Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-259205
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Pricing Supplement
Dated September 16, 2021
to the Product Prospectus Supplement ERN-EI-1, Prospectus Supplement, and Prospectus Each Dated September 14, 2021
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$5,125,000
Geared Buffered Enhanced Return Notes
Linked to the Russell 2000® Index, Due
July 20, 2023
Royal Bank of Canada
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Per Note
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Total
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Price to public
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100.00%
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$5,125,000
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Underwriting discounts and commissions
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0.00%
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$0.00
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Proceeds to Royal Bank of Canada
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100.00%
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$5,125,000
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Geared Buffered Enhanced Return Notes
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Issuer:
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Royal Bank of Canada (“Royal Bank”)
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Underwriter:
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RBC Capital Markets, LLC (“RBCCM”)
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Reference Asset:
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Russell 2000® Index (“RTY”)
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Currency:
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U.S. Dollars
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Minimum
Investment:
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$1,000 and minimum denominations of $1,000 in excess thereof
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Trade Date (Pricing
Date):
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September 16, 2021
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Issue Date:
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September 21, 2021
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Valuation Date:
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July 17, 2023
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Maturity Date:
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July 20, 2023, subject to extension for market and other disruptions, as described in the product prospectus supplement.
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Payment at Maturity
(if held to maturity):
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If the Percentage Change is positive, then the investor will receive an amount per $1,000 principal amount per Note equal to the
lesser of:
1. Principal Amount + (Principal Amount x Percentage Change x Leverage Factor); and
2. Maximum Redemption Amount
If the Percentage Change is less than or equal to 0%, but not by more than the Buffer Percentage (that is, the Percentage Change is
between 0% and -17.50%), then the investor will receive the principal amount only.
If the Percentage Change is negative, by more than the Buffer Percentage (that is, the Percentage Change is between -17.51% and
-100%), then the investor will receive a cash payment equal to:
Principal Amount + [Principal Amount x (Percentage Change + Buffer Percentage) x Downside Multiplier]
In this case, you will lose all or a portion of the principal amount of the Notes.
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Percentage Change:
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The Percentage Change, expressed as a percentage, is calculated using the following formula:
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Initial Level:
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2,234.448, which was the closing level of the Reference Asset on September 15, 2021.
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Final Level:
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The closing level of the Reference Asset on the Valuation Date.
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Geared Buffered Enhanced Return Notes
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Leverage Factor:
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150% (subject to the Maximium Redemption Amount)
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Maximum
Redemption
Amount:
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$1,191 per $1,000 in principal amount.
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Buffer Percentage:
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17.50%
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Buffer Level:
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1,843.420, which is 82.50% of the Initial Level (rounded to three decimal places).
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Downside Multiplier:
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100/82.50, which is approximately 1.21212
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Principal at Risk:
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The Notes are NOT principal protected. You may lose all or a substantial portion of your principal amount at maturity if the Final Level is less than the Buffer Level.
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Calculation Agent:
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RBCCM
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U.S. Tax Treatment:
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By purchasing a Note, each holder agrees (in the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat the Notes as a
pre-paid cash-settled derivative contract for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the Notes are uncertain and the Internal Revenue Service could assert that the Notes
should be taxed in a manner that is different from that described in the preceding sentence. Please see the section below, “Supplemental Discussion of U.S. Federal Income Tax Consequences,” and the discussion (including the opinion of
Ashurst LLP, our special tax counsel) in the product prospectus supplement under “Supplemental Discussion of U.S. Federal Income Tax Consequences,” which apply to the Notes.
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Secondary Market:
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RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary market in the Notes after the issue date. The
amount that you may receive upon sale of your Notes prior to maturity may be less than the principal amount of your Notes.
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Listing:
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The Notes will not be listed on any securities exchange.
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Clearance and
Settlement:
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DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as described under “Ownership and Book-Entry Issuance” in the prospectus).
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Terms Incorporated
in the Master Note:
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All of the terms appearing above the item captioned “Secondary Market” on pages P-2 and P-3 of this pricing supplement and the terms appearing under the captions “General
Terms of the Notes” and “Supplemental Discussion of U.S. Federal Income Tax Consequences” in the product prospectus supplement, as modified by this pricing supplement.
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Geared Buffered Enhanced Return Notes
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Geared Buffered Enhanced Return Notes
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Example 1—
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Calculation of the Payment at Maturity where the Percentage Change is positive.
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Percentage Change:
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5%
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Payment at Maturity:
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$1,000 + [$1,000 x (5% x 150%)] = $1,000 + $75 = $1,075
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On a $1,000 investment, a 5% Percentage Change results in a Payment at Maturity of $1,075, a 7.50% return on the Notes.
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Example 2—
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Calculation of the Payment at Maturity where the Percentage Change is positive (and the Payment at Maturity is subject to the Maximum Redemption Amount).
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Percentage Change:
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30% | |
Payment at Maturity:
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$1,000 + [$1,000 x (30% x 150%)] = $1,000 + $450 = $1,450
However, the Maximum Redemption Amount is $1,191.
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On a $1,000 investment, a 30% Percentage Change results in a Payment at Maturity of $1,191, a 19.10% return on the Notes.
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Example 3—
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Calculation of the Payment at Maturity where the Percentage Change is negative (but not by more than the Buffer Percentage).
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Percentage Change:
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-8%
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Payment at Maturity:
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At maturity, if the Percentage Change is negative BUT not by more than the Buffer Percentage, then the Payment at Maturity will equal the principal amount.
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On a $1,000 investment, a -8% Percentage Change results in a Payment at Maturity of $1,000,
a 0% return on the Notes. |
Example 4—
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Calculation of the Payment at Maturity where the Percentage Change is negative (by more than the Buffer Percentage).
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Percentage Change:
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-35%
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Payment at Maturity:
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$1,000 + [$1,000 x (-35% + 17.50%) x 1.21212] = $1,000 - $212.12 = $787.88
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On a $1,000 investment, a -35% Percentage Change results in a Payment at Maturity of $787.88,
a -21.21% return on the Notes. |
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Geared Buffered Enhanced Return Notes
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You May Not Receive the Full Principal Amount at Maturity – Investors in the Notes could lose all or a substantial portion of their principal amount if there is a decline
in the level of the Reference Asset. You will lose approximately 1.21212% of the principal amount of the Notes for each 1% that the Final Level is less than the Buffer Level.
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The Notes Do Not Pay Interest and Your Return May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity – There will be no periodic interest
payments on the Notes as there would be on a conventional fixed-rate or floating-rate debt security having the same maturity. The return that you will receive on the Notes, which could be negative, may be less than the return you could earn
on other investments. Even if your return is positive, your return may be less than the return you would earn if you purchased one of our conventional senior interest bearing debt securities.
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Your Potential Payment at Maturity Is Limited – The Notes will provide less opportunity to participate in the appreciation of the
Reference Asset than an investment in a security linked to the Reference Asset providing full participation in the appreciation, because the payment at maturity will not exceed the Maximum Redemption Amount. Accordingly, your return on the
Notes may be less than your return would be if you made an investment in a security directly linked to the positive performance of the Reference Asset.
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Payments on the Notes Are Subject to Our Credit Risk, and Changes in Our Credit Ratings Are Expected to Affect the Market Value of the Notes – The Notes are our senior
unsecured debt securities. As a result, your receipt of the amount due on the maturity date is dependent upon our ability to repay our obligations at that time. This will be the case even if the level of the Reference Asset increases after
the date that the Initial Level was determined. No assurance can be given as to what our financial condition will be at the maturity of the Notes.
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There May Not Be an Active Trading Market for the Notes—Sales in the Secondary Market May Result in Significant Losses – There may be little or no secondary market for the
Notes. The Notes will not be listed on any securities exchange. RBCCM and our other affiliates may make a market for the Notes; however, they are not required to do so. RBCCM or any of our other affiliates may stop any market-making
activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We expect that transaction costs in any secondary market would be high. As a result,
the difference between bid and asked prices for your Notes in any secondary market could be substantial.
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The Initial Estimated Value of the Notes Is Less than the Price to the Public – The initial estimated value of the Notes that is set forth on the cover page of this
pricing supplement does not represent a minimum price at which we, RBCCM or any of our affiliates would be willing to purchase the Notes in any secondary market (if any exists) at any time. If you attempt to sell the Notes prior to
maturity, their market value may be lower than the price you paid for them and the initial estimated value. This is due to, among other things, changes in the level of the Reference Asset, the borrowing rate we pay to issue securities of
this kind, and the inclusion in the price to the public of 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
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Geared Buffered Enhanced Return Notes
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The Initial Estimated Value of the Notes that Is Set Forth on the Cover Page of this Pricing Supplement Is an Estimate Only, Calculated as of the Time the Terms of the Notes Were
Set –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 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.
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Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to
engage in trading activities related to the Reference Asset that are not for the account of holders of the Notes or on their behalf. These trading activities may present a conflict between the holders’ interests in the Notes and the
interests we and our affiliates will have in their proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for their customers and in accounts under their management. These trading
activities, if they influence the level of the Reference Asset, could be adverse to the interests of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with companies included
in the Reference Asset, including making loans to or providing advisory services. These services could include investment banking and merger and acquisition advisory services. These activities may present a conflict between our or one or
more of our affiliates’ obligations and your interests as a holder of the Notes. Moreover, we, and our affiliates may have published, and in the future expect to publish, research reports with respect to the Reference Asset. This research
is modified from time to time without notice and may express opinions or provide recommendations that are inconsistent with purchasing or holding the Notes. Any of these activities by us or one or more of our affiliates may affect the level
of the Reference Asset, and, therefore, the market value of the Notes.
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An Investment in the Notes Is Subject to Risks Associated in Investing in Stocks with a Small Market Capitalization – The Russell 2000® Index consists of stocks
issued by companies with relatively small market capitalizations. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies. As a result, the level of the Russell
2000® Index may be more volatile than that of a market measure that does not track solely small-capitalization stocks. Stock prices of small-capitalization companies are also generally more vulnerable than those of
large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization companies may be thinly traded, and be less attractive to many investors if they do not pay dividends. In addition, small
capitalization companies are often less well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of those individuals. Small
capitalization companies tend to have lower revenues, less diverse product lines, smaller shares of their target markets, fewer financial resources and fewer competitive strengths than large-capitalization companies. These companies may
also be more susceptible to adverse developments related to their products or services.
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You Will Not Have Any Rights to the Securities Included in the Reference Asset – As a holder of the Notes, you will not have voting rights or rights to receive cash
dividends or other distributions or other rights that holders
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Geared Buffered Enhanced Return Notes
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The Payments on the Notes Are Subject to Market Disruption Events and Adjustments – The payment at maturity and the Valuation Date are subject to adjustment as described
in the product prospectus supplement. For a description of what constitutes a market disruption event as well as the consequences of that market disruption event, see “General Terms of the Notes—Market Disruption Events” in the product
prospectus supplement.
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Geared Buffered Enhanced Return Notes
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Geared Buffered Enhanced Return Notes
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Geared Buffered Enhanced Return Notes
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Geared Buffered Enhanced Return Notes
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Geared Buffered Enhanced Return Notes
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Geared Buffered Enhanced Return Notes
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