FWP 1 formfwp.htm BASKET NOTES

 RBC Capital Markets®
Filed Pursuant to Rule 433
Registration Statement No. 333-208507
 
 
The information in this preliminary terms supplement is not complete and may be changed.
 
Preliminary Terms Supplement
Subject to Completion:
Dated October 6, 2017
Pricing Supplement Dated October __, 2017 to the Product Prospectus Supplement ERN-ES-1 Dated January 14, 2016, Prospectus Supplement Dated January 8, 2016, and Prospectus Dated January 8, 2016
$__________
Individually Capped Stock Basket Notes, due
October 18, 2023
Royal Bank of Canada
 
 
 
Royal Bank of Canada is offering notes linked to a basket of 15 common equity securities (the “Notes”). The Notes are linked to an equally weighted Basket consisting of 15 common equity securities (the “Reference Stocks”) set forth below.  The CUSIP number for the Notes is 78013GJR7.
The Notes do not pay interest.
At maturity, the Notes will pay an amount based upon the performance of the Reference Stocks. As discussed in more detail below, the upside performance of each Reference Stock in the Basket is limited to 180%.  However, even if the value of the Reference Stocks decrease, we will pay at least the principal amount of the Notes at maturity.  All payments on the Notes are subject to our credit risk.
Issue Date: October 18, 2017
Maturity Date: October 18, 2023
The Notes will not be listed on any securities exchange.
Investing in the Notes involves a number of risks. See “Risk Factors” beginning on page S-1 of the prospectus supplement dated January 8, 2016, “Risk Factors” beginning on page PS-4 of the product prospectus supplement dated January 14, 2016, and “Selected Risk Considerations” beginning on page P-9 of this terms supplement.
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. government agency or instrumentality.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined that this terms supplement is truthful or complete. Any representation to the contrary is a criminal offense.
 
Per Note
   
Total
Price to public(1)
100.00%
$
   
Underwriting discounts and commissions(1)
3.00%
$
   
Proceeds to Royal Bank of Canada
97.00%
$
 
(1) Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forego 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 $970 and $1,000 per $1,000 in principal amount.
The initial estimated value of the Notes as of the date of this terms supplement is $929.65 per $1,000 in principal amount, which is less than the price to public. The final pricing supplement relating to the Notes will set forth our estimate of the initial value of the Notes as of the Pricing Date, which will not be less than $909.65 per $1,000 in principal amount.  The actual 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 our determination of the initial estimated value in more detail below.
If the Notes priced on the date of this terms supplement, RBC Capital Markets, LLC, which we refer to as RBCCM, acting as agent for Royal Bank of Canada, would receive a commission of approximately $30.00 per $1,000 in principal amount of the Notes and would use a portion of that commission to allow selling concessions to other dealers of up to approximately $30.00 per $1,000 in principal amount of the Notes. The other dealers may forgo, in their sole discretion, some or all of their selling concessions. See “Supplemental Plan of Distribution (Conflicts of Interest)” on below.
We may use this terms supplement in the initial sale of the Notes.  In addition, RBCCM or another of our affiliates may use this terms 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 terms supplement is being used in a market-making transaction.
 
 
RBC Capital Markets, LLC
 

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
SUMMARY
The information in this “Summary” section is qualified by the more detailed information set forth in this terms supplement, the product prospectus supplement, the prospectus supplement, and the prospectus.
Issuer:
Royal Bank of Canada (“Royal Bank”)
Issue:
Senior Global Medium-Term Notes, Series G
Underwriter:
RBC Capital Markets, LLC (“RBCCM”)
Reference Asset:
The Notes are linked to the value of a basket (the “Basket”) consisting of the common equity securities of 15 publicly traded companies listed below (each, a “Reference Stock,” and collectively, the “Reference Stocks”).  See the section below, “The Basket.”
Currency:
U.S. Dollars
Minimum Investment:
$1,000 and minimum denominations of $1,000 in excess thereof
Pricing Date:
October 13, 2017
Issue Date:
October 18, 2017
Valuation Date:
October 13, 2023
Interest Payments:
None
Payment at Maturity
(if held to maturity):
The amount payable on the Notes upon maturity (the "Redemption Amount") will be equal to the sum of (a) the Principal Amount plus (b) the Variable Return, if any.
Variable Return:
The Variable Return, if any, will be an amount equal to the Principal Amount multiplied by the Percentage Change. The Variable Return will not be less than zero and will not exceed 180% of the Principal Amount. Investors will receive the maximum return on the Notes if all of the Reference Stocks increase in value by 180% or more from the Pricing Date to the Valuation Date.  (However, there can be no assurance that any of the Referenced Stocks will increase in value.)
There is no limit on the downside performance of each Reference Stock. Therefore, sufficiently negative performance by some of the Reference Stocks may offset the positive performance of one or more of the other Reference Stocks, resulting in the possibility of no Variable Return being paid on the Notes.
Percentage Change:
The Percentage Change will equal the sum of the Weighted Component Changes (positive and negative) for the Reference Stocks, expressed as a percentage and rounded to three decimal places.  The Percentage Change will not exceed 180%.
Weighted Component
Change:
For each Reference Stock, will be a number, expressed as a percentage, equal to:
 
Component Weight × Share Price Change
If the sum of the Weighted Component Changes is negative, then the Percentage Change will be deemed to be zero.
 
 
P-2
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Share Price Change:
For each Reference Stock:
 
Final Price – Initial Price
Initial Price
However, the Share Price Change for each Reference Stock will not exceed the Cap.
Cap:
180%. As a result of the Cap, the maximum Weighted Component Change for each Reference Stock is 12% (180% multiplied by the 1/15 weighting). As a result of the Cap, the maximum Percentage Change will be 180%.
Initial Price:
The closing price per share of a Reference Stock on the Pricing Date, as determined by the Calculation Agent. The Initial Price of each Reference Stock is subject to adjustment upon the occurrence of certain corporate events, as described in more detail in the product supplement.
Final Price:
The closing price per share of a Reference Stock on the Valuation Date.
Basket:
Reference
Stock Number
Reference Stock Issuer
Ticker
Initial
Price
 
1
AbbVie Inc.
ABBV
 
 
2
Cisco Systems, Inc.
CSCO
 
 
3
Ford Motor Company
F
 
 
4
General Motors Company
GM
 
 
5
International Business Machines Corporation
IBM
 
 
6
MetLife, Inc.
MET
 
 
7
Altria Group, Inc.
MO
 
 
8
Merck & Co., Inc.
MRK
 
 
9
Pfizer Inc.
PFE
 
 
10
The Procter & Gamble Company
PG
 
 
11
Philip Morris International Inc.
PM
 
 
12
Prudential Financial, Inc.
PRU
 
 
13
AT&T Inc.
T
 
 
14
Verizon Communications Inc.
VZ
 
 
15
Wal-Mart Stores, Inc.
WMT
 
Component Weights:
1/15 for each Reference Stock.
Maturity Date:
October 18, 2023, subject to extension for market and other disruptions, as described in the product prospectus supplement dated January 14, 2016.
Term:
Approximately six years.
Calculation Agent:
RBCCM
 
 
P-3
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
U.S. Tax Treatment:
We intend to take the position that the Notes will be treated as debt instruments subject to the special tax rules governing contingent payment debt instruments for U.S. federal income tax purposes. Please see the section below, “Supplemental Discussion of U.S. Federal Income Tax Consequences,” which applies to the Notes.
Secondary Market:
RBCCM (or one of its affiliates), though not obligated to do so, plans to 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 of your Notes.
Listing:
The Notes will not be listed on any securities exchange.
Clearance and
Settlement:
DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as described under “Description of Debt Securities—Ownership and Book-Entry Issuance” in the prospectus dated January 8, 2016).
Events of Default:
In case an event of default with respect to the Notes will have occurred and be continuing, the amount declared due and payable on the Notes upon any acceleration will be determined by the Calculation Agent and will be an amount of cash equal to the amount payable as described above under the caption “—Payment at Maturity,” calculated as if the date of acceleration were the Valuation Date.
The Pricing Date and the Issue Date of the Notes are subject to change. The actual Pricing Date, Issue Date, and other dates for the Notes set forth above will be set forth in the final pricing supplement.
 
 
P-4
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
ADDITIONAL TERMS OF YOUR NOTES
You should read this terms supplement together with the prospectus dated January 8, 2016, as supplemented by the prospectus supplement dated January 8, 2016 and the product prospectus supplement dated January 14, 2016, relating to our Senior Global Medium-Term Notes, Series G, of which these Notes are a part. Capitalized terms used but not defined in this terms supplement will have the meanings given to them in the product prospectus supplement. In the event of any conflict, this terms supplement will control.  The Notes vary from the terms described in the product prospectus supplement in several important ways.  You should read this terms supplement carefully.
This terms supplement, together with the documents listed below, contains the terms of the Notes and supersedes all 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, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in “Risk Factors” in the prospectus supplement dated January 8, 2016 and “Risk Factors” in the product prospectus supplement dated January 14, 2016, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes. You may access these documents on the Securities and Exchange Commission (the “SEC”) website at www.sec.gov as follows (or if that address has changed, by reviewing our filings for the relevant date on the SEC website):
Prospectus dated January 8, 2016:
Prospectus Supplement dated January 8, 2016:
Product Prospectus Supplement ERN-ES-1 dated January 14, 2016:
Our Central Index Key, or CIK, on the SEC website is 1000275.  As used in this terms supplement, “we,” “us,” or “our” refers to Royal Bank of Canada.
Royal Bank of Canada has filed a registration statement (including a product prospectus supplement, a prospectus supplement, and a prospectus) with the SEC for the offering to which this terms supplement relates.  Before you invest, you should read those documents and the other documents relating to this offering that we have filed with the SEC for more complete information about us and this offering.  You may obtain these documents without cost by visiting EDGAR on the SEC website at www.sec.gov.  Alternatively, Royal Bank of Canada, any agent or any dealer participating in this offering will arrange to send you the product prospectus supplement, the prospectus supplement and the prospectus if you so request by calling toll-free at 1-866-609-6009.
 
 
P-5
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
HYPOTHETICAL RETURNS AT MATURITY
The following hypothetical examples are provided for illustration purposes only and are hypothetical; they do not purport to be representative of every possible scenario concerning increases or decreases in the value of the Basket and the related effect on the Redemption Amount.  The following hypothetical examples illustrate the payment you would receive on the maturity date if you purchased $1,000 in principal amount of the Notes.  Numbers appearing in the examples below have been rounded for ease of analysis.
All examples assume that an investor has purchased the Notes with an aggregate principal amount of $1,000 and that no events occur that require the Calculation Agent to adjust the price of any Referenced Stock.  For the convenience of the investor, each Reference Stock is deemed to have an Initial Price of $100.
Example #1 — Hypothetical calculation of the Redemption Amount where Percentage Change is positive and less than the Cap. The Redemption Amount would be calculated as follows:
 
Reference Stock Issuer
 
Hypothetical
Initial Price
 
Final
Price
 
Share Price
Change
 
Component
Weight
 
Weighted
Component Change
 
Reference Stock 1
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 2
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 3
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 4
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 5
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 6
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 7
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 8
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 9
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 10
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 11
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 12
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 13
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 14
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 15
 
$100
 
$130
 
30%
 
1/15
 
2.000%

Percentage Change = 30.00%
Variable Return = $1,000.00 × 30.00% = $300.00
Redemption Amount = $1,000.00 + $300.00 = $1,300
 
 
P-6
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Example #2 — Hypothetical calculation of the Redemption Amount where the Share Price Change of each of the Reference Stocks is greater than 180%, and therefore capped at 180%.  The Redemption Amount would be calculated as follows:
 
Reference Stock Issuer
 
Hypothetical
Initial Price
 
Final
Price
 
Share Price
Change
 
Component
Weight
 
Weighted
Component Change
 
Reference Stock 1
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 2
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 3
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 4
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 5
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 6
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 7
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 8
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 9
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 10
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 11
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 12
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 13
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 14
 
$100
 
$290
 
180%
 
1/15
 
12.00%
 
Reference Stock 15
 
$100
 
$290
 
180%
 
1/15
 
12.00%

Percentage Change = 180%
Variable Return = $1,000.00 × 180% = $1,800.00
Redemption Amount = $1,000.00 + $1,800.00 = $2,800.00
 
 
P-7
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Example #3 — Hypothetical calculation of the Redemption Amount where the sum of the Weighted Component Changes is negative, and therefore the Percentage Change is 0%.  The Redemption Amount would be calculated as follows:
 
Reference Stock Issuer
 
Hypothetical
Initial Price
 
Final
Price
 
Share Price
Change
 
Component
Weight
 
Weighted
Component Change
 
Reference Stock 1
 
$100
 
$70
 
-30%
 
1/15
 
-2.000%
 
Reference Stock 2
 
$100
 
$60
 
-40%
 
1/15
 
-2.667%
 
Reference Stock 3
 
$100
 
$105
 
-5%
 
1/15
 
0.333%
 
Reference Stock 4
 
$100
 
$70
 
-30%
 
1/15
 
-2.000%
 
Reference Stock 5
 
$100
 
$50
 
-50%
 
1/15
 
-3.333%
 
Reference Stock 6
 
$100
 
$130
 
30%
 
1/15
 
2.000%
 
Reference Stock 7
 
$100
 
$60
 
-40%
 
1/15
 
-2.667%
 
Reference Stock 8
 
$100
 
$105
 
-5%
 
1/15
 
0.333%
 
Reference Stock 9
 
$100
 
$70
 
-30%
 
1/15
 
-2.000%
 
Reference Stock 10
 
$100
 
$50
 
-50%
 
1/15
 
-3.333%
 
Reference Stock 11
 
$100
 
$50
 
-50%
 
1/15
 
-3.333%
 
Reference Stock 12
 
$100
 
$70
 
-30%
 
1/15
 
-2.000%
 
Reference Stock 13
 
$100
 
$50
 
-50%
 
1/15
 
-3.333%
 
Reference Stock 14
 
$100
 
$70
 
-30%
 
1/15
 
-2.000%
 
Reference Stock 15
 
$100
 
$120
 
20%
 
1/15
 
1.333%

As the sum of the Weighted Component Changes is -26%, the Percentage Change is 0.00%.
Variable Return = $1,000 × 0% = $0.00
Redemption Amount = $1,000.00 + $0.00 = $1,000
 
 
P-8
RBC Capital Markets, LLC

 
 
 
Direct Investment Notes
Linked to the June 2017 RBC Capital Markets
U.S. Equity Top Picks List due July 10, 2018
 
 
SELECTED RISK CONSIDERATIONS
An investment in the Notes involves significant risks.  Investing in the Notes is not equivalent to investing directly in the Reference Stocks.  These risks are explained in more detail in the section “Risk Factors” beginning on page PS-4 of the product prospectus supplement.  In addition to the risks described in the prospectus supplement and the product prospectus supplement, you should consider the following:
·
You May Not Earn a Return on Your Investment –The payment you will receive at maturity will depend on whether the prices of the Reference Stocks increase or decrease.  If the Percentage Change is zero, for example, because the prices of the Reference Stocks decrease as discussed above, your payment at maturity will be limited to the principal amount, and you will not receive any positive return on the Notes.
The Cap that applies to each Reference Stock may limit the Percentage Change.  There is no limit on the downside performance of each Reference Stock. Therefore, due to the impact of the Cap, sufficiently negative performance by some of the Reference Stocks may offset the positive performance of one or more of the remaining Reference Stocks, resulting in the possibility of no Variable Return being paid on the Notes.
·
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.  The yield that you will receive on your Notes may be less than the yield you could earn if you purchased a standard senior debt security of ours with the same maturity date.  Your investment may not reflect the full opportunity cost to you when you take into account factors that affect the time value of money.
·
Changes in the Price of One Reference Stock May Be Offset by Changes in the Price of the Other Reference Stock - A change in the price of one Reference Stock may not correlate with changes in the price of the other Reference Stocks.  The price of one Reference Stock may increase, while the price of the other Reference Stocks may not increase as much, or may even decrease.  Therefore, in determining the Percentage Change, increases in the price of one Reference Stock may be moderated, or wholly offset, by lesser increases or decreases in the prices of the other Reference Stocks.
·
Your Payment at Maturity Will Be Limited – The Notes will provide less opportunity to participate in the appreciation of the Reference Stocks than an investment in a security linked to the Reference Stocks providing full participation in the appreciation, because the Percentage Change will not exceed the Cap. 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 Reference Stocks.
·
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 Royal Bank’s senior unsecured debt securities.  As a result, your receipt of all required payments on the Notes will be dependent upon Royal Bank’s ability to repay its obligations as of the applicable payment date.  This will be the case even if the value of the Basket increases after the Pricing Date, or if substantial payments are made on the Reference Stocks.  No assurance can be given as to what our financial condition will be at any time during the term of the Notes.
·
There May Not Be an Active Trading Market for the Notes—Sales in the Secondary Market May Result in Significant Losses – There may be little or no secondary market for the Notes.  The Notes will not be listed on any securities exchange.  RBCCM and other affiliates of Royal Bank may make a market for the Notes; however, they are not required to do so.  RBCCM or any other affiliate of Royal Bank 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.
·
You Will Not Have Any Rights to the Reference Stocks – As a holder of the Notes, you will not have voting rights or other rights that holders of the Reference Stocks would have.  You will have no right to receive shares of the Reference Stocks or dividends paid on the Reference Stocks.
 
 
P-9
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
·
The Historical Performance of the Reference Stocks Should Not Be Taken as an Indication of Their Future Performance – The Final Prices of the Reference Stocks will determine the Redemption Amount.  The historical performance of the Reference Stocks does not necessarily give an indication of their future performance.  As a result, it is impossible to predict whether the prices of the Reference Stocks will rise or fall during the term of the Notes.  The prices of the Reference Stocks will be influenced by complex and interrelated political, economic, financial and other factors.
·
The Initial Estimated Value of the Notes Will Be Less than the Price to the Public – The initial estimated value set forth on the cover page and that will be set forth in the final pricing supplement for the Notes does not represent a minimum price at which we, RBCCM or any of our affiliates would be willing to purchase the Notes in any secondary market (if any exists) at any time.  If you attempt to sell the Notes prior to maturity, their market value may be lower than the price you paid for them and the initial estimated value.  This is due to, among other things, changes in the value of the Basket, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to the public of the underwriting discount and the estimated costs relating to our hedging of the Notes.  These factors, together with various credit, market and economic factors over the term of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any secondary market and will affect the value of the Notes in complex and unpredictable ways.  Assuming no change in market conditions or any other relevant factors, the price, if any, at which you may be able to sell your Notes prior to maturity may be less than your original purchase price, as any such sale price would not be expected to include the underwriting discount and 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.
·
The Initial Estimated Value of the Notes on the Cover Page and that We Will Provide in the Final Pricing Supplement Are Estimates Only, Calculated as of the Time the Terms of the Notes Are Set – The initial estimated value of the Notes will be based on the value of our obligation to make the payments on the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes.  See “Structuring the Notes” below.  Our estimates are 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.
The value of the Notes at any time after the Pricing 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.
·
Our Business Activities May Create Conflicts of Interest – We and our affiliates expect to engage in trading activities related to the Reference Stocks 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 prices of the Reference Stocks, could be adverse to the interests of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with the issuers of the Reference Stocks, 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. Any of these activities by us or one or more of our affiliates may affect the value of the Reference Stocks, and, therefore, the market value of the Notes.
·
You Must Rely on Your Own Evaluation of the Merits of an Investment Linked to the Reference Stocks – In the ordinary course of their business, RBCCM and our other affiliates have expressed views on the value of the Reference Stocks and/or expected movements in their prices, and may do so in the future.  These views or reports may be communicated to clients of our affiliates.  However, these views are subject to change from time to time.  Moreover, other professionals who transact business in markets relating to any Reference Stock may at any time have significantly different views from those of our affiliates.  For these reasons, you are encouraged to derive information concerning the Reference Stocks from multiple sources, and you should not rely solely on views expressed by us or our affiliates.
 
 
P-10
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
·
The Inclusion of the Reference Stocks in the Basket Does Not Guarantee a Positive Return on the Notes – There can be no assurance that any Reference Stock, or the Basket in its entirety, will increase in value.  The performance of the Reference Stocks may be less than the performance of the equities markets generally, and less than the performance of specific sectors of the equity markets, or other securities in which you may choose to invest.  Our offering of the Notes does not constitute our recommendation or the recommendation of RBCCM or our other affiliates to invest in the Notes or in the Reference Stocks.
·
As Calculation Agent, RBCCM Will Have the Authority to Make Determinations that Could Affect the Value of Your Notes and Your Payment at Maturity – As calculation agent for your Notes, RBCCM will have discretion in making various determinations that affect your Notes, including determining the Final Prices, the Percentage Change, the Redemption Amount, and whether any market disruption events have occurred.  The Calculation Agent also has discretion in making certain adjustments relating to mergers and certain other corporate transactions that an issuer of a Reference Stock may undertake.  The exercise of this discretion by RBCCM could adversely affect the value of your Notes and may present RBCCM, which is our wholly owned subsidiary, with a conflict of interest.
·
Market Disruption Events and Adjustments – The payments on the Notes are subject to adjustment as described in this terms supplement and 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.
 
 
P-11
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
INFORMATION REGARDING THE ISSUERS OF THE REFERENCE STOCKS
The issuer of each Reference Stock is registered under the Securities Exchange Act of 1934, as amended (“Exchange Act”).  Companies with securities registered under the Exchange Act are required to periodically file financial and other information required by the Securities and Exchange Commission (“SEC”).  This information is filed with the SEC and can be inspected and copied by you at the SEC’s Public Reference Room located at 100 F Street, N.E., Washington, D.C. 20549 at prescribed rates.  The public may obtain information on the operation of the Public Reference Room by calling the SEC at 1-800-SEC-0330.  In addition, information filed by the issuers of the Reference Stocks with the SEC electronically is available to the public over the Internet at the SEC’s website at http://www.sec.gov.
Neither we nor our affiliates makes any representation as to the future performance of any Reference Stock or the Basket.
Description of the Reference Stock Issuers
The following information regarding each issuer of the Reference Stocks is derived from publicly available information and we have not independently verified it.
·
AbbVie Inc. researches and develops pharmaceutical products. The company produces pharmaceutical drugs for specialty therapeutic areas such as immunology, chronic kidney disease, hepatitis C, women's health, oncology, and neuroscience. The company also offers treatments for diseases including Multiple Sclerosis, Parkinson's, and Alzheimer's disease.
·
Cisco Systems, Inc. designs, manufactures, and sells Internet Protocol (IP)-based networking and other products related to the communications and information technology industry and provide services associated with these products and their use. The company provides products for transporting data, voice, and video within buildings, across campuses, and globally.
·
Ford Motor Company designs, manufactures, and services cars and trucks. The company also provides vehicle-related financing, leasing, and insurance through its subsidiary.
·
General Motors Company designs, builds, and sells cars, trucks, crossovers, and automobile parts. The company offers vehicle protection, parts, accessories, maintenance, satellite radio, and automotive financing.
·
International Business Machines Corporation provides computer solutions through the use of advanced information technology. The company's solutions include technologies, systems, products, services, software, and financing. The company offers its products through its global sales and distribution organization, as well as through a variety of third party distributors and resellers.
·
Wal-Mart Stores, Inc. operates discount stores, supercenters, and neighborhood markets. The company's discount stores and supercenters offer merchandise such as apparel, housewares, small appliances, electronics, and hardware. The company’s markets offer supermarket and a limited assortment of general merchandise.
·
MetLife, Inc. provides individual insurance, employee benefits, and financial services. The company's products include life insurance, annuities, automobile and homeowners insurance, retail banking, and other financial services to individuals, as well as group insurance.
·
Altria Group, Inc. is a holding company. The company, through subsidiaries, manufactures and sells cigarettes and other tobacco products, including cigars and pipe tobacco. The company holds an interest in a brewery company.
·
Merck & Co., Inc. is a global health care company that delivers health solutions through its prescription medicines, vaccines, biologic therapies, animal health, and consumer care products, which it markets directly and through its joint ventures. The company has operations in pharmaceutical, animal health, and consumer care.
·
Pfizer Inc. is a research-based, global pharmaceutical company that discovers, develops, manufactures, and markets healthcare products. The company's products include medicines, vaccines, medical devices, and consumer healthcare products.
·
The Procter & Gamble Company manufactures and markets consumer products. The company provides products in the laundry and cleaning, paper, beauty care, food and beverage, and health care segments. The company’s products are sold primarily through mass merchandisers, grocery stores, membership club stores, drug stores, and neighborhood stores.
 
 
P-12
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
·
Philip Morris International Inc., through its subsidiaries, affiliates and their licensees, produces, sells, distributes, and markets a wide range of branded cigarettes and tobacco products in markets outside of the United States. The company’s portfolio comprises both international and local brands.
·
Prudential Financial, Inc. provides financial services. The company offers a variety of products and services, including life insurance, mutual funds, annuities, pension, and retirement related services, as well as administration and asset management.
·
AT&T Inc. is a communications holding company. The company, through its subsidiaries and affiliates, provides local and long-distance phone service, wireless and data communications, Internet access and messaging, IP-based and satellite television, security services, telecommunications equipment, and directory advertising and publishing.
·
Verizon Communications Inc. is a telecommunications company that provides wire line voice and data services, wireless services, Internet services, and published directory information. The company also provides network services for the federal government including business phone lines, data services, telecommunications equipment, and payphones.
 
 
P-13
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Hypothetical Performance of the Basket
While actual historical information on the Basket will not exist before the Pricing Date, the following graph sets forth the hypothetical daily performance of the Basket from December 10, 2012 (the date on which the Reference Stock with the most limited trading history, AbbVie Inc., began trading) through October 3, 2017. The graph is based upon actual daily historical closing prices of the Reference Stocks and a hypothetical basket level of 100.00 as of December 10, 2012. This hypothetical data on the Basket is not necessarily indicative of the future performance of the Basket or what the value of the Notes may be. Any hypothetical upward or downward trend in the level of the Basket shown below is not an indication that the level of the Basket is more or less likely to increase or decrease at any time over the term of the Notes.
 
 
P-14
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Historical Information
The graphs below set forth the recent historical performance of each of the Reference Stocks.  In addition, below each graph is a table setting forth the intra-day high, intra-day low and period-end Closing Prices of each Reference Stock.  The information provided in each table is for the period from January 1, 2011 (or the date on which the relevant Reference Stock began trading) through October 3, 2017.
We obtained the information regarding the historical performance of the Reference Stocks in the graphs and tables below from Bloomberg Financial Markets.
We have not independently verified the accuracy or completeness of the information obtained from Bloomberg Financial Markets.  The historical performance of the Reference Stocks should not be taken as an indication of their future performance or what the value of the Notes may be, and no assurance can be given as to the price of any Reference Stock on the Valuation Date.  We cannot give you assurance that the performance of any Reference Stock will not result in the loss of a portion of your investment.
 
 
P-15
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
 
Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
($)
Low Intra-Day
Price of the
Reference Stock in
($)
Period-End Closing Price of the Reference
Stock in ($)
12/10/2012*
12/31/2012
37.00
32.51
34.16
         
1/1/2013
3/31/2013
40.80
33.33
40.78
4/1/2013
6/30/2013
47.99
39.99
41.34
7/1/2013
9/30/2013
48.41
41.07
44.73
10/1/2013
12/31/2013
54.70
44.32
52.81
         
1/1/2014
3/31/2014
54.72
46.42
51.40
4/1/2014
6/30/2014
56.89
45.51
56.44
7/1/2014
9/30/2014
60.02
51.40
57.76
10/1/2014
12/31/2014
70.76
52.06
65.44
         
1/1/2015
3/31/2015
68.29
54.78
58.54
4/1/2015
6/30/2015
70.75
56.33
67.19
7/1/2015
9/30/2015
71.59
51.88
54.41
10/1/2015
12/31/2015
64.29
45.46
59.24
         
1/1/2016
3/31/2016
59.81
50.74
57.12
4/1/2016
6/30/2016
65.37
56.36
61.91
7/1/2016
9/30/2016
68.12
61.78
63.07
10/1/2016
12/31/2016
65.04
55.10
62.62
         
1/1/2017
3/30/2017
66.79
59.27
65.16
4/1/2017
6/30/2017
73.67
63.12
72.51
7/1/2017
9/30/2017
90.95
69.40
88.86
10/1/2017
10/3/2017
90.56
88.95
89.70
*AbbVie Inc. commenced trading on December 10, 2012 and therefore has a limited historical performance.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-16
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 

Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
($)
Low Intra-Day
Price of the
Reference Stock in
($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
22.34
16.97
17.15
4/1/2011
6/30/2011
18.29
14.78
15.61
7/1/2011
9/30/2011
16.84
13.30
15.49
10/1/2011
12/31/2011
19.19
14.93
18.08
         
1/1/2012
3/31/2012
21.24
18.36
21.15
4/1/2012
6/30/2012
21.29
15.92
17.17
7/1/2012
9/30/2012
19.75
14.97
19.09
10/1/2012
12/31/2012
20.54
16.68
19.65
         
1/1/2013
3/31/2013
21.98
20.02
20.91
4/1/2013
6/30/2013
24.98
19.98
24.31
7/1/2013
9/30/2013
26.48
23.03
23.42
10/1/2013
12/31/2013
24.00
20.23
22.45
         
1/1/2014
3/31/2014
23.00
21.27
22.41
4/1/2014
6/30/2014
25.17
22.30
24.85
7/1/2014
9/30/2014
26.08
24.28
25.17
10/1/2014
12/31/2014
28.59
22.50
27.82
         
1/1/2015
3/31/2015
30.31
25.93
27.53
4/1/2015
6/30/2015
29.90
26.85
27.46
7/1/2015
9/30/2015
29.21
23.03
26.25
10/1/2015
12/31/2015
29.45
25.34
27.16
         
1/1/2016
3/31/2016
28.68
22.47
28.47
4/1/2016
6/30/2016
29.41
25.81
28.69
7/1/2016
9/30/2016
31.94
28.17
31.72
10/1/2016
12/31/2016
31.89
29.12
30.22
         
1/1/2017
3/30/2017
34.53
29.81
33.80
4/1/2017
6/30/2017
34.49
30.38
31.30
7/1/2017
9/30/2017
34.10
30.36
33.63
10/1/2017
10/3/2017
33.90
33.53
33.85
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-17
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 

Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
($)
Low Intra-Day
Price of the
Reference Stock in
($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
18.97
13.78
14.91
4/1/2011
6/30/2011
16.18
12.66
13.79
7/1/2011
9/30/2011
14.22
9.40
9.67
10/1/2011
12/31/2011
12.64
9.05
10.76
         
1/1/2012
3/31/2012
13.05
11.00
12.49
4/1/2012
6/30/2012
12.95
9.46
9.59
7/1/2012
9/30/2012
10.66
8.82
9.86
10/1/2012
12/31/2012
13.08
9.71
12.95
         
1/1/2013
3/31/2013
14.30
12.10
13.15
4/1/2013
6/30/2013
16.09
12.15
15.47
7/1/2013
9/30/2013
17.77
15.56
16.87
10/1/2013
12/31/2013
18.00
15.10
15.43
         
1/1/2014
3/31/2014
16.78
14.40
15.60
4/1/2014
6/30/2014
17.35
15.43
17.24
7/1/2014
9/30/2014
18.12
14.49
14.79
10/1/2014
12/31/2014
16.13
13.26
15.50
         
1/1/2015
3/31/2015
16.74
14.30
16.14
4/1/2015
6/30/2015
16.11
14.78
15.01
7/1/2015
9/30/2015
15.30
10.44
13.57
10/1/2015
12/31/2015
15.83
13.40
14.09
         
1/1/2016
3/31/2016
14.00
11.02
13.50
4/1/2016
6/30/2016
14.22
12.00
12.57
7/1/2016
9/30/2016
14.04
11.91
12.07
10/1/2016
12/31/2016
13.20
11.07
12.13
         
1/1/2017
3/30/2017
13.27
11.42
11.64
4/1/2017
6/30/2017
11.70
10.67
11.19
7/1/2017
9/30/2017
12.06
10.47
11.97
10/1/2017
10/3/2017
12.42
11.98
12.34
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-18
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 

Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
 ($)
Low Intra-Day
Price of the
Reference Stock in
($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
39.47
30.21
31.03
4/1/2011
6/30/2011
33.47
28.17
30.36
7/1/2011
9/30/2011
32.07
19.86
20.18
10/1/2011
12/31/2011
26.55
19.00
20.27
         
1/1/2012
3/31/2012
27.67
20.75
25.65
4/1/2012
6/30/2012
27.02
19.24
19.72
7/1/2012
9/30/2012
25.15
18.72
22.75
10/1/2012
12/31/2012
28.90
22.69
28.83
         
1/1/2013
3/31/2013
30.68
26.19
27.82
4/1/2013
6/30/2013
35.40
27.11
33.31
7/1/2013
9/30/2013
37.97
33.41
35.97
10/1/2013
12/31/2013
41.85
33.92
40.87
         
1/1/2014
3/31/2014
41.05
33.58
34.42
4/1/2014
6/30/2014
37.18
31.70
36.30
7/1/2014
9/30/2014
38.15
31.68
31.94
10/1/2014
12/31/2014
35.45
28.83
34.91
         
1/1/2015
3/31/2015
38.99
32.37
37.50
4/1/2015
6/30/2015
37.45
33.06
33.33
7/1/2015
9/30/2015
33.44
24.62
30.02
10/1/2015
12/31/2015
36.87
29.99
34.01
         
1/1/2016
3/31/2016
33.51
26.70
31.43
4/1/2016
6/30/2016
33.41
27.34
28.30
7/1/2016
9/30/2016
32.87
27.52
31.77
10/1/2016
12/31/2016
37.74
30.22
34.84
         
1/1/2017
3/30/2017
38.55
33.80
35.36
4/1/2017
6/30/2017
35.40
31.93
34.93
7/1/2017
9/30/2017
40.69
34.45
40.38
10/1/2017
10/3/2017
43.70
40.89
43.45
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-19
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 

Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
 ($)
Low Intra-Day
Price of the
Reference Stock in
($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
167.72
146.64
163.07
4/1/2011
6/30/2011
173.51
161.52
171.55
7/1/2011
9/30/2011
185.61
157.14
175.03
10/1/2011
12/31/2011
194.89
168.93
183.88
         
1/1/2012
3/31/2012
209.11
177.35
208.65
4/1/2012
6/30/2012
210.69
187.00
195.58
7/1/2012
9/30/2012
208.32
181.87
207.45
10/1/2012
12/31/2012
211.76
184.78
191.55
         
1/1/2013
3/31/2013
215.90
190.40
213.30
4/1/2013
6/30/2013
214.86
187.68
191.11
7/1/2013
9/30/2013
200.91
181.10
185.18
10/1/2013
12/31/2013
187.79
172.57
187.57
         
1/1/2014
3/31/2014
195.63
172.34
192.49
4/1/2014
6/30/2014
199.20
179.27
181.27
7/1/2014
9/30/2014
196.40
181.95
189.83
10/1/2014
12/31/2014
190.87
150.51
160.44
         
1/1/2015
3/31/2015
165.34
149.56
160.50
4/1/2015
6/30/2015
176.29
158.39
162.66
7/1/2015
9/30/2015
173.78
140.64
144.97
10/1/2015
12/31/2015
153.07
131.65
137.62
         
1/1/2016
3/31/2016
153.09
116.91
151.45
4/1/2016
6/30/2016
155.48
142.50
151.78
7/1/2016
9/30/2016
164.95
149.92
158.85
10/1/2016
12/31/2016
169.95
147.80
165.99
         
1/1/2017
3/30/2017
182.78
165.35
174.14
4/1/2017
6/30/2017
176.28
149.80
153.83
7/1/2017
9/30/2017
156.02
139.14
145.08
10/1/2017
10/3/2017
147.19
145.26
146.78
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-20
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
 ($)
Low Intra-Day
Price of the
Reference Stock in
($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
43.42
36.76
39.86
4/1/2011
6/30/2011
41.97
34.87
39.09
7/1/2011
9/30/2011
39.71
23.52
24.96
10/1/2011
12/31/2011
33.32
22.82
27.79
         
1/1/2012
3/31/2012
35.24
27.94
33.28
4/1/2012
6/30/2012
34.12
24.64
27.49
7/1/2012
9/30/2012
32.54
25.25
30.71
10/1/2012
12/31/2012
33.34
27.22
29.35
         
1/1/2013
3/31/2013
36.22
30.20
33.88
4/1/2013
6/30/2013
41.13
31.42
40.78
7/1/2013
9/30/2013
46.02
40.56
41.84
10/1/2013
12/31/2013
48.40
40.77
48.05
         
1/1/2014
3/31/2014
48.83
41.87
47.05
4/1/2014
6/30/2014
50.67
43.45
49.51
7/1/2014
9/30/2014
51.28
45.29
47.87
10/1/2014
12/31/2014
50.79
41.13
48.20
         
1/1/2015
3/31/2015
48.71
41.08
45.05
4/1/2015
6/30/2015
51.89
44.49
49.89
7/1/2015
9/30/2015
51.80
40.55
42.02
10/1/2015
12/31/2015
46.74
40.59
42.96
         
1/1/2016
3/31/2016
42.20
31.19
39.16
4/1/2016
6/30/2016
41.96
32.24
35.49
7/1/2016
9/30/2016
40.00
32.96
39.59
10/1/2016
12/31/2016
51.77
39.22
48.02
         
1/1/2017
3/30/2017
50.22
44.79
47.07
4/1/2017
6/30/2017
50.15
44.18
48.96
7/1/2017
9/30/2017
52.23
46.39
51.95
10/1/2017
10/3/2017
52.42
51.50
52.40
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-21
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Period-Start
Date
Period-End
 Date
High Intra-Day
Price of the
Reference Stock in
($)
Low Intra-Day
Price of the
Reference Stock in
($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
26.27
23.35
26.03
4/1/2011
6/30/2011
28.13
25.81
26.41
7/1/2011
9/30/2011
27.40
23.20
26.81
10/1/2011
12/31/2011
30.40
25.94
29.65
         
1/1/2012
3/31/2012
30.99
28.00
30.87
4/1/2012
6/30/2012
34.59
30.75
34.55
7/1/2012
9/30/2012
36.29
32.72
33.39
10/1/2012
12/31/2012
34.25
30.01
31.42
         
1/1/2013
3/31/2013
35.45
31.85
34.39
4/1/2013
6/30/2013
37.60
34.08
34.99
7/1/2013
9/30/2013
37.45
33.13
34.35
10/1/2013
12/31/2013
38.58
34.23
38.39
         
1/1/2014
3/31/2014
38.38
33.80
37.43
4/1/2014
6/30/2014
43.37
37.14
41.94
7/1/2014
9/30/2014
46.19
40.27
45.94
10/1/2014
12/31/2014
51.67
44.60
49.27
         
1/1/2015
3/31/2015
56.69
48.53
50.02
4/1/2015
6/30/2015
52.99
47.31
48.91
7/1/2015
9/30/2015
56.39
47.41
54.40
10/1/2015
12/31/2015
61.74
53.68
58.21
         
1/1/2016
3/31/2016
63.15
56.17
62.66
4/1/2016
6/30/2016
69.26
59.48
68.96
7/1/2016
9/30/2016
70.15
62.46
63.23
10/1/2016
12/31/2016
68.03
60.82
67.62
         
1/1/2017
3/30/2017
76.55
67.25
71.42
4/1/2017
6/30/2017
77.79
69.80
74.47
7/1/2017
9/5/2017
74.97
60.01
63.42
10/1/2017
10/3/2017
63.53
62.81
63.37
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-22
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 

Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
($)
Low Intra-Day
Price of the
Reference Stock in
($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
37.61
31.06
33.01
4/1/2011
6/30/2011
37.65
33.00
35.29
7/1/2011
9/30/2011
36.56
29.47
32.71
10/1/2011
12/31/2011
37.90
30.54
37.70
         
1/1/2012
3/31/2012
39.43
36.91
38.40
4/1/2012
6/30/2012
41.75
37.02
41.75
7/1/2012
9/30/2012
45.70
41.06
45.10
10/1/2012
12/31/2012
48.00
40.10
40.94
         
1/1/2013
3/31/2013
45.40
40.83
44.23
4/1/2013
6/30/2013
50.16
43.77
46.45
7/1/2013
9/30/2013
49.08
46.03
47.61
10/1/2013
12/31/2013
50.42
44.62
50.05
         
1/1/2014
3/31/2014
57.65
49.31
56.77
4/1/2014
6/30/2014
59.84
54.40
57.85
7/1/2014
9/30/2014
61.33
55.57
59.28
10/1/2014
12/31/2014
62.20
52.49
56.79
         
1/1/2015
3/31/2015
63.62
55.65
57.48
4/1/2015
6/30/2015
61.70
56.23
56.93
7/1/2015
9/30/2015
60.06
45.70
49.39
10/1/2015
12/31/2015
55.76
48.36
52.82
         
1/1/2016
3/31/2016
53.54
47.97
52.91
4/1/2016
6/30/2016
57.87
52.46
57.61
7/1/2016
9/30/2016
64.00
57.18
62.41
10/1/2016
12/31/2016
65.45
58.30
58.87
         
1/1/2017
3/30/2017
66.80
59.18
63.54
4/1/2017
6/30/2017
66.39
61.87
64.09
7/1/2017
9/5/2017
66.41
61.17
64.03
10/1/2017
10/3/2017
64.68
63.79
64.37
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-23
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 

Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
($)
Low Intra-Day
Price of the
Reference Stock in
($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
20.57
17.63
20.31
4/1/2011
6/30/2011
21.45
19.10
20.60
7/1/2011
9/30/2011
20.95
16.63
17.68
10/1/2011
12/31/2011
21.90
17.05
21.64
         
1/1/2012
3/31/2012
22.80
20.76
22.66
4/1/2012
6/30/2012
23.30
21.40
23.00
7/1/2012
9/30/2012
25.15
22.16
24.85
10/1/2012
12/31/2012
26.08
23.55
25.08
         
1/1/2013
3/31/2013
28.89
25.33
28.86
4/1/2013
6/30/2013
31.14
27.12
28.01
7/1/2013
9/30/2013
30.19
27.33
28.71
10/1/2013
12/31/2013
32.50
28.02
30.63
         
1/1/2014
3/31/2014
32.96
29.66
32.12
4/1/2014
6/30/2014
32.69
28.78
29.68
7/1/2014
9/30/2014
31.31
27.88
29.57
10/1/2014
12/31/2014
32.23
27.51
31.15
         
1/1/2015
3/31/2015
35.45
31.01
34.79
4/1/2015
6/30/2015
35.53
33.21
33.53
7/1/2015
9/30/2015
36.45
28.47
31.41
10/1/2015
12/31/2015
36.06
30.99
32.28
         
1/1/2016
3/31/2016
32.24
28.25
29.64
4/1/2016
6/30/2016
35.50
29.41
35.21
7/1/2016
9/30/2016
37.39
33.30
33.87
10/1/2016
12/31/2016
33.99
29.84
32.48
         
1/1/2017
3/30/2017
34.75
30.90
34.21
4/1/2017
6/30/2017
34.52
31.67
33.59
7/1/2017
9/5/2017
36.21
32.33
35.70
10/1/2017
10/3/2017
36.20
35.49
36.14
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-24
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
 ($)
Low Intra-Day
Price of the
Reference Stock in
 ($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
66.95
59.70
61.60
4/1/2011
6/30/2011
67.71
61.47
63.57
7/1/2011
9/30/2011
65.14
57.56
63.18
10/1/2011
12/31/2011
66.98
61.00
66.71
         
1/1/2012
3/31/2012
67.95
62.56
67.21
4/1/2012
6/30/2012
67.92
59.08
61.25
7/1/2012
9/30/2012
69.97
60.78
69.36
10/1/2012
12/31/2012
70.99
65.84
67.89
         
1/1/2013
3/31/2013
77.82
68.35
77.06
4/1/2013
6/30/2013
82.54
75.10
76.99
7/1/2013
9/30/2013
82.40
73.61
75.59
10/1/2013
12/31/2013
85.82
75.20
81.41
         
1/1/2014
3/31/2014
81.70
75.26
80.60
4/1/2014
6/30/2014
82.98
78.43
78.59
7/1/2014
9/30/2014
85.40
77.29
83.74
10/1/2014
12/31/2014
93.89
81.57
91.09
         
1/1/2015
3/31/2015
91.78
80.82
81.94
4/1/2015
6/30/2015
84.20
77.10
78.24
7/1/2015
9/30/2015
82.55
65.02
71.94
10/1/2015
12/31/2015
81.23
71.30
79.41
         
1/1/2016
3/31/2016
83.87
74.46
82.31
4/1/2016
6/30/2016
84.80
79.10
84.67
7/1/2016
9/30/2016
90.22
84.32
89.75
10/1/2016
12/31/2016
90.32
81.18
84.08
         
1/1/2017
3/30/2017
92.00
83.24
89.85
4/1/2017
6/30/2017
91.13
85.52
87.15
7/1/2017
9/5/2017
94.67
86.31
90.98
10/1/2017
10/3/2017
92.40
91.29
92.12
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-25
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
($)
Low Intra-Day
Price of the
Reference Stock in
($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
65.92
55.85
65.63
4/1/2011
6/30/2011
71.75
64.49
66.77
7/1/2011
9/30/2011
72.74
62.33
62.38
10/1/2011
12/31/2011
79.42
60.45
78.48
         
1/1/2012
3/31/2012
88.86
72.86
88.61
4/1/2012
6/30/2012
91.05
81.10
87.26
7/1/2012
9/30/2012
93.59
86.11
89.94
10/1/2012
12/31/2012
94.13
82.11
83.64
         
1/1/2013
3/31/2013
93.61
84.64
92.71
4/1/2013
6/30/2013
96.72
86.05
86.62
7/1/2013
9/30/2013
91.40
82.90
86.59
10/1/2013
12/31/2013
91.81
83.82
87.13
         
1/1/2014
3/31/2014
87.20
75.28
81.87
4/1/2014
6/30/2014
91.63
81.77
84.31
7/1/2014
9/30/2014
86.83
81.19
83.40
10/1/2014
12/31/2014
90.24
81.16
81.45
         
1/1/2015
3/31/2015
85.28
75.30
75.33
4/1/2015
6/30/2015
86.90
75.28
80.17
7/1/2015
9/30/2015
86.50
76.54
79.33
10/1/2015
12/31/2015
90.27
78.46
87.91
         
1/1/2016
3/31/2016
99.53
84.49
98.11
4/1/2016
6/30/2016
102.55
95.92
101.72
7/1/2016
9/30/2016
104.18
96.95
97.22
10/1/2016
12/31/2016
98.21
86.78
91.49
         
1/1/2017
3/30/2017
114.65
89.97
112.90
4/1/2017
6/30/2017
123.53
108.56
117.45
7/1/2017
9/5/2017
121.69
109.32
111.01
10/1/2017
10/3/2017
111.71
110.07
110.19
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.TURE RESULTS.
 
 
P-26
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
 ($)
Low Intra-Day
Price of the
Reference Stock in
($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
67.50
56.45
61.58
4/1/2011
6/30/2011
64.96
57.38
63.59
7/1/2011
9/30/2011
65.30
43.06
46.86
10/1/2011
12/31/2011
57.95
42.45
50.12
         
1/1/2012
3/31/2012
65.16
50.42
63.39
4/1/2012
6/30/2012
64.73
44.47
48.43
7/1/2012
9/30/2012
59.18
44.96
54.51
10/1/2012
12/31/2012
59.97
48.18
53.33
         
1/1/2013
3/31/2013
60.60
53.72
58.99
4/1/2013
6/30/2013
73.56
54.59
73.03
7/1/2013
9/30/2013
83.21
72.90
77.98
10/1/2013
12/31/2013
92.65
75.21
92.22
         
1/1/2014
3/31/2014
91.92
79.55
84.65
4/1/2014
6/30/2014
91.26
77.36
88.77
7/1/2014
9/30/2014
94.30
84.69
87.94
10/1/2014
12/31/2014
92.14
75.89
90.46
         
1/1/2015
3/31/2015
91.20
74.52
80.31
4/1/2015
6/30/2015
91.82
78.52
87.52
7/1/2015
9/30/2015
92.51
73.97
76.21
10/1/2015
12/31/2015
88.76
73.20
81.41
         
1/1/2016
3/31/2016
80.29
57.19
72.22
4/1/2016
6/30/2016
80.48
66.51
71.34
7/1/2016
9/30/2016
82.13
67.52
81.65
10/1/2016
12/31/2016
108.27
81.07
104.06
         
1/1/2017
3/30/2017
114.55
102.15
106.68
4/1/2017
6/30/2017
111.54
102.21
108.14
7/1/2017
9/5/2017
115.25
97.93
106.32
10/1/2017
10/3/2017
107.89
106.34
107.84
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-27
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
 ($)
Low Intra-Day
Price of the
Reference Stock in
 ($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
30.96
27.20
30.60
4/1/2011
6/30/2011
31.93
29.91
31.41
7/1/2011
9/30/2011
31.77
27.29
28.52
10/1/2011
12/31/2011
30.30
27.41
30.24
         
1/1/2012
3/31/2012
31.97
29.02
31.23
4/1/2012
6/30/2012
36.00
29.95
35.66
7/1/2012
9/30/2012
38.58
34.24
37.70
10/1/2012
12/31/2012
38.43
32.71
33.71
         
1/1/2013
3/31/2013
36.87
32.76
36.69
4/1/2013
6/30/2013
39.00
34.10
35.40
7/1/2013
9/30/2013
36.31
33.19
33.82
10/1/2013
12/31/2013
36.80
33.09
35.16
         
1/1/2014
3/31/2014
35.50
31.74
35.07
4/1/2014
6/30/2014
36.85
34.32
35.36
7/1/2014
9/30/2014
37.45
34.18
35.24
10/1/2014
12/31/2014
36.15
32.07
33.59
         
1/1/2015
3/31/2015
35.07
32.41
32.65
4/1/2015
6/30/2015
36.45
32.37
35.52
7/1/2015
9/30/2015
35.93
30.97
32.58
10/1/2015
12/31/2015
34.99
32.18
34.41
         
1/1/2016
3/31/2016
39.68
33.42
39.17
4/1/2016
6/30/2016
43.42
37.77
43.21
7/1/2016
9/30/2016
43.89
39.56
40.61
10/1/2016
12/31/2016
42.84
36.10
42.53
         
1/1/2017
3/30/2017
43.03
40.25
41.55
4/1/2017
6/30/2017
41.77
37.45
37.73
7/1/2017
9/5/2017
39.67
35.10
39.17
10/1/2017
10/3/2017
39.48
39.08
39.48
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-28
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
($)
Low Intra-Day
Price of the
Reference Stock in
($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
38.95
33.36
38.54
4/1/2011
6/30/2011
38.73
34.94
37.23
7/1/2011
9/30/2011
37.86
32.28
36.80
10/1/2011
12/31/2011
40.25
35.35
40.12
         
1/1/2012
3/31/2012
40.46
37.12
38.23
4/1/2012
6/30/2012
44.76
36.80
44.44
7/1/2012
9/30/2012
46.41
42.18
45.57
10/1/2012
12/31/2012
47.32
40.51
43.27
         
1/1/2013
3/31/2013
49.59
41.50
49.15
4/1/2013
6/30/2013
54.30
47.77
50.34
7/1/2013
9/30/2013
51.94
45.08
46.66
10/1/2013
12/31/2013
51.49
46.04
49.14
         
1/1/2014
3/31/2014
49.40
45.46
47.57
4/1/2014
6/30/2014
50.33
45.85
48.93
7/1/2014
9/30/2014
53.65
48.20
49.99
10/1/2014
12/31/2014
51.72
45.09
46.78
         
1/1/2015
3/31/2015
49.99
45.37
48.63
4/1/2015
6/30/2015
50.86
46.61
46.61
7/1/2015
9/30/2015
48.26
38.06
43.51
10/1/2015
12/31/2015
47.23
42.20
46.22
         
1/1/2016
3/31/2016
54.37
43.79
54.08
4/1/2016
6/30/2016
55.92
49.05
55.84
7/1/2016
9/30/2016
56.94
51.02
51.98
10/1/2016
12/31/2016
53.90
46.01
53.38
         
1/1/2017
3/30/2017
54.83
47.80
48.75
4/1/2017
6/30/2017
49.55
44.36
44.66
7/1/2017
9/5/2017
50.32
42.82
49.49
10/1/2017
10/3/2017
50.02
49.25
49.85
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-29
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Period-Start
Date
Period-End
Date
High Intra-Day
Price of the
Reference Stock in
 ($)
Low Intra-Day
Price of the
Reference Stock in
($)
Period-End Closing Price of the Reference
Stock in ($)
1/1/2011
3/31/2011
57.89
50.97
52.05
4/1/2011
6/30/2011
56.47
51.92
53.14
7/1/2011
9/30/2011
54.81
48.31
51.90
10/1/2011
12/31/2011
60.00
51.64
59.76
         
1/1/2012
3/31/2012
62.63
58.21
61.20
4/1/2012
6/30/2012
69.72
57.18
69.72
7/1/2012
9/30/2012
75.24
69.15
73.80
10/1/2012
12/31/2012
77.50
67.37
68.23
         
1/1/2013
3/31/2013
75.11
67.72
74.83
4/1/2013
6/30/2013
79.96
72.90
74.49
7/1/2013
9/30/2013
79.00
72.20
73.96
10/1/2013
12/31/2013
81.37
71.51
78.69
         
1/1/2014
3/31/2014
79.47
72.31
76.43
4/1/2014
6/30/2014
79.98
74.68
75.07
7/1/2014
9/30/2014
77.73
72.78
76.47
10/1/2014
12/31/2014
88.09
72.62
85.88
         
1/1/2015
3/31/2015
90.95
80.54
82.25
4/1/2015
6/30/2015
82.09
70.78
70.93
7/1/2015
9/30/2015
74.14
61.50
64.84
10/1/2015
12/31/2015
67.95
56.30
61.30
         
1/1/2016
3/31/2016
69.19
60.21
68.49
4/1/2016
6/30/2016
73.19
62.72
73.02
7/1/2016
9/30/2016
75.01
70.30
72.12
10/1/2016
12/31/2016
72.57
67.08
69.12
         
1/1/2017
3/30/2017
72.80
65.29
72.08
4/1/2017
6/30/2017
80.47
71.38
75.68
7/1/2017
9/30/2017
81.98
73.13
78.14
10/1/2017
10/3/2017
79.66
77.50
79.22
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
 
P-30
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)

We expect that delivery of the Notes will be made against payment for the Notes on or about October 18, 2017, which is the third (3rd) business day following the Pricing Date (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes on any date prior to two business days before delivery will be required, by virtue of the fact that the Notes will settle in three business days (T+3), to specify alternative settlement arrangements to prevent a failed settlement. For additional information as to the relationship between us and RBCCM, please see the section “Plan of Distribution - Conflicts of Interest” in the prospectus dated January 8, 2016.
In the initial offering of the Notes, they will be offered to investors at a purchase price equal to par, except with respect to certain accounts as indicated on the cover page of this document.
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 upon 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 12 months after the Issue Date of the Notes, the value of the Notes that may be shown on your account statement is expected to 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 and our hedging costs and profits; however, the value of the Notes shown on your account statement during that period may be a higher amount, reflecting the addition of RBCCM’s 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.
STRUCTURING THE NOTES
The Notes are our debt securities, the return on which is linked to the performance of the Reference Stocks. 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 at the time of pricing. In addition, because structured notes result in increased operational, funding and liability management costs to us, we typically borrow the funds under these Notes at a rate that is more favorable to us than the rate that we might pay for a conventional fixed or floating rate debt security of comparable maturity. Using this relatively lower implied borrowing rate rather than the secondary market rate, is a factor that is likely to reduce the initial estimated value of the Notes at the time their terms are set. Unlike the estimated value included in this terms supplement or in the final pricing supplement, any value of the Notes determined for purposes of a secondary market transaction may be based on a different funding 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, other derivatives or trading in shares of any Reference Stock) on the issue date with RBCCM, one of our other subsidiaries or any third-party hedge provider. The terms of these hedging arrangements take into account a number of factors, including our creditworthiness, interest rate movements, the volatility of the Reference Stocks, and the tenor of the Notes. The economic terms of the Notes and their initial estimated value depend in part on the terms of these hedging arrangements.
The lower implied borrowing rate is a factor that reduces the economic terms of the Notes to you. The initial offering price of the Notes also reflects the underwriting commission and our estimated hedging costs. These factors result in the initial estimated value for the Notes on the Pricing Date being less than their public offering price. See “Selected Risk Considerations—The Initial Estimated Value of the Notes Will Be Less than the Price to the Public” above.
 
 
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RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
SUPPLEMENTAL DISCUSSION OF
U.S. FEDERAL INCOME TAX CONSEQUENCES
 
The following is a general description of the material U.S. tax considerations relating to the Notes. It does not purport to be a complete analysis of all tax considerations relating to the Notes. Prospective purchasers of the Notes should consult their tax advisors as to the consequences under the tax laws of the country of which they are resident for tax purposes and the tax laws of the U.S. of acquiring, holding and disposing of the Notes and receiving payments under the Notes. This summary is based upon the law as in effect on the date of this document and is subject to any change in law that may take effect after such date.
The following section supplements the discussion of U.S. federal income taxation in the accompanying prospectus and prospectus supplement and it supersedes the discussion of U.S. federal income taxation in the accompanying product prospectus supplement. It applies only to those holders who are not excluded from the discussion of U.S. federal income taxation in the accompanying prospectus. This discussion applies only to holders that will purchase the Notes upon original issuance and will hold the Notes as capital assets for U.S. federal income tax purposes.
You should consult your tax advisor concerning the U.S. federal income tax and other tax consequences of your investment in the Notes in your particular circumstances, including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws.
NO STATUTORY, JUDICIAL OR ADMINISTRATIVE AUTHORITY DIRECTLY DISCUSSES HOW THE NOTES SHOULD BE TREATED FOR U.S. FEDERAL INCOME TAX PURPOSES. AS A RESULT, THE U.S. FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES ARE UNCERTAIN. BECAUSE OF THE UNCERTAINTY, YOU SHOULD CONSULT YOUR TAX ADVISOR IN DETERMINING THE U.S. FEDERAL INCOME TAX AND OTHER TAX CONSEQUENCES OF YOUR INVESTMENT IN THE NOTES, INCLUDING THE APPLICATION OF STATE, LOCAL OR OTHER TAX LAWS AND THE POSSIBLE EFFECTS OF CHANGES IN FEDERAL OR OTHER TAX LAWS.
We will not attempt to ascertain whether any of the entities whose stock is included in the Basket would be treated as a “passive foreign investment company” within the meaning of Section 1297 of the Code, or a “U.S. real property holding corporation,” within the meaning of Section 897 of the Code. If any of the entities whose stock is included in the Basket were so treated, certain adverse U.S. federal income tax consequences could possibly apply to a holder. You should refer to any available information filed with the SEC and other authorities by the entities whose stock is included in the Basket and consult your tax advisor regarding the possible consequences to you in this regard, if any.
Royal Bank intends to treat any interest with respect to the Notes, as determined for U.S. federal income tax purposes, as from sources within the U.S.
We intend to take the position that the Notes will be treated as debt instruments subject to the special tax rules governing contingent payment debt instruments for U.S. federal income tax purposes.  Under those rules, the amount of interest you are required to take into account for each accrual period will be determined by constructing a projected payment schedule for the Notes, and applying the rules similar to those for accruing original issue discount on a hypothetical noncontingent debt instrument with that projected payment schedule.  This method is applied by first determining the yield at which we would issue a noncontingent fixed rate debt instrument with terms and conditions similar to the Notes (the “comparable yield”) and then determining a payment schedule as of the issue date that would produce the comparable yield.  A projected payment schedule with respect to a note generally is a series of projected payments, the amount and timing of which would produce a yield to maturity on that note equal to the comparable yield.  This projected payment schedule is solely for tax purposes and will consist of the Payment at Maturity.  These rules will generally have the effect of requiring you to include amounts as income in respect of the Notes prior to your receipt of cash attributable to that income.
The amount of interest that you will be required to include in income during each accrual period for the Notes will equal the product of the adjusted issue price for the Notes at the beginning of the accrual period and the comparable yield for
 
 
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RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
the Notes for such period.  The adjusted issue price of the Notes will equal the Notes’ original offering price plus any interest deemed to be accrued on the Notes (under the rules governing contingent payment debt instruments).
To obtain the comparable yield and projected payment schedule for your Note, you should call RBC Capital Markets, LLC toll free at (866) 609-6009.  You are required to use such comparable yield and projected payment schedule in determining your interest accruals in respect of your Notes, unless you timely disclose and justify on your federal income tax return the use of a different comparable yield and projected payment schedule.
The comparable yield and projected payment schedule are not provided to you for any purpose other than the determination of your interest accruals in respect of the Notes, and we make no representations regarding the amount of contingent payments with respect to the Notes.
If the contingent payment on the Notes becomes fixed on a day that is more than 6 months before the payment is due, applicable Treasury regulations provide that you should make adjustments to the prior and future interest inclusions in respect of your Notes over the remaining term for the Notes in a reasonable manner. You should consult your tax advisor as to what would be a “reasonable manner” in your particular situation.
You will recognize gain or loss on the sale or maturity of the Notes in an amount equal to the difference, if any, between the amount of cash you receive at such time and your adjusted basis in the Notes.  In general, your adjusted basis in the Notes will equal the amount you paid for the Notes, increased by the amount of interest you previously accrued with respect to the Notes (in accordance with the comparable yield for the Notes).
Any gain you recognize on the sale or maturity of the Notes will be ordinary interest income.  Any loss you recognize at such time will be ordinary loss to the extent of interest you included as income in the current or previous taxable years in respect of the Notes, and thereafter, capital loss.  The deductibility of capital losses is limited.
Backup Withholding and Information Reporting. Payments made with respect to the Notes and proceeds from the sale of the Notes may be subject to a backup withholding tax unless, in general, the holder complies with certain procedures or is an exempt recipient. Any amounts so withheld generally will be refunded by the Internal Revenue Service (the “IRS”) or allowed as a credit against the holder's U.S. federal income tax, provided the holder makes a timely filing of an appropriate tax return or refund claim.
Reports will be made to the IRS and to holders that are not exempted from the reporting requirements.
Non-U.S. Holders. The following discussion applies to non-U.S. holders of the Notes.  You are a non-U.S. holder if you are a beneficial owner of a Note and are for U.S. federal income tax purposes a non-resident alien individual, a foreign corporation, or a foreign estate or trust.
Except as discussed below, payments made to a non-U.S. holder, and any gain realized on the sale or maturity of the Notes, generally should be exempt from U.S. federal income and withholding tax, subject to generally applicable exceptions set forth in the rules exempting “portfolio interest” from U.S. withholding tax, provided that (i) the holder complies with applicable certification requirements, which certification may be made on Form W-8BEN or W-8BEN-E (or a substitute or successor form) on which the holder certifies, under penalties of perjury, that the holder is not a U.S. person and provides its name and address, (ii) the payment or gain is not effectively connected with the conduct by the holder of a U.S. trade or business, and (iii) if the holder is a non-resident alien individual, the holder is not present in the U.S. for 183 days or more during the taxable year of the sale or maturity of the Notes.  In the case of (ii) above, the holder generally should be subject to U.S. federal income tax with respect to any income or gain in the same manner as if the holder were a U.S. holder and, in the case of a holder that is a corporation, the holder may also be subject to a branch profits tax equal to 30% (or such lower rate provided by an applicable U.S. income tax treaty) of a portion of its earnings and profits for the taxable year that are effectively connected with its conduct of a trade or business in the U.S., subject to certain adjustments.  Payments made to a non-U.S. holder may be subject to information reporting and to backup withholding unless the holder complies with applicable certification and identification requirements as to its foreign status.
 
 
P-33
RBC Capital Markets, LLC

 
 
 
Individually Capped Stock Basket Notes,
due October 18, 2023
 
 
Under Section 871(m) of the Code, a “dividend equivalent” payment is treated as a dividend from sources within the United States.  Such payments generally would be subject to a 30% U.S. withholding tax if paid to a non-U.S. holder.  Under U.S. Treasury Department regulations, payments (including deemed payments) with respect to equity-linked instruments (“ELIs”) that are “specified ELIs” may be treated as dividend equivalents if such specified ELIs reference an interest in an “underlying security,” which is generally any interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment with respect to such interest could give rise to a U.S. source dividend. However, the IRS has issued guidance that states that the U.S. Treasury Department and the IRS intend to amend the effective dates of the U.S. Treasury Department regulations to provide that withholding on dividend equivalent payments will not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2019. Based on our determination that the Notes are not delta-one instruments, non-U.S. holders should not be subject to withholding on dividend equivalent payments, if any, under the Notes. However, it is possible that the Notes could be treated as deemed reissued for U.S. federal income tax purposes upon the occurrence of certain events affecting the Reference Stocks or the Notes, and following such occurrence the Notes could be treated as subject to withholding on dividend equivalent payments. Non-U.S. holders that enter, or have entered, into other transactions in respect of the Reference Stocks or the Notes should consult their tax advisors as to the application of the dividend equivalent withholding tax in the context of the Notes and their other transactions. If any payments are treated as dividend equivalents subject to withholding, we (or the applicable withholding agent) would be entitled to withhold taxes without being required to pay any additional amounts with respect to amounts so withheld.
Foreign Account Tax Compliance Act. The Foreign Account Tax Compliance Act (“FATCA”), imposes a 30% U.S. withholding tax on certain U.S. source payments of interest (and OID), dividends, or other fixed or determinable annual or periodical gain, profits, and income, and on the gross proceeds from a disposition of property (including payments at maturity, or upon a redemption or sale) of a type which can produce U.S. source interest or dividends (“withholdable payments”), if paid to a foreign financial institution (including amounts paid to a foreign financial institution on your behalf) unless such institution enters into an agreement with the U.S. Treasury Department to collect and provide to the U.S. Treasury Department certain information regarding U.S. account holders, including certain account holders that are foreign entities with U.S. owners, with such institution or otherwise complies with FATCA.  In addition, the Notes may constitute a “financial account” for these purposes and thus, be subject to information reporting requirements pursuant to FATCA.  The legislation also generally imposes a withholding tax of 30% on withholdable payments made to a non-financial foreign entity, unless that entity provides the withholding agent with a certification that it does not have any substantial U.S. owners or a certification identifying the direct and indirect substantial U.S. owners of the entity.
The U.S. Treasury Department and the IRS have announced that withholding on payments of gross proceeds from a sale or redemption of the Notes will only apply to payments made after December 31, 2018.  We will not pay additional amounts with respect to any FATCA withholding.  Therefore, if such withholding applies, any payments on the Notes will be significantly less than what you would have otherwise received.  Depending on your circumstances, these amounts withheld may be creditable or refundable to you.  Foreign financial institutions and non-financial foreign entities located in jurisdictions that have an intergovernmental agreement with the United States governing FATCA may be subject to different rules.  You are urged to consult with your own tax advisor regarding the possible implications of FATCA on your investment in the Notes.
 
 
 
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RBC Capital Markets, LLC