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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-275898
(To Prospectus and Prospectus Supplement,
each dated December 20, 2023 and Product Supplement EQUITY ARN-1 dated December 27, 2023) |
1,520,766 Units
$10 principal amount per unit
CUSIP No. 78016U168
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Pricing Date
Settlement Date
Maturity Date
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June 27, 2024
July 5, 2024
August 29, 2025 |
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Accelerated Return Notes® Linked to
the Energy Select Sector SPDR® Fund
§ Maturity
of approximately 14 months.
§ 3-to-1
upside exposure to increases in the Energy Select Sector SPDR® Fund (the “Market Measure”), subject to a capped
return of 22.80%
§ 1-to-1
downside exposure to decreases in the Market Measure, with 100% of your principal at risk.
§ All
payments occur at maturity and are subject to the credit risk of Royal Bank of Canada
§ No
periodic interest payments
§ In
addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.05 per unit. See “Structuring
the Notes”
§ Limited
secondary market liquidity, with no exchange listing
§ The
notes are unsecured debt securities and are not savings accounts or insured deposits of a bank. The notes are not insured by the Canada
Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation, or any other governmental agency of Canada or the United
States.
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The notes are being issued by Royal Bank of Canada (“RBC”).
There are important differences between the notes and a conventional debt security, including different investment risks and certain additional
costs. See “Risk Factors” and “Additional Risk Factors” beginning on page TS-6 of this term sheet and “Risk
Factors” beginning on page PS-7 of product supplement EQUITY ARN-1.
The initial estimated value of the notes as of the pricing date is
$9.74 per unit, which is less than the public offering price listed below. See “Summary” on the following page, “Risk
Factors” beginning on page TS-6 of this term sheet and “Structuring the Notes” below for additional information. The
actual value of your notes at any time will reflect many factors and cannot be predicted with accuracy.
_________________________
None of the Securities and Exchange Commission (the “SEC”),
any state securities commission, or any other regulatory body has approved or disapproved of these securities or determined if this Note
Prospectus (as defined below) is truthful or complete. Any representation to the contrary is a criminal offense.
_________________________
|
Per Unit |
Total |
Public offering price |
$ 10.000 |
$ 15,207,660.00 |
Underwriting discount |
$ 0.175 |
$ 266,134.05 |
Proceeds, before expenses, to RBC |
$ 9.825 |
$ 14,941,525.95 |
The notes:
Are Not FDIC Insured |
Are Not Bank Guaranteed |
May Lose Value |
BofA Securities
June 27, 2024
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
Summary
The Accelerated Return Notes® Linked to the Energy Select
Sector SPDR® Fund, due August 29, 2025 (the “notes”) are our senior unsecured debt securities. The notes are
not insured by the Canada Deposit Insurance Corporation or the U.S. Federal Deposit Insurance Corporation or secured by collateral. The
notes will rank equally with all of our other unsecured and unsubordinated debt. Any payments due on the notes, including any repayment
of principal, will be subject to the credit risk of RBC.
The notes are not bail-inable notes (as defined in the prospectus supplement).
The notes provide you a leveraged return, subject to a cap, if the Ending Value of the Market Measure, which is the Energy Select Sector
SPDR® Fund (the “Underlying Fund”), is greater than the Starting Value. If the Ending Value is less than the
Starting Value, you will lose all or a portion of the principal amount of your notes. Any payments on the notes will be calculated based
on the $10 principal amount per unit and will depend on the performance of the Market Measure, subject to our credit risk. See “Terms
of the Notes” below.
The economic terms of the notes (including the Capped Value) are based
on our internal funding rate, which is the rate we pay to borrow funds through the issuance of market-linked notes and the economic terms
of certain related hedging arrangements. Our internal funding rate is typically lower than the rate we would pay when we issue conventional
fixed or floating rate debt securities. This difference in funding rate, as well as the underwriting discount and the hedging-related
charge described below, will reduce the economic terms of the notes to you and the price at which you may be able to sell the notes in
any secondary market. Due to these factors, the public offering price you pay to purchase the notes is greater than the initial estimated
value of the notes.
On the cover page of this term sheet, we have provided the initial estimated
value for the notes. This initial estimated value was determined based on our and our affiliates’ pricing models, which take into
consideration our internal funding rate and the market prices for the hedging arrangements related to the notes. For more information
about the initial estimated value and the structuring of the notes, see “Structuring the Notes” below.
Terms of the Notes |
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Redemption Amount Determination |
Issuer: |
Royal Bank of Canada (“RBC”) |
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On the maturity date, you will receive a cash payment per unit determined as follows: |
Principal Amount: |
$10.00 per unit |
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Term: |
Approximately 14 months |
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Market Measure: |
The Energy Select Sector SPDR® Fund (Bloomberg symbol: “XLE”) |
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Starting Value: |
90.80, the Closing Market Price of the Market Measure on the pricing date |
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Ending Value: |
The average of the Closing Market Prices of the Market Measure times the Price Multiplier on each calculation day occurring during the Maturity Valuation Period. The scheduled calculation days are subject to postponement in the event of Market Disruption Events, as described beginning on page PS-24 of product supplement EQUITY ARN-1. |
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Participation Rate: |
300% |
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Capped Value: |
$12.28 per unit, which represents a return of 22.80% over the principal amount. |
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Maturity Valuation Period: |
August 20, 2025, August 21, 2025, August 22, 2025, August 25, 2025 and August 26, 2025 |
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Fees and Charges: |
The underwriting discount of $0.175 per unit listed on the cover page and a hedging-related charge of $0.05 per unit described in “Structuring the Notes” below. |
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Calculation Agent: |
BofA Securities, Inc. (“BofAS”). |
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Accelerated Return Notes® | TS-2 |
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
The terms and risks of the notes are contained in this term sheet and
in the following:
These documents (together, the “Note Prospectus”) have been
filed as part of a registration statement with the SEC, which may, without cost, be accessed on the SEC website as indicated above or
obtained from us, Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) or BofAS by calling 1-800-294-1322.
Before you invest, you should read the Note Prospectus, including this term sheet, and the other documents that we have filed with the
SEC for information about us and this offering. Any prior or contemporaneous oral statements and any other written materials you may have
received are superseded by the Note Prospectus. Capitalized terms used but not defined in this term sheet have the meanings set forth
in product supplement EQUITY ARN-1. Unless otherwise indicated or unless the context requires otherwise, all references in this document
to “Royal Bank of Canada,” the “Bank,” “we,” “us,” “our” or similar references
are to RBC.
“Accelerated Return Notes®” and “ARNs®”
are the registered service marks of Bank of America Corporation, the parent company of MLPF&S and BofAS.
Investor Considerations
You may wish to consider an investment in the notes if: |
The notes may not be an appropriate investment for you if: |
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§ You
anticipate that the Underlying Fund will increase moderately from the Starting Value to the Ending Value.
§ You
are willing to risk a loss of principal and return if the Underlying Fund decreases from the Starting Value to the Ending Value.
§ You
accept that the return on the notes will be capped.
§ You
are willing to forgo the interest payments that are paid on conventional interest bearing debt securities.
§ You
are willing to forgo the dividends or other benefits of directly owning shares of the Underlying Fund or the securities held by the Underlying
Fund.
§ You
are willing to accept a limited or no market for sales prior to maturity, and understand that the market prices for the notes, if any,
will be affected by various factors, including our actual and perceived creditworthiness, our internal funding rate and fees and charges
on the notes.
§ You
are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
|
§ You
believe that the Underlying Fund will decrease from the Starting Value to the Ending Value or that it will not increase sufficiently over
the term of the notes to provide you with your desired return.
§ You
seek principal repayment or preservation of capital.
§ You
seek an uncapped return on your investment.
§ You
seek interest payments or other current income on your investment.
§ You
want to receive dividends or have the other benefits of directly owning shares of the Underlying Fund or the securities held by the Underlying
Fund.
§ You
seek an investment for which there will be a liquid secondary market.
§ You
are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
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We urge you to consult your investment, legal, tax, accounting, and
other advisors before you invest in the notes.
Accelerated Return Notes® | TS-3 |
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
Hypothetical Payout Profile and Examples of Payments
at Maturity
The graph below is based on hypothetical numbers and values.
Accelerated Return Notes®
|
This graph reflects the returns on the notes,
based on the Participation Rate of 300% and the Capped Value of $12.28 per unit. The green line reflects the returns on the notes, while
the dotted gray line reflects the returns of a direct investment in the Underlying Fund, excluding dividends.
This graph has been prepared for purposes
of illustration only.
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The following table and examples are for purposes of illustration only.
They are based on hypothetical values and show hypothetical returns on the notes. They illustrate the calculation of the
Redemption Amount and total rate of return based on a hypothetical Starting Value of 100, the Participation Rate of 300%, the Capped Value
of $12.28 per unit and a range of hypothetical Ending Values. The actual amount you receive and the resulting total rate of return
will depend on the actual Starting Value, Ending Value and Capped Value, and whether you hold the notes to maturity. The following
examples do not take into account any tax consequences from investing in the notes.
For recent actual levels of the Market Measure, see “The Underlying
Fund” section below. The Ending Value will not include any income generated by dividends paid on the Market Measure, which you would
otherwise be entitled to receive if you invested in the Underlying Fund directly. In addition, all payments on the notes are subject to
issuer credit risk.
Ending Value |
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Percentage Change from the Starting Value to the Ending Value |
|
Redemption Amount per Unit |
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Total Rate of Return on the Notes |
0.00 |
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-100.00% |
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$0.00 |
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-100.00% |
50.00 |
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-50.00% |
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$5.00 |
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-50.00% |
80.00 |
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-20.00% |
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$8.00 |
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-20.00% |
90.00 |
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-10.00% |
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$9.00 |
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-10.00% |
94.00 |
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-6.00% |
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$9.40 |
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-6.00% |
97.00 |
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-3.00% |
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$9.70 |
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-3.00% |
100.00(1) |
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0.00% |
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$10.00 |
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0.00% |
102.00 |
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2.00% |
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$10.60 |
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6.00% |
103.00 |
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3.00% |
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$10.90 |
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9.00% |
105.00 |
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5.00% |
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$11.50 |
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15.00% |
107.60 |
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7.60% |
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$12.28(2) |
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22.80% |
110.00 |
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10.00% |
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$12.28 |
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22.80% |
120.00 |
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20.00% |
|
$12.28 |
|
22.80% |
130.00 |
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30.00% |
|
$12.28 |
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22.80% |
150.00 |
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50.00% |
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$12.28 |
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22.80% |
| (1) | The hypothetical Starting Value of 100 used in these examples has been chosen for illustrative purposes only, and does not
represent the actual Starting Value for the Market Measure. |
| (2) | The Redemption Amount per unit cannot exceed the Capped Value. |
Accelerated Return Notes® | TS-4 |
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
Redemption Amount Calculation Examples:
Example 1 |
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The Ending Value is 50.00, or 50.00% of the Starting Value: |
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Starting Value: 100.00 |
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Ending Value: 50.00 |
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= $5.00 Redemption Amount per unit |
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Example 2 |
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The Ending Value is 102.00, or 102.00% of the Starting Value: |
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Starting Value: 100.00 |
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Ending Value: 102.00 |
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= $10.60 Redemption Amount per unit |
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Example 3 |
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The Ending Value is 130.00, or 130.00% of the Starting Value: |
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Starting Value: 100.00 |
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Ending Value: 130.00 |
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= $19.00, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $12.28 per unit |
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Accelerated Return Notes® | TS-5 |
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
Risk Factors
There are important differences between the notes and a conventional
debt security. An investment in the notes involves significant risks, including those listed below. You should carefully review the more
detailed explanation of risks relating to the notes in the “Risk Factors” sections beginning on page PS-7 of product supplement
EQUITY ARN-1, page S-3 of the MTN prospectus supplement, and page 1 of the prospectus identified above. We also urge you to consult your
investment, legal, tax, accounting, and other advisors before you invest in the notes.
Structure-related Risks
| § | Depending on the performance of the Market Measure as measured shortly before the maturity date, your investment may result in a loss;
there is no guaranteed return of principal. |
| § | Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of
comparable maturity. |
| § | Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect
the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire investment. |
| § | Your investment return is limited to the return represented by the Capped Value and may be less than a comparable investment directly
in the Market Measure or the securities held by the Underlying Fund. |
Valuation- and Market-related Risks
| § | The initial estimated value of the notes is only an estimate, determined as of a particular point in time by reference to our and
our affiliates’ pricing models. These pricing models consider certain assumptions and variables, including our credit spreads, our
internal funding rate, mid-market terms on hedging transactions, expectations on dividends, interest rates and volatility, price-sensitivity
analysis and the expected term of the notes. These pricing models rely in part on certain forecasts about future events, which may prove
to be incorrect. |
| § | The public offering price you pay for the notes will exceed the initial estimated value. If you attempt to sell the notes prior to
maturity, their market value may be lower than the price you paid for them and lower than the initial estimated value. This is due to,
among other things, changes in the value of the Market Measure, our internal funding rate and the inclusion in the public offering price
of the underwriting discount and the hedging-related charge, all as further described in “Structuring the Notes” below. 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. |
| § | The initial estimated value does not represent a minimum or maximum price at which we, MLPF&S, BofAS or any of our affiliates
would be willing to purchase your notes in any secondary market (if any exists) at any time. The value of your notes at any time after
issuance will vary based on many factors that cannot be predicted with accuracy, including the performance of the Market Measure, our
creditworthiness and changes in market conditions. |
| § | A trading market is not expected to develop for the notes. None of us, MLPF&S or BofAS is obligated to make a market for, or to
repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any price in any secondary market. |
Conflict-related Risks
| § | Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trades in shares
of the Underlying Fund or the securities held by the Underlying Fund), and any hedging and trading activities we, MLPF&S, BofAS or
our respective affiliates engage in for our clients’ accounts, may affect the market value and return of the notes and may create
conflicts of interest with you. |
| § | There may be potential conflicts of interest involving the calculation agent, which is BofAS. We have the right to appoint and remove
the calculation agent. |
Market Measure-related Risks
| § | The sponsor and advisor of the Underlying Fund may adjust the Underlying Fund in a way that could adversely affect the value of the
notes and the amount payable on the notes, and these entities have no obligation to consider your interests. |
| § | You will have no rights of a holder of shares of the Underlying Fund or the securities held by the Underlying Fund, and you will not
be entitled to receive securities or dividends or other distributions by the issuers of those securities. |
| § | While we, MLPF&S, BofAS or our respective affiliates may from time to time own the Market Measure or the securities held by the
Underlying Fund, we, MLPF&S, BofAS and our respective affiliates do not control the Underlying Fund or the issuers of those securities,
and have not verified any disclosure made by any other company. |
| § | There are liquidity and management risks associated with the Underlying Fund. |
| § | The performance of the Market Measure may not correlate with the performance of the securities held by the Underlying Fund as well
as the net asset value per share of the Underlying Fund, especially during periods of market volatility when the liquidity and the market
price of shares of the Underlying Fund and/or the securities held by the Underlying Fund may be adversely affected, sometimes materially. |
Accelerated Return Notes® | TS-6 |
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
| § | The payments on the notes will not be adjusted for all corporate events that could affect the Underlying Fund. See “Description
of ARNs—Anti Dilution and Discontinuance Adjustments Relating to Underlying Funds” in product supplement EQUITY ARN-1. |
Tax-related Risks
| § | 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. Moreover,
the notes may be subject to the “constructive ownership” regime, in which case certain adverse tax consequences may apply
upon your disposition of a note. You should review carefully the section entitled “United States Federal Income Tax Considerations”
herein, in combination with the section entitled “U.S. Federal Income Tax Summary” in the accompanying product supplement,
and consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes. |
Additional Risk Factors
The securities held by the Underlying Fund are concentrated in one
sector. As a result, the securities that will determine the performance of the notes are concentrated in one sector. Although an investment
in the notes will not give holders any ownership or other direct interests in the securities held by the Underlying Fund, the return on
the notes will be subject to certain risks associated with a direct investment in the energy sector. Accordingly, by investing in the
notes, you will not benefit from the diversification which could result from an investment linked to companies that operate in multiple
sectors.
A limited number of stocks held by the Underlying Fund may affect
its price, and the stocks held by the Underlying Fund are
not necessarily
representative of the energy sector. While the securities held by the Underlying Fund are common stocks of
companies generally considered to be involved in various segments of
the energy sector, the securities held by the Underlying Fund
may not follow the price movements of the entire energy sector generally.
As of the date of this document, less than five securities
accounted for more than half of the Underlying Fund's holdings. If these
securities decline in value, the Underlying Fund will likely decline in value even if security prices in the energy sector generally increase
in value.
Adverse conditions in the energy sector may reduce your return on
the notes. The issuers of the stocks held by the Underlying Fund develop and produce, among other things, crude oil and natural gas,
and provide, among other things, drilling services and other services related to energy resources production and distribution. Stock prices
for these types of companies are affected by supply and demand both for their specific product or service and for energy products in general.
The price of oil and gas, exploration and production spending, government regulation, world events and economic conditions will likewise
affect the performance of these companies. Correspondingly, the stocks of companies in the energy sector are subject to swift price fluctuations
caused by events relating to international politics, energy conservation, the success of exploration projects and tax and other governmental
regulatory policies. Weak demand for the companies’ products or services or for energy products and services in general, as well
as negative developments in these other areas, would adversely impact the value of the securities held by the Underlying Fund and, therefore,
the price of the Underlying Fund and the value of the notes.
Accelerated Return Notes® | TS-7 |
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
The Underlying Fund
All information contained in this term sheet regarding the Underlying
Fund, including, without limitation, its make-up, method of calculation and changes to its components, has been derived from publicly
available information, without independent verification. The information reflects the policies of, and is subject to change by, SSGA Funds
Management (“SSGA FM”). The consequences of any discontinuance of the Underlying Fund are discussed in the section entitled
“Description of ARNs—Anti-Dilution and Discontinuance Adjustments Relating to Underlying Funds” in product supplement
EQUITY ARN-1. None of us, the calculation agent, MLPF&S, or BofAS accepts any responsibility for the calculation, maintenance or publication
of the Underlying Fund or any successor. Neither we nor any agent has independently verified the accuracy or completeness of any information
with respect to the Underlying Fund in connection with the offer and sale of securities.
The Energy Select Sector SPDR® Fund is an exchange-traded
fund that seeks to track the investment results, before fees and expenses, of the Energy Select Sector Index (the “Underlying Index”,
a free float-adjusted market capitalization weighted index that measures the performance of the energy sector of the U.S. equity market.
The Energy Select Sector SPDR® Fund is composed of companies whose primary line of business is associated with the following
industries: oil, gas and consumable fuels, and energy equipment and services.
Information filed with the SEC relating to the Underlying Fund pursuant
to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to CIK number
1064641 through the SEC’s website at http://www.sec.gov. In addition, information may be obtained from other sources including,
but not limited to, press releases, newspaper articles and other publicly disseminated documents. The shares of the Underlying Fund trade
on the NYSE Arca under the ticker symbol “XLE.”
We have derived all information regarding the Underlying Fund from publicly
available information and have not independently verified any information regarding the Underlying Fund. This document relates only to
the securities and not to the Energy Select Sector SPDR® Fund. We make no representation as to the performance of the Underlying
Fund over the term of the notes.
Eligibility Criteria for Index Components
The stocks included in each Select Sector Index are selected from the
universe of companies represented by the S&P 500® Index. S&P acts as index calculation agent in connection with
the calculation and dissemination of each Select Sector Index. Each stock in the S&P 500® Index is allocated to only
one Select Sector Index, and the Select Sector Indices together comprise all of the companies in the S&P 500® Index.
Index Maintenance
Each Select Sector Index was developed and is maintained in accordance
with the following criteria:
| • | Each of the component stocks in a Select Sector Index (the “Component Stocks”) is a constituent company of the S&P
500® Index. |
| • | The eleven Select Sector Indices together will include all of the companies represented in the S&P 500® Index and
each of the stocks in the S&P 500® Index will be allocated to one of the Select Sector Indices. |
| • | Each constituent stock of the S&P 500® Index is assigned to a Select Sector Index based on the Global Industry
Classification Sector (“GICS”) structure. Each Select Sector Index is made up of all the stocks in the applicable GICS sector. |
| • | Each Select Sector Index is calculated by the Index Sponsor using a capped market capitalization methodology where single index constituents
or defined groups of index constituents are confined to a maximum weight and the excess weight is distributed proportionally among the
remaining index constituents. Each Select Sector Index is rebalanced from time to time to re-establish the proper weighting. |
| • | For reweighting purposes, each Select Sector Index is rebalanced quarterly after the close of business on the third Friday of March,
June, September and December using the following procedures: (1) The rebalancing reference date is the second Friday of March, June, September
and December; (2) With prices reflected on the rebalancing reference date, and membership, shares outstanding and investable weight factors
as of the rebalancing effective date, each company is weighted by float-adjusted market capitalization methodology. Modifications are
made as defined below. |
| i. | If any Component Stock has a weight greater than 24%, that Component Stock has its float-adjusted market capitalization weight capped
at 23%. The 23% weight cap creates a 2% buffer to ensure that no Component Stock exceeds 25% as of the quarter-end diversification requirement
date. |
| ii. | All excess weight is equally redistributed to all uncapped Component Stocks within the relevant Select Sector Index. |
| iii. | After this redistribution, if the float-adjusted market capitalization weight of any other Component Stock(s) then breaches 23%, the
process is repeated iteratively until no Component Stocks breaches the 23% weight cap. |
Accelerated Return Notes® | TS-8 |
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
| iv. | The sum of the Component Stocks with weights greater than 4.8% cannot exceed 50% of the total index weight. These caps are set to
allow for a buffer below the 5% limit. |
| v. | If the rule in step (iv) is breached, all the Component Stocks are ranked in descending order of their float-adjusted market capitalization
weights and the first Component Stock that causes the 50% limit to be breached has its weight reduced to 4.5%. |
| vi. | This excess weight is equally redistributed to all Component Stocks with weights below 4.5%. This process is repeated iteratively
until step (iv) is satisfied. |
| vii. | Index share amounts are assigned to each Component Stock to arrive at the weights calculated above. Since index shares are assigned
based on prices one week prior to rebalancing, the actual weight of each Component Stock at the rebalancing differs somewhat from these
weights due to market movements. |
| viii. | If, on the second to last business day of March, June, September, or December a company has a weight greater than 24% or the sum of
the companies with weights greater than 4.8% exceeds 50%, a secondary rebalancing will be triggered with the rebalancing effective date
being after the close of the last business day of the month. This secondary rebalancing will use the closing prices as of the second to
last business day of March, June, September, or December and membership, shares outstanding, and IWFs as of the rebalancing date. |
Calculation of the Underlying Index
Each Select Sector Index is calculated using the same methodology utilized
by S&P in calculating the S&P 500® Index, using a base−weighted aggregate methodology. The daily calculation
of each Select Sector Index is computed by dividing the total market value of the companies in the Select Sector Index by a number called
the index divisor.
A SPDR® Component Stock which has been assigned to one
Select Sector Index may be determined to have undergone a transformation in the composition of its business, and that it should be removed
from that Select Sector Index and assigned to a different Select Sector Index. In the event that a SPDR® Component Stock’s
Select Sector Index assignment should be changed, S&P will disseminate notice of the change following its standard procedure for announcing
index changes, and will implement the change in the affected Select Sector Indexes after the initial dissemination of information on the
sector change.
SPDR® Component Stocks removed from and added to the
S&P 500® Index will be deleted from and added to the appropriate Select Sector Index on the same schedule used by S&P
for additions and deletions from the S&P 500® Index insofar as practicable.
Additional information regarding the calculation and composition of
the Underlying Index, including the index methodology, may be found on S&P’s website. Information included in that website is
not included or incorporated by reference into this document.
Accelerated Return Notes® | TS-9 |
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
The following graph shows the daily historical performance of
the Underlying Fund on its primary exchange in the period from January 1, 2014 through June 27, 2024. We obtained this historical data
from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On
June 27, 2024, the Closing Market Price of the Underlying Fund was $90.80. The graph below may have been adjusted to reflect certain corporate
actions such as stock splits and reverse stock splits.
Historical Performance of the Underlying Fund
This historical data on the Underlying Fund is not necessarily
indicative of the future performance of the Underlying Fund or what the value of the notes may be. Any historical upward or downward trend
in the price per share of the Underlying Fund during any period set forth above is not an indication that the price per share of the Underlying
Fund is more or less likely to increase or decrease at any time over the term of the notes.
Before investing in the notes, you should consult
publicly available sources for the prices of the Underlying Fund.
Accelerated Return Notes® | TS-10 |
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
Supplement to the Plan of Distribution
Under our distribution agreement with BofAS, BofAS will purchase the
notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated underwriting discount.
MLPF&S will purchase the notes from BofAS for resale, and will receive
a selling concession in connection with the sale of the notes in an amount up to the full amount of underwriting discount set forth on
the cover of this term sheet.
We will pay a fee to LFT Securities, LLC for providing certain electronic
platform services with respect to this offering, which will reduce the economic terms of the notes to you. An affiliate of BofAS has an
ownership interest in LFT Securities, LLC.
We may deliver the notes against payment therefor in New York, New York
on a date that is greater than one business day following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934,
trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade expressly agree
otherwise. Accordingly, if the initial settlement of the notes occurs more than one business day from the pricing date, purchasers who
wish to trade the notes more than one business day prior to the original issue date will be required to specify alternative settlement
arrangements to prevent a failed settlement.
The notes will not be listed on any securities exchange. In the original
offering of the notes, the notes will be sold in minimum investment amounts of 100 units. If you place an order to purchase the notes,
you are consenting to MLPF&S and/or one of its affiliates acting as a principal in effecting the transaction for your account.
MLPF&S and BofAS may repurchase and resell the notes, with repurchases
and resales being made at prices related to then-prevailing market prices or at negotiated prices, and these prices will include MLPF&S’s
and BofAS’s trading commissions and mark-ups or mark-downs. MLPF&S and BofAS may act as principal or agent in these market-making
transactions; however, neither is obligated to engage in any such transactions. At their discretion, for a short, undetermined initial
period after the issuance of the notes, MLPF&S and BofAS may offer to buy the notes in the secondary market at a price that may exceed
the initial estimated value of the notes. Any price offered by MLPF&S or BofAS for the notes will be based on then-prevailing market
conditions and other considerations, including the performance of the Market Measure and the remaining term of the notes. However, none
of us, MLPF&S, BofAS or any of our respective affiliates is obligated to purchase your notes at any price or at any time, and we cannot
assure you that we, MLPF&S, BofAS or any of our respective affiliates will purchase your notes at a price that equals or exceeds the
initial estimated value of the notes.
The value of the notes shown on your account statement will be based
on BofAS’s estimate of the value of the notes if BofAS or another of its affiliates were to make a market in the notes, which it
is not obligated to do. That estimate will be based upon the price that BofAS may pay for the notes in light of then-prevailing market
conditions and other considerations, as mentioned above, and will include transaction costs. At certain times, this price may be higher
than or lower than the initial estimated value of the notes.
The distribution of the Note Prospectus in connection with these offers
or sales will be solely for the purpose of providing investors with the description of the terms of the notes that was made available
to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized to, rely on
the Note Prospectus for information regarding RBC or for any purpose other than that described in the immediately preceding sentence.
Accelerated Return Notes® | TS-11 |
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
Structuring the Notes
The notes are our debt securities. As is the case for all of our debt
securities, including our market-linked notes, the economic terms of the notes reflect our actual or perceived creditworthiness. In addition,
because market-linked notes result in increased operational, funding and liability management costs to us, we typically borrow the funds
under marked-linked 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, which we refer to as our internal funding rate. The lower internal funding rate, along with the fees and charges
associated with market-linked notes, reduce the economic terms of the notes to you and result in the initial estimated value of the notes
on the pricing date 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.
At maturity, we are required to pay the Redemption Amount to holders
of the notes, which will be calculated based on the $10 per unit principal amount and will depend on the performance of the Market Measure.
In order to meet these payment obligations, at the time we issue the notes, we may choose to enter into certain hedging arrangements (which
may include call options, put options or other derivatives) with BofAS or one of its affiliates. The terms of these hedging arrangements
are determined by seeking bids from market participants, including MLPF&S, BofAS and their affiliates, and take into account a number
of factors, including our creditworthiness, interest rate movements, the volatility of the Market Measure, the tenor of the notes and
the tenor of the hedging arrangements. The economic terms of the notes and their initial estimated value depend in part on the terms of
these hedging arrangements.
BofAS has advised us that the hedging arrangements will include a hedging-related
charge of approximately $0.05 per unit, reflecting an estimated profit to be credited to BofAS from these transactions. Since hedging
entails risk and may be influenced by unpredictable market forces, additional profits and losses from these hedging arrangements may be
realized by BofAS or any third party hedge providers.
For further information, see “Risk Factors—Valuation- and
Market-related Risks” beginning on page PS-7 and “Use of Proceeds and Hedging” on page PS-20 of product supplement EQUITY
ARN-1.
Accelerated Return Notes® | TS-12 |
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
Summary of Canadian Federal Income Tax Consequences
For a discussion of the material Canadian federal income tax consequences
relating to an investment in the notes, please see the section entitled “Tax Consequences—Canadian Taxation” in the
prospectus dated December 20, 2023.
United States Federal Income Tax Considerations
You should review carefully the section in the accompanying product
supplement entitled “U.S. Federal Income Tax Summary.” 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 Underlying. 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, it is reasonable to treat the notes for
U.S. federal income tax purposes as pre-paid cash settled derivative contracts, as described in the section entitled “U.S. Federal
Income Tax Summary—U.S. Holders” 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. A different tax treatment could be adverse to
you. Generally, if this treatment is respected, subject to the potential application of the “constructive ownership” regime
discussed below, (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.
Even if the treatment of the notes as prepaid financial contracts is
respected, purchasing a note could be treated as entering into a “constructive ownership transaction” within the meaning of
Section 1260 of the Internal Revenue Code (“Section 1260”). In that case, all or a portion of any long-term capital gain you
would otherwise recognize upon the taxable disposition of the note would be recharacterized as ordinary income to the extent such gain
exceeded the “net underlying long-term capital gain” as defined in Section 1260. Any long-term capital gain recharacterized
as ordinary income would be treated as accruing at a constant rate over the period you held the note, and you would be subject to a notional
interest charge in respect of the deemed tax liability on the income treated as accruing in prior tax years. Due to the lack of direct
legal authority, our counsel is unable to opine as to whether or how Section 1260 applies to the notes.
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 “U.S. Federal Income Tax
Summary—Non-U.S. Holders” 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, our counsel is of the opinion that Section 871(m) should
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.
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 and the potential application of the “constructive
ownership” regime, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Accelerated Return Notes® | TS-13 |
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
Supplemental Benefit Plan Investor Considerations
The notes are contractual financial instruments.
The financial exposure provided by the notes is not a substitute or proxy for, and is not intended as a substitute or proxy for, individualized
investment management or advice for the benefit of any purchaser or holder of the notes. The notes have not been designed and will not
be administered in a manner intended to reflect the individualized needs and objectives of any purchaser or holder of the notes.
Each purchaser or holder of any notes acknowledges
and agrees that:
| · | the purchaser or holder or its fiduciary has made and shall make all investment decisions for the purchaser
or holder and the purchaser or holder has not relied and shall not rely in any way upon us or any of our affiliates to act as a fiduciary
or adviser of the purchaser or holder with respect to (i) the design and terms of the notes, (ii) the purchaser or holder’s investment
in the notes, (iii) the holding of the notes or (iv) the exercise of or failure to exercise any rights we or any of our affiliates, or
the purchaser or holder, has under or with respect to the notes; |
| · | we and our affiliates have acted and will act solely for our own account in connection with (i) all transactions
relating to the notes and (ii) all hedging transactions in connection with our or our affiliates’ obligations under the notes; |
| · | any and all assets and positions relating to hedging transactions by us or any of our affiliates are assets
and positions of those entities and are not assets and positions held for the benefit of the purchaser or holder; |
| · | our interests and the interests of our affiliates are adverse to the interests of the purchaser or holder;
and |
| · | neither we nor any of our affiliates is a fiduciary or adviser of the purchaser or holder in connection
with any such assets, positions or transactions, and any information that we or any of our affiliates may provide is not intended to be
impartial investment advice. |
See “Benefit Plan Investor Considerations” in the accompanying
prospectus.
Accelerated Return Notes® | TS-14 |
Accelerated Return Notes® |
Linked to the Energy Select Sector SPDR® Fund, due August 29, 2025 |
Validity Of The Notes
In the opinion of Norton Rose Fulbright Canada
LLP, as Canadian counsel to the Bank, the issue and sale of the notes has been duly authorized by all necessary corporate action of the
Bank in conformity with the indenture, and when the notes have been duly executed, authenticated and issued in accordance with the indenture
and delivered against payment therefor, the notes will be validly issued and, to the extent validity of the notes is a matter governed
by the laws of the Province of Ontario or Québec, or the federal laws of Canada applicable therein, will be valid obligations of
the Bank, subject to the following limitations: (i) the enforceability of the indenture may be limited by the Canada Deposit Insurance
Corporation Act (Canada), the Winding-up and Restructuring Act (Canada) and bankruptcy, insolvency, reorganization, receivership, moratorium,
arrangement or winding-up laws or other similar laws of general application affecting the enforcement of creditors’ rights generally;
(ii) the enforceability of the indenture is subject to general equitable principles, including the principle that the availability of
equitable remedies, such as specific performance and injunction, may only be granted at the discretion of a court of competent jurisdiction;
(iii) under applicable limitations statutes generally, including that the enforceability of the indenture will be subject to the limitations
contained in the Limitations Act, 2002 (Ontario), and such counsel expresses no opinion as to whether a court may find any provision of
the indenture to be unenforceable as an attempt to vary or exclude a limitation period under such applicable limitations statutes; (iv)
rights to indemnity and contribution under the notes or the indenture which may be limited by applicable law; and (v) courts in Canada
are precluded from giving a judgment in any currency other than the lawful money of Canada and such judgment may be based on a rate of
exchange in existence on a day other than the day of payment, as prescribed by the Currency Act (Canada). This opinion is given as of
the date hereof and is limited to the laws of the Provinces of Ontario and Québec and the federal laws of Canada applicable therein.
In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture
and the genuineness of signatures and to such counsel’s reliance on the Bank and other sources as to certain factual matters, all
as stated in the opinion letter of such counsel dated December 20, 2023, which has been filed as Exhibit 5.3 to the Bank’s Form
6-K filed with the SEC dated December 20, 2023.
In the opinion of Davis Polk & Wardwell LLP,
as special United States products counsel to the Bank, when the notes offered by this term sheet have been issued by the Bank pursuant
to the indenture, the trustee has made, in accordance with the indenture, the appropriate notation to the master note evidencing such
notes (the “master note”), and such notes have been delivered against payment as contemplated herein, such notes will be valid
and binding obligations of the Bank, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or regulatory actions or applications
giving effect to governmental actions or foreign laws affecting creditors’ rights, provided that such counsel expresses no opinion
as to (i) the enforceability of any waiver of rights under any usury or stay law or (ii) the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is
limited to the laws of the State of New York. Insofar as the foregoing opinion involves matters governed by the laws of the Provinces
of Ontario and Québec and the federal laws of Canada, you have received, and we understand that you are relying upon, the opinion
of Norton Rose Fulbright Canada LLP, Canadian counsel for the Bank, set forth above. In addition, this opinion is subject to customary
assumptions about the trustee’s authorization, execution and delivery of the indenture and the authentication of the master note
and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the opinion of Davis
Polk & Wardwell LLP dated May 16, 2024, which has been filed as an exhibit to the Bank’s Form 6-K filed with the SEC on May
16, 2024.
Terms Incorporated
in the Master Note
All
terms of the notes included in this term sheet and the relevant terms included in the section entitled
“Description of ARNs” in product supplement EQUITY ARN-1, as modified by this term
sheet, if applicable, are incorporated into the master note.
Accelerated Return Notes® | TS-15 |
Exhibit 107.1
The
pricing supplement to which this Exhibit is attached is a final prospectus for the related offering(s). The maximum aggregate offering
price of the related offering(s) is $15,207,660.
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