Form FWP - Filing under Securities Act Rules 163/433 of free writing prospectuses
05/08/2024 6:43pm
Edgar (US Regulatory)
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Enhanced
Return Notes
Linked to the S&P 500 Market Agility 10 TCA 0.5% Decrement Index
Due August 27, 2029
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| · | Enhanced Return Potential — If the Final Underlier Value is greater than the Initial Underlier Value, at maturity, investors
will receive a return equal to at least 150% of the Underlier Return (to be determined on the Trade Date). |
| · | Return of Principal at Maturity — If the Final Underlier Value is less than or equal to the Initial Underlier Value,
at maturity, investors will receive only the principal amount of their Notes, with no additional return. |
KEY TERMS |
Issuer: |
Royal Bank of Canada (“RBC”) |
CUSIP: |
78017GH95 |
Underlier: |
The S&P 500 Market Agility 10 TCA 0.5% Decrement Index (Bloomberg symbol “SPMKTD”) |
Trade Date: |
August 26, 2024 |
Issue Date: |
August 29, 2024 |
Valuation Date: |
August 27, 2029 |
Maturity Date: |
August 30, 2029 |
Payment at Maturity: |
Investors
will receive on the Maturity Date per $1,000 principal amount of Notes:
· If the Final Underlier Value is greater than the Initial Underlier Value, an amount equal to:
$1,000
+ ($1,000 × Underlier Return × Participation Rate)
· If the Final Underlier Value is less than or equal to the Initial Underlier Value: $1,000 |
Participation Rate: |
At least 150%, to be determined on the Trade Date |
Underlier Return: |
Final Underlier Value – Initial Underlier Value
Initial Underlier Value |
Initial Underlier Value: |
The closing value of the Underlier on the Trade Date |
Final Underlier Value: |
The closing value of the Underlier on the Valuation Date |
This document provides a summary of the terms of the
Notes. Investors should carefully review the accompanying preliminary pricing supplement, product supplement, index supplement, prospectus
supplement and prospectus, as well as “Selected Risk Considerations” below, before making a decision to invest in the Notes:
https://www.sec.gov/Archives/edgar/data/1000275/000095010324011623/
dp216083_424b2-us1423mktd.htm
The initial estimated value of the Notes determined
by us as of the Trade Date, which we refer to as the initial estimated value, is expected to be between $910.00 and $960.00 per $1,000
principal amount of Notes and will be less than the public offering price of the Notes. We describe the determination of the initial estimated
value in more detail in the accompanying preliminary pricing supplement.
Selected Risk Considerations
An investment in the Notes
involves significant risks. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the
Notes. Some of the risks that apply to an investment in the Notes are summarized below, but we urge you to read also the “Selected
Risk Considerations” section of the accompanying preliminary pricing supplement and the “Risk Factors” sections of
the accompanying prospectus, prospectus supplement and product supplement. You should not purchase the Notes unless you understand and
can bear the risks of investing in the Notes.
| · | You
May Not Receive a Positive Return on the Principal Amount at Maturity. |
| · | The
Notes Do Not Pay Interest, and Your Return on the Notes May Be Lower Than the Return on a
Conventional Debt Security of Comparable Maturity. |
| · | Payments
on the Notes Are Subject to Our Credit Risk, and Market Perceptions about Our Creditworthiness
May Adversely Affect the Market Value of the Notes. |
| · | Any
Payment on the Notes Will Be Determined Based on the Closing Values of the Underlier on the
Dates Specified. |
| · | You
May Be Required to Recognize Taxable Income on the Notes Prior to Maturity. |
| · | There
May Not Be an Active Trading Market for the Notes; Sales in the Secondary Market May Result
in Significant Losses. |
| · | The
Initial Estimated Value of the Notes Will Be Less Than the Public Offering Price. |
| · | The
Initial Estimated Value of the Notes Is Only an Estimate, Calculated as of the Trade Date. |
| · | Our
and Our Affiliates’ Business and Trading Activities May Create Conflicts of Interest. |
| · | RBCCM’s
Role as Calculation Agent May Create Conflicts of Interest. |
| · | RBCCM
Coordinated with the Index Sponsor in the Development of the Underlier and Its Sub-Indices. |
| · | You
Will Not Have Any Rights to the Securities or the Futures Contracts Underlying the Sub-indices
of the Underlier. |
| · | The
Underlier and Its Sub-Indices Are Subject to Deductions That Will Adversely Affect Their
Performance. |
| · | The
Underlier Has a Limited Operating History and May Perform in Unanticipated Ways. |
| · | Any
Payment on the Notes May Be Postponed and Adversely Affected by the Occurrence of a Market
Disruption Event |
| · | Adjustments
to the Underlier or its Sub-indices Could Adversely Affect Any Payments on the Notes |
| · | The
Calculation of the Underlier is Based on the Performance of the S&P 500 Market Agility
TCA Index (the "MA Index"), Which Is Comprised of the S&P 500 Long/Short Risk
Aware Daily Risk Control 10% TCA Excess Return Index (the "Equity Component") and
the S&P U.S. Treasury Futures Long/Short Risk Aware Daily Risk Control 10% TCA Excess
Return Index (the "Fixed Income Component"). The MA Index Is Subject to a Transaction
Cost, the Equity Component Is Subject to a Funding Cost and a Transaction Cost, and the Fixed
Income Component Is Subject to a Transaction Cost, In Each Case, That Will Adversely Affect
the Performance of the Underlier. |
| · | Each
of the Underlier, the Equity Component and the Fixed Income Component Relies on a Measure
of Realized Volatility to Predict Future Volatility and Thereby to Achieve Their Respective
Volatility Targets of 10%. There Is No Assurance that the Respective Methods for Calculating
Realized Volatility Are the Best Ways to Calculate Realized Volatility or a Reliable Way
to Predict Future Volatility or to Achieve the Respective Volatility Targets. |
| · | There
Is No Guarantee that the Underlier, the Equity Component or the Fixed Income Component Will
Achieve Their Respective 10% Volatility Targets. |
| · | There
May Be Overexposure to the MA Index, the S&P 500 Total Return Index (the "SPXT")
or a Treasury Index When the Level of the Respective Index Is Falling or there may be Underexposure
to the MA Index, the SPXT or a Treasury Index When the Level of the Respective Index Is Rising. |
| · | The
Underlier's Exposure to the MA Index, the Equity Component's Exposure to the SPXT, and the
Fixed Income Component's Exposure to the S&P 10-Year U.S. Treasury Note Futures Excess
Return Index and the S&P 2-Year U.S. Treasury Note Futures Excess Return Index (the "Treasury
Indices") May Be Rebalanced into a Hypothetical Non-Interest Bearing Cash Position on
Any or All Days During the Term of the Notes. The Non-Interest Bearing Cash Position Will
Not Earn Interest or a Positive Yield. |
| · | Even
Though the Titles of the Equity Component and the Fixed Income Component Include the Phrase
"Risk Control," Each Component May Decrease Significantly or Not Increase Significantly
Relative to Their Respective Underlying Indices. |
| · | Controlled
Volatility Does Not Mean the Underlier, the Equity Component or the Fixed Income Component
Will Have Lower Volatility than the SPXT or the Treasury Indices, respectively. |
| · | Because
the Equity Component and the Fixed Income Component May Include Notional Short Positions,
the Notes May Be Subject to Additional Risks. |
| · | The
Methodology for Determining the Exposure Direction of the Equity Component or the Fixed Income
Component May Not Be a Reliable Predictor of Whether the Daily Percentage Change of the SPXT
or a Treasury Index, Respectively, Will Be Positive or Negative. |
| · | The
Underlier, Through the Fixed Income Component, Is Linked In Part to the Performance of the
Treasury Indices, Which Are Comprised of Futures Contracts. |
| · | Negative
Roll Yields Will Adversely Affect the Level of the Treasury Indices Over Time and Therefore
the Payment at Maturity. |
| · | The
Treasury Indices Are Excess Return Indices, Not Total Return Indices. |
| · | Owning
the Notes Is Not the Same as Directly Owning the Treasuries or Futures Contract Directly
or Indirectly Tracked by the Treasury Indices. |
Royal Bank of Canada
has filed a registration statement (including a product supplement, index supplement, prospectus supplement and prospectus) with the
SEC for the offering to which this document relates. Before you invest, you should read those documents and the other documents that
we have filed with the SEC for more complete information about us and this offering. You may get these documents for free by visiting
EDGAR on the SEC website at www.sec.gov. Alternatively, we, any agent or any dealer participating in this offering will arrange to send
you those documents if you so request by calling toll-free at 1-877-688-2301.
As used in this document,
“Royal Bank of Canada,” “we,” “our” and “us” mean only Royal Bank of Canada. Capitalized
terms used in this document without definition are as defined in the accompanying preliminary pricing supplement.
Registration Statement
No. 333-275898; filed pursuant to Rule 433