Filed Pursuant to Rule 433
Registration Statement No. 333-275898
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The information in this preliminary terms supplement is not complete and may be changed.
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Preliminary Terms Supplement
Subject to Completion:
Dated February 14, 2024
Pricing Supplement Dated February __, 2024 to the Product Prospectus Supplement No. CCBN-1, the Prospectus Supplement and the Prospectus, Each Dated
December 20, 2023
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$__________
Auto-Callable Contingent Coupon Barrier Notes with
Memory Coupon Linked to the Lesser Performing of
Three Exchange Traded Funds, Due February 25, 2027
Royal Bank of Canada
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Reference Assets
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Initial Prices*
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Coupon Barriers and Trigger Prices
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iShares® U.S. Real Estate ETF (“IYR”)
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70% of its Initial Price
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Financial Select Sector SPDR® Fund (“XLF”)
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70% of its Initial Price
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Consumer Discretionary Select Sector SPDR® Fund (“XLY”)
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70% of its Initial Price
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Issuer:
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Royal Bank of Canada
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Stock Exchange Listing:
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None
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Trade Date:
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February 21, 2024
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Principal Amount:
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$1,000 per Note
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Issue Date:
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February 26, 2024
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Maturity Date:
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February 25, 2027
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Coupon Observation
Dates:
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Monthly, as set forth below.
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Coupon Payment Dates:
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Monthly, as set forth below.
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Valuation Date:
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February 22, 2027
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Contingent Coupon Rate:
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8.75% per annum
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Final Price:
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For each Reference Asset, its closing price on the Valuation Date.
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Contingent Coupon
Feature and Memory
Coupon Feature:
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If the Notes have not been previously called and the closing price of each Reference Asset on the applicable Coupon Observation Date is greater than
or equal to its Coupon Barrier, we will pay the Contingent Coupon on the applicable Coupon Payment Date, together with any Contingent Coupons that were not previously paid. You may not receive any
Contingent Coupons during the term of the Notes.
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Payment at Maturity (if
held to maturity):
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If the Notes are not previously called, we will pay you at maturity an amount based on the Final Price of the Lesser Performing Reference Asset:
For each $1,000 in principal amount, $1,000, unless the Final Price of the Lesser Performing Reference Asset is less than its Coupon Barrier and Trigger Price. You will also
receive the final Contingent Coupon (and any previously unpaid Contingent Coupons) in this case.
If the Final Price of the Lesser Performing Reference Asset is less than its Coupon Barrier and Trigger Price, then the investor will receive at maturity, for each $1,000 in
principal amount, a cash payment equal to:
$1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset)
Investors in the Notes will lose some or all of their principal amount if the Final Price of the Lesser Performing Reference Asset is less than its
Trigger Price.
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Lesser Performing
Reference Asset:
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The Reference Asset with the lowest Percentage Change.
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Percentage Change:
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For each Reference Asset, an amount equal to the quotient of (a) its Final Price minus its Initial Price divided by (b) its Initial Price, expressed as
percentage.
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Call Feature:
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If, on any quarterly Call Observation Date beginning on August 21, 2024, the closing price of each Reference Asset is greater than
or equal to its Initial Price, then the Notes will be automatically called for 100% of the principal amount of the Notes, plus the Contingent Coupon applicable to the corresponding Call Observation
Date, together with any unpaid Contingent Coupons.
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Call Observation Dates:
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Quarterly, as set forth below.
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CUSIP:
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78017FGN7
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Per Note
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Total
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Price to public(1)
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100.00%
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$
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Underwriting discounts and commissions(1)
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2.50%
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$
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Proceeds to Royal Bank of Canada
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97.50%
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$
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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General:
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This terms supplement relates to an offering of Auto-Callable Contingent Coupon Barrier Notes with Memory Coupon (the “Notes”)
linked to the lesser performing of the shares of three exchange traded funds (the “Reference Assets”).
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Issuer:
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Royal Bank of Canada (the “Bank”)
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Trade Date:
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February 21, 2024
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Issue Date:
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February 26, 2024
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Valuation Date:
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February 22, 2027
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Maturity Date:
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February 25, 2027
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Denominations:
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Minimum denomination of $1,000, and integral multiples of $1,000 thereafter.
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Contingent Coupon
and Memory Coupon
Feature:
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We will pay you a Contingent Coupon during the term of the Notes, periodically in arrears on each Coupon Payment Date, under the conditions described
below:
• If the closing price of each Reference Asset on the applicable Coupon Observation Date is greater than or equal to its Coupon Barrier, we will pay the Contingent Coupon
applicable to that Coupon Observation Date, together with any Contingent Coupons that were not previously paid.
• If the closing price of any Reference Asset on the applicable Coupon Observation Date is less than its Coupon Barrier, we will not pay you the Contingent Coupon
applicable to that Coupon Observation Date.
You may not receive a Contingent Coupon for one or more monthly periods during the term of the Notes. For the avoidance of doubt, if an unpaid Contingent Coupon is paid
on a subsequent Coupon Payment Date, that unpaid Contingent Coupon will not be paid on any subsequent Coupon Payment Date.
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Contingent Coupon
Rate:
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8.75% per annum (approximately 0.7292% per month).
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Coupon Observation
Dates and Coupon
Payment Dates:
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The Coupon Observation Dates and Coupon Payment Dates will occur monthly, and the Call Observation Dates and Call Settlement Dates will occur quarterly, as set forth below:
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Coupon Observation Dates
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Coupon Payment Dates
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March 21, 2024
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March 26, 2024
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April 22, 2024
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April 25, 2024
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May 21, 2024
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May 24, 2024
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June 21, 2024
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June 26, 2024
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July 22, 2024
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July 25, 2024
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August 21, 2024(1)
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August 26, 2024(2)
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September 23, 2024
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September 26, 2024
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October 21, 2024
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October 24, 2024
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November 21, 2024(1)
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November 26, 2024(2)
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December 23, 2024
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December 27, 2024
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January 21, 2025
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January 24, 2025
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February 21, 2025(1)
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February 26, 2025(2)
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March 21, 2025
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March 26, 2025
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April 21, 2025
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April 24, 2025
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May 21, 2025(1)
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May 27, 2025(2)
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June 23, 2025
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June 26, 2025
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July 21, 2025
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July 24, 2025
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August 21, 2025(1)
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August 26, 2025(2)
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September 22, 2025
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September 25, 2025
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October 21, 2025
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October 24, 2025
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November 21, 2025(1)
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November 26, 2025(2)
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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December 22, 2025
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December 26, 2025
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January 21, 2026
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January 26, 2026
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February 23, 2026(1)
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February 26, 2026(2)
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March 23, 2026
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March 26, 2026
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April 21, 2026
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April 24, 2026
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May 21, 2026(1)
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May 27, 2026(2)
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June 22, 2026
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June 25, 2026
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July 21, 2026
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July 24, 2026
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August 21, 2026(1)
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August 26, 2026(2)
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September 21, 2026
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September 24, 2026
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October 21, 2026
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October 26, 2026
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November 23, 2026(1)
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November 27, 2026(2)
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December 21, 2026
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December 24, 2026
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January 21, 2027
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January 26, 2027
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February 22, 2027 (the Valuation Date)
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February 25, 2027 (the Maturity Date)
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(1) This date is also a Call Observation Date.
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(2) This date is also a Call Settlement Date.
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Record Dates:
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The record date for each Coupon Payment Date will be one business day prior to that scheduled Coupon Payment Date; provided, however, that any
Contingent Coupons payable at maturity or upon an automatic call will be payable to the person to whom the payment at maturity or call, as the case may be, will be payable.
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Call Feature:
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If on any quarterly Call Observation Date beginning in August 2024, the closing price of each Reference Asset is greater than or equal to its Initial
Price, then the Notes will be automatically called.
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Payment if Called:
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If the Notes are automatically called, then, on the applicable Call Settlement Date, for each $1,000 in principal amount of the Notes, you will receive
$1,000 plus the Contingent Coupon otherwise due on the applicable Coupon Payment Date and any previously unpaid Contingent Coupons.
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Call Settlement Dates:
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If the Notes are called on any Call Observation Date beginning in August 2024, the Call Settlement Date will be the corresponding Coupon Payment Date
corresponding to that Call Observation Date.
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Initial Price:
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For each Reference Asset, its closing price on the Trade Date.
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Final Price:
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For each Reference Asset, its closing price on the Valuation Date.
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Coupon Barrier and
Trigger Price:
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For each Reference Asset, 70% of its Initial Price.
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Payment at Maturity (if
not previously called
and held to maturity):
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If the Notes are not previously called, we will pay you at maturity, for each $1,000 in principal amount:
• If the Final Price of the Lesser Performing Reference Asset is greater than or equal to its Coupon Barrier and Trigger Price, $1,000 plus the
Contingent Coupon due at maturity. You will also receive the final Contingent Coupon (and any previously unpaid Contingent Coupons) in this case.
• If the Final Price of the Lesser Performing Reference Asset is less than its Coupon Barrier and Trigger
Price, a cash payment equal to:
$1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset)
Investors in the Notes will lose some or all of their principal amount if the Final Price of the Lesser Performing Reference Asset
is less than its Trigger Price.
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Percentage Change:
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With respect to each Reference Asset:
Final Price - Initial Price
Initial Price
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Stock Settlement:
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Not applicable. Payments on the Notes will be made solely in cash.
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Lesser Performing
Reference Asset:
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The Reference Asset with the lowest Percentage Change.
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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Market Disruption
Events:
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The occurrence of a market disruption event (or a non-trading day) as to any Reference Asset will result in the postponement of a Coupon
Observation Date, a Call Observation Date or the Valuation Date as to that Reference Asset, as described in the product prospectus supplement, but not to any non-affected Reference Asset.
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Calculation Agent:
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RBC Capital Markets, LLC (“RBCCM”)
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U.S. Tax Treatment:
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By purchasing a Note, each holder agrees (in the absence of a change in law, an administrative determination or a judicial ruling
to the contrary) to treat the Notes as a callable pre-paid cash-settled contingent income-bearing derivative contract linked to the Reference Assets for U.S. federal income tax purposes. However, the U.S. federal income tax consequences
of your investment in the Notes are uncertain and the Internal Revenue Service could assert that the Notes should be taxed in a manner that is different from that described in the preceding sentence. Please see the section below,
“Supplemental Discussion of U.S. Federal Income Tax Consequences,” and the discussion (including the opinion of Ashurst LLP, our special U.S. tax counsel) in the product prospectus supplement dated December 20, 2023 under “Supplemental
Discussion of U.S. Federal Income Tax Consequences,” which apply to the Notes.
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Secondary Market:
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RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary market in the Notes after the issue
date. The amount that you may receive upon sale of your Notes prior to maturity may be less than the principal amount of your Notes.
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Listing:
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The Notes will not be listed on any securities exchange.
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Clearance and
Settlement:
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DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as described under “Ownership and
Book-Entry Issuance” in the prospectus dated December 20, 2023).
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Terms Incorporated in
the Master Note:
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All of the terms appearing on the cover page and above the item captioned “Secondary Market” in this section and the terms
appearing under the caption “General Terms of the Notes” in the product prospectus supplement, as modified by this terms supplement.
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|
Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
|
Hypothetical Initial Price (for each Reference Asset):
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$100.00*
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Hypothetical Coupon Barrier and Trigger Price: (for each
Reference Asset):
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70% of each hypothetical Initial Price
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Contingent Coupon Rate:
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8.75% per annum (or approximately 0.7292% per month).
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Contingent Coupon Amount:
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Approximately $7.292 per month
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Coupon Observation Dates:
|
Monthly
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Principal Amount:
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$1,000 per Note
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Hypothetical Final Price of the Lesser
Performing Reference Asset
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Payment at Maturity as
Percentage of Principal Amount
(assuming the Notes were not
previously called)
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Cash Payment Amount per
$1,000 in Principal Amount
|
$130.00
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100.00%*
|
$1,000.00*
|
$120.00
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100.00%*
|
$1,000.00*
|
$110.00
|
100.00%*
|
$1,000.00*
|
$100.00
|
100.00%*
|
$1,000.00*
|
$90.00
|
100.00%*
|
$1,000.00*
|
$80.00
|
100.00%*
|
$1,000.00*
|
$70.00
|
100.00%*
|
$1,000.00*
|
$69.99
|
69.99%
|
$699.90
|
$60.00
|
60.00%
|
$60.00
|
$50.00
|
50.00%
|
$50.00
|
$40.00
|
40.00%
|
$40.00
|
$30.00
|
30.00%
|
$30.00
|
$20.00
|
20.00%
|
$20.00
|
$10.00
|
10.00%
|
$10.00
|
$0.00
|
0.00%
|
$0.00
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
|
• |
You May Lose Some or All of the Principal Amount at Maturity — Investors in the Notes could lose all or a substantial portion of their principal amount if there is a
decline in the price of the Lesser Performing Reference Asset between the Trade Date and the Valuation Date. If the Notes are not automatically called and the Final Price of the Lesser Performing Reference Asset is less than its Trigger
Price, the amount of cash that you receive at maturity will represent a loss of your principal that is proportionate to the decline in the closing price of the Lesser Performing Reference Asset from the Trade Date to the Valuation Date.
Any Contingent Coupons received on the Notes prior to the Maturity Date may not be sufficient to compensate for any such loss.
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• |
The Payments on the Notes Are Limited — The payments on the Notes will be limited to the Contingent Coupons. Accordingly, your return on the Notes may be less than your
return would be if you made an investment in the Reference Assets, the securities included in the Reference Assets, or in a security directly linked to the positive performance of the Reference Assets.
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• |
The Notes Are Subject to an Automatic Call — If on any quarterly Call Observation Date beginning in August 2024, the closing price of each Reference Asset is greater than
or equal to its Initial Price, then the Notes will be automatically called. If the Notes are automatically called, then, on the applicable Call Settlement Date, for each $1,000 in principal amount, you will receive $1,000 plus the
Contingent Coupon otherwise due on the applicable Coupon Payment Date (together with any previously unpaid Contingent Coupons). You will not receive any Contingent Coupons after that payment. You may be unable to reinvest your proceeds
from the automatic call in an investment with a return that is as high as the return on the Notes would have been if they had not been called.
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• |
You May Not Receive Any Contingent Coupons — We will not necessarily make any coupon payments on the Notes. If the closing price of any of the Reference Assets on a
Coupon Observation Date is less than its Coupon Barrier, we will not pay you the Contingent Coupon applicable to that Coupon Observation Date. If the closing price of any Reference Asset is less than its Coupon Barrier on each of the
Coupon Observation Dates and on the Valuation Date, we will not pay you any Contingent Coupons during the term of, and you will not receive a positive return on, your Notes. Generally, this non-payment of the Contingent Coupon may
coincide with a period of greater risk of principal loss on your Notes. Accordingly, if we do not pay the Contingent Coupon on the Maturity Date, you will also incur a loss of principal, because the Final Price of the Lesser Performing
Reference Asset will be less than its Trigger Price. Notwithstanding the memory coupon feature of the Notes, it is possible that any unpaid Contingent Coupons will remain unpaid for the remaining term of the Notes.
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• |
The Notes Are Linked to the Lesser Performing Reference Asset, Even if the Other Reference Assets Perform Better — If any of the Reference Assets has a Final Price that
is less than its Trigger Price, your return on the Notes will be linked to the lesser performing of the three Reference Assets. Even if the Final Prices of the other Reference Assets have increased compared to their respective Initial
Prices, or have decreased by less than the decrease in the price of the Lesser Performing Reference Asset, your return will be determined only by reference to the performance of the Lesser Performing Reference Asset, regardless of the
performance of the other Reference Assets.
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• |
Your Payment on the Notes Will Be Determined by Reference to Each Reference Asset Individually, Not to a Basket, and the Payment at Maturity Will Be Based on the Performance of
the Lesser Performing Reference Asset — The Payment at Maturity will be determined only by reference to the performance of the Lesser Performing Reference Asset, regardless of the performance of the other Reference Assets. The
Notes are not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components. For example, in the case of notes linked to a weighted basket, the return would depend on the weighted
aggregate performance of the basket components reflected as the basket return. As a result, the depreciation of one basket component could be mitigated by the appreciation of the other basket components, as scaled by the weighting of the
basket components. However, in the case of the Notes, the individual performance of each of the Reference
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|
|
Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
|
• |
The Call Feature and the Contingent Coupon Feature Limit Your Potential Return — The return potential of the Notes is limited to the pre-specified Contingent Coupon Rate,
regardless of the appreciation of the Reference Assets. In addition, the total return on the Notes will vary based on the number of Coupon Observation Dates on which the Contingent Coupon becomes payable prior to maturity or upon an
automatic call. Further, if the Notes are called due to the Call Feature, you will not receive any Contingent Coupons or any other payment in respect of any Coupon Observation Dates after the applicable Coupon Payment Date. Since the
Notes could be called as early as the Coupon Observation Date occurring in August 2024, the total return on the Notes could be minimal. If the Notes are not called, you may be subject to the full downside performance of the Lesser
Performing Reference Asset even though your potential return is limited to the Contingent Coupon Rate. As a result, the return on an investment in the Notes could be less than the return on a direct investment in the Reference Assets.
|
• |
Your Return on the Notes May Be Lower than the Return on a Conventional Debt Security of Comparable 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 Changes in Our Credit Ratings Are Expected to Affect the Market Value of the Notes — The Notes are our senior
unsecured debt securities. As a result, your receipt of any Contingent Coupons, if payable, and the amount due on any applicable payment date is dependent upon our ability to repay our obligations on the applicable payment dates. This
will be the case even if the prices of the Reference Assets increase after the Trade Date. 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 our other affiliates may make a market for the Notes; however, they are not required to do so. RBCCM or any of our other affiliates may stop any market-making
activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We expect that transaction costs in any secondary market would be high. As a
result, the difference between bid and asked prices for your Notes in any secondary market could be substantial.
|
• |
The Initial Estimated Value of the Notes Will Be Less than the Price to the Public — The initial estimated value that will be set
forth in the final pricing supplement relating to the Notes will 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 prices of the Reference Assets, the
borrowing rate we pay to issue securities of this kind, and the inclusion in the price to the public of the underwriting discount, the referral fee and the estimated costs relating to our hedging of the Notes. These factors, together with
various credit, market and economic factors over the term of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any secondary market and will affect the value of the Notes in complex and
unpredictable ways. Assuming no change in market conditions or any other relevant factors, the price, if any, at which you may be able to sell your Notes prior to maturity may be less than your original purchase price, as any such sale
price would not be expected to include the underwriting discount, the referral fee or our hedging costs relating to the Notes. In addition to bid-ask spreads, the value of the Notes determined by RBCCM for any secondary market price is
expected to be based on the secondary rate rather than the internal funding rate used to price the Notes and determine the initial estimated value. As a result, the secondary price will be less than if the internal funding rate was used.
The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
|
|
|
Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
|
• |
The Initial Estimated Value of the Notes that We Will Provide in the Final Pricing Supplement Will Be an Estimate Only, Calculated as of the Time the Terms of the Notes Are Set
— The initial estimated value of the Notes will be based on the value of our obligation to make the payments on the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes. See “Structuring
the Notes” below. Our estimate will be based on a variety of assumptions, including our credit spreads, expectations as to dividends, interest rates and volatility, and the expected term of the Notes. These assumptions are based on
certain forecasts about future events, which may prove to be incorrect. Other entities may value the Notes or similar securities at a price that is significantly different than we do.
|
• |
Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the Reference Assets or to the
securities included in or represented by the Reference Assets that are not for the account of holders of the Notes or on their behalf. These trading activities may present a conflict between the holders’ interests in the Notes and the
interests we and our affiliates will have in their proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for their customers and in accounts under their management. These trading
activities, if they influence the prices of the Reference Assets, could be adverse to the interests of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with the securities
included in or represented by the Reference Assets, including making loans to or providing advisory services. These services could include investment banking and merger and acquisition advisory services. These activities may present a
conflict between our or one or more of our affiliates’ obligations and your interests as a holder of the Notes. Moreover, we, and our affiliates may have published, and in the future expect to publish, research reports with respect to the
Reference Assets or the securities included in or represented by the Reference Assets. This research is modified from time to time without notice and may express opinions or provide recommendations that are inconsistent with purchasing or
holding the Notes. Any of these activities by us or one or more of our affiliates may affect the price or prices, as applicable, of the Reference Assets, and therefore, the market value of the Notes.
|
• |
An Investment in the Notes Is Subject to Risks Associated with Specific Economic Sectors— The stocks held by each exchange traded fund to which the Notes are linked are
issued by companies engaged in a specific sector of the economy, specifically, the real estate sector, as to the IYR, the financial sector, as to the XLF, and the consumer discretionary sector, as to the XLY. Accordingly, an investment in
the Notes is subject to the specific risks of companies that operate in each of those sectors. An investment in the Notes may accordingly be more risky than a security linked to a more diversified set of securities.
|
• |
Owning the Notes Is Not the Same as Owning Shares of the Reference Assets or the Securities Represented by the Reference Assets — The return on your Notes is unlikely to
reflect the return you would realize if you actually owned shares of the Reference Assets or the securities included in or represented by the Reference Assets. For instance, you will not receive or be entitled to receive any dividend
payments or other distributions on those securities during the term of your Notes. As an owner of the Notes, you will not have voting rights or any other rights that holders of those securities may have. Furthermore, the Reference Assets
may appreciate substantially during the term of the Notes, while your potential return will be limited to the applicable Contingent Coupon payments.
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You Must Rely on Your Own Evaluation of the Merits of an Investment Linked to the Reference Assets — In the ordinary course of their business, our affiliates may have
expressed views on expected movements in the Reference Assets or the equity securities that they represent, and may do so in the future. These views or reports may be communicated to our clients and 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 Asset 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 Assets from multiple sources, and you should not rely solely on views expressed by our affiliates.
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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An Investment in the Notes Is Subject to Management Risk — The Reference Assets are not managed according to traditional methods of ‘‘active’’ investment management,
which involve the buying and selling of securities based on economic, financial and market analysis and investment judgment. Instead, each Reference Asset, utilizing a ‘‘passive’’ or indexing investment approach, attempts to approximate
the investment performance of its underlying index by investing in a portfolio of securities that generally replicate its underlying index. Therefore, unless a specific security is removed from its underlying index, the Reference Asset
generally would not sell a security because the security’s issuer was in financial trouble. In addition, each Reference Asset is subject to the risk that the investment strategy of its investment advisor may not produce the intended
results.
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The Reference Assets and their Underlying Indices Are Different — The performance of each Reference Asset may not exactly replicate the performance of its respective
underlying index, because these Reference Assets will reflect transaction costs and fees that are not included in the calculation of its underlying index. It is also possible that the performance of these Reference Assets may not fully
replicate or may in certain circumstances diverge significantly from the performance of their underlying indices due to the temporary unavailability of certain securities in the secondary market, the performance of any derivative
instruments contained in the Reference Assets, or due to other circumstances. These Reference Assets may use a variety of instruments, including futures contracts, options, swap agreements, repurchase agreements and other instruments, in
seeking performance that corresponds to their underlying indices and in managing cash flows.
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We and Our Affiliates Do Not Have Any Affiliation with the Investment Advisor of Any Reference Asset or the Sponsor of Any Underlying Index and Are Not Responsible for Their
Public Disclosure of Information — We and our affiliates are not affiliated with the investment advisor of any Reference Asset or the sponsor of any underlying index in any way and have no
ability to control or predict their actions, including any errors in or discontinuance of disclosure regarding their methods or policies relating to the Reference Assets or the underlying indices. The investment advisors of the Reference
Assets and the sponsors of the underlying indices are not involved in the offering of the Notes in any way and have no obligation to consider your interests as an owner of the Notes in taking any actions relating to the Reference Assets
or the underlying indices that might affect the value of the Notes. Neither we nor any of our affiliates has independently verified the adequacy or accuracy of the information about the investment advisors, the sponsors, the Reference
Assets or the underlying indices contained in any public disclosure of information. You, as an investor in the Notes, should make your own investigation into the Reference Assets.
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The Policies of the Investment Advisors of the Reference Assets or the Sponsors of the Underlying Indices Could Affect the Amount Payable on the Notes and Their Market Value — The
policies of the investment advisors concerning the management of the Reference Assets or the sponsors concerning the calculation of the underlying indices, additions, deletions or substitutions of the securities held by the Reference
Assets could affect the market price of shares of the Reference Assets and, therefore, the amounts payable on the Notes and the market value of the Notes. The amounts payable on the Notes and their market value could also be affected if
the investment advisors or the sponsors change these policies, for example, by changing the manner in which an investment advisor manages the Reference Assets, or if a sponsor changes the manner in which it calculates an underlying index,
or if a Reference Asset’s investment advisor discontinues or suspends maintenance of a Reference Asset, in which case it may become difficult to determine the market value of the Notes. Neither the investment advisors of the Reference
Assets nor the sponsors of the underlying indices have any connection to the offering of the Notes, and the investment advisors and the sponsors have no obligations to you as an investor in the Notes in making their decisions regarding
its Reference Asset or the underlying indices, as applicable.
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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Changes that Affect the Reference Assets’ Underlying Indices Will Affect the Market Value of the Notes and the Payments on the Notes — The policies of the sponsors of
the Reference Assets’ underlying indices concerning the calculation of the underlying indices, additions, deletions or substitutions of the components of the underlying indices and the manner in which changes affecting those components,
such as applicable stock dividends, reorganizations or mergers, may be reflected in the underlying indices and, therefore, could affect the amounts payable on the Notes, and the market value of the Notes prior to maturity. The amounts
payable on the Notes and their market value could also be affected if the index sponsors change these policies, for example, by changing the manner in which they calculate the underlying indices, or if the index sponsors discontinue or
suspend calculation or publication of the underlying indices, in which case it may become difficult to determine the market value of the Notes.
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The Payments on the Notes Are Subject to Postponement due to Market Disruption Events and Adjustments — The payment at maturity, each Coupon Observation Date, each Call
Observation Date and the Valuation Date are subject to adjustment as described in the product prospectus supplement. For a description of what constitutes a market disruption event as well as the consequences of that market disruption
event, see “General Terms of the Notes—Market Disruption Events” in the product prospectus supplement.
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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Each of the component stocks in a Select Sector Index (the “Component Stocks”) is a constituent company of the S&P 500® Index.
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The eleven Select Sector Indices together will include all of the companies represented in the S&P 500® Index and each of the stocks in the S&P 500® Index will be allocated to one of the Select Sector Indices.
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Each constituent stock of the S&P 500® Index is assigned to a Select Sector Index based on the Global Industry Classification Sector (“GICS”) structure. Each Select Sector
Index is made up of all the stocks in the applicable GICS sector.
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Each Select Sector Index is calculated by S&P using a capped market capitalization methodology where single index constituents or defined groups of index constituents are confined to a maximum weight and
the excess weight is distributed proportionally among the remaining index constituents. Each Select Sector Index is rebalanced from time to time to re-establish the proper weighting.
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For reweighting purposes, each Select Sector Index is rebalanced quarterly after the close of business on the third Friday of March, June, September and December using the following procedures: (1) The
rebalancing reference date is the second Friday of March, June, September and December; (2) With prices reflected on the rebalancing reference date, and membership, shares outstanding and investable weight factors as of the rebalancing
effective date, each company is weighted by float-adjusted market capitalization methodology. Modifications are made as defined below.
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If any Component Stock has a weight greater than 24%, that Component Stock has its float-adjusted market capitalization weight capped at 23%. The 23% weight cap creates a 2% buffer to ensure that no Component
Stock exceeds 25% as of the quarter-end diversification requirement date.
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ii. |
All excess weight is equally redistributed to all uncapped Component Stocks within the relevant Select Sector Index.
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After this redistribution, if the float-adjusted market capitalization weight of any other Component Stock(s) then breaches 23%, the process is repeated iteratively until no Component Stocks breaches the 23%
weight cap.
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The sum of the Component Stocks with weights greater than 4.8% cannot exceed 50% of the total index weight. These caps are set to allow for a buffer below the 5% limit.
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If the rule in step (iv) is breached, all the Component Stocks are ranked in descending order of their float-adjusted market capitalization weights and the first Component Stock that causes the 50% limit to be
breached has its weight reduced to 4.5%.
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This excess weight is equally redistributed to all Component Stocks with weights below 4.5%. This process is repeated iteratively until step (iv) is satisfied.
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vii. |
Index share amounts are assigned to each Component Stock to arrive at the weights calculated above. Since index shares are assigned based on prices one week prior to rebalancing, the actual weight of each
Component Stock at the rebalancing differs somewhat from these weights due to market movements.
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viii. |
If, on the second to last business day of March, June, September, or December a company has a weight greater than 24% or the sum of the companies with weights greater than 4.8% exceeds 50%, a secondary
rebalancing will be triggered with the rebalancing effective date being after the close of the last business day of the month. This secondary rebalancing will use the closing prices as of the second to last business day of March, June,
September, or December and membership, shares outstanding, and IWFs as of the rebalancing date.
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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Auto-Callable Contingent Coupon Barrier Notes
with Memory Coupon Linked to the Lesser
Performing of Three Exchange Traded Funds
Royal Bank of Canada
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