|
Registration
Statement No. 333-275898
Filed
Pursuant to Rule 424(b)(2)
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The
information in this preliminary pricing supplement is not complete and may be changed. |
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|
|
Preliminary Pricing Supplement
Subject to Completion: Dated September 12, 2024
Pricing Supplement dated
September __, 2024 to the Prospectus dated December 20, 2023, the Prospectus Supplement dated December 20, 2023 and the Product Supplement
No. 1A dated May 16, 2024
|
|
$
Auto-Callable Contingent Coupon Barrier Notes with Memory Coupon
Linked to the Least Performing of Three Underliers,
Due September 22, 2027
Royal Bank of Canada |
|
|
|
Royal
Bank of Canada is offering Auto-Callable Contingent Coupon Barrier Notes with Memory Coupon (the “Notes”) linked to the performance
of the least performing of the common stock of Ally Financial Inc., the common stock of Broadcom Inc. and the Class A common stock
of Alphabet Inc. (each, an “Underlier”).
| · | Contingent
Coupons with Memory Feature — If the Notes have not been automatically called,
investors will receive a Contingent Coupon on a monthly Coupon Payment Date at a rate of
13.35% per annum if the closing value of each Underlier is greater than or equal to its Coupon
Threshold (50% of its Initial Underlier Value) on the immediately preceding Coupon Observation
Date. A Contingent Coupon that is not payable on a Coupon Payment Date may be paid later,
but only if the closing value of each Underlier is greater than or equal to its Coupon Threshold
on a later Coupon Observation Date. You may not receive any Contingent Coupons during the
term of the Notes. |
| · | Call
Feature — If, on any quarterly Call Observation Date beginning approximately six
months following the Trade Date, the closing value of each Underlier is greater than or equal
to its Call Value, the Notes will be automatically called for 100% of their principal amount
plus the Contingent Coupon and any unpaid Contingent Coupons otherwise due. No further
payments will be made on the Notes. |
| · | Contingent
Return of Principal at Maturity — If the Notes are not automatically called and
the Final Underlier Value of the Least Performing Underlier is greater than or equal to its
Barrier Value (50% of its Initial Underlier Value), at maturity, investors will receive the
principal amount of their Notes plus the Contingent Coupon and any unpaid Contingent
Coupons otherwise due. If the Notes are not automatically called and the Final Underlier
Value of the Least Performing Underlier is less than its Barrier Value, at maturity, investors
will receive shares of the Least Performing Underlier that will likely be worth significantly
less than the principal amount of their Notes and could be worth nothing. |
| · | Any
payments on the Notes are subject to our credit risk. |
| · | The
Notes will not be listed on any securities exchange. |
CUSIP:
78015QNB3
Investing
in the Notes involves a number of risks. See “Selected Risk Considerations” beginning on page P-9 of this pricing supplement
and “Risk Factors” in the accompanying prospectus, prospectus supplement and product supplement.
None
of the Securities and Exchange Commission (the “SEC”), any state securities commission or any other regulatory body has approved
or disapproved of the Notes or passed upon the adequacy or accuracy of this pricing supplement. Any representation to the contrary is
a criminal offense. The Notes will not constitute deposits insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit
Insurance Corporation or any other Canadian or U.S. governmental agency or instrumentality. The Notes are not bail-inable notes and are
not subject to conversion into our common shares under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act.
|
Per Note |
Total |
Price to public(1) |
100.00% |
$ |
Underwriting discounts and commissions(1) |
2.50% |
$ |
Proceeds to Royal Bank of Canada |
97.50% |
$ |
(1) We or one of our affiliates may
pay varying selling concessions of up to $25.00 per $1,000 principal amount of Notes in connection with the distribution of the Notes
to other registered broker-dealers. Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo
some or all of their underwriting discount or selling concessions. The public offering price for investors purchasing the Notes in these
accounts may be between $975.00 and $1,000.00 per $1,000 principal amount of Notes. In addition, we or one of our affiliates may pay
a broker-dealer that is not affiliated with us a referral fee of up to $5.00 per $1,000 principal amount of Notes. See “Supplemental
Plan of Distribution (Conflicts of Interest)” below.
The initial estimated value of the Notes determined
by us as of the Trade Date, which we refer to as the initial estimated value, is expected to be between $880.00 and $930.00 per $1,000
principal amount of Notes and will be less than the public offering price of the Notes. The final pricing supplement relating to the Notes
will set forth the initial estimated value. The market value of the Notes at any time will reflect many factors, cannot be predicted with
accuracy and may be less than this amount. We describe the determination of the initial estimated value in more detail below.
| |
| Auto-Callable Contingent Coupon Barrier Notes with Memory Coupon Linked to the Least Performing of Three Underliers |
KEY TERMS
The
information in this “Key Terms” section is qualified by any more detailed information set forth in this pricing supplement
and in the accompanying prospectus, prospectus supplement and product supplement.
Issuer: |
Royal Bank of Canada |
Underwriter: |
RBC Capital Markets, LLC (“RBCCM”) |
Minimum Investment: |
$1,000 and minimum denominations of $1,000 in excess thereof |
Underliers: |
The common stock of Ally Financial Inc. (the “ALLY Underlier”), the common stock of Broadcom Inc. (the “AVGO Underlier”) and the Class A common stock of Alphabet Inc. (the “GOOGL Underlier”) |
|
Underlier |
Bloomberg Ticker |
Initial Underlier Value(1) |
Call Value(1) |
Coupon Threshold and Barrier Value(2) |
Physical Delivery Amount(3) |
|
ALLY Underlier |
ALLY UN |
$ |
$ |
$ |
|
|
AVGO Underlier |
AVGO UW |
$ |
$ |
$ |
|
|
GOOGL Underlier |
GOOGL UW |
$ |
$ |
$ |
|
|
(1)
With respect to each Underlier, the closing value of that Underlier on the Trade Date |
|
(2)
With respect to each Underlier, 50% of its Initial Underlier Value (rounded to two decimal places) |
|
(3)
With respect to each Underlier, a number of shares of that Underlier equal to $1,000 divided by its Initial Underlier Value
(rounded to two decimal places) |
Trade Date: |
September 17, 2024 |
Issue Date: |
September 20, 2024 |
Valuation Date:* |
September 17, 2027 |
Maturity Date:* |
September 22, 2027 |
Payment of Contingent Coupons with Memory Feature: |
If the Notes have not been automatically called,
investors will receive a Contingent Coupon on a Coupon Payment Date if the closing value of each Underlier is greater than or equal
to its Coupon Threshold on the immediately preceding Coupon Observation Date.
If a Contingent Coupon is not payable on any
Coupon Payment Date, it will be paid on any later Coupon Payment Date on which a Contingent Coupon is payable, if any, together with
the payment otherwise due on that later date. For the avoidance of doubt, once a previously unpaid Contingent Coupon has been paid on
a later Coupon Payment Date, it will not be paid again on a subsequent date.
No Contingent Coupon will be payable on
a Coupon Payment Date if the closing value of any Underlier is less than its Coupon Threshold on the immediately preceding Coupon Observation
Date. Accordingly, you may not receive a Contingent Coupon on one or more Coupon Payment Dates during the term of the Notes. |
Contingent Coupon: |
If
payable, $11.125 per $1,000 principal amount of Notes (corresponding to a rate of 1.1125% per month or 13.35% per annum) |
P-2 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes with Memory Coupon Linked to the Least Performing of Three Underliers |
Call Feature: |
If, on any Call Observation Date, the closing value of each Underlier is greater than or equal to its Call Value, the Notes will be automatically called. Under these circumstances, investors will receive on the Call Settlement Date per $1,000 principal amount of Notes an amount equal to $1,000 plus the Contingent Coupon and any unpaid Contingent Coupons otherwise due. No further payments will be made on the Notes. |
Payment at Maturity: |
If the Notes are not automatically called,
investors will receive on the Maturity Date per $1,000 principal amount of Notes, in addition to any Contingent Coupon and any unpaid
Contingent Coupons otherwise due:
· If
the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Barrier Value: $1,000
· If
the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, a number of shares of the Least
Performing Underlier equal to the Physical Delivery Amount of the Least Performing Underlier. Fractional shares will be paid in cash
with a value equal to the number of fractional shares times the Final Underlier Value of the Least Performing Underlier.
If the Notes are not automatically called
and the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, you will receive shares of the Least
Performing Underlier that will likely be worth significantly less than the principal amount of your Notes and could be worth nothing
at maturity. All payments on the Notes are subject to our credit risk. |
Underlier Return: |
With respect to each Underlier, the Underlier
Return, expressed as a percentage, is calculated using the following formula:
Final Underlier Value – Initial Underlier
Value
Initial Underlier Value |
Final Underlier Value: |
With respect to each Underlier, the closing value of that Underlier on the Valuation Date |
Least Performing Underlier: |
The Underlier with the lowest Underlier Return |
Coupon Observation Dates:* |
Monthly, as set forth in the table below |
Coupon Payment Dates:* |
Monthly, as set forth in the table below |
Call Observation Dates:* |
Quarterly, beginning approximately six months following the Trade Date, on each Coupon Observation Date designated as a Call Observation Date in the table below |
Call Settlement Date:* |
If the Notes are automatically called on any Call Observation Date, the Coupon Payment Date immediately following that Call Observation Date |
Calculation Agent: |
RBCCM |
Coupon Observation Dates* |
Coupon Payment Dates* |
October 17, 2024 |
October 22, 2024 |
November 18, 2024 |
November 21, 2024 |
December 17, 2024 |
December 20, 2024 |
January 17, 2025 |
January 23, 2025 |
February 18, 2025 |
February 21, 2025 |
March 17, 2025** |
March 20, 2025 |
April 17, 2025 |
April 23, 2025 |
May 19, 2025 |
May 22, 2025 |
June 17, 2025** |
June 23, 2025 |
July 17, 2025 |
July 22, 2025 |
P-3 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes with Memory Coupon Linked to the Least Performing of Three Underliers |
Coupon Observation Dates* |
Coupon Payment Dates* |
August
18, 2025 |
August
21, 2025 |
September 17, 2025** |
September 22, 2025 |
October 17, 2025 |
October 22, 2025 |
November 17, 2025 |
November 20, 2025 |
December 17, 2025** |
December 22, 2025 |
January 20, 2026 |
January 23, 2026 |
February 17, 2026 |
February 20, 2026 |
March 17, 2026** |
March 20, 2026 |
April 17, 2026 |
April 22, 2026 |
May 18, 2026 |
May 21, 2026 |
June 17, 2026** |
June 23, 2026 |
July 17, 2026 |
July 22, 2026 |
August 17, 2026 |
August 20, 2026 |
September 17, 2026** |
September 22, 2026 |
October 19, 2026 |
October 22, 2026 |
November 17, 2026 |
November 20, 2026 |
December 17, 2026** |
December 22, 2026 |
January 19, 2027 |
January 22, 2027 |
February 17, 2027 |
February 22, 2027 |
March 17, 2027** |
March 22, 2027 |
April 19, 2027 |
April 22, 2027 |
May 17, 2027 |
May 20, 2027 |
June 17, 2027** |
June 23, 2027 |
July 19, 2027 |
July 22, 2027 |
August 17, 2027 |
August 20, 2027 |
September 17, 2027 (the Valuation Date) |
September 22, 2027 (the Maturity Date) |
* Subject to postponement. See “General
Terms of the Notes—Postponement of a Determination Date” and “General Terms of the Notes—Postponement of a Payment
Date” in the accompanying product supplement.
** This date is also a Call Observation
Date.
P-4 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes with Memory Coupon Linked to the Least Performing of Three Underliers |
ADDITIONAL TERMS OF YOUR NOTES
You
should read this pricing supplement together with the prospectus dated December 20, 2023, as supplemented by the prospectus supplement
dated December 20, 2023, relating to our Senior Global Medium-Term Notes, Series J, of which the Notes are a part, and the product supplement
no. 1A dated May 16, 2024. This pricing supplement, together with these documents, contains the terms of the Notes and supersedes all
other prior or contemporaneous oral statements as well as any other written materials, including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials
of ours.
We
have not authorized anyone to provide any information or to make any representations other than those contained or incorporated by reference
in this pricing supplement and the documents listed below. We take no responsibility for, and can provide no assurance as to the reliability
of, any other information that others may give you. These documents are an offer to sell only the Notes offered hereby, but only under
circumstances and in jurisdictions where it is lawful to do so. The information contained in each such document is current only as of
its date.
If
the information in this pricing supplement differs from the information contained in the documents listed below, you should rely on the
information in this pricing supplement.
You
should carefully consider, among other things, the matters set forth in “Selected Risk Considerations” in this pricing supplement
and “Risk Factors” in the documents listed below, as the Notes involve risks not associated with conventional debt securities.
We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes.
You
may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for
the relevant date on the SEC website):
| · | Prospectus
dated December 20, 2023: |
https://www.sec.gov/Archives/edgar/data/1000275/000119312523299520/d645671d424b3.htm
| · | Prospectus
Supplement dated December 20, 2023: |
https://www.sec.gov/Archives/edgar/data/1000275/000119312523299523/d638227d424b3.htm
| · | Product
Supplement No. 1A dated May 16, 2024: |
https://www.sec.gov/Archives/edgar/data/1000275/000095010324006777/dp211286_424b2-ps1a.htm
Our
Central Index Key, or CIK, on the SEC website is 1000275. As used in this pricing supplement, “Royal Bank of Canada,” the
“Bank,” “we,” “our” and “us” mean only Royal Bank of Canada.
P-5 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes with Memory Coupon Linked to the Least Performing of Three Underliers |
HYPOTHETICAL RETURNS
The
table and examples set forth below illustrate hypothetical payments at maturity for hypothetical performance of the Least Performing
Underlier, based on its Coupon Threshold and Barrier Value of 50% of its Initial Underlier Value and the Contingent Coupon of $11.125
per $1,000 principal amount of Notes. The table and examples below also assume that the Notes are not automatically called and do
not account for any Contingent Coupons that may be paid prior to maturity. The table and examples are only for illustrative purposes
and may not show the actual return applicable to investors.
Hypothetical Underlier Return of the Least Performing Underlier |
Value of Payment at Maturity per $1,000 Principal Amount of Notes* |
Value of Payment at Maturity as Percentage of Principal Amount* |
50.00% |
$1,011.125 |
101.1125% |
40.00% |
$1,011.125 |
101.1125% |
30.00% |
$1,011.125 |
101.1125% |
20.00% |
$1,011.125 |
101.1125% |
10.00% |
$1,011.125 |
101.1125% |
5.00% |
$1,011.125 |
101.1125% |
0.00% |
$1,011.125 |
101.1125% |
-5.00% |
$1,011.125 |
101.1125% |
-10.00% |
$1,011.125 |
101.1125% |
-20.00% |
$1,011.125 |
101.1125% |
-30.00% |
$1,011.125 |
101.1125% |
-40.00% |
$1,011.125 |
101.1125% |
-50.00% |
$1,011.125 |
101.1125% |
-50.01% |
$499.900 |
49.9900% |
-60.00% |
$400.000 |
40.0000% |
-70.00% |
$300.000 |
30.0000% |
-80.00% |
$200.000 |
20.0000% |
-90.00% |
$100.000 |
10.0000% |
-100.00% |
$0.000 |
0.0000% |
*
Including any final Contingent Coupon otherwise due, but excluding any unpaid Contingent Coupons, if payable. For purposes of the table
above, the value of any shares received is calculated as the Physical Delivery Amount of the Least Performing Underlier times
the Final Underlier Value of the Least Performing Underlier. The actual value of any shares received may be less than the amounts shown
above.
Example 1 — |
The value of the Least
Performing Underlier increases from its Initial Underlier Value to its Final Underlier Value by 30%. |
|
Underlier
Return of the Least Performing Underlier: |
30% |
|
Payment at Maturity: |
$1,000
+ Contingent Coupon otherwise due + any unpaid Contingent Coupons otherwise due
=
$1,000 + $11.125 + any unpaid Contingent Coupons otherwise due
=
$1,011.125 + any unpaid Contingent Coupons otherwise due |
|
In this example, the payment
at maturity is $1,011.125 per $1,000 principal amount of Notes plus any unpaid Contingent Coupons otherwise due. |
P-6 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes with Memory Coupon Linked to the Least Performing of Three Underliers |
|
Because the Final Underlier
Value of the Least Performing Underlier is greater than its Coupon Threshold and Barrier Value, investors receive a full return of
the principal amount of their Notes plus the Contingent Coupon and any unpaid Contingent Coupons otherwise due. This example
illustrates that investors do not participate in any appreciation of the Least Performing Underlier, which may be significant. |
Example 2 — |
The value of the Least
Performing Underlier decreases from its Initial Underlier Value to its Final Underlier Value by 10% (i.e., its Final Underlier Value
is below its Initial Underlier Value but above its Coupon Threshold and Barrier Value). |
|
Underlier
Return of the Least Performing Underlier: |
-10% |
|
Payment at Maturity: |
$1,000
+ Contingent Coupon otherwise due + any unpaid Contingent Coupons otherwise due
=
$1,000 + $11.125 + any unpaid Contingent Coupons otherwise due
=
$1,011.125 + any unpaid Contingent Coupons otherwise due |
|
In
this example, the payment at maturity is $1,011.125 per $1,000 principal amount of Notes plus any unpaid Contingent Coupons
otherwise due.
Because
the Final Underlier Value of the Least Performing Underlier is greater than its Coupon Threshold and Barrier Value, investors receive
a full return of the principal amount of their Notes plus the Contingent Coupon and any unpaid Contingent Coupons otherwise
due. |
Example 3 — |
The value of the Least
Performing Underlier decreases from its Initial Underlier Value to its Final Underlier Value by 60% (i.e., its Final Underlier Value
is below its Coupon Threshold and Barrier Value). |
|
Underlier
Return of the Least Performing Underlier: |
-60% |
|
Payment at Maturity: |
Shares of the Least Performing Underlier
with a value of $400 |
|
In
this example, the payment at maturity consists of shares of the Least Performing Underlier with a value, calculated as of the Valuation
Date based on the Final Underlier Value of the Least Performing Underlier, of $400 per $1,000 principal amount of Notes, representing
a loss of 60% of the principal amount.
Because
the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, investors receive shares of the Least
Performing Underlier worth significantly less than the principal amount of their Notes. Fractional shares will be paid in cash. In
addition, because the Final Underlier Value of the Least Performing Underlier is less than its Coupon Threshold, investors do not
receive a Contingent Coupon or any unpaid Contingent Coupons at maturity. |
Investors in
the Notes could lose a substantial portion or all of the principal amount of their Notes at maturity. The table and examples above assume
that the Notes are not automatically called. However, if the Notes are automatically called, investors will not receive any further payments
after the Call Settlement Date.
P-7 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes with Memory Coupon Linked to the Least Performing of Three Underliers |
SELECTED RISK CONSIDERATIONS
An
investment in the Notes involves significant risks. We urge you to consult your investment, legal, tax, accounting and other advisers
before you invest in the Notes. Some of the risks that apply to an investment in the Notes are summarized below, but we urge you to read
also the “Risk Factors” sections of the accompanying prospectus, prospectus supplement and product supplement. You should
not purchase the Notes unless you understand and can bear the risks of investing in the Notes.
Risks
Relating to the Terms and Structure of the Notes
| · | You
May Lose a Portion or All of the Principal Amount at Maturity — If the Notes are
not automatically called and the Final Underlier Value of the Least Performing Underlier
is less than its Barrier Value, you will receive shares of the Least Performing Underlier
that will likely be worth significantly less than the principal amount of your Notes and
could be worth nothing. |
| · | You
May Not Receive Any Contingent Coupons — We will not necessarily pay any Contingent
Coupons on the Notes. If the closing value of any Underlier is less than its Coupon Threshold
on a Coupon Observation Date, we will not pay you the Contingent Coupon applicable to that
Coupon Observation Date on the corresponding Coupon Payment Date. If the closing value of
any Underlier is less than its Coupon Threshold on each of the Coupon Observation Dates,
we will not pay you any Contingent Coupons during the term of, and you will not receive a
positive return on, your Notes. Generally, this non-payment of the Contingent Coupon coincides
with a greater risk of principal loss on your Notes. Notwithstanding the memory feature described
above, there can be no assurance that any unpaid Contingent Coupon will become payable during
the term of the Notes. 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. |
| · | Any
Payment on the Notes Will Be Determined Solely by the Performance of the Underlier with the
Worst Performance Even If the Other Underliers Perform Better — Any payment on
the Notes will be determined solely by the performance of the Underlier with the worst performance.
The Notes are not linked to a weighted basket, in which the risk may be mitigated and diversified
among each of the basket components. In the case of the Notes, the individual performance
of the Underliers will not be combined, and the adverse performance of one Underlier will
not be mitigated by any appreciation of any other Underlier. The Underliers may be uncorrelated
and may not perform similarly over the term of the Notes, which may increase your risk of
loss on the Notes and the risk that you will receive few or no Contingent Coupons. |
| · | You
Will Not Participate in Any Appreciation of Any Underlier, and Any Potential Return on the
Notes Is Limited — The return on the Notes is limited to the Contingent Coupons,
if any, that may be payable on the Notes, regardless of any appreciation of any Underlier,
which may be significant. As a result, the return on an investment in the Notes could be
less than the return on a direct investment in any Underlier. |
| · | The
Notes Are Subject to an Automatic Call — If, on any Call Observation Date, the
closing value of each Underlier is greater than or equal to its Call Value, the Notes will
be automatically called, and you will not receive any further payments on the Notes. Because
the Notes could be called as early as approximately six months after the Issue Date, the
total return on the Notes could be minimal. You may be unable to reinvest your proceeds from
the automatic call in an investment with a return that is as high as the return on the Notes
would have been if they had not been called. |
| · | Payments
on the Notes Are Subject to Our Credit Risk, and Market Perceptions about Our Creditworthiness
May Adversely Affect the Market Value of the Notes — The Notes are our senior unsecured
debt securities, and your receipt of any amounts due on the Notes is dependent upon our ability
to pay our obligations as they come due. If we were to default on our payment obligations,
you may not receive any amounts owed to you under the Notes and you could lose your entire
investment. In addition, any negative changes in market perceptions about our creditworthiness
may adversely affect the market value of the Notes. |
P-8 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes with Memory Coupon Linked to the Least Performing of Three Underliers |
| · | Any
Payment on the Notes Will Be Determined Based on the Closing Values of the Underliers on
the Dates Specified — Any payment on the Notes will be determined based on the
closing values of the Underliers on the dates specified. You will not benefit from any more
favorable values of the Underliers determined at any other time. |
| · | The
U.S. Federal Income Tax Consequences of an Investment in the Notes Are Uncertain —
There is no direct legal authority regarding the proper U.S. federal income tax treatment
of the Notes, and significant aspects of the tax treatment of the Notes are uncertain. Moreover,
non-U.S. investors should note that persons having withholding responsibility in respect
of the Notes may withhold on any coupon paid to a non-U.S. investor, generally at a rate
of 30%. We will not pay any additional amounts in respect of such withholding. You should
review carefully the section entitled “United States Federal Income Tax Considerations”
herein, in combination with the section entitled “United States Federal Income Tax
Considerations” in the accompanying product supplement, and consult your tax adviser
regarding the U.S. federal income tax consequences of an investment in the Notes. |
Risks
Relating to the Initial Estimated Value of the Notes and the Secondary Market for 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 the Notes; however, they are not required to do so and, if they choose
to do so, may stop any market-making activities at any time. Because other dealers are not
likely to make a secondary market for the Notes, the price at which you may be able to trade
your Notes is likely to depend on the price, if any, at which RBCCM or any of our other affiliates
is willing to buy the Notes. Even if a secondary market for the Notes develops, it may not
provide enough liquidity to allow you to easily trade or sell the Notes. 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. If you sell your
Notes before maturity, you may have to do so at a substantial discount from the price that
you paid for them, and as a result, you may suffer significant losses. The Notes are not
designed to be short-term trading instruments. Accordingly, you should be able and willing
to hold your Notes to maturity. |
| · | The
Initial Estimated Value of the Notes Will Be Less Than the Public Offering Price —
The initial estimated value of the Notes will be less than the public offering price of the
Notes and does not represent a minimum price at which we, RBCCM or any of our other 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 Underliers, the internal funding rate we pay to issue
securities of this kind (which is lower than the rate at which we borrow funds by issuing
conventional fixed rate debt) and the inclusion in the public offering price of the underwriting
discount, the referral fee, our estimated profit 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 referral fee, our estimated profit or the hedging costs relating
to the Notes. In addition, any price at which you may sell the Notes is likely to reflect
customary bid-ask spreads for similar trades. In addition to bid-ask spreads, the value of
the Notes determined for any secondary market price is expected to be based on a secondary
market rate rather than the internal funding rate used to price the Notes and determine the
initial estimated value. As a result, the secondary market price will be less than if the
internal funding rate were used. |
| · | The
Initial Estimated Value of the Notes Is Only an Estimate, Calculated as of the Trade Date
— 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 internal funding rate (which represents
a discount from 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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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 the Notes.
Risks
Relating to Conflicts of Interest and Our Trading Activities
| · | Our
and Our Affiliates’ Business and Trading Activities May Create Conflicts of Interest
— You should make your own independent investigation of the merits of investing
in the Notes. Our and our affiliates’ economic interests are potentially adverse to
your interests as an investor in the Notes due to our and our affiliates’ business
and trading activities, and we and our affiliates have no obligation to consider your interests
in taking any actions that might affect the value of the Notes. Trading by us and our affiliates
may adversely affect the values of the Underliers and the market value of the Notes. See
“Risk Factors—Risks Relating to Conflicts of Interest” in the accompanying
product supplement. |
| · | RBCCM’s
Role as Calculation Agent May Create Conflicts of Interest — As Calculation Agent,
our affiliate, RBCCM, will determine any values of the Underliers and make any other determinations
necessary to calculate any payments on the Notes. In making these determinations, the Calculation
Agent may be required to make discretionary judgments, including those described under “—Risks
Relating to the Underliers” below. In making these discretionary judgments, the economic
interests of the Calculation Agent are potentially adverse to your interests as an investor
in the Notes, and any of these determinations may adversely affect any payments on the Notes.
The Calculation Agent will have no obligation to consider your interests as an investor in
the Notes in making any determinations with respect to the Notes. |
Risks
Relating to the Underliers
| · | You
Will Not Have Any Rights to Any Underlier — As an investor in the Notes, you will
not have voting rights or rights to receive dividends or other distributions or any other
rights with respect to any Underlier. |
| · | Any
Payment on the Notes May Be Postponed and Adversely Affected by the Occurrence of a Market
Disruption Event — The timing and amount of any payment on the Notes is subject
to adjustment upon the occurrence of a market disruption event affecting an Underlier. If
a market disruption event persists for a sustained period, the Calculation Agent may make
a discretionary determination of the closing value of any affected Underlier. See “General
Terms of the Notes—Reference Stocks and Funds—Market Disruption Events,”
“General Terms of the Notes—Postponement of a Determination Date” and “General
Terms of the Notes—Postponement of a Payment Date” in the accompanying product
supplement. |
| · | Anti-dilution
Protection Is Limited, and the Calculation Agent Has Discretion to Make Anti-dilution Adjustments
— The Calculation Agent may in its sole discretion make adjustments affecting any
amounts payable on the Notes upon the occurrence of certain corporate events (such as stock
splits or extraordinary or special dividends) that the Calculation Agent determines have
a diluting or concentrative effect on the theoretical value of an Underlier. However, the
Calculation Agent might not make adjustments in response to all such events that could affect
an Underlier. The occurrence of any such event and any adjustment made by the Calculation
Agent (or a determination by the Calculation Agent not to make any adjustment) may adversely
affect the market price of, and any amounts payable on, the Notes. See “General Terms
of the Notes—Reference Stocks and Funds—Anti-dilution Adjustments” in the
accompanying product supplement. |
| · | Reorganization
or Other Events Could Adversely Affect the Value of the Notes or Result in the Notes Being
Accelerated — Upon the occurrence of certain reorganization or other events affecting
an Underlier, the Calculation Agent may make adjustments that result in payments on the Notes
being based on the performance of (i) cash, securities of another issuer and/or other property
distributed to holders of that Underlier upon the occurrence of that event or (ii) in the
case of a reorganization event in which only cash is distributed to holders of that Underlier,
a substitute security, if the Calculation Agent elects to select one. Any of these actions
could adversely affect the value of the affected Underlier and, consequently, the value of
the Notes. Alternatively, the Calculation Agent may accelerate the Maturity Date for a payment
determined by the Calculation Agent. Any amount payable upon acceleration could be significantly
less than any amount that would be due on the Notes if they were not accelerated. However,
if the Calculation Agent elects not to accelerate the Notes, the value of, and any amount
payable on, the Notes could be |
P-10 | RBC Capital Markets, LLC |
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adversely
affected, perhaps significantly. See “General Terms of the Notes—Reference Stocks and Funds—Anti-dilution Adjustments—Reorganization
Events” in the accompanying product supplement.
P-11 | RBC Capital Markets, LLC |
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INFORMATION REGARDING THE UNDERLIERS
Each Underlier is registered under the Securities
Exchange Act of 1934, as amended (the “Exchange Act”). Companies with securities registered under the Exchange Act are required
to file financial and other information specified by the SEC periodically. Information provided to or filed with the SEC by the issuer
of each Underlier can be located on a website maintained by the SEC at https://www.sec.gov by reference to that issuer’s SEC file
number provided below. Information from outside sources is not incorporated by reference in, and should not be considered part of, this
pricing supplement. We have not independently verified the accuracy or completeness of the information contained in outside sources.
Underlier |
Exchange Ticker |
Exchange |
SEC File Number |
ALLY Underlier |
ALLY |
New York Stock Exchange |
001-03754 |
AVGO Underlier |
AVGO |
Nasdaq Stock Market |
001-38449 |
GOOGL Underlier |
GOOGL |
Nasdaq Stock Market |
001-37580 |
According to publicly available information:
| · | Ally Financial Inc. is a digital financial services
company that includes an automotive financing and insurance business and that offers online banking services, securities brokerage and
investment advisory services, as well as corporate finance services. |
| · | Broadcom Inc. designs, develops and supplies a
range of semiconductor and infrastructure software solutions. |
| · | Alphabet Inc. is a collection of businesses, the
largest of which is Google, which (i) offers products and platforms through which it generates revenues primarily by delivering both performance
advertising and brand advertising and (ii) provides cloud services to businesses. |
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Historical
Information
The
following graphs set forth historical closing values of the Underliers for the period from January 1, 2014 to September 10, 2024. Each
red line represents a hypothetical Coupon Threshold and Barrier Value based on the closing value of the relevant Underlier on September
10, 2024. We obtained the information in the graphs from Bloomberg Financial Markets, without independent investigation. We cannot
give you assurance that the performance of the Underliers will result in the return of all of your initial investment.
Common
Stock of Ally Financial Inc.
PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
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Common
Stock of Broadcom Inc.
PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
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Class
A Common Stock of Alphabet Inc.
PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
P-15 | RBC Capital Markets, LLC |
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UNITED STATES FEDERAL INCOME
TAX CONSIDERATIONS
You
should review carefully the section in the accompanying product supplement entitled “United States Federal Income Tax Considerations.”
The following discussion, when read in combination with that section, constitutes the full opinion of our counsel, Davis Polk & Wardwell
LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the Notes.
Generally,
this discussion assumes that you purchased the Notes for cash in the original issuance at the stated issue price and does not address
other circumstances specific to you, including consequences that may arise due to any other investments relating to the Underliers. You
should consult your tax adviser regarding the effect any such circumstances may have on the U.S. federal income tax consequences of your
ownership of a Note.
In
the opinion of our counsel, which is based on current market conditions, it is reasonable to treat the Notes for U.S. federal income
tax purposes as prepaid financial contracts with associated coupons, and any coupons as ordinary income, as described in the section
entitled “United States Federal Income Tax Considerations—Tax Consequences to U.S. Holders—Notes Treated as Prepaid
Financial Contracts with Associated Coupons” in the accompanying product supplement. There is uncertainty regarding this treatment,
and the Internal Revenue Service (the “IRS”) or a court might not agree with it. Moreover, because this treatment of the
Notes and our counsel’s opinion are based on market conditions as of the date of this preliminary pricing supplement, each is subject
to confirmation on the Trade Date. A different tax treatment could be adverse to you.
We
do not plan to request a ruling from the IRS regarding the treatment of the Notes. An alternative characterization of the Notes could
materially and adversely affect the tax consequences of ownership and disposition of the Notes, including the timing and character of
income recognized. In addition, the U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S.
federal income tax treatment of “prepaid forward contracts” and similar financial instruments and have indicated that such
transactions may be the subject of future regulations or other guidance. Furthermore, members of Congress have proposed legislative changes
to the tax treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the Notes, possibly with retroactive effect.
Non-U.S.
Holders. The U.S. federal income tax treatment of the coupons is unclear. To the extent that we have withholding responsibility in
respect of the Notes, we would expect generally to treat the coupons as subject to U.S. withholding tax. Moreover, you should expect
that, if the applicable withholding agent determines that withholding tax should apply, it will be at a rate of 30% (or lower treaty
rate). In order to claim an exemption from, or a reduction in, the 30% withholding under an applicable treaty, you may need to comply
with certification requirements to establish that you are not a U.S. person and are eligible for such an exemption or reduction under
an applicable tax treaty. You should consult your tax adviser regarding the tax treatment of the coupons.
As
discussed under “United States Federal Income Tax Considerations—Tax Consequences to Non-U.S. Holders—Dividend Equivalents
under Section 871(m) of the Code” in the accompanying product supplement, Section 871(m) of the Internal Revenue Code and Treasury
regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid
or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S.
equities. The Treasury regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2027 that do
not have a “delta” of one. Based on certain determinations made by us, we expect that Section 871(m) will not apply to the
Notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
If necessary, further information regarding the potential application of Section 871(m) will be provided in the final pricing supplement
for the Notes.
We
will not be required to pay any additional amounts with respect to U.S. federal withholding taxes.
You
should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Notes, including possible
alternative treatments, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
P-16 | RBC Capital Markets, LLC |
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SUPPLEMENTAL PLAN OF DISTRIBUTION
(CONFLICTS OF INTEREST)
The
Notes are offered initially to investors at a purchase price equal to par, except with respect to certain accounts as indicated on the
cover page of this pricing supplement. We or one of our affiliates may pay the underwriting discount and may pay a broker-dealer that
is not affiliated with us a referral fee, in each case as set forth on the cover page of this pricing supplement.
The
value of the Notes shown on your account statement may be based on RBCCM’s estimate of the value of the Notes if RBCCM or another
of our affiliates were to make a market in the Notes (which it is not obligated to do). That estimate will be based on the price that
RBCCM may pay for the Notes in light of then-prevailing market conditions, our creditworthiness and transaction costs. For a period of
approximately six months after the Issue Date, the value of the Notes that may be shown on your account statement may be higher than
RBCCM’s estimated value of the Notes at that time. This is because the estimated value of the Notes will not include the underwriting
discount, the referral fee or our hedging costs and profits; however, the value of the Notes shown on your account statement during that
period may initially be a higher amount, reflecting the addition of the underwriting discount, the referral fee and our estimated costs
and profits from hedging the Notes. This excess is expected to decrease over time until the end of this period. After this period, if
RBCCM repurchases your Notes, it expects to do so at prices that reflect their estimated value.
RBCCM
or another of its affiliates or agents may use this pricing supplement in the initial sale of the Notes. In addition, RBCCM or another
of our affiliates may use this pricing supplement in a market-making transaction in the Notes after their initial sale. Unless
we or our agent informs the purchaser otherwise in the confirmation of sale, this pricing supplement is being used in a market-making
transaction.
For
additional information about the settlement cycle of the Notes, see “Plan of Distribution” in the accompanying prospectus.
For additional information as to the relationship between us and RBCCM, see the section “Plan of Distribution—Conflicts of
Interest” in the accompanying prospectus.
STRUCTURING THE NOTES
The
Notes are our debt securities. As is the case for all of our debt securities, including our structured notes, the economic terms of the
Notes reflect our actual or perceived creditworthiness. In addition, because structured notes result in increased operational, funding
and liability management costs to us, we typically borrow the funds under structured notes at a rate that is lower than the rate that
we might pay for a conventional fixed or floating rate debt security of comparable maturity. The lower internal funding rate, the underwriting
discount, the referral fee and the hedging-related costs relating to the Notes reduce the economic terms of the Notes to you and result
in the initial estimated value for the Notes being less than their public offering price. Unlike the initial estimated value, any value
of the Notes determined for purposes of a secondary market transaction may be based on a secondary market rate, which may result in a
lower value for the Notes than if our initial internal funding rate were used.
In
order to satisfy our payment obligations under the Notes, we may choose to enter into certain hedging arrangements (which may include
call options, put options or other derivatives) with RBCCM and/or one of our other subsidiaries. The terms of these hedging arrangements
take into account a number of factors, including our creditworthiness, interest rate movements, volatility and the tenor of the Notes.
The economic terms of the Notes and the initial estimated value depend in part on the terms of these hedging arrangements.
See
“Selected Risk Considerations—Risks Relating to the Initial Estimated Value of the Notes and the Secondary Market for the
Notes—The Initial Estimated Value of the Notes Will Be Less Than the Public Offering Price” above.
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