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Registration
Statement No. 333-275898
Filed Pursuant to Rule 424(b)(2)
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The information in this preliminary pricing supplement is not complete
and may be changed.
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Preliminary Pricing Supplement
Subject to Completion: Dated September 6, 2024
Pricing Supplement dated September __, 2024 to the Prospectus
dated December 20, 2023, the Prospectus Supplement dated December 20, 2023, the Underlying Supplement No. 1A dated May 16, 2024 and the
Product Supplement No. 1A dated May 16, 2024
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$
Capped Return Dual Directional Buffer Notes
Linked to a Basket of Two Underliers,
Due September 16, 2027
Royal Bank of Canada
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Royal Bank of Canada is offering Capped Return
Dual Directional Buffer Notes (the “Notes”) linked to the performance of an unequally weighted basket (the “Basket”)
consisting of the MSCI EAFE® Index and the MSCI Emerging Markets Index (each, a “Basket Underlier”).
| · | Capped Return Potential — If the
Final Basket Value is greater than the Initial Basket Value, at maturity, investors will receive a return equal to 100% of the Basket
Return, subject to the Maximum Upside Return of 44.25%. |
| · | Absolute Value Return — If the Final
Basket Value is less than or equal to the Initial Basket Value, but is greater than or equal to the Buffer Value (80% of the Initial Basket
Value), at maturity, investors will receive a one-for-one positive return equal to the absolute value of the Basket Return. |
| · | Principal at Risk — If the Final
Basket Value is less than the Buffer Value, at maturity, investors will lose 1% of the principal amount of their Notes for each 1% that
the Final Basket Value is less than the Initial Basket Value in excess of the Buffer Percentage of 20%. |
| · | The Notes do not pay interest. |
| · | Any payments on the Notes are subject to our credit
risk. |
| · | The Notes will not be listed on any securities
exchange. |
CUSIP: 78017GNL1
Investing in the Notes involves a number of
risks. See “Selected Risk Considerations” beginning on page P-7 of this pricing supplement and “Risk Factors”
in the accompanying prospectus, prospectus supplement and product supplement.
None of the Securities and Exchange Commission
(the “SEC”), any state securities commission or any other regulatory body has approved or disapproved of the Notes or passed
upon the adequacy or accuracy of this pricing supplement. Any representation to the contrary is a criminal offense. The Notes will not
constitute deposits insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation or any other Canadian
or U.S. governmental agency or instrumentality. The Notes are not bail-inable notes and are not subject to conversion into our common
shares under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act.
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Per Note |
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Total |
Price to public(1) |
100.00% |
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$ |
Underwriting discounts and commissions(1) |
1.00% |
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$ |
Proceeds to Royal Bank of Canada |
99.00% |
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$ |
(1) We or one of our affiliates may
pay varying selling concessions of up to $10.00 per $1,000 principal amount of Notes in connection with the distribution of the Notes
to other registered broker-dealers. Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some
or all of their underwriting discount or selling concessions. The public offering price for investors purchasing the Notes in these accounts
may be between $990.00 and $1,000.00 per $1,000 principal amount of Notes. In addition, we or one of our affiliates may pay a broker-dealer
that is not affiliated with us a referral fee of up to $6.00 per $1,000 principal amount of Notes. See “Supplemental Plan of Distribution
(Conflicts of Interest)” below.
The initial estimated value of the Notes determined
by us as of the Trade Date, which we refer to as the initial estimated value, is expected to be between $930.00 and $980.00 per $1,000
principal amount of Notes and will be less than the public offering price of the Notes. The final pricing supplement relating to the Notes
will set forth the initial estimated value. The market value of the Notes at any time will reflect many factors, cannot be predicted with
accuracy and may be less than this amount. We describe the determination of the initial estimated value in more detail below.
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| Capped Return Dual Directional Buffer Notes Linked to a Basket of Two Underliers |
KEY TERMS
The information in this “Key Terms”
section is qualified by any more detailed information set forth in this pricing supplement and in the accompanying prospectus, prospectus
supplement, underlying supplement and product supplement.
Issuer: |
Royal Bank of Canada |
Underwriter: |
RBC Capital Markets, LLC (“RBCCM”) |
Minimum Investment: |
$1,000 and minimum denominations of $1,000 in excess thereof |
Basket Underliers: |
The MSCI EAFE® Index (the “MXEA Index”) and the MSCI Emerging Markets Index (the “MXEF Index”) |
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Basket Underlier |
Bloomberg Ticker |
Initial Basket
Underlier Value(1) |
Basket Weighting |
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MXEA Index |
MXEA |
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60% |
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MXEF Index |
MXEF |
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40% |
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(1) With respect to each Basket Underlier, the closing value of that Basket Underlier on the Trade Date |
Trade Date: |
September 13, 2024 |
Issue Date: |
September 18, 2024 |
Valuation Date:* |
September 13, 2027 |
Maturity Date:* |
September 16, 2027 |
Payment at Maturity: |
Investors will receive on the Maturity Date per
$1,000 principal amount of Notes:
· If
the Final Basket Value is greater than the Initial Basket Value, an amount equal to:
$1,000 + ($1,000 × the lesser of (a)
Basket Return × Participation Rate and (b) Maximum Upside Return)
· If
the Final Basket Value is less than or equal to the Initial Basket Value, but is greater than or equal to
the Buffer Value, an amount equal to:
$1,000 + (-1 × $1,000 × Basket
Return)
In this case, you will receive a positive return
on the Notes equal to the absolute value of the Basket Return, even though the Basket Return is negative. In no event will this return
exceed 20%.
· If
the Final Basket Value is less than the Buffer Value, an amount equal to:
$1,000 + [$1,000 × (Basket Return + Buffer
Percentage)]
If the Final Basket Value is less than the Buffer
Value, you will lose some or a substantial portion of your principal amount at maturity. All payments on the Notes are subject to our
credit risk.
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Participation Rate: |
100% (subject to the Maximum Upside Return) |
Maximum Upside Return: |
44.25%. Accordingly, the maximum payment at maturity if the Basket appreciates will be $1,442.50 per $1,000 principal amount of Notes. |
Buffer Value: |
80, which is 80% of the Initial Basket Value |
Buffer Percentage: |
20% |
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P-2 | RBC Capital Markets, LLC |
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| Capped Return Dual Directional Buffer Notes Linked to a Basket of Two Underliers |
Basket Return: |
The Basket Return, expressed as a percentage, is
calculated using the following formula:
Final Basket Value – Initial Basket
Value
Initial Basket Value |
Initial Basket Value: |
Set equal to 100 on the Trade Date |
Final Basket Value: |
The Final Basket Value will be calculated as follows:
100 × [1 + (the sum of, for each Basket Underlier,
its Basket Underlier Return times its Basket Weighting)]
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Basket Underlier Return: |
With respect to each Basket Underlier, the Basket
Underlier Return, expressed as a percentage, is calculated using the following formula:
Final Basket Underlier Value – Initial
Basket Underlier Value
Initial Basket Underlier Value |
Final Basket Underlier Value: |
With respect to each Basket Underlier, the closing value of that Basket Underlier on the Valuation Date |
Calculation Agent: |
RBCCM |
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* Subject to postponement. See “General Terms of the Notes—Postponement
of a Determination Date” and “General Terms of the Notes—Postponement of a Payment Date” in the accompanying product
supplement.
P-3 | RBC Capital Markets, LLC |
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| Capped Return Dual Directional Buffer Notes Linked to a Basket of Two Underliers |
ADDITIONAL TERMS OF YOUR NOTES
You should read this pricing supplement together
with the prospectus dated December 20, 2023, as supplemented by the prospectus supplement dated December 20, 2023, relating to our Senior
Global Medium-Term Notes, Series J, of which the Notes are a part, the underlying supplement no. 1A dated May 16, 2024 and the product
supplement no. 1A dated May 16, 2024. This pricing supplement, together with these documents, contains the terms of the Notes and supersedes
all other prior or contemporaneous oral statements as well as any other written materials, including preliminary or indicative pricing
terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials
of ours.
We have not authorized anyone to provide any information
or to make any representations other than those contained or incorporated by reference in this pricing supplement and the documents listed
below. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may give
you. These documents are an offer to sell only the Notes offered hereby, but only under circumstances and in jurisdictions where it is
lawful to do so. The information contained in each such document is current only as of its date.
If the information in this pricing supplement differs
from the information contained in the documents listed below, you should rely on the information in this pricing supplement.
You should carefully consider, among other things,
the matters set forth in “Selected Risk Considerations” in this pricing supplement and “Risk Factors” in the documents
listed below, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the Notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | Prospectus dated December 20, 2023: |
https://www.sec.gov/Archives/edgar/data/1000275/000119312523299520/d645671d424b3.htm
| · | Prospectus Supplement dated December 20, 2023: |
https://www.sec.gov/Archives/edgar/data/1000275/000119312523299523/d638227d424b3.htm
| · | Underlying Supplement No. 1A dated May 16, 2024: |
https://www.sec.gov/Archives/edgar/data/1000275/000095010324006773/dp211259_424b2-us1a.htm
| · | Product Supplement No. 1A dated May 16, 2024: |
https://www.sec.gov/Archives/edgar/data/1000275/000095010324006777/dp211286_424b2-ps1a.htm
Our Central Index Key, or CIK, on the SEC website
is 1000275. As used in this pricing supplement, “Royal Bank of Canada,” the “Bank,” “we,” “our”
and “us” mean only Royal Bank of Canada.
P-4 | RBC Capital Markets, LLC |
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| Capped Return Dual Directional Buffer Notes Linked to a Basket of Two Underliers |
HYPOTHETICAL RETURNS
The table and examples set forth below illustrate
hypothetical payments at maturity for hypothetical performance of the Basket, based on the Buffer Value of 80% of the Initial Basket Value,
the Participation Rate of 100%, the Maximum Upside Return of 44.25% and the Buffer Percentage of 20%. The table and examples are only
for illustrative purposes and may not show the actual return applicable to investors.
Hypothetical Basket Return |
Payment at Maturity per $1,000 Principal Amount of Notes |
Payment at Maturity as Percentage of Principal Amount |
70.00% |
$1,442.50 |
144.250% |
60.00% |
$1,442.50 |
144.250% |
50.00% |
$1,442.50 |
144.250% |
44.25% |
$1,442.50 |
144.250% |
40.00% |
$1,400.00 |
140.000% |
30.00% |
$1,300.00 |
130.000% |
20.00% |
$1,200.00 |
120.000% |
10.00% |
$1,100.00 |
110.000% |
5.00% |
$1,050.00 |
105.000% |
2.00% |
$1,020.00 |
102.000% |
0.00% |
$1,000.00 |
100.000% |
-5.00% |
$1,050.00 |
105.000% |
-10.00% |
$1,100.00 |
110.000% |
-20.00% |
$1,200.00 |
120.000% |
-20.01% |
$999.90 |
99.990% |
-30.00% |
$900.00 |
90.000% |
-40.00% |
$800.00 |
80.000% |
-50.00% |
$700.00 |
70.000% |
-60.00% |
$600.00 |
60.000% |
-70.00% |
$500.00 |
50.000% |
-80.00% |
$400.00 |
40.000% |
-90.00% |
$300.00 |
30.000% |
-100.00% |
$200.00 |
20.000% |
Example 1 — |
The value of the Basket increases from the Initial Basket Value to the Final Basket Value by 2%. |
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Basket Return: |
2% |
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Payment at Maturity: |
$1,000 + ($1,000 × the lesser of (a) 2% ×
100% and (b) 44.25%)
= $1,000 + ($1,000 × the lesser of (a) 2%
and (b) 44.25%)
= $1,000 + ($1,000 × 2%) = $1,000 + $20 =
$1,020
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In this example, the payment at maturity is $1,020
per $1,000 principal amount of Notes, for a return of 2%.
Because the Final Basket Value is greater than
the Initial Basket Value, investors receive a return equal to 100% of the Basket Return, subject to the Maximum Upside Return of 44.25%.
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P-5 | RBC Capital Markets, LLC |
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| Capped Return Dual Directional Buffer Notes Linked to a Basket of Two Underliers |
Example 2 — |
The value of the Basket increases from the Initial Basket Value to the Final Basket Value by 60%, resulting in a return equal to the Maximum Upside Return. |
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Basket Return: |
60% |
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Payment at Maturity: |
$1,000 + ($1,000 × the lesser of (a) 60%
× 100% and (b) 44.25%)
= $1,000 + ($1,000 × the lesser of (a) 60%
and (b) 44.25%)
= $1,000 + ($1,000 × 44.25%) = $1,000 + $442.50
= $1,442.50
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In this example, the payment at maturity is $1,442.50
per $1,000 principal amount of Notes, for a return of 44.25%, which is the Maximum Upside Return.
This example illustrates that, if the Basket appreciates,
investors will not receive a return at maturity in excess of the Maximum Upside Return. Accordingly, the return on the Notes may be less
than the return of the Basket.
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Example 3 — |
The value of the Basket decreases from the Initial Basket Value to the Final Basket Value by 10% (i.e., the Final Basket Value is below the Initial Basket Value but above the Buffer Value). |
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Basket Return: |
-10% |
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Payment at Maturity: |
$1,000 + (-1 × $1,000 × -10%) = $1,000 + $100 = $1,100 |
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In this example, the payment at maturity is $1,100
per $1,000 principal amount of Notes, for a return of 10%.
Because the Final Basket Value is less than the
Initial Basket Value but greater than or equal to the Buffer Value, even though the Basket Return is negative, investors receive a positive
return equal to the absolute value of the Basket Return.
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Example 4 — |
The value of the Basket decreases from the Initial Basket Value to the Final Basket Value by 50% (i.e., the Final Basket Value is below the Buffer Value). |
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Basket Return: |
-50% |
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Payment at Maturity: |
$1,000 + [$1,000 × (-50% + 20%)] = $1,000 – $300 = $700 |
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In this example, the payment at maturity is $700
per $1,000 principal amount of Notes, representing a loss of 30% of the principal amount.
Because the Final Basket Value is less than the
Buffer Value, investors do not receive a full return of the principal amount of their Notes.
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Investors in the Notes could lose some or
a substantial portion of the principal amount of their Notes at maturity.
P-6 | RBC Capital Markets, LLC |
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| Capped Return Dual Directional Buffer Notes Linked to a Basket of Two Underliers |
SELECTED RISK CONSIDERATIONS
An investment in the Notes involves significant
risks. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes. Some of the risks
that apply to an investment in the Notes are summarized below, but we urge you to read also the “Risk Factors” sections of
the accompanying prospectus, prospectus supplement and product supplement. You should not purchase the Notes unless you understand and
can bear the risks of investing in the Notes.
Risks Relating to the Terms and Structure of
the Notes
| · | You May Lose a Substantial Portion of the Principal
Amount at Maturity — If the Final Basket Value is less than the Buffer Value, you will lose 1% of the principal amount of your
Notes for each 1% that the Final Basket Value is less than the Initial Basket Value in excess of the Buffer Percentage. You could lose
some or a substantial portion of your principal amount at maturity. |
| · | Your Potential Return at Maturity Is Limited
— Your return on the Notes if the Basket appreciates will not exceed the Maximum Upside Return, regardless of any appreciation in
the value of the Basket, which may be significant. Accordingly, your return on the Notes may be less than your return would be if you
made an investment in a security directly linked to the positive performance of the Basket. |
| · | Your Potential for a Positive Return from Depreciation
of the Basket Is Limited — The absolute value return feature applies only if the Final Basket Value is less than the Initial
Basket Value but greater than or equal to the Buffer Value. Thus, any return potential of the Notes in the event that the Final Basket
Value is less than the Initial Basket Value is limited by the Buffer Value. Any decline in the Final Basket Value below the Buffer Value
will result in a loss, rather than a positive return, on the Notes. |
| · | The Notes Do Not Pay Interest, and Your Return
on the Notes May Be Lower Than the Return on a Conventional Debt Security of Comparable Maturity — There will be no periodic
interest payments on the Notes as there would be on a conventional fixed-rate or floating-rate debt security having the same maturity.
The return that you will receive on the Notes, which could be negative, may be less than the return you could earn on other investments.
Even if your return is positive, your return may be less than the return you would earn if you purchased one of our conventional senior
interest-bearing debt securities. |
| · | Payments on the Notes Are Subject to Our Credit
Risk, and Market Perceptions about Our Creditworthiness May Adversely Affect the Market Value of the Notes — The Notes are our
senior unsecured debt securities, and your receipt of any amounts due on the Notes is dependent upon our ability to pay our obligations
as they come due. If we were to default on our payment obligations, you may not receive any amounts owed to you under the Notes and you
could lose your entire investment. In addition, any negative changes in market perceptions about our creditworthiness may adversely affect
the market value of the Notes. |
| · | Changes in the Value of One Basket Underlier
May Be Offset by Changes in the Value of the Other Basket Underlier — A change in the value of one Basket Underlier may not
correlate with changes in the value of the other Basket Underlier. The value of one Basket Underlier may increase, while the value of
the other Basket Underlier may not increase as much, or may even decrease. Therefore, in determining the value of the Basket as of any
time, increases in the value of one Basket Underlier may be moderated, or wholly offset, by lesser increases or decreases in the value
of the other Basket Underlier. Further, because the Basket Underliers are unequally weighted, increases in the value of the lower-weighted
Basket Underlier may be offset by even small decreases in value of the more heavily weighted Basket Underlier. |
| · | Any Payment on the Notes Will Be Determined
Based on the Closing Values of the Basket Underliers on the Dates Specified — Any payment on the Notes will be determined based
on the closing values of the Basket Underliers on the dates specified. You will not benefit from any more favorable values of the Basket
Underliers determined at any other time. |
P-7 | RBC Capital Markets, LLC |
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| Capped Return Dual Directional Buffer Notes Linked to a Basket of Two Underliers |
| · | The U.S. Federal Income Tax Consequences of
an Investment in the Notes Are Uncertain — There is no direct legal authority regarding the proper U.S. federal income tax treatment
of the Notes, and significant aspects of the tax treatment of the Notes are uncertain. You should review carefully the section entitled
“United States Federal Income Tax Considerations” herein, in combination with the section entitled “United States Federal
Income Tax Considerations” in the accompanying product supplement, and consult your tax adviser regarding the U.S. federal income
tax consequences of an investment in the Notes. |
Risks Relating to the Initial Estimated Value
of the Notes and the Secondary Market for the Notes
| · | There May Not Be an Active Trading Market for
the Notes; Sales in the Secondary Market May Result in Significant Losses — There may be little or no secondary market for the
Notes. The Notes will not be listed on any securities exchange. RBCCM and our other affiliates may make a market for the Notes; however,
they are not required to do so and, if they choose to do so, may stop any market-making activities at any time. Because other dealers
are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on
the price, if any, at which RBCCM or any of our other affiliates is willing to buy the Notes. Even if a secondary market for the Notes
develops, it may not provide enough liquidity to allow you to easily trade or sell the Notes. We expect that transaction costs in any
secondary market would be high. As a result, the difference between bid and ask prices for your Notes in any secondary market could be
substantial. If you sell your Notes before maturity, you may have to do so at a substantial discount from the price that you paid for
them, and as a result, you may suffer significant losses. The Notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your Notes to maturity. |
| · | The Initial Estimated Value of the Notes Will
Be Less Than the Public Offering Price — The initial estimated value of the Notes will be less than the public offering price
of the Notes and does not represent a minimum price at which we, RBCCM or any of our other affiliates would be willing to purchase the
Notes in any secondary market (if any exists) at any time. If you attempt to sell the Notes prior to maturity, their market value may
be lower than the price you paid for them and the initial estimated value. This is due to, among other things, changes in the values of
the Basket Underliers, the internal funding rate we pay to issue securities of this kind (which is lower than the rate at which we borrow
funds by issuing conventional fixed rate debt) and the inclusion in the public offering price of the underwriting discount, the referral
fee, our estimated profit and the estimated costs relating to our hedging of the Notes. These factors, together with various credit, market
and economic factors over the term of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any secondary
market and will affect the value of the Notes in complex and unpredictable ways. Assuming no change in market conditions or any other
relevant factors, the price, if any, at which you may be able to sell your Notes prior to maturity may be less than your original purchase
price, as any such sale price would not be expected to include the underwriting discount, the referral fee, our estimated profit or the
hedging costs relating to the Notes. In addition, any price at which you may sell the Notes is likely to reflect customary bid-ask spreads
for similar trades. In addition to bid-ask spreads, the value of the Notes determined for any secondary market price is expected to be
based on a secondary market rate rather than the internal funding rate used to price the Notes and determine the initial estimated value.
As a result, the secondary market price will be less than if the internal funding rate were used. |
| · | The Initial Estimated Value of the Notes Is
Only an Estimate, Calculated as of the Trade Date — The initial estimated value of the Notes is based on the value of our obligation
to make the payments on the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes. See “Structuring
the Notes” below. Our estimate is based on a variety of assumptions, including our internal funding rate (which represents a discount
from our credit spreads), expectations as to dividends, interest rates and volatility and the expected term of the Notes. These assumptions
are based on certain forecasts about future events, which may prove to be incorrect. Other entities may value the Notes or similar securities
at a price that is significantly different than we do. |
The value of the Notes at any time after
the Trade Date will vary based on many factors, including changes in market conditions, and cannot be predicted with accuracy. As a result,
the actual value you would receive if you sold the Notes in any secondary market, if any, should be expected to differ materially from
the initial estimated value of the Notes.
P-8 | RBC Capital Markets, LLC |
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| Capped Return Dual Directional Buffer Notes Linked to a Basket of Two Underliers |
Risks Relating to Conflicts of Interest and
Our Trading Activities
| · | Our and Our Affiliates’ Business and
Trading Activities May Create Conflicts of Interest — You should make your own independent investigation of the merits of investing
in the Notes. Our and our affiliates’ economic interests are potentially adverse to your interests as an investor in the Notes due
to our and our affiliates’ business and trading activities, and we and our affiliates have no obligation to consider your interests
in taking any actions that might affect the value of the Notes. Trading by us and our affiliates may adversely affect the values of the
Basket Underliers and the market value of the Notes. See “Risk Factors—Risks Relating to Conflicts of Interest” in the
accompanying product supplement. |
| · | RBCCM’s Role as Calculation Agent May
Create Conflicts of Interest — As Calculation Agent, our affiliate, RBCCM, will determine any values of the Basket Underliers
and make any other determinations necessary to calculate any payments on the Notes. In making these determinations, the Calculation Agent
may be required to make discretionary judgments, including those described under “—Risks Relating to the Basket Underliers”
below. In making these discretionary judgments, the economic interests of the Calculation Agent are potentially adverse to your interests
as an investor in the Notes, and any of these determinations may adversely affect any payments on the Notes. The Calculation Agent will
have no obligation to consider your interests as an investor in the Notes in making any determinations with respect to the Notes. |
Risks Relating to the Basket Underliers
| · | You Will Not Have Any Rights to the Securities
Included in Any Basket Underlier — As an investor in the Notes, you will not have voting rights or rights to receive dividends
or other distributions or any other rights with respect to the securities included in any Basket Underlier. Each Basket Underlier is a
price return index and its return does not reflect regular cash dividends paid by its components. |
| · | The Notes Are Subject to Risks Relating to
Non-U.S. Securities Markets — The equity securities composing the Underliers are issued by non-U.S. companies in non-U.S. securities
markets. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated with the securities
markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental
intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available
information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements
of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements and
securities trading rules different from those applicable to U.S. reporting companies. The prices of securities in non-U.S. markets may
be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government,
economic and fiscal policies and currency exchange laws. |
| · | The Notes Are Subject to Risks Relating to
Emerging Markets with Respect to the MXEF Index —The equity securities composing the MXEF Index have been issued by companies
based in emerging markets. Emerging markets pose further risks in addition to the risks associated with investing in foreign equity markets
generally. Countries with emerging markets may have relatively unstable financial markets and governments; may present the risks of nationalization
of businesses; may impose restrictions on currency conversion, exports or foreign ownership and prohibitions on the repatriation of assets;
may pose a greater likelihood of regulation by the national, provincial and local governments of the emerging market countries, including
the imposition of currency exchange laws and taxes; and may have less protection of property rights, less access to legal recourse and
less comprehensive financial reporting and auditing requirements than more developed countries. The economies of countries with emerging
markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer
from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and may be
unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible
at times. Moreover, the economies in such countries may differ unfavorably from the economy in the United States in such respects as growth
of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance of payment positions. The
currencies of emerging markets may also be less liquid and more volatile than those of developed markets and may be affected by political
and economic developments |
P-9 | RBC Capital Markets, LLC |
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| Capped Return Dual Directional Buffer Notes Linked to a Basket of Two Underliers |
in different ways than developed markets.
The foregoing factors may adversely affect the performance of companies based in emerging markets.
| · | The Value of the Underliers Is Subject to Currency
Exchange Risk — Because the securities composing the Underliers are denominated in non-U.S. currencies and are converted into
U.S. dollars for purposes of calculating the value of the Underliers, the value of the Underliers will be exposed to the currency exchange
rate risk with respect to each of those non-U.S. currencies relative to the U.S. dollar. An investor’s net exposure will depend
on the extent to which each of those non-U.S. currencies strengthens or weakens against the U.S. dollar and the relative weight of the
securities denominated in those non-U.S. currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens against
those non-U.S. currencies, the value of the Underliers and the value of the Notes will be adversely affected. |
| · | We May Accelerate the Notes If a Change-in-Law
Event Occurs — Upon the occurrence of legal or regulatory changes that may, among other things, prohibit or otherwise materially
restrict persons from holding the Notes or a Basket Underlier or its components, or engaging in transactions in them, the Calculation
Agent may determine that a change-in-law-event has occurred and accelerate the Maturity Date for a payment determined by the Calculation
Agent in its sole discretion. Any amount payable upon acceleration could be significantly less than any amount that would be due on the
Notes if they were not accelerated. However, if the Calculation Agent elects not to accelerate the Notes, the value of, and any amount
payable on, the Notes could be adversely affected, perhaps significantly, by the occurrence of such legal or regulatory changes. See “General
Terms of Notes—Change-in-Law Events” in the accompanying product supplement. |
| · | Any Payment on the Notes May Be Postponed and
Adversely Affected by the Occurrence of a Market Disruption Event — The timing and amount of any payment on the Notes is subject
to adjustment upon the occurrence of a market disruption event affecting a Basket Underlier. If a market disruption event persists for
a sustained period, the Calculation Agent may make a determination of the closing value of any affected Basket Underlier. See “General
Terms of the Notes—Indices—Market Disruption Events,” “General Terms of the Notes—Postponement of a Determination
Date” and “General Terms of the Notes—Postponement of a Payment Date” in the accompanying product supplement. |
| · | Adjustments to a Basket Underlier Could Adversely
Affect Any Payments on the Notes — The sponsor of a Basket Underlier may add, delete, substitute or adjust the securities composing
that Basket Underlier or make other methodological changes to that Basket Underlier that could affect its performance. The Calculation
Agent will calculate the value to be used as the closing value of a Basket Underlier in the event of certain material changes in, or modifications
to, that Basket Underlier. In addition, the sponsor of a Basket Underlier may also discontinue or suspend calculation or publication of
that Basket Underlier at any time. Under these circumstances, the Calculation Agent may select a successor index that the Calculation
Agent determines to be comparable to the discontinued Basket Underlier or, if no successor index is available, the Calculation Agent will
determine the value to be used as the closing value of that Basket Underlier. Any of these actions could adversely affect the value of
a Basket Underlier and, consequently, the value of the Notes. See “General Terms of the Notes—Indices—Discontinuation
of, or Adjustments to, an Index” in the accompanying product supplement. |
P-10 | RBC Capital Markets, LLC |
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| Capped Return Dual Directional Buffer Notes Linked to a Basket of Two Underliers |
INFORMATION REGARDING THE BASKET
UNDERLIERS
The MXEA Index is a free float-adjusted market
capitalization index that is designed to measure the equity market performance of the large- and mid-cap segments of certain developed
markets, excluding the United States and Canada. For more information about the MXEA Index, see “Indices—The MSCI Indices”
in the accompanying underlying supplement.
The MXEF Index is a free float-adjusted market
capitalization index that is designed to measure the equity market performance of the large- and mid-cap segments of global emerging markets.
For more information about the MXEF Index, see “Indices—The MSCI Indices” in the accompanying underlying supplement.
Historical Information
The following graphs set forth historical closing
values of the Basket Underliers for the period from January 1, 2014 to September 4, 2024. We obtained the information in the graphs from
Bloomberg Financial Markets, without independent investigation. We cannot give you assurance that the performance of the Basket Underliers
will result in the return of all of your initial investment.
MSCI EAFE® Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
P-11 | RBC Capital Markets, LLC |
| |
| Capped Return Dual Directional Buffer Notes Linked to a Basket of Two Underliers |
MSCI Emerging Markets Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
P-12 | RBC Capital Markets, LLC |
| |
| Capped Return Dual Directional Buffer Notes Linked to a Basket of Two Underliers |
UNITED STATES FEDERAL INCOME
TAX CONSIDERATIONS
You should review carefully the section in the
accompanying product supplement entitled “United States Federal Income Tax Considerations.” The following discussion, when
read in combination with that section, constitutes the full opinion of our counsel, Davis Polk & Wardwell LLP, regarding the material
U.S. federal income tax consequences of owning and disposing of the Notes.
Generally, this discussion assumes that you purchased
the Notes for cash in the original issuance at the stated issue price and does not address other circumstances specific to you, including
consequences that may arise due to any other investments relating to the Basket Underliers. You should consult your tax adviser regarding
the effect any such circumstances may have on the U.S. federal income tax consequences of your ownership of a Note.
In the opinion of our counsel, which is based on
current market conditions, it is reasonable to treat the Notes for U.S. federal income tax purposes as prepaid financial contracts that
are “open transactions,” as described in the section entitled “United States Federal Income Tax Considerations—Tax
Consequences to U.S. Holders—Notes Treated as Prepaid Financial Contracts that are Open Transactions” in the accompanying
product supplement. There is uncertainty regarding this treatment, and the Internal Revenue Service (the “IRS”) or a court
might not agree with it. Moreover, because this treatment of the Notes and our counsel’s opinion are based on market conditions
as of the date of this preliminary pricing supplement, each is subject to confirmation on the Trade Date. A different tax treatment could
be adverse to you. Generally, if this treatment is respected, (i) you should not recognize taxable income or loss prior to the taxable
disposition of your Notes (including upon maturity or an earlier redemption, if applicable) and (ii) the gain or loss on your Notes should
be treated as short-term capital gain or loss unless you have held the Notes for more than one year, in which case your gain or loss should
be treated as long-term capital gain or loss.
We do not plan to request a ruling from the IRS
regarding the treatment of the Notes. An alternative characterization of the Notes could materially and adversely affect the tax consequences
of ownership and disposition of the Notes, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the Notes, possibly with retroactive effect.
Non-U.S. Holders. As discussed under “United
States Federal Income Tax Considerations—Tax Consequences to Non-U.S. Holders—Dividend Equivalents under Section 871(m) of
the Code” in the accompanying product supplement, Section 871(m) of the Internal Revenue Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. The Treasury regulations,
as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2027 that do not have a “delta” of one.
Based on certain determinations made by us, we expect that Section 871(m) will not apply to the Notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. If necessary, further information regarding
the potential application of Section 871(m) will be provided in the final pricing supplement for the Notes.
We will not be required to pay any additional amounts
with respect to U.S. federal withholding taxes.
You should consult your tax adviser regarding the
U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments, as well as tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
P-13 | RBC Capital Markets, LLC |
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| Capped Return Dual Directional Buffer Notes Linked to a Basket of Two Underliers |
SUPPLEMENTAL PLAN OF DISTRIBUTION
(CONFLICTS OF INTEREST)
The Notes are offered initially to investors at
a purchase price equal to par, except with respect to certain accounts as indicated on the cover page of this pricing supplement. We or
one of our affiliates may pay the underwriting discount and may pay a broker-dealer that is not affiliated with us a referral fee, in
each case as set forth on the cover page of this pricing supplement.
The value of the Notes shown on your account statement
may be based on RBCCM’s estimate of the value of the Notes if RBCCM or another of our affiliates were to make a market in the Notes
(which it is not obligated to do). That estimate will be based on the price that RBCCM may pay for the Notes in light of then-prevailing
market conditions, our creditworthiness and transaction costs. For a period of approximately six months after the Issue Date, the value
of the Notes that may be shown on your account statement may be higher than RBCCM’s estimated value of the Notes at that time. This
is because the estimated value of the Notes will not include the underwriting discount, the referral fee or our hedging costs and profits;
however, the value of the Notes shown on your account statement during that period may initially be a higher amount, reflecting the addition
of the underwriting discount, the referral fee and our estimated costs and profits from hedging the Notes. This excess is expected to
decrease over time until the end of this period. After this period, if RBCCM repurchases your Notes, it expects to do so at prices that
reflect their estimated value.
RBCCM or another of its affiliates or agents may
use this pricing supplement in the initial sale of the Notes. In addition, RBCCM or another of our affiliates may use this pricing supplement
in a market-making transaction in the Notes after their initial sale. Unless we or our agent informs the purchaser otherwise in
the confirmation of sale, this pricing supplement is being used in a market-making transaction.
For additional information about the settlement
cycle of the Notes, see “Plan of Distribution” in the accompanying prospectus. For additional information as to the relationship
between us and RBCCM, see the section “Plan of Distribution—Conflicts of Interest” in the accompanying prospectus.
STRUCTURING THE NOTES
The Notes are our debt securities. As is the case
for all of our debt securities, including our structured notes, the economic terms of the Notes reflect our actual or perceived creditworthiness.
In addition, because structured notes result in increased operational, funding and liability management costs to us, we typically borrow
the funds under structured notes at a rate that is lower than the rate that we might pay for a conventional fixed or floating rate debt
security of comparable maturity. The lower internal funding rate, the underwriting discount, the referral fee and the hedging-related
costs relating to the Notes reduce the economic terms of the Notes to you and result in the initial estimated value for the Notes being
less than their public offering price. Unlike the initial estimated value, any value of the Notes determined for purposes of a secondary
market transaction may be based on a secondary market rate, which may result in a lower value for the Notes than if our initial internal
funding rate were used.
In order to satisfy our payment obligations under
the Notes, we may choose to enter into certain hedging arrangements (which may include call options, put options or other derivatives)
with RBCCM and/or one of our other subsidiaries. The terms of these hedging arrangements take into account a number of factors, including
our creditworthiness, interest rate movements, volatility and the tenor of the Notes. The economic terms of the Notes and the initial
estimated value depend in part on the terms of these hedging arrangements.
See “Selected Risk Considerations—Risks
Relating to the Initial Estimated Value of the Notes and the Secondary Market for the Notes—The Initial Estimated Value of the Notes
Will Be Less Than the Public Offering Price” above.
P-14 | RBC Capital Markets, LLC |
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