 |
Registration Statement
No. 333-275898
Filed Pursuant to Rule 424(b)(2) |
| The information in this preliminary pricing supplement is not complete and may be changed. |
| |
|
|
|
Preliminary Pricing Supplement
Subject to Completion: Amendment No. 1 Dated September 25, 2024
to the Preliminary Pricing Supplement Dated August 29, 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 |
|
$
Capped Return Dual Directional Notes with Daily Knock-Out Observation
Linked to the S&P 500® Index,
Due September 30, 2026
Royal Bank of Canada |
| |
|
|
Royal Bank of
Canada is offering Capped Return Dual Directional Notes with Daily Knock-Out Observation (the “Notes”) linked to the performance
of the S&P 500® Index (the “Underlier”).
| · | Daily Knock-Out Observation — A Knock-Out Event will occur if, on any scheduled trading day
during the Observation Period, the closing value of the Underlier is greater than the Upper Knock-Out Value (at least 121% of the Initial
Underlier Value, to be determined on the Trade Date) or less than the Lower Knock-Out Value (at most 79% of the Initial Underlier Value,
to be determined on the Trade Date). |
| · | Fixed Return at Maturity If a Knock-Out Event Occurs — If a Knock-Out Event occurs, at maturity,
investors will receive a fixed return of 2%. |
| · | Capped Return Potential or Absolute Value Return If No Knock-Out Event Occurs — If a Knock-Out
Event has not occurred and the Final Underlier Value is greater than the Initial Underlier Value, at maturity, investors will receive
a return equal to the Underlier Return. If a Knock-Out Event has not occurred and the Final Underlier Value is less than the Initial Underlier
Value, at maturity, investors will receive a one-for-one positive return equal to the absolute value of the Underlier Return. |
| · | 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: 78017GLT6
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.
| |
Per Note |
Total |
| Price to public(1) |
100.00% |
$ |
| Underwriting discounts and commissions(1) |
2.25% |
$ |
| Proceeds to Royal Bank of Canada |
97.75% |
$ |
(1) We or one of our affiliates may
pay varying selling concessions of up to $22.50 per $1,000 principal amount of Notes in connection with the distribution of the Notes
to other registered broker-dealers. Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some
or all of their underwriting discount or selling concessions. The public offering price for investors purchasing the Notes in these accounts
may be between $977.50 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 $5.00 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 $916.94 and $966.94 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.
RBC
Capital Markets, LLC
| | |
| | |
| | Capped Return Dual Directional Notes
with Daily Knock-Out Observation
Linked to the S&P 500® Index |
| | |
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 |
| Underlier: |
The S&P 500® Index |
| |
Bloomberg Ticker |
Initial Underlier Value(1) |
Upper Knock-Out Value(2) |
Lower Knock-Out Value(3) |
| |
SPX |
|
|
|
| |
(1) The closing value of the Underlier on the Trade Date |
| |
(2) At least 121% of the Initial Underlier Value, to be determined on the Trade Date (rounded to two decimal places) |
| |
(3) At most 79% of the Initial Underlier Value, to be determined on the Trade Date (rounded to two decimal places) |
| Trade Date: |
September 25, 2024 |
| Issue Date: |
September 30, 2024 |
| Valuation Date:* |
September 25, 2026 |
| Maturity Date:* |
September 30, 2026 |
| Payment at Maturity: |
Investors will receive on the Maturity Date
per $1,000 principal amount of Notes:
· If
a Knock-Out Event has not occurred and the Final Underlier Value is greater than or equal to the Initial
Underlier Value, an amount equal to:
$1,000 + ($1,000 × Underlier Return)
Assuming an Upper Knock-Out Value of 121%
of the Initial Underlier Value (to be determined on the Trade Date), in no event will this return exceed 21%.
· If
a Knock-Out Event has not occurred and the Final Underlier Value is less than the Initial Underlier
Value, an amount equal to:
$1,000 + (-1 × $1,000 × Underlier
Return)
In this case, you will receive a positive return
on the Notes equal to the absolute value of the Underlier Return, even though the Underlier Return is negative. Assuming a Lower Knock-Out
Value of 79% of the Initial Underlier Value (to be determined on the Trade Date), in no event will this return exceed 21%.
· If
a Knock-Out Event has occurred: $1,020
All payments on the Notes are subject to
our credit risk. |
| Knock-Out Event: |
A Knock-Out Event will occur if, on any scheduled trading day during
the Observation Period, the closing value of the Underlier is greater than the Upper Knock-Out Value or less than the Lower Knock-Out
Value.
If a market disruption event occurs on any scheduled trading day
during the Observation Period (other than on the Valuation Date), and on that scheduled trading day, the closing value of the Underlier
is greater than the Upper Knock-Out Value or less than the Lower Knock-Out Value, then a Knock-Out Event will nonetheless have occurred
on that scheduled |
| P-2 | RBC Capital Markets, LLC |
| | |
| | |
| | Capped Return Dual Directional Notes
with Daily Knock-Out Observation
Linked to the S&P 500® Index |
| | |
| |
trading day unless the Calculation Agent, in its sole discretion, determines that a Knock-Out Event should be deemed not to have occurred. |
| Observation Period: |
The period consisting of each scheduled trading day from but excluding the Trade Date to and including the Valuation Date |
| Underlier Return: |
The Underlier Return, expressed as a percentage,
is calculated using the following formula:
Final Underlier Value – Initial Underlier
Value
Initial Underlier Value
|
| Final Underlier Value: |
The closing value of the Underlier on the Valuation Date |
| Calculation Agent: |
RBCCM |
* Subject to postponement. See “General Terms of the Notes—Postponement
of a Determination Date” and “General Terms of the Notes—Postponement of a Payment Date” in the accompanying product
supplement.
| P-3 | RBC Capital Markets, LLC |
| | |
| | |
| | Capped Return Dual Directional Notes
with Daily Knock-Out Observation
Linked to the S&P 500® Index |
| | |
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 |
| | |
| | |
| | Capped Return Dual Directional Notes
with Daily Knock-Out Observation
Linked to the S&P 500® Index |
| | |
HYPOTHETICAL RETURNS
The table and examples set forth below illustrate
hypothetical payments at maturity for hypothetical performance of the Underlier, based on a hypothetical Upper Knock-Out Value of 121%
of the Initial Underlier Value (the actual Upper Knock-Out Value will be determined on the Trade Date) and a hypothetical Lower Knock-Out
Value of 79% of the Initial Underlier Value (the actual Lower Knock-Out Value will be determined on the Trade Date). The table and examples
are only for illustrative purposes and may not show the actual return applicable to investors.
| |
A Knock-Out Event Has Occurred |
A Knock-Out Event Has NOT Occurred |
| Hypothetical Underlier Return |
Payment at Maturity per $1,000 Principal Amount of Notes |
Payment at Maturity as Percentage of Principal Amount |
Payment at Maturity per $1,000 Principal Amount of Notes |
Payment at Maturity as Percentage of Principal Amount |
| 50.00% |
$1,020.00 |
102.000% |
N/A |
N/A |
| 40.00% |
$1,020.00 |
102.000% |
N/A |
N/A |
| 30.00% |
$1,020.00 |
102.000% |
N/A |
N/A |
| 21.00% |
$1,020.00 |
102.000% |
$1,210.00 |
121.000% |
| 20.00% |
$1,020.00 |
102.000% |
$1,200.00 |
120.000% |
| 10.00% |
$1,020.00 |
102.000% |
$1,100.00 |
110.000% |
| 5.00% |
$1,020.00 |
102.000% |
$1,050.00 |
105.000% |
| 2.00% |
$1,020.00 |
102.000% |
$1,020.00 |
102.000% |
| 0.00% |
$1,020.00 |
102.000% |
$1,000.00 |
100.000% |
| -2.00% |
$1,020.00 |
102.000% |
$1,020.00 |
102.000% |
| -5.00% |
$1,020.00 |
102.000% |
$1,050.00 |
105.000% |
| -10.00% |
$1,020.00 |
102.000% |
$1,100.00 |
110.000% |
| -20.00% |
$1,020.00 |
102.000% |
$1,200.00 |
120.000% |
| -21.00% |
$1,020.00 |
102.000% |
$1,210.00 |
121.000% |
| -30.00% |
$1,020.00 |
102.000% |
N/A |
N/A |
| -40.00% |
$1,020.00 |
102.000% |
N/A |
N/A |
| -50.00% |
$1,020.00 |
102.000% |
N/A |
N/A |
| -60.00% |
$1,020.00 |
102.000% |
N/A |
N/A |
| -70.00% |
$1,020.00 |
102.000% |
N/A |
N/A |
| -80.00% |
$1,020.00 |
102.000% |
N/A |
N/A |
| -90.00% |
$1,020.00 |
102.000% |
N/A |
N/A |
| -100.00% |
$1,020.00 |
102.000% |
N/A |
N/A |
| Example 1 — |
A Knock-Out Event has occurred, and the value of the Underlier increases from the Initial Underlier Value to the Final Underlier Value by 40%. |
| |
Underlier Return: |
40% |
| |
Payment at Maturity: |
$1,020 |
| |
In this example, the payment at maturity is $1,020
per $1,000 principal amount of Notes, for a return of 2%.
This example illustrates that investors will
receive a fixed return if a Knock-Out Event has occurred, regardless of any appreciation of the Underlier, which may be significant. |
| P-5 | RBC Capital Markets, LLC |
| | |
| | |
| | Capped Return Dual Directional Notes
with Daily Knock-Out Observation
Linked to the S&P 500® Index |
| | |
| Example 2 — |
A Knock-Out Event has occurred, and the value of the Underlier decreases from the Initial Underlier Value to the Final Underlier Value by 10%. |
| |
Underlier Return: |
-10% |
| |
Payment at Maturity: |
$1,020 |
| |
In this example, the payment at maturity is $1,020
per $1,000 principal amount of Notes, for a return of 2%.
This example illustrates that investors will
receive a fixed return if a Knock-Out Event has occurred, regardless of any depreciation of the Underlier, which may be significant. |
| Example 3 — |
A Knock-Out Event has not occurred, and the value of the Underlier increases from the Initial Underlier Value to the Final Underlier Value by 5%. |
| |
Underlier Return: |
5% |
| |
Payment at Maturity: |
$1,000 + ($1,000 × 5%) = $1,000 + $50 = $1,050 |
| |
In this example, the payment at maturity is $1,050
per $1,000 principal amount of Notes, for a return of 5%.
Because a Knock-Out Event has not occurred
and the Final Underlier Value is greater than the Initial Underlier Value, investors receive a return equal to 100% of the Underlier
Return. |
| Example 4 — |
A Knock-Out Event has not occurred, and the value of the Underlier decreases from the Initial Underlier Value to the Final Underlier Value by 10%. |
| |
Underlier Return: |
-10% |
| |
Payment at Maturity: |
$1,000 + (-1 × $1,000 × -10%) = $1,000 + $100 = $1,100 |
| |
In this example, the payment at maturity is $1,100
per $1,000 principal amount of Notes, for a return of 10%.
Because a Knock-Out Event has not occurred
and the Final Underlier Value is less than the Initial Underlier Value, even though the Underlier Return is negative, investors receive
a positive return equal to the absolute value of the Underlier Return. |
| P-6 | RBC Capital Markets, LLC |
| | |
| | |
| | Capped Return Dual Directional Notes
with Daily Knock-Out Observation
Linked to the S&P 500® Index |
| | |
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
| · | 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 zero,
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. If a Knock-Out Event has occurred, your
return on the Notes will be 2%, with no additional return. If no Knock-Out Event has occurred, your return will reflect the positive performance
or absolute return performance of the Underlier, and you may receive only the principal amount of the Notes, with no additional return. |
| · | Your Potential Return at Maturity Is Limited — You will receive a payment based on the positive
performance or absolute return performance of the Underlier only if a Knock-Out Event does not occur. Thus, any return potential of the
Notes in the event that a Knock-Out Event does not occur is limited by the Upper Knock-Out Value and the Lower Knock-Out Value. |
| · | Payments on the Notes Are Subject to Our Credit Risk, and Market Perceptions about Our Creditworthiness
May Adversely Affect the Market Value of the Notes — The Notes are our senior unsecured debt securities, and your receipt of
any amounts due on the Notes is dependent upon our ability to pay our obligations as they come due. If we were to default on our payment
obligations, you may not receive any amounts owed to you under the Notes and you could lose your entire investment. In addition, any negative
changes in market perceptions about our creditworthiness may adversely affect the market value of the Notes. |
| · | Any Payment on the Notes Will Be Determined Based on the Closing Values of the Underlier on the Dates
Specified — Any payment on the Notes will be determined based on the closing values of the Underlier on the dates specified.
You will not benefit from any more favorable value of the Underlier determined at any other time. |
| · | You May Be Required to Recognize Taxable Income on the Notes Prior to Maturity — If you are
a U.S. investor in a Note, under the treatment of a Note as a contingent payment debt instrument, you will generally be required to recognize
taxable interest income in each year that you hold the Note. In addition, any gain you recognize under the rules applicable to contingent
payment debt instruments will generally be treated as ordinary interest income rather than capital gain. 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 |
| P-7 | RBC Capital Markets, LLC |
| | |
| | |
| | Capped Return Dual Directional Notes
with Daily Knock-Out Observation
Linked to the S&P 500® Index |
| | |
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 value of the Underlier, 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.
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 value of the Underlier 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 Underlier 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 Underlier” 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. |
| P-8 | RBC Capital Markets, LLC |
| | |
| | |
| | Capped Return Dual Directional Notes
with Daily Knock-Out Observation
Linked to the S&P 500® Index |
| | |
Risks Relating to the Underlier
| · | You Will Not Have Any Rights to the Securities Included in the 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 the Underlier. The Underlier is a price return index and its return does not reflect regular cash dividends
paid by its components. |
| · | 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 the Underlier. If a market disruption event persists for a sustained period, the Calculation Agent may make a determination
of the closing value of the 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 the Underlier Could Adversely Affect Any Payments on the Notes — The sponsor
of the Underlier may add, delete, substitute or adjust the securities composing the Underlier or make other methodological changes to
the Underlier that could affect its performance. The Calculation Agent will calculate the value to be used as the closing value of the
Underlier in the event of certain material changes in, or modifications to, the Underlier. In addition, the sponsor of the Underlier may
also discontinue or suspend calculation or publication of the 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 Underlier or, if no successor index is available,
the Calculation Agent will determine the value to be used as the closing value of the Underlier. Any of these actions could adversely
affect the value of the 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-9 | RBC Capital Markets, LLC |
| | |
| | |
| | Capped Return Dual Directional Notes
with Daily Knock-Out Observation
Linked to the S&P 500® Index |
| | |
INFORMATION REGARDING THE UNDERLIER
The Underlier consists of stocks of 500 companies
selected to provide a performance benchmark for the U.S. equity markets. For more information about the Underlier, see “Indices—The
S&P U.S. Indices” in the accompanying underlying supplement.
Historical Information
The following graph sets forth historical closing
values of the Underlier for the period from January 1, 2014 to August 28, 2024. We obtained the information in the graph from Bloomberg
Financial Markets, without independent investigation. We cannot give you assurance that the performance of the Underlier will result
in a positive return on your initial investment.
S&P 500® Index
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
| P-10 | RBC Capital Markets, LLC |
| | |
| | |
| | Capped Return Dual Directional Notes
with Daily Knock-Out Observation
Linked to the S&P 500® Index |
| | |
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 Underlier. 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.
We intend to treat the Notes for U.S. federal income
tax purposes as contingent payment debt instruments, or “CPDIs,” as described in “United States Federal Income Tax Considerations—Tax
Consequences to U.S. Holders—Notes Treated as Debt Instruments—Notes Treated as Contingent Payment Debt Instruments”
in the accompanying product supplement. In the opinion of our counsel, which is based on current market conditions, this treatment of
the Notes is reasonable under current law. Assuming this treatment is respected, regardless of your method of accounting for U.S. federal
income tax purposes, you generally will be required to accrue interest income in each year on a constant yield to maturity basis at the
“comparable yield,” as determined by us, adjusted upward or downward to reflect the difference, if any, between the actual
and projected payments on the Notes during the year. Upon a taxable disposition of a Note, you generally will recognize taxable income
or loss equal to the difference between the amount received and your tax basis in the Notes. You generally must treat any income realized
as interest income and any loss as ordinary loss to the extent of previous interest inclusions, and the balance as capital loss, the deductibility
of which is subject to limitations.
Notwithstanding the foregoing, if a Knock-Out Event
occurs prior to the original issue date, the Notes will not be treated as “contingent payment debt instruments” for U.S. federal
income tax purposes. In this event, the Notes should be treated as debt instruments issued with original issue discount (“OID”)
in an amount equal to the excess of the fixed payment at maturity over the “issue price” of each Note. A U.S. Holder will
be required to include OID in income for U.S. federal income tax purposes as it accrues, in accordance with a constant-yield method based
on a compounding of interest, regardless of such U.S. Holder’s method of accounting. Gain or loss realized on the sale, exchange
or maturity of a Note generally will be capital gain or loss and will be long-term capital gain or loss if the U.S. Holder has held the
notes for more than one year.
After the original issue date, you may obtain the
comparable yield and the projected payment schedule by requesting them from RBCCM at 1-877-688-2301.
Neither the comparable yield nor the projected
payment schedule constitutes a representation by us regarding the actual amount(s) that we will pay on the Notes.
Non-U.S. Holders. If you are a Non-U.S.
Holder, please also read the section entitled “United States Federal Income Tax Considerations—Tax Consequences to Non-U.S.
Holders—Notes Treated as Debt Instruments” in the accompanying product supplement.
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 Internal Revenue Service (the “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.
| P-11 | RBC Capital Markets, LLC |
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| | Capped Return Dual Directional Notes
with Daily Knock-Out Observation
Linked to the S&P 500® Index |
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You should consult your tax adviser regarding the
U.S. federal income tax consequences of an investment in the Notes, as well as tax consequences arising under the laws of any state, local
or non-U.S. taxing jurisdiction.
SUPPLEMENTAL PLAN OF DISTRIBUTION
(CONFLICTS OF INTEREST)
The Notes are offered initially to investors at
a purchase price equal to par, except with respect to certain accounts as indicated on the cover page of this pricing supplement. We or
one of our affiliates may pay the underwriting discount 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 three months after the Issue Date, the value
of the Notes that may be shown on your account statement may be higher than RBCCM’s estimated value of the Notes at that time. This
is because the estimated value of the Notes will not include the underwriting discount, 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.
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