Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-275898
|
|||
Pricing Supplement
Dated May 31, 2024
To the Product Prospectus Supplement ERN-EI-1, Prospectus Supplement and Prospectus, Each Dated December 20, 2023
|
Buffered Enhanced Return Notes
Each Linked to a Different Index, Due June 3, 2026 Royal Bank of Canada
|
||
Reference Asset
|
CUSIP
|
Initial Level
|
Buffer Level*
|
Maximum Redemption
Amount
|
Initial Estimated Value (per
$1,000 in principal
amount)
|
Nasdaq-100 Index® (“NDX”)
|
78017FWP4
|
18,536.65
|
16,682.99, which is 90% of the Initial Level
|
126.00%
|
$984.02
|
Russell 2000® Index (“RTY”)
|
78017FWQ2
|
2,070.126
|
1,863.113, which is 90% of the Initial Level
|
127.50%
|
$982.38
|
EURO STOXX 50® Index (“SX5E”)
|
78017FWR0
|
4,983.67
|
4,485.30, which is 90% of the Initial Level
|
138.00%
|
$987.12
|
• |
If the Final Level of the applicable Reference Asset is greater than its Initial Level, each of the Notes will pay at maturity a return equal to 200% of the Percentage Change, subject to
the applicable Maximum Redemption Amount of the principal amount of the Notes.
|
• |
If the Final Level of the applicable Reference Asset is less than or equal to its Initial Level, but is greater than or equal to its Buffer Level, investors will receive the principal
amount at maturity.
|
• |
If the Final Level of the applicable Reference Asset is less than its Buffer Level, investors will lose 1% of the principal amount of the applicable Notes for each 1% that the applicable
Final Level has decreased by more than 10% from its Initial Level.
|
• |
Any payments on the Notes are subject to our credit risk.
|
• |
The Notes do not pay interest.
|
• |
The Notes will not be listed on any securities exchange.
|
Per NDX Note
|
Total
|
|
Per RTY Note
|
Total
|
|
Per SX5E Note
|
Total
|
||||
Price to public(1)
|
100.00%
|
$1,413,000
|
|
100.00%
|
$1,197,000
|
|
100.00%
|
$129,000
|
|||
Underwriting discounts and commissions(1)
|
0.002%
|
$30
|
0.052%
|
$625
|
0.24%
|
$310
|
|||||
Proceeds to Royal Bank of Canada
|
99.998%
|
$1,412,970
|
99.948%
|
$1,196,375
|
99.76%
|
$128,690
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
Issuer:
|
Royal Bank of Canada (the “Bank”)
|
Underwriter:
|
RBC Capital Markets, LLC (“RBCCM”)
|
Reference Assets:
|
As set forth on the cover page.
|
Minimum
Investment:
|
$1,000 and minimum denominations of $1,000 in excess thereof
|
Trade Date (Pricing
Date):
|
May 31, 2024
|
Issue Date:
|
June 5, 2024
|
Valuation Date:
|
May 29, 2026
|
Maturity Date:
|
June 3, 2026, subject to extension for market and other disruptions, as described in the product prospectus supplement dated December
20, 2023.
|
Payment at
Maturity (if held to
maturity):
|
If the Percentage Change for the applicable Notes is positive,
then the investor will receive an amount in cash per $1,000 in principal amount of the Notes equal to the lesser of:
1. Principal Amount + [Principal Amount x (Percentage Change x Participation Rate)], and
2. the Maximum Redemption Amount
If the Percentage Change for the applicable Notes is less
than or equal to 0%, but not by more than the Buffer Percentage (that is, the Percentage Change is between 0% and -10%), then the investor will receive the principal amount only.
If the Percentage Change for the applicable Notes is negative,
by more than the Buffer Percentage (that is, the Percentage Change is less than -10.00%), then the investor will receive a cash payment equal to:
Principal Amount + [Principal Amount x (Percentage Change + Buffer Percentage)]
In this case, you could lose a substantial portion of the principal amount of the Notes if the Final Level for
the applicable Notes is less than the applicable Initial Level by more than the Buffer Percentage.
|
Percentage
Change:
|
The Percentage Change for the applicable Reference Asset, expressed as a percentage, is calculated using the following formula:
|
Maximum
Redemption
Amount:
|
A percentage of the principal amount, as set forth on the cover page of this document.
|
Initial Level:
|
The closing level of the applicable Reference Asset on the Trade Date, as set forth on the cover page of this pricing supplement.
|
Final Level:
|
The closing level of the applicable Reference Asset on the Valuation Date.
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
Participation Rate:
|
200% (subject to the applicable Maximum Redemption Amount)
|
Buffer Percentage:
|
10%
|
Buffer Level:
|
90% of the Initial Level of the applicable Reference Asset, as set forth on the cover page of this pricing supplement.
|
Principal at Risk:
|
The Notes are NOT principal
protected. You may lose a substantial portion of your principal amount at maturity if the applicable Final Level is less than the Buffer Level of the applicable Reference Asset.
|
Calculation Agent:
|
RBCCM
|
U.S. Tax
Treatment:
|
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 applicable 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 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.
|
Secondary Market:
|
RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary market in each of 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.
|
Listing:
|
The Notes will not be listed on any securities exchange.
|
Clearance and
Settlement:
|
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).
|
Terms
Incorporated in the
Master Note:
|
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.
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
Example 1 —
|
Calculation of the Payment at Maturity where the Percentage Change is positive.
|
|
Percentage Change:
|
2%
|
|
Payment at Maturity:
|
$1,000 + [$1,000 x (2% x 200%)] = $1,000 + $40 = $1,040
|
|
On a $1,000 investment, a 2% Percentage Change results in a Payment at Maturity of $1,040, a return on the Notes of 4%.
|
Example 2 —
|
Calculation of the Payment at Maturity where the Percentage Change is positive (and the Payment at Maturity is subject to the Maximum Redemption
Amount).
|
|
Percentage Change:
|
10%
|
|
Payment at Maturity:
|
$1,000 + [$1,000 x (10% x 200%)] = $1,000 + $200 = $1,200
However, the hypothetical Maximum Redemption Amount is $1,170 per $1,000 in principal amount.
|
|
On a $1,000 investment, a 10% Percentage Change results in a Payment at Maturity of $1,170, a return on the Notes of 17%.
|
Example 3 —
|
Calculation of the Payment at Maturity where the Percentage Change is negative (but not by more than the Buffer Percentage).
|
|
Percentage Change:
|
-8%
|
|
Payment at Maturity:
|
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.
|
|
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 —
|
Calculation of the Payment at Maturity where the Percentage Change is negative (by more than the Buffer Percentage).
|
|
Percentage Change:
|
-35%
|
|
Payment at Maturity:
|
$1,000 + [$1,000 x (-35% + 10%)] = $1,000 - $250 = $750
|
|
On a $1,000 investment, a -35% Percentage Change results in a Payment at Maturity of $750, a return on the Notes of -25%.
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
Hypothetical Percentage
Change
|
Payment at Maturity as
Percentage of Principal Amount
|
Payment at Maturity per
$1,000 in Principal Amount
|
40.00%
|
117.00%
|
$1,170.00
|
30.00%
|
117.00%
|
$1,170.00
|
20.00%
|
117.00%
|
$1,170.00
|
10.00%
|
117.00%
|
$1,170.00
|
8.50%
|
117.00%
|
$1,170.00
|
5.00%
|
110.00%
|
$1,100.00
|
2.00%
|
104.00%
|
$1,040.00
|
0.00%
|
100.00%
|
$1,000.00
|
-5.00%
|
100.00%
|
$1,000.00
|
-10.00%
|
100.00%
|
$1,000.00
|
-20.00%
|
90.00%
|
$900.00
|
-30.00%
|
80.00%
|
$800.00
|
-40.00%
|
70.00%
|
$700.00
|
-50.00%
|
60.00%
|
$600.00
|
-60.00%
|
50.00%
|
$500.00
|
-70.00%
|
40.00%
|
$400.00
|
-80.00%
|
30.00%
|
$300.00
|
-90.00%
|
20.00%
|
$200.00
|
-100.00%
|
10.00%
|
$100.00
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
• |
You May Lose Some or a Significant Portion of the Principal Amount at Maturity — Investors in each of the Notes could lose a significant portion of their principal amount if there is a decline in the level of the applicable Reference Asset. You will lose 1% of the
principal amount of your Notes for each 1% that the applicable Final Level is less than the applicable Initial Level by more than 10%.
|
• |
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.
|
• |
Your Potential Payment at Maturity Is Limited — The Notes will provide less opportunity to participate in the
appreciation of the applicable Reference Asset than an investment in a security linked to that Reference Asset providing full participation in the appreciation, because the Payment at Maturity will not exceed the applicable 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 applicable Reference Asset.
|
• |
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 applicable amount due on the maturity
date for your Notes is dependent upon our ability to repay our obligations at that time. This will be the case even if the level of the applicable 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.
|
• |
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 one or both of 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 any of 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.
|
• |
The Initial Estimated Value of the Notes Is Less than the Price to the Public — The initial estimated value of each 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 applicable Reference Asset, 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 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
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
• |
The Initial Estimated Value of Each 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 each 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 estimates are 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.
|
• |
Our Business Activities and Those of Our Affiliates May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the applicable 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 applicable 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 applicable 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 one or more of 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 applicable Notes. Any of these activities by us or one or more of our affiliates may affect the level of one or more of the Reference Assets, and, therefore, the
market value of the applicable Notes.
|
• |
You Will Not Have Any Rights to the Securities Included in the Applicable 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 of securities
included in the applicable Reference Asset would have. The Final Level for your Notes will not reflect any dividends paid on the securities included in the applicable Reference Asset, and accordingly, any positive return on any of the
Notes may be less than the potential positive return on those securities.
|
• |
The Payments on the Notes Are Subject to Postponement Due to Market Disruption Events and Adjustments — The Payment at Maturity and the Valuation Date for each of the Notes are subject to adjustment as described in the product prospectus supplement. For a
description of what constitutes a market disruption event
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
• |
An Investment in the Notes Linked to the RTY Is Subject to Risks Associated in Investing in Stocks With a Small Market
Capitalization — The RTY 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 RTY 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.
|
• |
An Investment in the Notes Linked to the NDX or the SX5E 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 Asset are publicly traded in the applicable foreign countries and are
denominated in non-U.S. currencies, an investment in the Notes linked to the NDX or the SX5E 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 government intervention to stabilize the securities markets outside the U.S., as well as cross-shareholdings in certain
companies, may affect trading prices and trading volumes in those markets. Also, the public availability of information concerning the foreign issuers may vary depending on their home jurisdiction and the reporting requirements imposed
by their respective regulators. In addition, the foreign issuers may be subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies.
|
• |
The Notes Linked to the SX5E Will Not Be Adjusted for Changes in Exchange Rates — Although the equity
securities composing the SX5E are traded in euro and the Notes are denominated in U.S. dollars, the amount payable on the Notes linked to the SX5E at maturity, if any, will not be adjusted for changes in the exchange rates between the
U.S. dollar and the euro. Changes in exchange rates, however, may also reflect changes in the applicable non-U.S. economies that in turn may affect the level of this index, and therefore the Notes. The amount we pay in respect of your
Notes on the maturity date will be determined solely in accordance with the procedures described in this document.
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
• |
the security must generally be a common stock, ordinary share, American Depositary Receipt ("ADR"), or tracking stock. Companies organized as real estate investment trusts are not eligible
for index inclusion. If the security is an ADR, then references to the “issuer” are references to the underlying security and the total shares outstanding is the actual ADRs outstanding as reported by the depositary banks. If an issuer
has listed multiple security classes, all security classes are eligible, subject to meeting all other security eligibility criteria;
|
• |
the security’s primary U.S. listing must exclusively be listed on the Nasdaq Global Select Market or the Nasdaq Global Market;
|
• |
if the security is issued by an issuer organized under the laws of a jurisdiction outside the United States, it must have listed options on a registered options market in the United States
or be eligible for listed-options trading on a registered options market in the United States;
|
• |
the security must be issued by a non-financial company (any industry other than Financials) according to the Industry Classification Benchmark;
|
• |
the security must have a minimum average daily trading volume of 200,000 shares s (measured over the three calendar months ending with the month that includes the reconstitution reference
date);
|
• |
the security must have traded for at least three full calendar months, not including the month of initial listing, on an “eligible exchange,” which includes Nasdaq (Nasdaq Global Select
Market, Nasdaq Global Market, or Nasdaq Capital Market), NYSE, NYSE American or CBOE BZX. Eligibility is determined as of the constituent selection reference date, and includes that month. A security that was added to the NDX as a
result of a spin-off event will be exempt from this requirement;
|
• |
the security may not be issued by an issuer currently in bankruptcy proceedings; and
|
• |
the issuer of the security generally may not have entered into a definitive agreement or other arrangement that would make it ineligible for NDX inclusion and where the transaction is
imminent as determined by the Index Management Committee.
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
• |
The top 75 ranked issuers will be selected for inclusion in the NDX.
|
• |
Any other issuers that were already members of the NDX as of the reconstitution reference date and are ranked within the top 100 are also selected for inclusion in the NDX.
|
• |
In the event that fewer than 100 issuers pass the first two criteria, the remaining positions will first be filled, in rank order, by issuers currently in the index ranked in positions
101-125 that were ranked in the top 100 at the previous reconstitution or replacement-or spin-off-issuers added since the previous reconstitution. In the event that fewer than 100 issuers pass the first three criteria, the remaining
positions will be filled, in rank order, by any issuers ranked in the top 100 that were not already members of the NDX as of the reconstitution reference date.
|
• |
No issuer weight may exceed 20% of the index.
|
• |
The aggregate weight of the subset of issuers whose Stage 1 weights exceed 4.5% is set to 40%.
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
• |
No security weight may exceed 14% of the index.
|
• |
The aggregate weight of the subset of index securities with the five largest market capitalizations is set to 38.5%.
|
• |
No security with a market capitalization outside the largest five may have a final index weight exceeding the lesser of 4.4% or the final index weight of the index security ranked fifth by
market capitalization.
|
• |
Listing on an ineligible index exchange;
|
• |
Merger, acquisition, or other major corporate event that would adversely impact the integrity of the NDX;
|
• |
If a company is organized as a real estate investment trust;
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
• |
If an index security is classified as a financial company (Financials industry) according to the Industry Classification Benchmark;
|
• |
if the issuer has an adjusted market capitalization below 0.10% of the aggregate adjusted market capitalization of the NDX for two consecutive month ends; and
|
• |
If a security that was added to the NDX as the result of a spin-off event has an adjusted market capitalization below 0.10% of the aggregate adjusted market capitalization of the NDX at
the end of its second day of regular way trading as an index member.
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
SX5E =
|
Free float market capitalization of the SX5E
|
Divisor
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
• |
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.
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|
|
|
Buffered Enhanced Return Notes
Each Linked to a Different Equity Index Royal Bank of Canada
|