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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-275898
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Pricing Supplement
Dated May 23, 2024
To the Product Prospectus Supplement ERN-EI-1, the Prospectus Supplement and the Prospectus, Each Dated
December 20, 2023
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$971,000
Barrier Enhanced Return Notes Linked to the Lesser
Performing of Two Equity Indices Due November 29,
2028
Royal Bank of Canada
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Reference Assets
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Initial Levels
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Barrier Levels
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Dow Jones Industrial Average™ (“INDU”)
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39,065.26
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29,298.95, which is 75.00% of its Initial Level*
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S&P 500® Index (“SPX”)
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5,267.84
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3,950.88, which is 75.00% of its Initial Level
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If the Final Level of the Lesser Performing Reference Asset (as defined below) is greater than its Initial Level, the Notes will pay at maturity a return equal to 126.50% of the Percentage Change of the
Lesser Performing Reference Asset.
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If the Final Level of the Lesser Performing Reference Asset is less than or equal to its Initial Level, but is greater than or equal to its Barrier Level, the Notes will pay the principal amount at maturity.
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If the Final Level of the Lesser Performing Reference Asset is less than its Barrier Level, investors will lose 1% of the principal amount for each 1% that its Final Level has decreased from its Initial
Level.
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Any payments on the Notes are subject to our credit risk.
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The Notes do not pay interest.
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The Notes will not be listed on any securities exchange.
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Per Note
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Total
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Price to public(1)
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100.00%
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$971,000
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Underwriting discounts and commissions(1)
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2.75%
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$26,702.50
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Proceeds to Royal Bank of Canada
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97.25%
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$944,297.50
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Issuer:
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Royal Bank of Canada (the “Bank”)
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Underwriter:
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RBC Capital Markets, LLC (“RBCCM”)
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Reference Assets:
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Dow Jones Industrial Average™ (“INDU”) and S&P 500® Index (“SPX”)
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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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May 23, 2024
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Issue Date:
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May 29, 2024
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Valuation Date:
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November 24, 2028
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Maturity Date:
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November 29, 2028, subject to extension for market and other disruptions, as described in the product prospectus supplement dated December 20, 2023.
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Payment at Maturity (if
held to maturity):
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If the Final Level of the Lesser Performing Reference Asset is greater than its Initial Level (that is, its Percentage Change
is positive), then the investor will receive an amount per $1,000 principal amount per Note equal to:
Principal Amount + [Principal Amount x (Percentage Change of the Lesser
Performing Reference Asset x Participation Rate)]
If the Final Level of the Lesser Performing Reference Asset is less than or equal to its Initial Level but is greater than or equal to its Barrier Level (that is, its Percentage Change is between 0% and ‑25.00%), then the investor will receive the principal amount only.
If the Final Level of the Lesser Performing Reference Asset is less than its Barrier Level (that is, its Percentage Change is
less than ‑25.00%), then the investor will receive a cash payment equal to:
Principal Amount + (Principal Amount x Percentage Change of the Lesser
Performing Reference Asset)
In this case, you could lose all or a substantial portion of the principal amount.
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Percentage Change:
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The Percentage Change with respect to each Reference Asset, expressed as a percentage, is calculated using the following formula:
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Initial Level:
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For each Reference Asset, its closing level on the Trade Date, as set forth on the cover page of this pricing supplement.
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Final Level:
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For each Reference Asset, its closing level on the Valuation Date.
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Participation Rate:
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126.50%
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Barrier Percentage:
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25%
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Barrier Level:
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For each Reference Asset, 75.00% of its Initial Level, as set forth on the cover page of this pricing supplement.
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Lesser Performing
Reference Asset:
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The Reference Asset which has the lowest Percentage Change.
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Market Disruption
Events:
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If a market disruption event occurs on the Valuation Date as to a Reference Asset, the determination of the Final Level of that Reference Asset will be postponed. However, the
determination of the Final Level of the Reference Asset that is not affected by that market disruption event will not be postponed.
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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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 of the Lesser Performing Reference Asset is less than its Barrier 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 Note as a pre-paid
cash-settled derivative contract in respect of the Reference Assets 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 U.S. tax counsel) in the product prospectus supplement dated December 20, 2023 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.
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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 dated December 20,
2023).
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Terms Incorporated in
the Master Note:
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All of the terms appearing on the cover page and above the item captioned “Secondary Market” in this section and the terms appearing under the caption “General Terms of the Notes” in the
product prospectus supplement, as modified by this pricing supplement.
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Example 1 —
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Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is positive.
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Percentage Change:
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2%
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Payment at Maturity:
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$1,000 + [$1,000 x (2% x 126.50%)] = $1,000 + $25.30 = $1,025.30
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On a $1,000 investment, a Percentage Change of 2% in the Lesser Performing Reference Asset results in a Payment at Maturity of $1,025.30, a return of 2.53% on the Notes.
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Example 2 —
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Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is negative (but not by more than the Barrier Percentage).
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Percentage Change:
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-20%
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Payment at Maturity:
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At maturity, if the Percentage Change of the Lesser Performing Reference Asset is negative BUT not by more than the Barrier Percentage, then the Payment at Maturity will equal the
principal amount.
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On a $1,000 investment, a Percentage Change of -20% in the Lesser Performing Reference Asset results in a Payment at Maturity of $1,000, a return of 0% on the Notes.
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Example 3 —
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Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is negative (by more than the Barrier Percentage).
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Percentage Change:
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-30%
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Payment at Maturity:
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$1,000 + ($1,000 x -30%) = $1,000 - $300 = $700
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On a $1,000 investment, a Percentage Change of -30% in the Lesser Performing Reference Asset results in a Payment at Maturity of $700, a return of -30% on the Notes.
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Hypothetical Percentage
Change of the Lesser
Performing Reference Asset
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Payment at Maturity as
Percentage of Principal Amount
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Payment at Maturity per $1,000
in Principal Amount
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50.00%
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163.250%
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$1,632.50
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40.00%
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150.600%
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$1,506.00
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30.00%
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137.950%
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$1,379.50
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20.00%
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125.300%
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$1,253.00
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10.00%
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112.650%
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$1,126.50
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5.00%
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106.325%
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$1,063.25
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2.00%
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102.530%
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$1,025.30
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0.00%
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100.000%
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$1,000.00
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-10.00%
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100.000%
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$1,000.00
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-20.00%
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100.000%
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$1,000.00
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-25.00%
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100.000%
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$1,000.00
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-25.01%
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74.990%
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$749.90
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-30.00%
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70.000%
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$700.00
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-40.00%
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60.000%
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$600.00
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-50.00%
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50.000%
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$500.00
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-60.00%
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40.000%
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$400.00
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-70.00%
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30.000%
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$300.00
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-80.00%
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20.000%
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$200.00
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-90.00%
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10.000%
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$100.00
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-100.00%
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0.000%
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$0.00
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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You May Lose All or a Substantial Portion of the 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 Lesser Performing Reference Asset between the Trade Date and the Valuation Date of more than 25%. In such a case, you will lose 1% of the
principal amount of your Notes for each 1% that the Final Level of the Lesser Performing Reference Asset is less than its Initial Level.
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Your Payment at Maturity Will Be Determined Solely by Reference to the Lesser Performing Reference Asset Even if the Other Reference Asset Performs Better –
Your Payment at Maturity will be determined solely by reference to the performance of the Lesser Performing Reference Asset. Even if the Final Level of the other Reference Asset has increased
compared to its Initial Level, or has experienced a decrease that is less than that of the Lesser Performing Reference Asset, your return will only be determined by reference to the performance of the Lesser Performing Reference
Asset, regardless of the performance of the other Reference Asset. The Notes are not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components. For example, in the case of
notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket components reflected as the basket return. As a result, the depreciation of one basket component could be mitigated by the
appreciation of the other basket component, as scaled by the weighting of that basket component. However, in the case of the Notes, the individual performance of each of the Reference Assets would not be combined, and the depreciation
of one Reference Asset would not be mitigated by any appreciation of the other Reference Asset. Instead your return will depend solely on the Final Level of the Lesser Performing Reference Asset. Because each Reference Asset tracks a
different segment of the U.S. equities market, they may both decrease in a comparable manner.
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The Notes Do Not Pay Interest and Your Return May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity – You will not receive any 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, the 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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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 Payment at Maturity is dependent upon our ability to repay our obligations at that time. This will be the case even if the
level of the Lesser Performing Reference Asset increases after the Trade Date. 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 ask prices for your Notes in any secondary market could be substantial.
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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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 levels of the Reference
Assets, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to the public of the underwriting discount, the structuring fee 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 structuring fee or the hedging costs relating to the Notes. In addition to bid-ask spreads, the value of the Notes determined by RBCCM for any
secondary market price is expected to be based on the secondary rate rather than the internal funding rate used to price the Notes and determine the initial estimated value. As a result, the secondary price will be less than if the
internal funding rate was used. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
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The Initial Estimated Value of the Notes that 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 Assets that are not for the account of holders of the Notes or on their behalf. These trading activities may present a conflict between the holders’ interests in the Notes and the interests we and
our affiliates will have in their proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for their customers and in accounts under their management. These trading activities, if they
influence the levels of the Reference Assets, could be adverse to the interests of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with companies included in the
Reference Assets, including making loans to or providing advisory services. These services could include investment banking and merger and acquisition advisory services. These activities may present a conflict between our or one or
more of our affiliates’ obligations and your interests as a holder of the Notes. Moreover, we, and our affiliates may have published, and in the future expect to publish, research reports with respect to the Reference Assets. 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 levels of the Reference Assets, and, therefore, the market value of the Notes.
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You Will Not Have Any Rights to the Securities Included in the Reference Assets – 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 of securities
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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The Payments on the Notes Are Subject to Postponement Due to Market Disruption Events and Adjustments – The Payment at
Maturity and the Valuation Date are subject to adjustment as to each Reference Asset 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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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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Barrier Enhanced Return Notes Linked to the
Lesser Performing of Two Equity Indices
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