Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-275898
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Pricing Supplement
Dated May 31, 2024
To the Product Prospectus Supplement ERN-ETF-1, the Prospectus Supplement and the Prospectus, each dated
December 20, 2023
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$3,656,000
Buffer Enhanced Return Notes Linked to the Lesser
Performing of One Exchange Traded Fund and One
Equity Index, Due June 3, 2027
Royal Bank of Canada
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Reference Assets
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Initial Levels
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Buffer Levels*
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iShares® MSCI EAFE ETF (“EFA”)
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$81.18
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$73.06, which is 90.00% of its Initial Level
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EURO STOXX 50® Index (“SX5E”)
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4,983.67
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4,485.30, which is 90.00% of its Initial Level
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The Notes provide a leveraged positive return equal to 200% of the Percentage Change of the Lesser Performing Reference Asset (each as defined below) if the value of the Lesser Performing Reference Asset increases from its Initial
Level to its Final Level.
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Investors will receive the principal amount of the Notes 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 Buffer Level.
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If the Final Level of the Lesser Performing Reference Asset is less than its Buffer Level of 90% of the Initial Level, investors will lose 1% of the principal amount of the Notes for each 1% that its Final Level has decreased by more
than 10% 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
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100.00%
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$3,656,000
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Underwriting discounts and commissions(1)
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0.00%
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$0
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Proceeds to Royal Bank of Canada
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100.00%
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$3,656,000
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Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
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General:
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This pricing supplement relates to an offering of Buffer Enhanced Return Notes Linked to the Lesser Performing of One Exchange Traded Fund and One Equity Index (the
“Notes”).
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Issuer:
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Royal Bank of Canada (the “Bank”)
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Trade Date (Pricing
Date):
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May 31, 2024
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Issue Date:
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June 5, 2024
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Valuation Date:
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May 28, 2027
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Maturity Date:
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June 3, 2027, subject to extension for market and other disruptions, as described in the product prospectus supplement dated December 20, 2023.
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Denominations:
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Minimum denomination of $1,000, and integral multiples of $1,000 thereafter.
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Initial Level:
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For each Reference Asset, its closing price (as to the EFA) or its closing level (as to the SX5E) 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 price (as to the EFA) or its closing level (as to the SX5E) on the Valuation Date.
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Buffer Level:
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For each Reference Asset, 90.00% of its Initial Level, as set forth on the cover page of this pricing supplement.
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Buffer Percentage:
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10%
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Payment at Maturity:
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We will pay you at maturity an amount based on the Final Level of the Lesser Performing Reference Asset:
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, for each $1,000 in principal amount, an amount equal to:
$1,000 + [$1,000 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 Buffer Level (that is, its Percentage Change is between 0% and ‑10.00%), the investor will receive the principal amount.
If the Final Level of the Lesser Performing Reference Asset is less than its Buffer Level (that is, its
Percentage Change is less than -10.00%), then the investor will receive, for each $1,000 in principal amount, an amount equal to:
$1,000 + [$1,000 x (Percentage Change of the Lesser Performing Reference Asset + Buffer Percentage)]
In this case, you may lose some or a substantial portion of the principal amount.
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Percentage Change:
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With respect to each Reference Asset:
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Participation Rate:
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200%
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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 any Reference Asset that is not affected by that market disruption event will not be postponed.
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Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
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Calculation Agent:
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RBC Capital Markets, LLC (“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, the section below "Additional Terms Relating to the Index," 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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|
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Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
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Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
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Hypothetical Initial Level (for each Reference Asset):
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1,000.00*
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Hypothetical Buffer Level (for each Reference Asset):
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900.00, which is 90.00% of the hypothetical Initial Level
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Participation Rate:
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200.00%
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Principal Amount:
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$1,000 per Note
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Hypothetical Percentage
Change of the Lesser
Performing Reference Asset |
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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200.00%
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$2,000.00
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40.00%
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180.00%
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$1,800.00
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30.00%
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160.00%
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$1,600.00
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20.00%
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140.00%
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$1,400.00
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10.00%
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120.00%
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$1,200.00
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5.00%
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110.00%
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$1,100.00
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0.00%
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100.00%
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$1,000.00
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-5.00%
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100.00%
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$1,000.00
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-10.00%
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100.00%
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$1,000.00
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-10.01%
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99.99%
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$999.90
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-20.00%
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90.00%
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$900.00
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-30.00%
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80.00%
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$800.00
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-40.00%
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70.00%
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$700.00
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-50.00%
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60.00%
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$600.00
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-60.00%
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50.00%
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$500.00
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-70.00%
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40.00%
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$400.00
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-80.00%
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30.00%
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$300.00
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-90.00%
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20.00%
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$200.00
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-100.00%
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10.00%
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$100.00
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Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
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Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
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• |
You May Lose Some or a Substantial Portion of the Principal Amount at Maturity – Investors in the Notes could lose a substantial portion of their principal amount if there is a decline in the value of the Lesser Performing Reference Asset. 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 Buffer Level.
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The Payment at Maturity Will Be Determined Solely by Reference to the Lesser Performing Reference Asset Even if
the Other Reference Asset Performs Better – The 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.
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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 values of the Reference Assets increase 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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Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
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The Initial Estimated Value of the Notes Is Less than the Price to the Public – The initial estimated value 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 values 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 referral 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 referral 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. The value of the Notes at any time after the Trade Date will vary based on many factors,
including changes in market conditions, and cannot be predicted with accuracy. As a result, the actual value you would receive if you sold the Notes in any secondary market, if any, should be expected to differ materially from the
initial estimated value of your Notes.
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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 values 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 represented by 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 values of the Reference Assets, and, therefore, the market value of the Notes.
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An Investment in the Notes Is Subject to Risks Relating to Non-U.S. Securities Markets - Because
foreign companies or foreign equity securities held by or included in the Reference Assets are publicly traded in the applicable foreign countries and are denominated in non-U.S. currencies, an investment in the Notes involves
particular risks. For example, the non-U.S. securities markets may be more volatile than the U.S. securities markets, and market developments may affect these markets differently from the U.S. or other securities markets. Direct or
indirect
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Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
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Notes Linked to the Reference Assets Are Subject to Foreign Currency Exchange Rate Risk – The
payment amount on the Notes may be calculated based on the EFA, and the prices of the applicable stocks are converted into U.S. dollars for purposes of calculating the level of the EFA. As a result, investors in the Notes will be
exposed to currency exchange rate risk with respect to each of the currencies represented by the EFA. An investor’s net exposure will depend on the extent to which the currencies represented by the EFA strengthen or weaken against the
U.S. dollar and the relative weight of each relevant currency represented by the EFA. If, taking into account such weight, the dollar strengthens against such currencies, the value of the EFA will be adversely affected and the amount
payable, if any, at maturity of the Notes may be reduced.
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You Will Not Have Any Rights to the Securities Represented by the Reference Assets or the shares of the EFA – 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 included or held by the Reference Asset or
the shares of the EFA would have. The Final Level of each Reference Asset will not reflect any dividends paid on the securities held by or included in the Reference Asset or the shares of the EFA, and accordingly, any positive return on
the Notes may be less than the potential positive return on those securities or the shares of the EFA.
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The EFA and Its Underlying Index Are Different — The performance of the EFA may not
exactly replicate the performance of its underlying index, because the EFA will reflect transaction costs and fees that are not included in the calculation of its underlying index. It is also possible that the performance of the EFA may
not fully replicate or may in certain circumstances diverge significantly from the performance of its underlying index due to the temporary unavailability of certain securities in the secondary market, the performance of any derivative
instruments contained in the EFA or due to other circumstances. The EFA may use futures contracts, options and swap agreements not included in its underlying index that the investment advisor of the EFA (the "Advisor") believes will
help the EFA track its underlying index.
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The EFA Is Subject to Management Risks — The EFA
is subject to management risk, which is the risk that the Advisor’s investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. For example, the Advisor may invest a
portion of the EFA's assets in securities not included in its underlying index but which the Advisor believes will help the EFA track its underlying index.
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Adjustments to the EFA Could Adversely Affect the Notes — The Advisor is responsible for
calculating and maintaining the EFA. The Advisor can add, delete or substitute the stocks comprising the EFA. The Advisor may make other methodological changes that could change the share price of the EFA at any time. If one or more of
these events
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Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
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• |
We Have No Affiliation with the Sponsor of the SX5E or the Sponsor of the EFA's Underlying Index and Cannot Control the Actions
Taken by Such Sponsor — Each of the sponsor of the SX5E and the sponsor of the EFA's underlying index (the "Sponsors") is not our affiliate and will not be involved in the offering of the Notes
in any way. Consequently, we have no control over the actions of the Sponsors, including any actions of the type that would require the calculation agent to adjust the payment to you at maturity. Thus, the Sponsors may change the
composition of its respective index, or the methodology used to calculate that index, at any time and have no obligation to take your interests into consideration for any reason, including in taking any actions that might affect the
value of the Notes. None of our proceeds from the issuance of the Notes will be delivered to the Sponsors.
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We and Our Affiliates Do Not Have Any Affiliation with the Advisor and Are Not Responsible for its Public Disclosure of Information — We and our affiliates are not affiliated with Advisor in any way and have no ability to control or predict its actions, including any errors in or discontinuance of disclosure regarding its methods or
policies relating to the EFA. The Advisor is not involved in the offering of the Notes in any way and has no obligation to consider your interests as an owner of the Notes in taking any actions relating to the EFA that might affect the
value of the Notes. Neither we nor any of our affiliates has independently verified the adequacy or accuracy of the information about the Advisor or the EFA contained in any public disclosure of information. You, as an investor in the
Notes, should make your own investigation into the EFA.
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The Payment at Maturity Is Subject to Anti-dilution Adjustments — For certain corporate or
organizational events affecting the EFA, the calculation agent may make adjustments to the terms of the Notes. However, the calculation agent will not make such adjustments in response to all events that could affect the EFA. If an
event occurs that does not require the calculation agent to make such adjustments, the value of the Notes may be materially and adversely affected. In addition, all determinations and calculations concerning any such adjustments will be
made in the sole discretion of the calculation agent, which will be binding on you absent manifest error. You should be aware that the calculation agent may make any such adjustment, determination or calculation in a manner that differs
from that discussed in this document or the product prospectus supplement as necessary to achieve an equitable result.
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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 and the section below, "Additional Terms Relating to the Index."
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Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
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Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
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• |
defining the equity universe;
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• |
determining the market investable equity universe for each market;
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defining market capitalization size segments for each market;
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applying index continuity rules for the MSCI Standard Index;
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creating style segments within each size segment within each market; and
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• |
classifying securities under the Global Industry Classification Standard (the “GICS”).
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Identifying Eligible Equity Securities: the equity universe initially looks at securities listed in any of the countries in the MSCI Global Index Series, which will be classified as either Developed Markets
(“DM”) or Emerging Markets (“EM”). All listed equity securities, including Real Estate Investment Trusts and certain income trusts in Canada, are eligible for inclusion in the equity universe. Limited partnerships, limited liability
companies, and business trusts, which are listed in the U.S. and are not structured to be taxed as limited partnerships, are likewise eligible for inclusion in the equity universe. Conversely, mutual funds, ETFs, equity derivatives, and
most investment trusts, are not eligible for inclusion, are eligible for inclusion in the equity universe. Conversely, mutual funds, ETFs, equity derivatives, and most investment trusts, are not. Preferred shares that exhibit
characteristics of equity securities are analyzed for eligibility by MSCI on a case by case basis. Stapled securities are considered eligible if each of the underlying components exhibit characteristics of equity securities.
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Classifying Eligible Securities into the Appropriate Country: each company and its securities (i.e., share classes) is classified in only one country. All securities in the Equity Universe classified into a Developed Market make up the DM Equity Universe, while all securities
in the Equity Universe classified into an Emerging Market make up the EM Equity Universe. Additionally, all securities in the Equity Universe classified into a Frontier Market make up the FM Equity Universe.
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The security is classified in a country that meets the Foreign Listing Materiality Requirement, and
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The security’s foreign listing is traded on an eligible stock exchange of: a DM country if the security is classified in a DM country, a DM or an EM country if the security is classified in an EM country, or a
DM or an EM or a FM country if the security is classified in a FM country.
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Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
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• |
Equity Universe Minimum Size Requirement: this investability screen is applied
at the company level. In order to be included in a market investable equity universe, a company must have the required minimum full market capitalization. This minimum full market capitalization is referred to as the Equity Universe
Minimum Size Requirement. The Equity Universe Minimum Size Requirement applies to all companies in all markets, Developed and Emerging, and is derived as follows: first, the companies in the DM Equity Universe are sorted in descending
order of full market capitalization and the cumulative coverage of free float-adjusted market capitalization of the DM Equity Universe is calculated at each company; second, when the free float-adjusted market capitalization coverage of
99% of the sorted Equity Universe is achieved, the full market capitalization of the company at that point defines the Equity Universe Minimum Size Requirement. The rank of each company by descending order of full market capitalization
within the DM Equity Universe is noted, and will be used in determining the Equity Universe Minimum Size Requirement at the next rebalance.
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Equity Universe Minimum Free Float−Adjusted Market Capitalization Requirement:
this investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have a free float−adjusted market capitalization equal to or higher than 50% of
the equity universe minimum size requirement.
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DM and EM Minimum Liquidity Requirement: this investability screen is applied
at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have adequate liquidity. The twelve-month and three-month Annual Traded Value Ratio (“ATVR”), a measure that
mitigates the impact of extreme daily trading volumes and takes into account the free float-adjusted market capitalization of securities, together with the three-month frequency of trading, are used to select securities with a sound
long and short-term liquidity. A minimum liquidity level of 20% of three- and twelve-month ATVR and 90% of three-month frequency of trading over the last four consecutive quarters is required for inclusion of a security in a market
investable equity universe of a Developed Market, and a minimum liquidity level of 15% of three- and twelve-month ATVR and 80% of three-month frequency of trading over the last four consecutive quarters is required for inclusion of a
security in a market investable equity universe of an Emerging Market. Certain securities in the MSCI China Equity Universe are not eligible for inclusion in the market investable equity universe unless they meet additional requirements
as described further in the index methodology Only one listing per security may be included in the market investable equity universe and priority rules described in the index methodology will be applied in instances when a security has
two or more eligible listings that meet the above liquidity requirements. A stock-price limit of $10,000 has been set, thus securities with stock prices above $10,000 fail the liquidity screening. The stock-price limit applies only for
non-constituents of the MSCI Global Investable Markets Indexes and does not apply to constituents of the MSCI Global Investable Market Indexes if the stock price surpasses the $10,000 threshold.
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Global Minimum Foreign Inclusion Factor Requirement: this investability screen
is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security’s Foreign Inclusion Factor (“FIF”) must reach a certain threshold. The FIF of a security is defined as the
proportion of shares outstanding that is available for purchase in the public equity markets by international investors. This proportion accounts for the available free float of and/or the foreign ownership limits applicable to a
specific security (or company). In general, a security must have an FIF equal to or larger than 0.15 to be eligible for inclusion in a market investable equity universe. MSCI may make exceptions to this general rule in the limited cases
where the exclusion of securities of a very large company would compromise the Standard Index's ability to fully and fairly represent the characteristics of the underlying market.
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• |
Minimum Length of Trading Requirement: this investability screen is applied at
the individual security level. For an initial public offering (“IPO”) to be eligible for inclusion in a market investable equity universe, the new issue must have started trading at least three months before the implementation of an
index review (as described below). This requirement is applicable to small new issues in all markets. Large IPOs are not subject to the minimum length of trading requirement and may be included in a market investable equity universe and
the Standard Index outside of an index review.
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Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
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• |
Minimum Foreign Room Requirement: this investability screen is applied at the individual security level. For a security
that is subject to a foreign ownership limit to be eligible for inclusion in a market investable equity universe, the proportion of shares still available to foreign investors relative to the maximum allowed (referred to as “foreign
room”) must be at least 15%. The index methodology applies an adjustment to securities within the market investable equity universe that have foreign room less than 25%.
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Financial Reporting Requirement: this investability screen is applied at the company level.
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• |
Investable Market Index (Large + Mid + Small);
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• |
Standard Index (Large + Mid);
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• |
Large Cap Index;
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• |
Mid Cap Index; or
|
• |
Small Cap Index.
|
• |
defining the market coverage target range for each size segment;
|
• |
determining the global minimum size range for each size segment;
|
• |
determining the market size−segment cutoffs and associated segment number of companies;
|
• |
assigning companies to the size segments; and
|
• |
applying final size−segment investability requirements.
|
|
|
Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
|
(i) |
Semi−Annual Index Reviews (“SAIRs”) in May and November of the Size Segment and Global Value and Growth Indices which include:
|
• |
updating the indices on the basis of a fully refreshed equity universe;
|
• |
taking buffer rules into consideration for migration of securities across size and style segments; and
|
• |
updating FIFs and Number of Shares (“NOS”).
|
(ii) |
Quarterly Index Reviews (“QIRs”) in February and August of the Size Segment Indices aimed at:
|
• |
including significant new eligible securities (such as IPOs that were not eligible for earlier inclusion) in the index;
|
• |
allowing for significant moves of companies within the Size Segment Indices, using wider buffers than in the SAIR; and
|
• |
reflecting the impact of significant market events on FIFs and updating NOS.
|
(iii) |
Ongoing Event–Related Changes: changes of this type are generally implemented in the indices as they occur. Significantly large IPOs are included in the indices after the close of the company’s tenth day of
trading.
|
|
|
Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
|
|
|
Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
|
|
|
Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
|
SX5E =
|
Free float market capitalization of the SX5E
|
Divisor
|
|
|
Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
|
• |
sponsor, endorse, sell, or promote the Notes;
|
• |
recommend that any person invest in the Notes offered hereby or any other securities;
|
• |
have any responsibility or liability for or make any decisions about the timing, amount, or pricing of the Notes;
|
• |
have any responsibility or liability for the administration, management, or marketing of the Notes; or
|
• |
consider the needs of the Notes or the holders of the Notes in determining, composing, or calculating the SX5E, or have any obligation to do so.
|
• |
STOXX does not make any warranty, express or implied, and disclaims any and all warranty concerning:
|
• |
the results to be obtained by the Notes, the holders of the Notes or any other person in connection with the use of the SX5E and the data included in the SX5E;
|
• |
the accuracy or completeness of the SX5E and its data;
|
• |
the merchantability and the fitness for a particular purpose or use of the SX5E and its data;
|
• |
STOXX will have no liability for any errors, omissions, or interruptions in the SX5E or its data; and
|
• |
Under no circumstances will STOXX be liable for any lost profits or indirect, punitive, special, or consequential damages or losses, even if STOXX knows that they might occur.
|
|
|
Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
|
|
|
Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
|
• |
a suspension, absence or limitation of trading in index components constituting 20% or more, by weight, of that index;
|
• |
a suspension, absence or limitation of trading in futures or options contracts relating to that index on their respective markets;
|
• |
any event that disrupts or impairs, as determined by the Calculation Agent, the ability of market participants to (i) effect transactions in, or obtain market values for, index components constituting 20% or
more, by weight, of that index, or (ii) effect transactions in, or obtain market values for, futures or options contracts relating to that index on their respective markets;
|
• |
the closure on any day of the primary market for futures or options contracts relating to that index or index components constituting 20% or more, by weight, of that index on a scheduled trading day prior to
the scheduled
|
|
|
Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
|
• |
any scheduled trading day on which (i) the primary markets for index components constituting 20% or more, by weight, of that index or (ii) the exchanges or quotation systems, if any, on which futures or options
contracts on that index are traded, fails to open for trading during its regular trading session; or
|
• |
any other event, if the Calculation Agent determines that the event interferes with our ability or the ability of any of our affiliates to unwind all or a portion of a hedge with respect to the Notes that we or
our affiliates have effected or may effect.
|
|
|
Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
|
|
|
Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
|
|
|
Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
|
|
|
Buffer Enhanced Return Notes Linked to the
Lesser Performing of One Exchange Traded
Fund and One Equity Index
|
P-26
|
RBC Capital Markets, LLC
|