Lesser Performing Reference Asset (as defined below) is greater than its Initial Level, the Notes will pay at maturity a return equal to 100.00% of the Percentage Change of the
Lesser Performing Reference Asset, subject to the Maximum Redemption Amount of 135% of the principal amount of the Notes.
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If the Final Level of the Lesser Performing Reference Asset is less than or equal to its Initial Level, but is greater than or equal to its Buffer Level, the Notes will pay the principal amount at maturity.
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If the Final Level of the Lesser Performing Reference Asset is less than its Buffer Level, investors will lose 1% of the principal amount for each 1% that its Final Level has decreased below its Buffer
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
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100.00%
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$535,000
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Underwriting discounts and commissions(1)
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0.00%
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$0
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Proceeds to Royal Bank of Canada
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100.00%
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$535,000
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Issuer:
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Royal Bank of Canada (the “Bank”)
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Underwriter:
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RBC Capital Markets, LLC (“RBCCM”)
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Reference Assets:
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Dow Jones Industrial Average® (“INDU”) and S&P 500® Index (“SPX”)
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Minimum Investment:
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$1,000 and minimum denominations of $1,000 in excess thereof
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Trade Date (Pricing
Date):
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May 17, 2024
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Issue Date:
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May 22, 2024
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Valuation Date:
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June 17, 2025
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Maturity Date:
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June 23, 2025, subject to extension for market and other disruptions, as described in the product prospectus supplement dated December 20, 2023.
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Payment at Maturity (if
held to maturity):
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If the Final Level of the Lesser Performing Reference Asset is greater than its Initial
Level (that is, its Percentage Change is positive), then the investor will receive, for each $1,000 in principal amount of the Notes, an amount in cash equal to the lesser of:
1. $1,000 + [$1,000 x (Percentage Change of the Lesser Performing Reference Asset x Participation Rate)]; and
2. the Maximum Redemption Amount
If the Final Level of the Lesser Performing Reference Asset is less than or equal to its
Initial Level but greater than or equal to its Buffer Level (that is, its Percentage Change is between 0.00% and ‑10.00%), then the investor will receive only the principal
amount of the Notes.
If the Final Level of the Lesser Performing Reference Asset is less than its Buffer
Level (that is, its Percentage Change is less than ‑10.00%), then the investor will receive a cash payment equal to:
$1,000 + [$1,000 x (Percentage Change of the Lesser Performing Reference Asset + Buffer Percentage)]
In this case, you could lose a substantial portion of the principal amount of the Notes.
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Percentage Change:
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The Percentage Change with respect to each Reference Asset, expressed as a percentage, is calculated using the following formula:
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Maximum Redemption
Amount:
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135% multiplied by the principal amount of the Notes.
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Initial Level:
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For each Reference Asset, its closing level on the Trade Date, as set forth on the cover page of this pricing supplement.
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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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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Participation Rate:
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100.00% (subject to the Maximum Redemption Amount)
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Buffer Percentage:
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10.00%
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Buffer Level:
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For each Reference Asset, 90.00% of its Initial Level, as set forth on the cover page of this pricing supplement.
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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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Principal at Risk:
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The Notes are NOT principal protected. You may lose a substantial portion of your
principal amount at maturity if the Final Level of the Lesser Performing Reference Asset is less than its Buffer Level.
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Calculation Agent:
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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 Notes 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 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.
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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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Clearance and
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 pricing supplement.
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Example 1 —
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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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2.00%
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Payment at Maturity:
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$1,000 + [$1,000 x (2.00% x 100.00%)] = $1,000 + $20 = $1,020
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On a $1,000 investment, a Percentage Change of 2.00% in the Lesser Performing Reference Asset results in a Payment at Maturity of $1,020, a return on
the Notes of 2.00%.
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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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50.00%
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Payment at Maturity:
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$1,000 + [$1,000 x (50.00% x 100.00%)] = $1,000 + $500 = $1,500
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However, the Maximum Redemption Amount is $1,350. Accordingly, you will receive a payment at maturity equal to $1,350 per $1,000 in principal amount
of the Notes.
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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 (but not by more than the
Buffer Percentage).
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Percentage Change:
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-5.00%
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Payment at Maturity:
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At maturity, if the Percentage Change of the Lesser Performing Reference Asset is negative BUT not by more than the Buffer Percentage, then the
Payment at Maturity will equal the principal amount of the Notes.
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On a $1,000 investment, a Percentage Change of -5.00% in the Lesser Performing Reference Asset results in a Payment at Maturity of $1,000, a return on
the Notes of 0.00%.
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Example 4 —
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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 Buffer
Percentage).
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Percentage Change:
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-20.00%
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Payment at Maturity:
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$1,000 + [$1,000 x (-20% + 10%)] = $1,000 - $100 = $900
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In this case, on a $1,000 investment, a Percentage Change of -20.00% in the Lesser Performing Reference Asset results in a Payment at Maturity of
$900, a return on the Notes of -10.00%.
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Hypothetical Percentage
Change 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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50.00%
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135.00%
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$1,350.00
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40.00%
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135.00%
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$1,350.00
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35.00%
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135.00%
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$1,350.00
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30.00%
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130.00%
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$1,300.00
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20.00%
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120.00%
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$1,200.00
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10.00%
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110.00%
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$1,100.00
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5.00%
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105.00%
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$1,050.00
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2.00%
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102.00%
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$1,020.00
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0.00%
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100.00%
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$1,000.00
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-2.00%
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100.00%
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$1,000.00
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-5.00%
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100.00%
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$1,000.00
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-10.00%
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100.00%
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$1,000.00
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-20.00%
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90.00%
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$900.00
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-30.00%
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80.00%
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$800.00
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-40.00%
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70.00%
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$700.00
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-50.00%
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60.00%
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$600.00
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-60.00%
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50.00%
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$500.00
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-70.00%
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40.00%
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$400.00
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-80.00%
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30.00%
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$300.00
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-90.00%
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20.00%
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$200.00
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-100.00%
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10.00%
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$100.00
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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• |
You May Lose Some or a Significant Portion of the Principal Amount at Maturity – Investors in the Notes could lose a
substantial portion of their principal amount if the Final Level of the Lesser Performing Reference Asset is less than its Buffer Level. In such case, you will lose 1.00% of the principal amount of the Notes for each 1.00% that the
Percentage Change is less than -10.00%. You could lose up to 90.00% of the principal amount of the Notes at maturity.
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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 Maximum Redemption Amount if the Lesser Performing Reference Asset increases
in value. 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 Asset Performs Better –
Your payment at maturity will be determined solely by reference to the performance of the Lesser Performing Reference Asset. Even if the Final Level of the other Reference Asset has increased
compared to its Initial Level, 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. 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 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 Asset. 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 — There will be no periodic interest payments on the Notes as there would be on a conventional fixed-rate or floating-rate debt security having the same maturity. The return that you will receive on the Notes,
which could be 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.
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Payments on the Notes Are Subject to Our Credit Risk, and Changes in Our Credit Ratings Are Expected to Affect the Market Value of the Notes — The Notes are our senior unsecured debt securities. As a result, your receipt of the amount due on the maturity date is dependent upon our ability to repay our obligations at that time. This will be the case
even if the level of the Lesser Performing Reference Asset increases after the Trade Date. No assurance can be given as to what our financial condition will be at the maturity of the Notes.
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The Payments on the Notes Are Subject to Postponement Due to Market Disruption Events and Adjustments — The payment at maturity and the Valuation Date are subject to
adjustment as described in the product prospectus supplement. For a description of what constitutes a market disruption event as well as the consequences of that market disruption event, see “General Terms of the Notes—Market Disruption
Events” in the product prospectus supplement.
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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• |
There May Not Be an Active Trading Market for the Notes — Sales in the Secondary Market May Result in Significant Losses — There may be little or no secondary market for the Notes. The Notes will not be listed on any securities exchange. RBCCM and our other affiliates may make a market for the Notes; however, they are not required to do so. RBCCM
or any of our other affiliates may stop any market-making activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We expect that
transaction costs in any secondary market would be high. As a result, the difference between bid and asked prices for your Notes in any secondary market could be substantial.
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The Initial Estimated Value of the Notes Is Less than the Price to the Public — The initial estimated value of the
Notes 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 levels of the Lesser
Performing Reference Assets, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to the public of the referral fee 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 referral fee or the hedging costs relating to the Notes. In addition to bid-ask spreads, the value of the Notes determined 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 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 estimate is 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
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
|
• |
You Will Not Have Any Rights to the Securities Included in the Reference Assets — As a holder of the Notes, you will
not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities included in the Reference Assets would have. The Final Level will not reflect any dividends paid on the
securities included in the Reference Assets, and accordingly, any positive return on the Notes may be less than the potential positive return on those securities.
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• |
The Payments on the Notes Are Subject to Postponement Due to Market Disruption Events and Adjustments — The Payment at Maturity and the Valuation Date are subject to
adjustment as described in the product prospectus supplement. For a description of what constitutes a market disruption event as well as the consequences of that market disruption event, see “General Terms of the Notes—Market Disruption
Events” in the product prospectus supplement.
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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Buffered Return Notes Linked to the Lesser
Performing of Two Equity Indices
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1 Year Royal Bank of Canada Chart |
1 Month Royal Bank of Canada Chart |
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