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Registration Statement No. 333-275898
Filed Pursuant to Rule 424(b)(2) |
The information in this preliminary pricing supplement is not complete and may be changed. |
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Preliminary Pricing Supplement
Subject to Completion: Dated August 14, 2024
Pricing Supplement dated August __, 2024 to the Prospectus
dated December 20, 2023, the Prospectus Supplement dated December 20, 2023, the Underlying Supplement No. 1A dated May 16, 2024 and the
Product Supplement No. 1A dated May 16, 2024
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$
Buffer Digital Notes
Linked to the Least Performing of Three Underliers,
Due September 25, 2025
Royal Bank of Canada
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Royal Bank of Canada is offering Buffer Digital
Notes (the “Notes”) linked to the performance of the least performing of the Nasdaq-100 Index®, the Russell
2000® Index and the Utilities Select Sector SPDR® Fund (each, an “Underlier”).
| · | Contingent Fixed Return — If the
Final Underlier Value of the Least Performing Underlier is greater than or equal to its Buffer Value (75% of its Initial Underlier Value),
at maturity, investors will receive a fixed return equal to the Digital Return of 7.75%. |
| · | Principal at Risk — If the Final
Underlier Value of the Least Performing Underlier is less than its Buffer Value, at maturity, investors will lose 1% of the principal
amount of their Notes for each 1% that the Final Underlier Value of the Least Performing Underlier is less than its Initial Underlier
Value in excess of the Buffer Percentage. |
| · | The Notes do not pay interest. |
| · | Any payments on the Notes are subject to our credit
risk. |
| · | The Notes will not be listed on any securities
exchange. |
CUSIP: 78017GJU6
Investing in the Notes involves a number of
risks. See “Selected Risk Considerations” beginning on page P-7 of this pricing supplement and “Risk Factors”
in the accompanying prospectus, prospectus supplement and product supplement.
None of the Securities and Exchange Commission
(the “SEC”), any state securities commission or any other regulatory body has approved or disapproved of the Notes or passed
upon the adequacy or accuracy of this pricing supplement. Any representation to the contrary is a criminal offense. The Notes will not
constitute deposits insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation or any other Canadian
or U.S. governmental agency or instrumentality. The Notes are not bail-inable notes and are not subject to conversion into our common
shares under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act.
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Per Note
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Total
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Price to public(1) |
100.00% |
$ |
Underwriting discounts and commissions(1) |
0.35%
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$
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Proceeds to Royal Bank of Canada |
99.65% |
$ |
(1) We or one of our affiliates may
pay varying selling concessions of up to $3.50 per $1,000 principal amount of Notes in connection with the distribution of the Notes to
other registered broker-dealers. Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some
or all of their underwriting discount or selling concessions. The public offering price for investors purchasing the Notes in these accounts
may be between $996.50 and $1,000.00 per $1,000 principal amount of Notes. See “Supplemental Plan of Distribution (Conflicts of
Interest)” below.
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 $936.50 and $986.50 per $1,000
principal amount of Notes and will be less than the public offering price of the Notes. The final pricing supplement relating to the Notes
will set forth the initial estimated value. The market value of the Notes at any time will reflect many factors, cannot be predicted with
accuracy and may be less than this amount. We describe the determination of the initial estimated value in more detail below.
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| Buffer Digital Notes Linked to the Least Performing of Three Underliers |
KEY TERMS
The information in this “Key Terms”
section is qualified by any more detailed information set forth in this pricing supplement and in the accompanying prospectus, prospectus
supplement, underlying supplement and product supplement.
Issuer: |
Royal Bank of Canada |
Underwriter: |
RBC Capital Markets, LLC (“RBCCM”) |
Minimum Investment: |
$1,000 and minimum denominations of $1,000 in excess thereof |
Underliers: |
The Nasdaq-100 Index® (the “NDX Index”), the Russell 2000® Index (the “RTY Index”) and the Utilities Select Sector SPDR® Fund (the “XLU Fund”). We refer to each of the NDX Index and the RTY Index as an “Index.” |
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Underlier |
Bloomberg Ticker |
Initial Underlier Value(1) |
Buffer Value(2) |
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NDX Index |
NDX |
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RTY Index |
RTY |
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XLU Fund |
XLU UP |
$ |
$ |
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(1) With respect to each Underlier, the closing value of that Underlier on the Trade Date |
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(2) With respect to each Underlier, 75% of its Initial Underlier Value (rounded to two decimal places for the NDX Index and the XLU Fund and rounded to three decimal places for the RTY Index) |
Trade Date: |
August 20, 2024 |
Issue Date: |
August 23, 2024 |
Valuation Date:* |
September 22, 2025 |
Maturity Date:* |
September 25, 2025 |
Payment at Maturity: |
Investors will receive on the Maturity Date per
$1,000 principal amount of Notes:
· If
the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Buffer Value, an amount equal
to:
$1,000 + ($1,000 × Digital Return)
· If
the Final Underlier Value of the Least Performing Underlier is less than its Buffer Value, an amount equal to:
$1,000 + [$1,000 × (Underlier Return
of the Least Performing Underlier + Buffer Percentage)]
If the Final Underlier Value of the Least Performing
Underlier is less than its Buffer Value, you will lose some or a substantial portion of your principal amount at maturity. All payments
on the Notes are subject to our credit risk.
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Digital Return: |
7.75% |
Buffer Percentage: |
25% |
Underlier Return: |
With respect to each Underlier, the Underlier Return,
expressed as a percentage, is calculated using the following formula:
Final Underlier Value – Initial Underlier
Value
Initial Underlier Value
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Final Underlier Value: |
With respect to each Underlier, the closing value of that Underlier on the Valuation Date |
P-2 | RBC Capital Markets, LLC |
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| Buffer Digital Notes Linked to the Least Performing of Three Underliers |
Least Performing Underlier: |
The Underlier with the lowest Underlier Return |
Calculation Agent: |
RBCCM |
* Subject to postponement. See “General Terms of the Notes—Postponement
of a Determination Date” and “General Terms of the Notes—Postponement of a Payment Date” in the accompanying product
supplement.
P-3 | RBC Capital Markets, LLC |
| |
| Buffer Digital Notes Linked to the Least Performing of Three Underliers |
ADDITIONAL TERMS OF YOUR NOTES
You should read this pricing supplement together
with the prospectus dated December 20, 2023, as supplemented by the prospectus supplement dated December 20, 2023, relating to our Senior
Global Medium-Term Notes, Series J, of which the Notes are a part, the underlying supplement no. 1A dated May 16, 2024 and the product
supplement no. 1A dated May 16, 2024. This pricing supplement, together with these documents, contains the terms of the Notes and supersedes
all other prior or contemporaneous oral statements as well as any other written materials, including preliminary or indicative pricing
terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials
of ours.
We have not authorized anyone to provide any information
or to make any representations other than those contained or incorporated by reference in this pricing supplement and the documents listed
below. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may give
you. These documents are an offer to sell only the Notes offered hereby, but only under circumstances and in jurisdictions where it is
lawful to do so. The information contained in each such document is current only as of its date.
If the information in this pricing supplement differs
from the information contained in the documents listed below, you should rely on the information in this pricing supplement.
You should carefully consider, among other things,
the matters set forth in “Selected Risk Considerations” in this pricing supplement and “Risk Factors” in the documents
listed below, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the Notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | Prospectus dated December 20, 2023: |
https://www.sec.gov/Archives/edgar/data/1000275/000119312523299520/d645671d424b3.htm
| · | Prospectus Supplement dated December 20, 2023: |
https://www.sec.gov/Archives/edgar/data/1000275/000119312523299523/d638227d424b3.htm
| · | Underlying Supplement No. 1A dated May 16, 2024: |
https://www.sec.gov/Archives/edgar/data/1000275/000095010324006773/dp211259_424b2-us1a.htm
| · | Product Supplement No. 1A dated May 16, 2024: |
https://www.sec.gov/Archives/edgar/data/1000275/000095010324006777/dp211286_424b2-ps1a.htm
Our Central Index Key, or CIK, on the SEC website
is 1000275. As used in this pricing supplement, “Royal Bank of Canada,” the “Bank,” “we,” “our”
and “us” mean only Royal Bank of Canada.
P-4 | RBC Capital Markets, LLC |
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| Buffer Digital Notes Linked to the Least Performing of Three Underliers |
HYPOTHETICAL RETURNS
The table and examples set forth below illustrate
hypothetical payments at maturity for hypothetical performance of the Least Performing Underlier, based on its Buffer Value of 75% of
its Initial Underlier Value, the Digital Return of 7.75% and the Buffer Percentage of 25%. The table and examples are only for illustrative
purposes and may not show the actual return applicable to investors.
Hypothetical Underlier Return of the Least Performing Underlier |
Payment at Maturity per $1,000 Principal Amount of Notes |
Payment at Maturity as Percentage of Principal Amount |
50.00% |
$1,077.50 |
107.750% |
40.00% |
$1,077.50 |
107.750% |
30.00% |
$1,077.50 |
107.750% |
20.00% |
$1,077.50 |
107.750% |
10.00% |
$1,077.50 |
107.750% |
7.75% |
$1,077.50 |
107.750% |
5.00% |
$1,077.50 |
107.750% |
2.00% |
$1,077.50 |
107.750% |
0.00% |
$1,077.50 |
107.750% |
-5.00% |
$1,077.50 |
107.750% |
-10.00% |
$1,077.50 |
107.750% |
-20.00% |
$1,077.50 |
107.750% |
-25.00% |
$1,077.50 |
107.750% |
-25.01% |
$999.90 |
99.990% |
-30.00% |
$950.00 |
95.000% |
-40.00% |
$850.00 |
85.000% |
-50.00% |
$750.00 |
75.000% |
-60.00% |
$650.00 |
65.000% |
-70.00% |
$550.00 |
55.000% |
-80.00% |
$450.00 |
45.000% |
-90.00% |
$350.00 |
35.000% |
-100.00% |
$250.00 |
25.000% |
Example 1 — |
The value of the Least Performing Underlier increases from its Initial Underlier Value to its Final Underlier Value by 2%, resulting in a return equal to the Digital Return. |
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Underlier Return of the Least Performing Underlier: |
2% |
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Payment at Maturity: |
$1,000 + ($1,000 × 7.75%) = $1,077.50 |
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In this example, the payment at maturity is $1,077.50
per $1,000 principal amount of Notes, for a return of 7.75%, which is the Digital Return.
Because the Final Underlier Value of the Least
Performing Underlier is greater than or equal to its Buffer Value, investors receive a return equal to the Digital Return.
|
P-5 | RBC Capital Markets, LLC |
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| Buffer Digital Notes Linked to the Least Performing of Three Underliers |
Example 2 — |
The value of the Least Performing Underlier increases from its Initial Underlier Value to its Final Underlier Value by 20%, resulting in a return equal to the Digital Return. |
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Underlier Return of the Least Performing Underlier: |
20% |
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Payment at Maturity: |
$1,000 + ($1,000 × 7.75%) = $1,077.50 |
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In this example, the payment at maturity is $1,077.50
per $1,000 principal amount of Notes, for a return of 7.75%, which is the Digital Return.
Because the Final Underlier Value of the Least
Performing Underlier is greater than or equal to its Buffer Value, investors receive a return equal to the Digital Return. This example
illustrates that investors will not receive a return at maturity in excess of the Digital Return. Accordingly, the return on the Notes
may be less than the return of the Least Performing Underlier.
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Example 3 — |
The value of the Least Performing Underlier decreases from its Initial Underlier Value to its Final Underlier Value by 10% (i.e., its Final Underlier Value is below its Initial Underlier Value but above its Buffer Value), resulting in a return equal to the Digital Return. |
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Underlier Return of the Least Performing Underlier: |
-10% |
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Payment at Maturity: |
$1,000 + ($1,000 × 7.75%) = $1,077.50 |
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In this example, the payment at maturity is $1,077.50
per $1,000 principal amount of Notes, for a return of 7.75%, which is the Digital Return.
Because the Final Underlier Value of the Least
Performing Underlier is greater than or equal to its Buffer Value, even though the Underlier Return is negative, investors receive a return
equal to the Digital Return.
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Example 4 — |
The value of the Least Performing Underlier decreases from its Initial Underlier Value to its Final Underlier Value by 50% (i.e., its Final Underlier Value is below its Buffer Value). |
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Underlier Return of the Least Performing Underlier: |
-50% |
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Payment at Maturity: |
$1,000 + [$1,000 × (-50% + 25%)] = $1,000 – $250 = $750 |
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In this example, the payment at maturity is $750
per $1,000 principal amount of Notes, representing a loss of 25% of the principal amount.
Because the Final Underlier Value of the Least
Performing Underlier is less than its Buffer Value, investors do not receive a full return of the principal amount of their Notes.
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Investors in
the Notes could lose some or a substantial portion of the principal amount of their Notes at maturity.
P-6 | RBC Capital Markets, LLC |
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| Buffer Digital Notes Linked to the Least Performing of Three Underliers |
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 “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.
Risks Relating to the Terms and Structure of
the Notes
| · | You May Lose a Substantial Portion of the Principal
Amount at Maturity — If the Final Underlier Value of the Least Performing Underlier is less than its Buffer Value, you will
lose 1% of the principal amount of your Notes for each 1% that the Final Underlier Value of the Least Performing Underlier is less than
its Initial Underlier Value in excess of the Buffer Percentage. You could lose some or a substantial portion of your principal amount
at maturity. |
| · | Your Potential Return at Maturity Is Limited
— Your return on the Notes will not exceed the Digital Return, regardless of any appreciation in the value of the Least Performing
Underlier, which may be significant. 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 Least Performing Underlier. |
| · | Any Payment on the Notes Will Be Determined
Solely by the Performance of the Least Performing Underlier Even If the Other Underliers Perform Better — Any payment on the
Notes will be determined solely by the performance of the Least Performing Underlier. The Notes are not linked to a weighted basket, in
which the risk may be mitigated and diversified among each of the basket components. In the case of the Notes, the individual performance
of the Underliers will not be combined, and the adverse performance of one Underlier will not be mitigated by any appreciation of any
other Underlier. The Underliers may be uncorrelated and may not perform similarly over the term of the Notes, which may increase your
risk of loss on the Notes. |
| · | 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 — 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. |
| · | 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 — The Notes are our
senior unsecured debt securities, and your receipt of any amounts due on the Notes is dependent upon our ability to pay our obligations
as they come due. If we were to default on our payment obligations, you may not receive any amounts owed to you under the Notes and you
could lose your entire investment. In addition, any negative changes in 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 Underliers on the Dates Specified — Any payment on the Notes will be determined based on
the closing values of the Underliers on the dates specified. You will not benefit from any more favorable values of the Underliers determined
at any other time. |
| · | The U.S. Federal Income Tax Consequences of
an Investment in the Notes Are Uncertain — There is no direct legal authority regarding the proper U.S. federal income tax treatment
of the Notes, and significant aspects of the tax treatment of the Notes are uncertain. Moreover, the Notes may be subject to the “constructive
ownership” regime, in which case certain adverse tax consequences may apply upon your disposition of a Note. You should review carefully
the section entitled “United States Federal Income Tax Considerations” herein, in combination with the section entitled “United
States Federal Income Tax Considerations” in the accompanying product supplement, and consult your tax adviser regarding the U.S.
federal income tax consequences of an investment in the Notes. |
P-7 | RBC Capital Markets, LLC |
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| Buffer Digital Notes Linked to the Least Performing of Three Underliers |
Risks Relating to the Initial Estimated Value
of the Notes and the Secondary Market for 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 and, if they choose to do so, may stop any market-making activities at any time. Because other dealers
are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on
the price, if any, at which RBCCM or any of our other affiliates is willing to buy the Notes. Even if a secondary market for the Notes
develops, it may not provide enough liquidity to allow you to easily trade or sell the Notes. 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. If you sell your Notes before maturity, you may have to do so at a substantial discount from the price that you paid for
them, and as a result, you may suffer significant losses. 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 Will
Be Less Than the Public Offering Price — The initial estimated value of the Notes will be less than the public offering price
of the Notes and does not represent a minimum price at which we, RBCCM or any of our other 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 values of
the Underliers, the internal funding rate we pay to issue securities of this kind (which is lower than the rate at which we borrow funds
by issuing conventional fixed rate debt) and the inclusion in the public offering price of the underwriting discount, our estimated profit
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, our estimated profit or the hedging costs relating to the
Notes. In addition, any price at which you may sell the Notes is likely to reflect customary bid-ask spreads for similar trades. In addition
to bid-ask spreads, the value of the Notes determined for any secondary market price is expected to be based on a secondary market rate
rather than the internal funding rate used to price the Notes and determine the initial estimated value. As a result, the secondary market
price will be less than if the internal funding rate were used. |
| · | The Initial Estimated Value of the Notes Is
Only an Estimate, Calculated as of the Trade Date — 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 internal funding rate (which represents a discount
from 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. |
The value of the Notes at any time after
the Trade Date will vary based on many factors, including changes in market conditions, and cannot be predicted with accuracy. As a result,
the actual value you would receive if you sold the Notes in any secondary market, if any, should be expected to differ materially from
the initial estimated value of the Notes.
Risks Relating to Conflicts of Interest and
Our Trading Activities
| · | Our and Our Affiliates’ Business and
Trading Activities May Create Conflicts of Interest — You should make your own independent investigation of the merits of investing
in the Notes. Our and our affiliates’ economic interests are potentially adverse to your interests as an investor in the Notes due
to our and our affiliates’ business and trading activities, and we and our affiliates have no obligation to consider your interests
in taking any actions that might affect the value of the Notes. Trading by us and our affiliates may adversely affect the values of the
Underliers and the market value of the Notes. See “Risk Factors—Risks Relating to Conflicts of Interest” in the accompanying
product supplement. |
P-8 | RBC Capital Markets, LLC |
| |
| Buffer Digital Notes Linked to the Least Performing of Three Underliers |
| · | RBCCM’s Role as Calculation Agent May
Create Conflicts of Interest — As Calculation Agent, our affiliate, RBCCM, will determine any values of the Underliers and make
any other determinations necessary to calculate any payments on the Notes. In making these determinations, the Calculation Agent may be
required to make discretionary judgments, including those described under “—Risks Relating to the Underliers” below.
In making these discretionary judgments, the economic interests of the Calculation Agent are potentially adverse to your interests as
an investor in the Notes, and any of these determinations may adversely affect any payments on the Notes. The Calculation Agent will have
no obligation to consider your interests as an investor in the Notes in making any determinations with respect to the Notes. |
Risks Relating to the Underliers
| · | You Will Not Have Any Rights to the XLU Fund
or the Securities Composing Any Underlier — As an investor in the Notes, you will not have voting rights or rights to receive
dividends or other distributions or any other rights with respect to the XLU Fund or the securities composing any Underlier. Each Index
is a price return index and its return does not reflect regular cash dividends paid by its components. |
| · | The XLU Fund and the Underlying Index Are Different
— The performance of the XLU Fund will not exactly replicate the performance of the Underlying Index (as defined below). The XLU
Fund is subject to management risk, which is the risk that the investment strategy for the XLU Fund, the implementation of which is subject
to a number of constraints, may not produce the intended results. The XLU Fund’s investment adviser may have the right to use a
portion of the XLU Fund’s assets to invest in securities or other assets or instruments, including derivatives, that are not included
in the Underlying Index. In addition, unlike the Underlying Index, the XLU Fund will reflect transaction costs and fees that will reduce
its performance relative to the Underlying Index. |
The performance of the XLU Fund may
diverge significantly from the performance of the Underlying Index due to differences in trading hours between the XLU Fund and the securities
composing the Underlying Index or other circumstances. During periods of market volatility, the component securities held by the XLU Fund
may be unavailable in the secondary market, market participants may be unable to calculate accurately the intraday net asset value per
share of the XLU Fund and the liquidity of the XLU Fund may be adversely affected. This kind of market volatility may also disrupt the
ability of market participants to create and redeem shares in the XLU Fund. Further, market volatility may adversely affect, sometimes
materially, the prices at which market participants are willing to buy and sell shares of the XLU Fund. As a result, under these circumstances,
the market value of the XLU Fund may vary substantially from the net asset value per share of the XLU Fund.
| · | The Notes Are Subject to Small-Capitalization
Companies Risk with Respect to the RTY Index — The RTY Index tracks securities 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 value of the RTY Index 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 may 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 personnel. Small-capitalization companies are often subject to less analyst coverage and may be in early, and less predictable, periods
of their corporate existences. Small-capitalization companies tend to have lower revenues, less diverse product lines, smaller shares
of their target markets, fewer financial resources and fewer competitive strengths than large-capitalization companies. These companies
may also be more susceptible to adverse developments related to their products or services. |
| · | The Equity Securities
Composing the XLU Fund Are Concentrated in the Utilities Sector — All or substantially all of the equity securities composing
the XLU Fund are issued by companies whose primary line of business is directly associated with the utilities sector. As a result, the
value of the Notes may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence
affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers. Utility companies
may be affected by supply and demand, operating costs, government regulation, environmental factors, liabilities for environmental damage
|
P-9 | RBC Capital Markets, LLC |
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| Buffer Digital Notes Linked to the Least Performing of Three Underliers |
and
general civil liabilities and rate caps or rate changes. In addition, natural disasters, terrorist attacks, government intervention or
other factors may negatively impact profitability. Among the risks that may affect utility companies are the following: risks of increases
in fuel and other operating costs; the high cost of borrowing to finance capital construction during inflationary periods; restrictions
on operations and increased costs and delays associated with compliance with environmental and nuclear safety regulations; and the difficulties
involved in obtaining natural gas for resale or fuel for generating electricity at reasonable prices. Other risks include those related
to the construction and operation of nuclear power plants, the effects of energy conservation and the effects of regulatory changes.
| · | The Notes Are Subject to Risks Relating to
Non-U.S. Securities with Respect to the NDX Index — Because some of the equity securities composing the NDX Index are issued
by non-U.S. issuers, an investment in the Notes involves risks associated with the home countries of those issuers. The prices of securities
of non-U.S. companies may be affected by political, economic, financial and social factors in those countries, or global regions, including
changes in government, economic and fiscal policies and currency exchange laws. |
| · | We May Accelerate the Notes If a Change-in-Law
Event Occurs — Upon the occurrence of legal or regulatory changes that may, among other things, prohibit or otherwise materially
restrict persons from holding the Notes or an Underlier or its components, or engaging in transactions in them, the Calculation Agent
may determine that a change-in-law-event has occurred and accelerate the Maturity Date for a payment determined by the Calculation Agent
in its sole discretion. Any amount payable upon acceleration could be significantly less than any amount that would be due on the Notes
if they were not accelerated. However, if the Calculation Agent elects not to accelerate the Notes, the value of, and any amount payable
on, the Notes could be adversely affected, perhaps significantly, by the occurrence of such legal or regulatory changes. See “General
Terms of Notes—Change-in-Law Events” in the accompanying product supplement. |
| · | Any Payment on the Notes May Be Postponed and
Adversely Affected by the Occurrence of a Market Disruption Event — The timing and amount of any payment on the Notes is subject
to adjustment upon the occurrence of a market disruption event affecting an Underlier. If a market disruption event persists for a sustained
period, the Calculation Agent may make a discretionary determination of the closing value of any affected Underlier. See “General
Terms of the Notes—Indices—Market Disruption Events,” “General Terms of the Notes—Reference Stocks and Funds—Market
Disruption Events,” “General Terms of the Notes—Postponement of a Determination Date” and “General Terms
of the Notes—Postponement of a Payment Date” in the accompanying product supplement. |
| · | Adjustments to the XLU Fund or to the Underlying
Index Could Adversely Affect Any Payments on the Notes — The investment adviser of the XLU Fund may add, remove or substitute
the component securities held by the XLU Fund or make changes to its investment strategy, and the sponsor of the Underlying Index may
add, delete, substitute or adjust the securities composing the Underlying Index, may make other methodological changes to the Underlying
Index that could affect its performance or may discontinue or suspend calculation and publication of the Underlying Index. Any of these
actions could adversely affect the value of the XLU Fund and, consequently, the value of the Notes. |
| · | Adjustments to an Index Could Adversely Affect
Any Payments on the Notes — The sponsor of an Index may add, delete, substitute or adjust the securities composing that Index
or make other methodological changes to that Index that could affect its performance. The Calculation Agent will calculate the value to
be used as the closing value of an Index in the event of certain material changes in, or modifications to, that Index. In addition, the
sponsor of an Index may also discontinue or suspend calculation or publication of that Index at any time. Under these circumstances, the
Calculation Agent may select a successor index that the Calculation Agent determines to be comparable to the discontinued Index or, if
no successor index is available, the Calculation Agent will determine the value to be used as the closing value of that Index. Any of
these actions could adversely affect the value of an Index and, consequently, the value of the Notes. See “General Terms of the
Notes—Indices—Discontinuation of, or Adjustments to, an Index” in the accompanying product supplement. |
| · | Anti-dilution Protection Is Limited, and the
Calculation Agent Has Discretion to Make Anti-dilution Adjustments — The Calculation Agent may in its sole discretion make adjustments
affecting any amounts payable on the Notes upon the occurrence of certain events with respect to the XLU Fund that the Calculation Agent
determines have a diluting or concentrative effect on the theoretical value of the XLU Fund. However, the Calculation Agent might not
make |
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adjustments in
response to all such events that could affect the XLU Fund. The occurrence of any such event and any adjustment made by the Calculation
Agent (or a determination by the Calculation Agent not to make any adjustment) may adversely affect the market price of, and any amounts
payable on, the Notes. See “General Terms of the Notes—Reference Stocks and Funds—Anti-dilution Adjustments” in
the accompanying product supplement.
| · | Reorganization or Other Events Could Adversely
Affect the Value of the Notes or Result in the Notes Being Accelerated — If the XLU Fund is delisted or terminated, the Calculation
Agent may select a successor fund. In addition, upon the occurrence of certain reorganization or other events affecting the XLU Fund,
the Calculation Agent may make adjustments that result in payments on the Notes being based on the performance of (i) cash, securities
of another issuer and/or other property distributed to holders of the XLU Fund upon the occurrence of that event or (ii) in the case of
a reorganization event in which only cash is distributed to holders of the XLU Fund, a substitute security, if the Calculation Agent elects
to select one. Any of these actions could adversely affect the value of the XLU Fund and, consequently, the value of the Notes. Alternatively,
the Calculation Agent may accelerate the Maturity Date for a payment determined by the Calculation Agent. Any amount payable upon acceleration
could be significantly less than any amount that would be due on the Notes if they were not accelerated. However, if the Calculation Agent
elects not to accelerate the Notes, the value of, and any amount payable on, the Notes could be adversely affected, perhaps significantly.
See “General Terms of the Notes—Reference Stocks and Funds—Anti-dilution Adjustments—Reorganization Events”
and “General Terms of the Notes—Reference Stocks and Funds—Discontinuation of, or Adjustments to, a Fund” in the
accompanying product supplement. |
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INFORMATION REGARDING THE UNDERLIERS
The NDX Index is a modified market capitalization-weighted
index that is designed to measure the performance of 100 of the largest non-financial companies listed on The Nasdaq Stock Market. For
more information about the NDX Index, see “Indices—The Nasdaq-100 Index®” in the accompanying underlying
supplement.
The RTY Index measures the capitalization-weighted
price performance of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges and is designed to track the performance
of the small-capitalization segment of the U.S. equity market. For more information about the RTY Index, see “Indices—The
Russell Indices” in the accompanying underlying supplement.
According to publicly available information, the
XLU Fund is an exchange-traded fund of the Select Sector Trust, a registered investment company,
that seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the
Utilities Select Sector Index (with respect to the XLU Fund, the “Underlying Index”).
The Underlying Index is a capped modified market capitalization-based index that measures the performance of the GICS®
utilities sector, which currently includes companies in the following industries: electric utilities; water utilities; multi-utilities;
independent power and renewable electricity producers; and gas utilities. For more information about the XLU Fund, see “Exchange-Traded
Funds—The Select Sector SPDR® Funds” in the accompanying underlying supplement.
Historical Information
The following graphs set forth historical closing
values of the Underliers for the period from January 1, 2014 to August 12, 2024. Each red line represents a hypothetical Buffer Value
based on the closing value of the relevant Underlier on August 12, 2024. We obtained the information in the graphs from Bloomberg Financial
Markets, without independent investigation. We cannot give you assurance that the performance of the Underliers will result in the
return of all of your initial investment.
Nasdaq-100 Index®
![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324012189/image_001.jpg)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
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Russell 2000® Index
![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324012189/image_003.jpg)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Utilities Select Sector SPDR® Fund
![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324012189/image_004.jpg)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
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UNITED STATES FEDERAL INCOME
TAX CONSIDERATIONS
You should review carefully the section in the
accompanying product supplement entitled “United States Federal Income Tax Considerations.” The following discussion, when
read in combination with that section, constitutes the full opinion of our counsel, Davis Polk & Wardwell LLP, regarding the material
U.S. federal income tax consequences of owning and disposing of the Notes.
Generally, this discussion assumes that you purchased
the Notes for cash in the original issuance at the stated issue price and does not address other circumstances specific to you, including
consequences that may arise due to any other investments relating to the Underliers. You should consult your tax adviser regarding the
effect any such circumstances may have on the U.S. federal income tax consequences of your ownership of a Note.
In the opinion of our counsel, which is based on
current market conditions, it is reasonable to treat the Notes for U.S. federal income tax purposes as prepaid financial contracts that
are “open transactions,” as described in the section entitled “United States Federal Income Tax Considerations—Tax
Consequences to U.S. Holders—Notes Treated as Prepaid Financial Contracts that are Open Transactions” in the accompanying
product supplement. There is uncertainty regarding this treatment, and the Internal Revenue Service (the “IRS”) or a court
might not agree with it. Moreover, because this treatment of the Notes and our counsel’s opinion are based on market conditions
as of the date of this preliminary pricing supplement, each is subject to confirmation on the Trade Date. A different tax treatment could
be adverse to you. Generally, if this treatment is respected, subject to the potential application of the “constructive ownership”
regime discussed below, (i) you should not recognize taxable income or loss prior to the taxable disposition of your Notes (including
upon maturity or an earlier redemption, if applicable) and (ii) the gain or loss on your Notes should be treated as short-term capital
gain or loss unless you have held the Notes for more than one year, in which case your gain or loss should be treated as long-term capital
gain or loss.
Even if the treatment of the Notes as prepaid financial
contracts is respected, purchasing a Note could be treated as entering into a “constructive ownership transaction” within
the meaning of Section 1260 of the Internal Revenue Code (“Section 1260”). In that case, all or a portion of any long-term
capital gain you would otherwise recognize upon the taxable disposition of the Note would be recharacterized as ordinary income to the
extent such gain exceeded the “net underlying long-term capital gain” as defined in Section 1260. Any long-term capital gain
recharacterized as ordinary income would be treated as accruing at a constant rate over the period you held the Note, and you would be
subject to a notional interest charge in respect of the deemed tax liability on the income treated as accruing in prior tax years. Due
to the lack of direct legal authority, our counsel is unable to opine as to whether or how Section 1260 applies to the Notes.
We do not plan to request a ruling from the IRS
regarding the treatment of the Notes. An alternative characterization of the Notes could materially and adversely affect the tax consequences
of ownership and disposition of the Notes, including the timing and character of income recognized. In particular, there is a risk that
the Notes could be characterized as debt instruments for U.S. federal income tax purposes, in which case the tax consequences of an investment
in the Notes could be different from those described herein and possibly adverse to certain investors. In addition, the U.S. Treasury
Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward
contracts” and similar financial instruments and have indicated that such transactions may be the subject of future regulations
or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any
legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the Notes, possibly with retroactive effect.
Non-U.S. Holders. As discussed under “United
States Federal Income Tax Considerations—Tax Consequences to Non-U.S. Holders—Dividend Equivalents under Section 871(m) of
the Code” in the accompanying product supplement, Section 871(m) of the Internal Revenue Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. The Treasury regulations,
as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2027 that do not have a “delta” of one.
Based on certain determinations made by us, we expect that Section 871(m) will not apply to the Notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. If necessary, further
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information regarding the potential application
of Section 871(m) will be provided in the final pricing supplement for the Notes.
We will not be required to pay any additional amounts
with respect to U.S. federal withholding taxes.
You should consult your tax adviser regarding the
U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and the potential application
of the “constructive ownership” regime, as well as tax consequences arising under the laws of any state, local or non-U.S.
taxing jurisdiction.
SUPPLEMENTAL PLAN OF DISTRIBUTION
(CONFLICTS OF INTEREST)
The Notes are offered initially to investors at
a purchase price equal to par, except with respect to certain accounts as indicated on the cover page of this pricing supplement. We or
one of our affiliates may pay the underwriting discount as set forth on the cover page of this pricing supplement.
The value of the Notes shown on your account statement
may be based on RBCCM’s estimate of the value of the Notes if RBCCM or another of our affiliates were to make a market in the Notes
(which it is not obligated to do). That estimate will be based on the price that RBCCM may pay for the Notes in light of then-prevailing
market conditions, our creditworthiness and transaction costs. For a period of approximately three months after the Issue Date, the value
of the Notes that may be shown on your account statement may be higher than RBCCM’s estimated value of the Notes at that time. This
is because the estimated value of the Notes will not include the underwriting discount or our hedging costs and profits; however, the
value of the Notes shown on your account statement during that period may initially be a higher amount, reflecting the addition of the
underwriting discount and our estimated costs and profits from hedging the Notes. This excess is expected to decrease over time until
the end of this period. After this period, if RBCCM repurchases your Notes, it expects to do so at prices that reflect their estimated
value.
RBCCM or another of its affiliates or agents may
use this pricing supplement in the initial sale of the Notes. In addition, RBCCM or another of our affiliates may use this pricing supplement
in a market-making transaction in the Notes after their initial sale. Unless we or our agent informs the purchaser otherwise in
the confirmation of sale, this pricing supplement is being used in a market-making transaction.
For additional information about the settlement
cycle of the Notes, see “Plan of Distribution” in the accompanying prospectus. For additional information as to the relationship
between us and RBCCM, see the section “Plan of Distribution—Conflicts of Interest” in the accompanying prospectus.
STRUCTURING THE NOTES
The Notes are our debt securities. As is the case
for all of our debt securities, including our structured notes, the economic terms of the Notes reflect our actual or perceived creditworthiness.
In addition, because structured notes result in increased operational, funding and liability management costs to us, we typically borrow
the funds under structured notes at a rate that is lower than the rate that we might pay for a conventional fixed or floating rate debt
security of comparable maturity. The lower internal funding rate, the underwriting discount and the hedging-related costs relating to
the Notes reduce the economic terms of the Notes to you and result in the initial estimated value for the Notes being less than their
public offering price. Unlike the initial estimated value, any value of the Notes determined for purposes of a secondary market transaction
may be based on a secondary market rate, which may result in a lower value for the Notes than if our initial internal funding rate were
used.
In order to satisfy our payment obligations under
the Notes, we may choose to enter into certain hedging arrangements (which may include call options, put options or other derivatives)
with RBCCM and/or one of our other subsidiaries. The terms of these hedging arrangements take into account a number of factors, including
our creditworthiness, interest rate movements, volatility and the tenor of the Notes. The economic terms of the Notes and the initial
estimated value depend in part on the terms of these hedging arrangements.
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See “Selected Risk Considerations—Risks
Relating to the Initial Estimated Value of the Notes and the Secondary Market for the Notes—The Initial Estimated Value of the Notes
Will Be Less Than the Public Offering Price” above.
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Royal Bank of Canada (NYSE:RY)
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De Jul 2024 a Ago 2024
Royal Bank of Canada (NYSE:RY)
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