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Filed Pursuant to Rule 424(b)(2)
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 April 24, 2024
Pricing Supplement Dated April __, 2024, to the Product Prospectus Supplement ERN-EI-1, the Prospectus Supplement and the Prospectus, Each Dated December 20, 2023
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$
Auto-Callable Geared Buffered Notes Linked
to the Lesser Performing of Two Equity
Indices, due October 28, 2025
Royal Bank of Canada
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Reference Assets
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Initial Levels*
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Buffer Levels**
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Nasdaq-100 Index® ("NDX")
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17,471.47
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13,977.18, which is 80% of its Initial Level
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Russell 2000® Index ("RTY")
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2,002.643
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1,602.114, which is 80% of its Initial Level
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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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April 25, 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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April 30, 2024
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Coupon Payments:
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The Coupon Payments will be paid in equal semi-annual installments at the rate of 8.45% per annum.
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Observation Dates:
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Semi-annual, as set forth below
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Final Level:
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For each Reference Asset, its closing level on the Valuation Date.
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Maturity Date:
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October 28, 2025
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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 an amount in cash based on the Final Level of the Lesser Performing Reference Asset:
For each $1,000 in principal amount of the Notes, $1,000 plus the final Coupon Payment, unless the Final Level of either Reference Asset is less than
its respective Buffer Level.
If the Final Level of either Reference Asset is less than its Buffer Level, then the investor will receive at maturity, in addition to the final Coupon
Payment, an amount in cash equal to, for each $1,000 in principal amount, the sum of:
$1,000 + [$1,000 x (Percentage Change of the Lesser Performing Reference Asset + 20%) x (100/80)]
In this case, investors could lose some or all of their investment at maturity.
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Lesser Performing
Reference Asset:
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The Reference Asset with the lowest Percentage Change.
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Call Feature:
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If the closing level of each Reference Asset is greater than or equal to its Initial Level starting on October 23, 2024 or on any semi-annual Observation Date thereafter, the Notes will be
automatically called for 100% of their principal amount, plus the Coupon applicable to that Observation Date.
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CUSIP:
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78017FVN0
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Per Note
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Total
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Price to public
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100.00%
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Underwriting discounts and commissions(1)
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1.00%
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Proceeds to Royal Bank of Canada
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99.00%
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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General:
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This terms supplement relates to an offering of Auto-Callable Geared Buffered Notes (the “Notes”) linked to the lesser performing
of the Reference Assets listed on the cover page of this document.
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Issuer:
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Royal Bank of Canada (the “Bank”)
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Strike Date:
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April 23, 2024
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Trade Date (Pricing
Date):
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April 25, 2024
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Issue Date:
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April 30, 2024
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Valuation Date:
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October 23, 2025
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Maturity Date:
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October 28, 2025
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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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Coupon Rate:
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8.45% per annum. The Coupon Payments will be paid in equal semi-annual installments of $42.25 per $1,000 in principal amount of
the Notes on the applicable Coupon Payment Date.
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Key Dates:
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The Observation Dates and Coupon Payment Dates will occur semi-annually, as set forth below:
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Observation Dates
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Coupon Payment Dates
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October 23, 2024
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October 28, 2024
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April 23, 2025
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April 28, 2025
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October 23, 2025
(the Valuation Date)
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October 28, 2025
(the Maturity Date)
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The Observation Dates and Coupon Payment Dates are subject to postponement as set forth in the product supplement and the prospectus supplement.
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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 Coupon payable at maturity or upon a call will be payable to the person to whom the payment at maturity or upon the call, as the case may be, will be payable.
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Call Feature:
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If, starting on October 23, 2024 and on any semi-annual Observation Date thereafter, the
closing level of each Reference Asset is greater than or equal to its Initial Level, 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 Coupon Payment Date, for each $1,000 in principal amount of the
Notes, you will receive $1,000 plus the Coupon otherwise due on that Coupon Payment Date.
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Percentage Change:
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With respect to each Reference Asset, and expressed as a percentage:
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Lesser Performing
Reference Asset:
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The Reference Asset which has the lowest Percentage Change.
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Initial Levels:
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For each Reference Asset, its closing level on the Strike Date, as set forth on the cover page of this document.
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Buffer Levels:
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For each Reference Asset, 80% of its Initial Level, as set forth on the cover page of this document.
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Final Levels:
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For each Reference Asset, its closing level on the Valuation Date.
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Downside Multiplier:
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100/80, which is 1.25.
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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, for each $1,000 in principal amount of the Notes, we will pay you at maturity an amount
in cash based on the Final Level of the Lesser Performing Reference Asset:
• If the Final Level of the Lesser Performing Reference Asset is greater than or equal to its Buffer Level, we will pay
you a cash payment equal to the principal amount plus the Coupon Payment otherwise due on the Maturity Date.
• If the Final Level of the Lesser Performing Reference Asset is less than its Buffer Level, you will receive at maturity, in addition to the final
Coupon Payment, an amount in cash equal to:
$1,000 + [$1,000 x (Percentage Change of the Lesser Performing Reference Asset + 20%) x (100/80)]
In this case, investors in the Notes could lose some or all of their investment at maturity.
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Monitoring Period:
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The Valuation Date. The closing levels of the Reference Assets between the Strike Date and the Valuation Date will not impact the Payment at Maturity.
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Monitoring Method:
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Close of Trading Day
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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 either of the Reference Assets will result in the postponement of an
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 Note as an investment unit consisting of (i) a non-contingent debt instrument issued by us to you and (ii) a put option with respect to the Reference Assets written by you and purchased by us.
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” including the opinion of Ashurst LLP, our
special U.S. tax counsel).
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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 an
investor may receive upon sale of the Notes prior to maturity may be less than the principal amount.
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Listing:
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The Notes will not be listed on any securities exchange.
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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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)
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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 applicable
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 Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Hypothetical Final
Level of the Lesser
Performing
Reference Asset
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Percentage Change
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Payment at Maturity as
Percentage of
Principal Amount*
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Hypothetical
Payment at Maturity*
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150.00
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50.00%
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104.225%
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$1,042.25
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130.00
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30.00%
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104.225%
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$1,042.25
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120.00
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20.00%
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104.225%
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$1,042.25
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110.00
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10.00%
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104.225%
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$1,042.25
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100.00
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0.00%
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104.225%
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$1,042.25
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90.00
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-10.00%
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104.225%
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$1,042.25
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85.00
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-15.00%
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104.225%
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$1,042.25
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80.00
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-20.00%
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104.225%
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$1,042.25
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75.00
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-25.00%
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97.975%
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$979.75
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70.00
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-30.00%
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91.725%
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$917.25
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60.00
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-40.00%
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79.225%
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$792.25
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50.00
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-50.00%
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66.725%
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$667.25
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30.00
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-70.00%
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41.725%
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$417.25
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0.00
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-100.00%
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4.225%
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$42.25
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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You May Lose Some or All of the Principal Amount at Maturity — Investors in the Notes could lose some or all of their principal amount if there is a decline in the
level in either Reference Asset between the Strike Date and the Valuation Date. If the Notes are not automatically called and the Final Level of the Lesser Performing Reference Asset is less than its Buffer Level, you will lose 1.25% of
the principal amount for each 1% that the Final Level is less than the Buffer Level. The rate of interest payable on the Notes may not be sufficient to compensate for any such loss.
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The Notes Are Subject to an Automatic Call — If on any Observation Date, beginning in October 2024, the closing level of the Lesser Performing Reference Asset is
greater than or equal to its Initial Level, then the Notes will be automatically called. If the Notes are automatically called, then, on the applicable Coupon Payment Date, for each $1,000 in principal amount of the Notes, you will
receive $1,000 plus the Coupon otherwise due on the applicable Coupon Payment Date. You will not receive any 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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The Payments on the Notes Are Limited — The payments on the Notes will be limited to the Coupon Payments. 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 Amount Payable at Maturity Will Be Determined Solely by Reference to the Lesser Performing Reference Asset Even if the Other Reference Asset Performs Better — The
Payment at Maturity will be determined solely by reference to the performance of the Lesser Performing Reference Asset. Even if the Final Level of the other Reference Asset has increased compared to its Initial Level, or has experienced
a decrease that is less than that of the Lesser Performing Reference Asset, your return will only be determined by reference to the performance of the Lesser Performing Reference Asset, regardless of the performance of the other
Reference Asset. The Notes are not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components. For example, in the case of notes linked to a weighted basket, the return would
depend on the weighted aggregate performance of the basket components reflected as the basket return. As a result, the depreciation of one basket component could be mitigated by the appreciation of the other basket component, as scaled
by the weighting of that basket component. However, in the case of the Notes, the individual performance of each of the Reference Assets would not be combined, and the depreciation of one Reference Asset would not be mitigated by any
appreciation of the other Reference Asset. Instead, your return will depend solely on the Final Level of the Lesser Performing Reference Asset. Because each Reference Asset tracks a different segment of the U.S. equities market, they
may both decrease in a comparable manner.
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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.
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Owning the Notes Is Not the Same as Owning 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 the securities 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 the Reference Assets may have. Further, the level of one or both of the Reference Assets may increase substantially during the term of
the Notes, while your return on the Notes is limited to the Coupon Payments.
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Payments on the Notes Are Subject to Our Credit Risk, and Changes in Our Credit Ratings Are Expected to Affect the Market Value of the Notes — The Notes are our senior
unsecured debt securities. As a result, your receipt of each Coupon Payment and the amount due on any relevant payment date is dependent upon our ability to repay our obligations on the applicable payment dates. This will be the case
even if the levels of the Reference Assets increase after the Strike Date. No assurance can be given as to what our financial condition will be at any time during the term 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 Observation Date, each Coupon
Payment 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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The Tax Treatment of the Notes Is Uncertain — The U.S. federal income tax treatment of an investment in the Notes is uncertain. We do not plan to request a ruling from
the Internal Revenue Service (the "IRS") regarding the tax treatment of an investment in the Notes, and the IRS or a court may not agree with the tax treatment described in this document.
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There May Not Be an Active Trading Market for the Notes-Sales in the Secondary Market May Result in Significant Losses — There may be little or no secondary market for
the Notes. The Notes will not be listed on any securities exchange. RBCCM and our other affiliates may make a market for the Notes; however, they are not required to do so. RBCCM or any of our other affiliates may stop any market-making
activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We expect that transaction costs in any secondary market would be high. As a
result, the difference between bid and ask prices for your Notes in any secondary market could be substantial.
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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 on the cover page of the final
pricing supplement for 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 levels 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 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 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.
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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
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the Notes or to the securities
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 levels of the Reference Assets, could be adverse to the interests of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with the issuers of the securities
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 securities 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 values of the Reference Assets, and, therefore, the market value of the Notes.
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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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An Investment in the Notes Is Subject to Risks Associated in Investing in Stocks With a Small Market Capitalization — The RTY consists of stocks issued by companies
with relatively small market capitalizations. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies. As a result, the level of the RTY may be more
volatile than that of a market measure that does not track solely small-capitalization stocks. Stock prices of small-capitalization companies are also generally more vulnerable than those of large-capitalization companies to adverse
business and economic developments, and the stocks of small-capitalization companies may be thinly traded, and be less attractive to many investors if they do not pay dividends. In addition, small capitalization companies are often less
well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of those individuals. Small capitalization companies tend to have
lower revenues, less diverse product lines, smaller shares of their target markets, fewer financial resources and fewer competitive strengths than large-capitalization companies. These companies may also be more susceptible to adverse
developments related to their products or services.
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An Investment in the Notes Is Subject to Risks Relating to Non-U.S. Securities Markets — Because certain securities included in the NDX are issued by non-U.S. issuers
and/or are traded outside of the U.S., an investment in the Notes involves particular risks. For example, the relevant non-U.S. securities markets may be more volatile
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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the security must generally be a common stock, ordinary share, American Depositary Receipt ("ADR"), or tracking stock. Companies organized as real estate investment trusts are not eligible for index
inclusion. If the security is an ADR, then references to the “issuer” are references to the underlying security and the total shares outstanding is the actual ADRs outstanding as reported by the depositary banks. If an issuer has listed
multiple security classes, all security classes are eligible, subject to meeting all other security eligibility criteria;
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the security’s primary U.S. listing must exclusively be listed on the Nasdaq Global Select Market or the Nasdaq Global Market;
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if the security is issued by an issuer organized under the laws of a jurisdiction outside the United States, it must have listed options on a registered options market in the United States or be eligible for
listed-options trading on a registered options market in the United States;
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the security must be issued by a non-financial company (any industry other than Financials) according to the Industry Classification Benchmark;
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the security must have a minimum average daily trading volume of 200,000 shares s (measured over the three calendar months ending with the month that includes the reconstitution reference date);
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the security must have traded for at least three full calendar months, not including the month of initial listing, on an “eligible exchange,” which includes Nasdaq (Nasdaq Global Select Market, Nasdaq Global
Market, or Nasdaq Capital Market), NYSE, NYSE American or CBOE BZX. Eligibility is determined as of the constituent selection reference date, and includes that month. A security that was added to the NDX as a result of a spin-off event
will be exempt from this requirement;
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the security may not be issued by an issuer currently in bankruptcy proceedings; and
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the issuer of the security generally may not have entered into a definitive agreement or other arrangement that would make it ineligible for NDX inclusion and where the transaction is imminent as determined
by the Index Management Committee.
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• |
The top 75 ranked issuers will be selected for inclusion in the NDX.
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Any other issuers that were already members of the NDX as of the reconstitution reference date and are ranked within the top 100 are also selected for inclusion in the NDX.
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In the event that fewer than 100 issuers pass the first two criteria, the remaining positions will first be filled, in rank order, by issuers currently in the index ranked in positions 101-125 that were
ranked in the top 100 at the previous reconstitution or replacement-or spin-off-issuers added since the previous reconstitution. In the event that fewer than 100 issuers pass the first three criteria, the remaining positions will be
filled, in rank order, by any issuers ranked in the top 100 that were not already members of the NDX as of the reconstitution reference date.
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• |
No issuer weight may exceed 20% of the index.
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• |
The aggregate weight of the subset of issuers whose Stage 1 weights exceed 4.5% is set to 40%.
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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• |
No security weight may exceed 14% of the index.
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• |
The aggregate weight of the subset of index securities with the five largest market capitalizations is set to 38.5%.
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• |
No security with a market capitalization outside the largest five may have a final index weight exceeding the lesser of 4.4% or the final index weight of the index security ranked fifth by market
capitalization.
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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• |
Listing on an ineligible index exchange;
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• |
Merger, acquisition, or other major corporate event that would adversely impact the integrity of the NDX;
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• |
If a company is organized as a real estate investment trust;
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• |
If an index security is classified as a financial company (Financials industry) according to the Industry Classification Benchmark;
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if the issuer has an adjusted market capitalization below 0.10% of the aggregate adjusted market capitalization of the NDX for two consecutive month ends; and
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If a security that was added to the NDX as the result of a spin-off event has an adjusted market capitalization below 0.10% of the aggregate adjusted market capitalization of the NDX at the end of its second
day of regular way trading as an index member.
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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Auto-Callable Geared Buffered Notes
Royal Bank of Canada
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