Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-259205
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Pricing Supplement
Dated November 24, 2021
To the Product Prospectus Supplement No. CCBN-1 Dated September 14, 2021, and the Prospectus Supplement and the Prospectus, Each Dated September 14, 2021
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$750,000
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange Traded
Fund and One Index, due November 28, 2024
Royal Bank of Canada
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Reference Assets
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Initial Levels
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Coupon Barriers and Trigger Levels*
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Energy Select Sector SPDR® Fund (“XLE”)
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$57.91
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$46.33, which is 80% of its Initial Level
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EURO STOXX® Banks Index (“SX7E”)
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100.04
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80.03, which is 80% of its Initial Level
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Issuer:
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Royal Bank of Canada
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Stock Exchange Listing:
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None
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Trade Date:
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November 24, 2021
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Principal Amount:
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$1,000 per Note
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Issue Date:
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November 30, 2021
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Maturity Date:
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November 28, 2024
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Observation Dates:
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Quarterly, as set forth below.
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Coupon Payment Dates:
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Quarterly, as set forth below.
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Valuation Date:
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November 25, 2024
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Contingent Coupon Rate:
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18.65% per annum
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Contingent Coupon:
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If the Notes have not been previously called and the Observation Level of each Reference Asset is greater than or equal to
its Coupon Barrier on the applicable Observation Date, we will pay the Contingent Coupon applicable to that Observation Date. You may not receive any Contingent Coupons during the term of the Notes.
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Payment at Maturity (if
held to maturity):
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If the Notes are not previously called, we will pay you at maturity an amount based on the Final Level of the Lesser Performing Reference Asset:
For each $1,000 in principal amount, $1,000 plus the Contingent Coupon at maturity, unless the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level.
If the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level, then the investor will receive at maturity, for each $1,000 in principal amount, a cash payment
equal to:
$1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset)
Investors in the Notes could lose some or all of their principal amount if the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level.
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Lesser Performing
Reference Asset:
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The Reference Asset with the lower Percentage Change.
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Percentage Change:
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Expressed as a percentage for each Reference Asset, as an amount equal to the quotient of (a) its Final Level minus its Initial Level divided by (b) its Initial Level
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Call Feature:
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If, on any Observation Date beginning on February 24, 2022, the Observation Level of each Reference Asset is greater than or equal to its Initial Level, then the
Notes will be automatically called, for 100% of the principal amount plus the related Contingent Coupon.
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Observation Level:
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For the SX7E, its closing level, and for the XLE, its closing price, on any Observation Date.
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Final Level:
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For the SX7E, its closing level on the Valuation Date, and for the XLE, its closing price on the Valuation Date.
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CUSIP:
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78016F6T6
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Per Note
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Total
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Price to public(1)
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100.00%
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$750,000
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Underwriting discounts and commissions(1)
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1.00%
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$7,500
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Proceeds to Royal Bank of Canada
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99.00%
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$742,500
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
General:
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This pricing supplement relates to an offering of Auto-Callable Contingent Coupon Barrier Notes (the “Notes”) linked to the lesser performing of the following
(each, a “Reference Asset,” and collectively, the “Reference Assets”):
(i) Energy Select Sector SPDR® Fund (the “XLE”); and
(ii) EURO STOXX® Banks Index (the “SX7E”).
See “Additional Terms of Your Notes Related to the Index” below, which relates to the SX7E.
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Issuer:
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Royal Bank of Canada (“Royal Bank”)
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Trade Date:
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November 24, 2021
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Issue Date:
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November 30, 2021
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Valuation Date:
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November 25, 2024
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Maturity Date:
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November 28, 2024
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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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Designated Currency:
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U.S. Dollars
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Contingent Coupon:
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We will pay you a Contingent Coupon during the term of the Notes, periodically in arrears on each Coupon Payment Date, under the conditions described below:
• If the
Observation Level of each Reference Asset is greater than or equal to its Trigger Level on the applicable Observation Date, we will pay the Contingent Coupon applicable to that Observation Date.
• If the
Observation Level of either of the Reference Assets is less than its Trigger Level on the applicable Observation Date, we will not pay you the Contingent Coupon applicable to that Observation Date.
You may not receive a Contingent Coupon for one or more quarterly periods during the term of the Notes.
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Contingent Coupon
Rate:
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18.65% per annum (4.6625% per quarter)
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Observation Dates:
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Quarterly, on February 24, 2022, May 24, 2022, August 24, 2022, November 25, 2022, February 24, 2023, May 24, 2023, August 24, 2023, November 24, 2023, February 26,
2024, May 24, 2024, August 26, 2024 and the Valuation Date.
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Coupon Payment
Dates:
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The Contingent Coupon, if payable, will be paid quarterly on March 1, 2022, May 27, 2022, August 29, 2022, November 30, 2022, March 1, 2023, May 30, 2023, August 29,
2023, November 29, 2023, February 29, 2024, May 30, 2024, August 29, 2024 and the Maturity Date.
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Record Dates:
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The record date for each Coupon Payment Date will be one business day prior to that scheduled Coupon Payment Date; provided, however, that any Contingent Coupon payable
at maturity or upon a call will be payable to the person to whom the payment at maturity or upon the call, as the case may be, will be payable.
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
Call Feature:
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If, on any Observation Date beginning in February 2022, the Observation Level of each Reference Asset is greater than or equal to its Initial Level, then the Notes
will be automatically called.
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Payment if Called:
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If the Notes are automatically called, then, on the applicable Call Settlement Date, for each $1,000 principal amount, you will receive $1,000 plus the Contingent Coupon
otherwise due on that Call Settlement Date.
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Call Settlement Dates:
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If the Notes are called on any Observation Date beginning in February 2022, the Call Settlement Date will be the Coupon Payment Date corresponding to that Observation
Date.
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Initial Level:
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For the SX7E, its closing level, and for the XLE, its closing price, 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 the SX7E, its closing level, and for the XLE, its closing price, on the Valuation Date.
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Observation Level:
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For the SX7E, its closing level, and for the XLE, its closing price, on any Observation Date.
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Coupon Barrier and
Trigger Level:
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For each Reference Asset, 80% of its Initial Level, as set forth on the cover page of this pricing supplement.
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Payment at Maturity (if
not previously called
and held to maturity):
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If the Notes are not previously called, 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 or equal to its Trigger Level, we will pay you a cash payment equal to the principal amount plus the Contingent Coupon otherwise due on the Maturity Date.
• If the Final Level of
the Lesser Performing Reference Asset is less than its Trigger Level, you will receive at maturity, for each $1,000 in principal amount, a cash payment equal to:
$1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset)
The amount of cash that you receive will be less than your principal amount, if anything, resulting in a loss that is proportionate to the decline of the Lesser
Performing Reference Asset from the Trade Date to the Valuation Date. Investors in the Notes will lose some or all of their principal amount if the Final Level of the Lesser Performing Reference
Asset is less than its Trigger Level.
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Stock Settlement:
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Not applicable. Payments on the Notes will be made solely in cash.
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Percentage Change:
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With respect to each Reference Asset:
Final Level – Initial Level
Initial Level
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Lesser Performing
Reference Asset:
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The Reference Asset with the lower Percentage Change.
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Market Disruption
Events:
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The occurrence of a market disruption event (or a non-trading day) as to either of the Reference Assets will result in the postponement of an Observation Date or
the Valuation Date as to that Reference Asset, as described in the product prospectus supplement, but not to any non-affected Reference Asset.
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Calculation Agent:
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RBC Capital Markets, LLC (“RBCCM”)
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
U.S. Tax Treatment:
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By purchasing a Note, each holder agrees (in the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat the
Notes as a callable pre-paid cash-settled contingent income-bearing derivative contract linked to 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 September 14, 2021 under “Supplemental Discussion of U.S.
Federal Income Tax Consequences,” which apply to the Notes.
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Secondary Market:
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RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary market in the Notes after the issue date. The amount that you may
receive upon sale of your Notes prior to maturity may be less than the principal amount of your Notes.
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Listing:
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The Notes will not be listed on any securities exchange.
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Clearance and
Settlement:
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DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as described under “Ownership and Book-Entry Issuance” in the
prospectus dated September 14, 2021).
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Terms Incorporated in
the Master Note:
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All of the terms appearing above the item captioned “Secondary Market” on pages P-2 and P-3 of this pricing supplement and the terms appearing under the captions
“General Terms of the Notes” and “Supplemental Discussion of U.S. Federal Income Tax Consequences” in the product prospectus supplement dated September 14, 2021, as modified by this pricing supplement.
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
Hypothetical Initial Level (for each Reference Asset):
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100*
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Hypothetical Coupon Barrier and Trigger Level:
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80, which is 80% of the hypothetical Initial Level of the Lesser Performing Reference Asset
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Contingent Coupon Rate:
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18.65% per annum (or 4.6625% per quarter)
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Contingent Coupon Amount:
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$46.625 per quarter
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Observation Dates:
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Quarterly
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Principal Amount:
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$1,000 per Note
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Hypothetical Final Level of
the Lesser Performing
Reference Asset
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Payment at Maturity as
Percentage of Principal
Amount
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Payment at Maturity
(assuming that the Notes
were not previously called)
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150.00
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104.6625%
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$1,046.625*
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140.00
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104.6625%
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$1,046.625*
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125.00
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104.6625%
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$1,046.625*
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120.00
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104.6625%
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$1,046.625*
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110.00
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104.6625%
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$1,046.625*
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100.00
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104.6625%
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$1,046.625*
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90.00
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104.6625%
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$1,046.625*
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80.00
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104.6625%
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$1,046.625*
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79.99
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79.99%
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$799.90
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70.00
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70.00%
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$700.00
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60.00
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60.00%
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$600.00
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50.00
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50.00%
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$500.00
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40.00
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40.00%
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$400.00
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25.00
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25.00%
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$250.00
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10.00
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10.00%
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$100.00
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0.00
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0.00%
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$0.00
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
• |
You May Lose Some or All of the Principal Amount at Maturity — Investors in the Notes could lose all or a substantial portion of their principal amount if there is a
decline in the value of the Lesser Performing Reference Asset between the Trade Date and the Valuation Date. If the Notes are not automatically called and the Final Level of the Lesser Performing Reference Asset on the Valuation Date
is less than its Trigger Level, the amount of cash that you receive at maturity will represent a loss of your principal that is proportionate to the decline in the value of the Lesser Performing Reference Asset from the Trade Date to
the Valuation Date. Any Contingent Coupons received on the Notes prior to the Maturity Date may not be sufficient to compensate for any such loss.
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The Payments on the Notes Are Limited — The payments on the Notes will be limited to the Contingent Coupons. Accordingly,
your return on the Notes may be less than your return would be if you made an investment in the Reference Assets, the securities included in the Reference Assets, or in a security directly linked to the positive performance of the
Reference Assets.
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The Notes Are Subject to an Automatic Call — If on any Observation Date beginning in February 2022, the Observation Level of
each Reference Asset is greater than or equal to its Initial Level, then the Notes will be automatically called. If the Notes are automatically called, then, on the applicable Call Settlement Date, for each $1,000 in principal amount,
you will receive $1,000 plus the Contingent Coupon otherwise due on the applicable Call Settlement Date. You will not receive any Contingent Coupons after that payment. 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.
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You May Not Receive Any Contingent Coupons — We will not necessarily make any Contingent Coupons on the Notes. If the Observation Level of either of the Reference
Assets on an Observation Date is less than its Coupon Barrier, we will not pay you the Contingent Coupon applicable to that Observation Date. If the Observation Level of either of the Reference Assets is less than its Coupon Barrier
on each of the Observation Dates and on the Valuation Date, 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 period of greater risk of principal loss on your Notes. Accordingly, if we do not pay the Contingent Coupon on the Maturity Date, you will also incur a loss of principal, because the Final Level of the Lesser
Performing Reference Asset will be less than its Trigger Level.
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The Notes Are Linked to the Lesser Performing Reference Asset, Even if the Other Reference Asset Performs Better — If either of the Reference Assets has a Final Level
that is less than its Trigger Level, your return will be linked to the lesser performing of the two Reference Assets. 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.
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Your Payment on the Notes Will Be Determined by Reference to Each Reference Asset Individually, Not to a Basket, and the Payment at Maturity Will Be Based on the Performance
of the Lesser Performing Reference Asset — The Payment at Maturity will be determined only 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 components, 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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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
• |
The Call Feature and the Contingent Coupon Feature Limit Your Potential Return — The return potential of the Notes is limited to the pre-specified Contingent Coupon
Rate, regardless of the appreciation of the Reference Assets. In addition, the total return on the Notes will vary based on the number of Observation Dates on which the Contingent Coupon becomes payable prior to maturity or an
automatic call. Further, if the Notes are called due to the Call Feature, you will not receive any Contingent Coupons or any other payment in respect of any Observation Dates after the applicable Call Settlement Date. Since the Notes
could be called as early as the Observation Date occurring in February 2022, the total return on the Notes could be minimal. If the Notes are not called, you may be subject to the full downside performance of the Lesser Performing
Reference Asset even though your potential return is limited to the Contingent Coupon Rate. As a result, the return on an investment in the Notes could be less than the return on a direct investment in the Reference Assets.
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• |
Your Return on the Notes May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity — The return that you will receive on the Notes, which
could be negative, may be less than the return you could earn on other investments. Even if your return is positive, your return may be less than the return you would earn if you purchased one of our conventional senior interest
bearing debt securities.
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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 any Contingent Coupons, if payable, and the amount due on any relevant payment date is dependent upon our ability to repay our obligations on the applicable payment dates.
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 any time during the term 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 other affiliate of ours may stop any
market-making activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We expect that transaction costs in any secondary market would
be high. As a result, the difference between bid and asked prices for your Notes in any secondary market could be substantial.
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• |
Prior to Maturity, the Value of the Notes Will Be Influenced by Many Unpredictable Factors — Many economic and market factors
will influence the value of the Notes. We expect that, generally, the price or level of each Reference Asset on any day will affect the value of the Notes more than any other single factor. However, you should not expect the value of
the Notes in the secondary market to vary in proportion to changes in the value of the Reference Assets. The value of the Notes will be affected by a number of other factors that may either offset or magnify each other, including:
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➢ |
the market value of the Reference Assets;
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➢ |
whether the market value of one or more of the Reference Assets is less than its Coupon Barrier or its Trigger Level;
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➢ |
the expected volatility of the Reference Assets;
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➢ |
the time to maturity of the Notes;
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➢ |
the dividend rate on the Reference Assets or on the equity securities represented by the Reference Assets;
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➢ |
interest and yield rates in the market generally, as well as in the markets of the equity securities represented by the Reference Assets;
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➢ |
the occurrence of certain events relating to a Reference Asset that may or may not require an adjustment to the Initial Level, the Coupon Barrier and the Trigger Level;
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➢ |
economic, financial, political, regulatory or judicial events that affect the Reference Assets or the equity securities represented by the Reference Assets or stock markets generally, and which may affect
the market value of the Reference Assets on any Observation Date; and
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
➢ |
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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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 prices or levels of the Reference Assets, the borrowing rate we pay to issue
securities of this kind, and the inclusion in the price to the public of the underwriting discount 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 and 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 Set Forth on the Cover Page of this Pricing Supplement Is an Estimate Only, Calculated as of the Time the Terms of the Notes Were
Set — The initial estimated value of the Notes is based on the value of our obligation to make the payments on the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes. See
“Structuring the Notes” below. Our estimate is based on a variety of assumptions, including our credit spreads, expectations as to dividends, interest rates and volatility, and the expected term of the Notes. These assumptions are
based on certain forecasts about future events, which may prove to be incorrect. Other entities may value the Notes or similar securities at a price that is significantly different than we do.
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• |
Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the Notes included in or
represented by 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 prices or levels of the Reference Assets, could be adverse to the interests of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with the securities
included in or 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 or securities included in or represented by the Reference Assets. This research is modified from time to time without notice and may express opinions or provide recommendations that are
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
• |
An Investment in the Notes Is Subject to Risks Associated with Specific Economic Sectors — The stocks held by each Reference Asset to which the Notes are linked are
issued by companies engaged in a specific sector of the economy, specifically, the U.S. energy sector, as to XLE, and the European financial sector, as to the SX7E. Accordingly, an investment in the Notes is subject to the specific
risks of companies that operate in each of those sectors. An investment in the Notes may accordingly be more risky than a security linked to a more diversified set of securities.
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• |
Owning the Notes Is Not the Same as Owning the Securities Represented by the Reference Assets — The return on your Notes is unlikely to reflect the return you would
realize if you actually owned shares of the Reference Assets or the securities represented by the Reference Assets. For instance, you will not receive or be entitled to receive any dividend payments or other distributions on these
securities during the term of your Notes. As an owner of the Notes, you will not have voting rights or any other rights that holders of these securities may have. Furthermore, the Reference Assets may appreciate substantially during
the term of the Notes, while your potential return will be limited to the applicable Contingent Coupon payments.
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• |
You Must Rely on Your Own Evaluation of the Merits of an Investment Linked to the Reference Assets — In the ordinary course of their business, our affiliates may
have expressed views on expected movements in the Reference Assets or the equity securities that they represent, and may do so in the future. These views or reports may be communicated to our clients and clients of our affiliates.
However, these views are subject to change from time to time. Moreover, other professionals who transact business in markets relating to any Reference Asset may at any time have significantly different views from those of our
affiliates. For these reasons, you are encouraged to derive information concerning the Reference Assets from multiple sources, and you should not rely solely on views expressed by our affiliates.
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• |
An Investment in the Notes Is Subject to Management Risk — The XLE is not managed according to traditional methods of ‘‘active’’ investment management, which involve
the buying and selling of securities based on economic, financial and market analysis and investment judgment. Instead, the XLE, utilizing a ‘‘passive’’ or indexing investment approach, attempts to approximate the investment
performance of its underlying index by investing in a portfolio of securities that generally replicate its underlying index. Therefore, unless a specific security is removed from its underlying index, the XLE generally would not sell
a security because the security’s issuer was in financial trouble. In addition, the XLE is subject to the risk that the investment strategy of its investment advisor may not produce the intended results.
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• |
The XLE and its Underlying Index Are Different — The performance of the XLE may not exactly replicate the performance of its underlying index, because the XLE 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 XLE 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 XLE or due to other circumstances. The XLE
may use futures contracts, options, swap agreements, currency forwards and repurchase agreements in seeking performance that corresponds to its underlying index and in managing cash flows.
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
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We and Our Affiliates Do Not Have Any Affiliation with the Advisor or the Sponsor of the XLE or the Underlying Index and Are Not Responsible for Its Public Disclosure of
Information — We and our affiliates are not affiliated with the investment advisor or the sponsor of the XLE or its underlying index 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 XLE or the underlying index. The investment advisor or the sponsor of the XLE and the underlying index are not
involved in the offering of the Notes in any way and have no obligation to consider your interests as an owner of the Notes in taking any actions relating to the XLE 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 investment advisor, the sponsor, or the XLE contained in any public disclosure of information. You, as an investor in the Notes, should make
your own investigation into the XLE.
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The Policies of the XLE’s Investment Adviser Could Affect the Amount Payable on the Notes and Their Market Value — The policies of the XLE’s investment adviser
concerning the management of the XLE, additions, deletions or substitutions of the securities held by the XLE could affect the market price of shares of the XLE and, therefore, the amount payable on the Notes on the maturity date and
the market value of the Notes before that date. The amount payable on the Notes and their market value could also be affected if the XLE’s investment adviser changes these policies, for example, by changing the manner in which it
manages the XLE, or if the XLE’s investment adviser discontinues or suspends maintenance of the XLE, in which case it may become difficult to determine the market value of the Notes. The XLE’s investment adviser has no connection to
the offering of the Notes and have no obligations to you as an investor in the Notes in making its decisions regarding the XLE.
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Changes that Affect the SX7E Will Affect the Market Value of the Notes and the Payments on the Notes — The policies of the index sponsor of the SX7E concerning the
calculation of the SX7E, additions, deletions or substitutions of the components of the SX7E and the manner in which changes affecting those components, such as stock dividends, reorganizations or mergers, may be reflected in the SX7E
and, therefore, could affect the amounts payable on the Notes at maturity, and the market value of the Notes prior to maturity. The amounts payable on the Notes and their market value could also be affected if the index sponsor
changes these policies, for example, by changing the manner in which it calculates the SX7E, or if the index sponsor discontinues or suspends calculation or publication of the SX7E, in which case it may become difficult to determine
the market value of the Notes.
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We Have No Affiliation with the Index Sponsor and Will Not Be Responsible for any Actions Taken by the Index Sponsor — The index sponsor is not an affiliate of ours
and will not be involved in the offering of the Notes in any way. Consequently, we have no control of the actions of the index sponsor, including any actions of the type that might impact the value of the Notes. The index sponsor has
no obligation of any sort with respect to the Notes. Thus, the index sponsor has 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 index sponsor.
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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 included in the SX7E
are publicly traded in the applicable foreign countries and are denominated in Euro, 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 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.
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The Payments on the Notes Are Subject to Postponement due to Market Disruption Events and Adjustments — The payment at maturity, each Observation Date and the
Valuation Date are subject to adjustment as described in the product prospectus supplement. For a description of what constitutes a market disruption event as well as the consequences of that market disruption event, see “General
Terms of the Notes—Market Disruption Events” in the product prospectus supplement and “—Additional Terms of Your Notes Related to the Index” below.
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
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a suspension, absence or limitation of trading in index components constituting 20% or more, by weight, of the SX7E;
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a suspension, absence or limitation of trading in futures or options contracts relating to an index on their respective markets;
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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 the
SX7E, or (ii) effect transactions in, or obtain market values for, futures or options contracts relating to the SX7E on their respective markets;
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the closure on any day of the primary market for futures or options contracts relating to the SX7E or index components constituting 20% or more, by weight, of the SX7E on a scheduled trading day prior to the scheduled weekday
closing time of that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier closing time is announced by the primary market at least one hour prior to the earlier
of (i) the actual closing time for the regular trading session on such primary market on such scheduled trading day for such primary market and (ii) the submission deadline for orders to be entered into the relevant exchange system
for execution at the close of trading on such scheduled trading day for such primary market;
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
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any scheduled trading day on which (i) the primary markets for index components constituting 20% or more, by weight, of the SX7E or (ii) the exchanges or quotation systems, if any, on which futures or options contracts on the SX7E
are traded, fails to open for trading during its regular trading session; or
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any other event, if the calculation agent determines in its sole discretion 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.
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
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Each of the component stocks in a Select Sector Index (the “Component Stocks”) is a constituent company of the S&P 500® Index.
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The eleven Select Sector Indices together will include all of the companies represented in the S&P 500® Index and each of the stocks in the S&P 500®
Index will be allocated to at least one of the Select Sector Indices.
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Each constituent stock of the S&P 500® Index is assigned to a Select Sector Index based on its GICS sector. Each Select Sector Index is made up of all the stocks in the applicable GICS sector.
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Each Select Sector Index is calculated by the index sponsor, Standard & Poor’s, using a capped market capitalization methodology where single index constituents or defined groups of index constituents are confined to a maximum
weight and the excess weight is distributed proportionally among the remaining index constituents. Each Select Sector Index is rebalanced from time to time to re-establish the proper weighting.
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For reweighting purposes, each Select Sector Index is rebalanced quarterly after the close of business on the third Friday of March, June September and December using the following procedures: (1) The rebalancing reference date is
the second Friday of March, June, September and December; (2) With prices reflected on the rebalancing reference date, and membership, shares outstanding and investable weight factors as of the rebalancing effective date, each company
is weighted by float-adjusted market capitalization methodology. Modifications are made as defined below.
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If any Component Stock has a weight greater than 24%, that Component Stock has its float-adjusted market capitalization weight capped at 23%. The 23% weight cap creates a 2% buffer to ensure that no Component Stock exceeds 25% as
of the quarter-end diversification requirement date.
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All excess weight is equally redistributed to all uncapped Component Stocks within the relevant Select Sector Index.
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After this redistribution, if the float-adjusted market capitalization weight of any other Component Stock(s) then breaches 23%, the process is repeated iteratively until no Component Stocks breaches the 23% weight cap.
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The sum of the Component Stocks with weights greater than 4.8% cannot exceed 50% of the total index weight. These caps are set to allow for a buffer below the 5% limit.
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If the rule in step (iv) is breached, all the Component Stocks are ranked in descending order of their float-adjusted market capitalization weights and the first Component Stock that causes the 50% limit to be breached has its
weight reduced to 4.5%.
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This excess weight is equally redistributed to all Component Stocks with weights below 4.5%. This process is repeated iteratively until step (iv) is satisfied.
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
(vii) |
Index share amounts are assigned to each Component Stock to arrive at the weights calculated above. Since index shares are assigned based on prices one week prior to rebalancing, the actual weight of each Component Stock at the
rebalancing differs somewhat from these weights due to market movements.
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If, on the second to last business day of March, June, September, or December, a company has a weight greater than 24% or the sum of the companies with weights greater than 4.8% exceeds 50%, a secondary rebalancing will be
triggered with the rebalancing effective date being after the close of the last business day of the month. This second rebalancing will use the closing prices as of the second to last business day of March, June, September or
December, and membership, shares outstanding, and IWFs as of the rebalancing effective date.
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
EURO STOXX®
Banks Index =
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Free float market capitalization of the SX7E
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Adjusted base date market capitalization of the SX7E
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
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sponsor, endorse, sell, or promote the Notes;
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recommend that any person invest in the Notes offered hereby or any other Notes;
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have any responsibility or liability for or make any decisions about the timing, amount, or pricing of the Notes;
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have any responsibility or liability for the administration, management, or marketing of the Notes; or
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consider the needs of the Notes or the holders of the Notes in determining, composing, or calculating the SX7E, or have any obligation to do so.
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STOXX does not make any warranty, express or implied, and disclaims any and all warranty concerning:
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the results to be obtained by the Notes, the holders of the Notes or any other person in connection with the use of the SX7E and the data included in the SX7E;
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the accuracy or completeness of the SX7E and its data; and
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
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the merchantability and the fitness for a particular purpose or use of the SX7E and its data;
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STOXX will have no liability for any errors, omissions, or interruptions in the SX7E or its data; and
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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.
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of One Exchange
Traded Fund and One Index
Royal Bank of Canada |
P-24
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RBC Capital Markets, LLC
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