Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-275898
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The information in this preliminary terms supplement is not complete and may be changed.
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Preliminary Terms Supplement
Subject to Completion:
Dated March 27, 2024
Pricing Supplement Dated April __, 2024 to the Product Prospectus Supplement ERN-EI-1, the Prospectus Supplement and the Prospectus, Each Dated December
20, 2023
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$
Digital Plus Barrier Notes Linked to the EURO STOXX 50® Index,
Due April 24, 2029 Royal Bank of Canada |
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Reference Asset
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Initial Level*
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Barrier Level
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EURO STOXX 50® Index
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75% of the Initial Level
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If the Final Level of the Reference Asset is greater than or equal to its Initial Level, and the Percentage Change exceeds the Digital Return of 57.00%, the investor will receive a one-for-one positive return based upon the
Percentage Change of the Reference Asset.
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If the Final Level of the Reference Asset is greater than or equal to its Initial Level, but its Percentage Change does not exceed the Digital Return, the investor will receive a positive return equal to the Digital Return.
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If the Final Level is less than the Initial Level, but is greater than or equal to the Barrier Level, investors will receive the principal amount, and no additional return.
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If the Final Level of the Reference Asset is less than the Barrier Level, investors will lose 1% of the principal amount of the Notes for each 1% decrease from the Initial Level.
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Any payments on the Notes are subject to our credit risk.
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The Notes do not pay interest.
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The Notes will not be listed on any securities exchange.
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Per Note
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Total
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Price to public(1)
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100.00%
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$
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Underwriting discounts and commissions(1)
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3.00%
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$
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Proceeds to Royal Bank of Canada
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97.00%
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$
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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Issuer:
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Royal Bank of Canada (the “Bank”)
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Underwriter:
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RBC Capital Markets, LLC (“RBCCM”)
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Reference Asset:
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EURO STOXX 50® Index (SX5E)
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Minimum Investment:
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$1,000 and minimum denominations of $1,000 in excess thereof
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Trade Date (Pricing Date):
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April 19, 2024
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Issue Date:
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April 24, 2024
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Valuation Date:
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April 19, 2029
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Maturity Date:
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April 24, 2029, subject to extension for market and other disruptions, as described in the product prospectus supplement dated December 20, 2023.
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Payment at Maturity (if
held to maturity):
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If the Final Level is greater than or equal to the Initial Level and the
Percentage Change exceeds the Digital Return (that is, its Percentage Change exceeds 57.00%), then the investor will receive, for each $1,000 in principal amount of the Notes, an amount
equal to:
$1,000 + ($1,000 x Percentage Change)
If the Final Level is greater than or equal to the Initial Level but the
Percentage Change does not exceed the Digital Return (that is, its Percentage Change is between 0.00% and 57.00%), then the investor will receive, for each $1,000 in principal amount of
the Notes, an amount equal to:
$1,000 + ($1,000 x Digital Return)
If the Final Level is less than the Initial Level but greater than or equal to the Barrier
Level (that is, the Percentage Change is between -0.01% and -25%), then the investor will receive the principal amount only.
If the Final Level is less than the Barrier Level (that
is, the Percentage Change is less than -25.00%), then the investor will receive, for each $1,000 in principal amount of the Notes:
$1,000 + ($1,000 x Percentage Change)
In this case, you may lose all or a substantial portion of the principal amount.
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Percentage Change:
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The Percentage Change, expressed as a percentage, is calculated using the following formula:
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Initial Level:
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The closing level of the Reference Asset on the Trade Date.
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Final Level:
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The closing level of the Reference Asset on the Valuation Date.
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Digital Return:
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57.00%
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Barrier Level:
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75% of the Initial Level.
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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Principal at Risk:
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The Notes are NOT principal protected. You may lose all or a substantial portion of your principal amount
at maturity if the Final Level is less than the Barrier Level.
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Calculation Agent:
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RBCCM
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U.S. Tax Treatment:
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By purchasing a Note, each holder agrees (in the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat the Notes
as a pre-paid cash-settled derivative contract for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the Notes are uncertain and the Internal Revenue Service could assert that the
Notes should be taxed in a manner that is different from that described in the preceding sentence. Please see the section below, “Supplemental Discussion of U.S. Federal Income Tax Consequences,” and the discussion (including the
opinion of Ashurst LLP, our special U.S. tax counsel) in the product prospectus supplement dated December 20, 2023 under “Supplemental Discussion of U.S. Federal Income Tax Consequences,” which apply to the Notes.
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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 December 20, 2023).
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Terms Incorporated in the
Master Note:
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All of the terms appearing on the cover page and above the item captioned “Secondary Market” in this section, and the terms appearing under the caption “General Terms of the Notes” in the
product prospectus supplement, as modified by this terms supplement.
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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Hypothetical Initial Level:
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1,000.00*
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Hypothetical Barrier Level:
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750.00, which is 75.00% of the hypothetical Initial Level
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Digital Return:
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57.00%
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Principal Amount:
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$1,000 per Note
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Hypothetical Final Level of the
Reference Asset
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Payment at Maturity as
Percentage of Principal Amount
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Payment at Maturity per
$1,000 in Principal Amount
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1,800.00
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180.00%
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$1,800.00
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1,700.00
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170.00%
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$1,700.00
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1,600.00
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160.00%
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$1,600.00
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1,570.00
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157.00%
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$1,570.00
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1,300.00
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157.00%
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$1,570.00
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1,200.00
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157.00%
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$1,570.00
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1,100.00
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157.00%
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$1,570.00
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1,000.00
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157.00%
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$1,570.00
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900.00
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100.00%
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$1,000.00
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850.00
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100.00%
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$1,000.00
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800.00
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100.00%
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$1,000.00
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750.00
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100.00%
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$1,000.00
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749.90
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74.99%
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$749.90
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700.00
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70.00%
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$700.00
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600.00
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60.00%
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$600.00
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500.00
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50.00%
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$500.00
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400.00
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40.00%
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$400.00
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300.00
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30.00%
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$300.00
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200.00
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20.00%
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$200.00
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100.00
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10.00%
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$100.00
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0.00
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0.00%
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$0.00
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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Example 1—
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Calculation of the Payment at Maturity where the Percentage Change is positive and exceeds the Digital Return.
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Percentage Change:
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70%
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Payment at Maturity:
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$1,000 + ($1,000 x 70%) = $1,000 + $700 = $1,700
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In this case, on a $1,000 investment, a Percentage Change of 70% results in a Payment at Maturity of $1,700, a return of 70% on the Notes.
In this case, the return on the Notes is greater than the Digital Return.
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Example 2—
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Calculation of the Payment at Maturity where the Percentage Change is positive, but is less than the Digital Return.
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Percentage Change:
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20%, which is less than the Digital Return
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Payment at Maturity:
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$1,000 + ($1,000 x 57.00%) = $1,000 + $570.00 = $1,570.00
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In this case, on a $1,000 investment, a Percentage Change of 20% results in a Payment at Maturity of $1,570.00, a return of 57.00% on the Notes.
In this case, the return on the Notes is greater than the Percentage Change.
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Example 3—
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Calculation of the Payment at Maturity where the Percentage Change is negative, but the Final Level is greater than or equal to the Barrier Level.
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Percentage Change:
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-15%
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Payment at Maturity:
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At maturity, if the Percentage Change is negative BUT not by more than 25%, then the Payment at Maturity will equal the principal amount.
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In this case, on a $1,000 investment, a Percentage Change of -15% results in a Payment at Maturity of $1,000, a return of 0% on the Notes.
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Example 4—
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Calculation of the Payment at Maturity where the Percentage Change is negative, and the Final Level is less than the Barrier Level.
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Percentage Change:
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-50%
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Payment at Maturity:
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$1,000 + ($1,000 x Percentage Change)
$1,000 + ($1,000 x -50%) = $500
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In this case, on a $1,000 investment, a Percentage Change of -50% results in a Payment at Maturity of $500, a return of -50% on the Notes.
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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You May Lose Some or All of the Principal at Maturity – Investors in the Notes could lose some or all of their principal amount if there is a decline in the level of
the Reference Asset between the Trade Date and the Valuation Date of more than 25%. In such a case, you will lose 1% of the principal amount of your Notes for each 1% that the Final Level of the Reference Asset is less than the
Initial Level.
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The Notes Do Not Pay Interest and Your Return May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity – There will be no periodic interest
payments on the Notes as there would be on a conventional fixed-rate or floating-rate debt security having the same maturity. The return that you will receive on the Notes, which could be negative, may be less than the return you
could earn on other investments. 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 the amount due on the maturity date is dependent upon our ability to repay our obligations at that time. This will be the case even if the level of the Reference Asset
increases after the Trade Date. No assurance can be given as to what our financial condition will be at the maturity of the Notes.
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There May Not Be an Active Trading Market for the Notes—Sales in the Secondary Market May Result in Significant Losses — There may be little or no secondary market for
the Notes. The Notes will not be listed on any securities exchange. RBCCM and our other affiliates may make a market for the Notes; however, they are not required to do so. RBCCM or any of our other affiliates may stop any market-making
activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We expect that transaction costs in any secondary market would be high. As a
result, the difference between bid and asked prices for your Notes in any secondary market could be substantial.
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The Initial Estimated Value of the Notes Will Be Less than the Price to the Public — The initial estimated value of the Notes that will be set forth on the cover page
of the final pricing supplement for the Notes will not represent a minimum price at which we, RBCCM or any of our affiliates would be willing to purchase the Notes in any secondary market (if any exists) at any time. If you attempt to
sell the Notes prior to maturity, their market value may be lower than the price you paid for them and the initial estimated value. This is due to, among other things, changes in the level of the Reference Asset, the borrowing rate we
pay to issue securities of this kind, and the inclusion in the price to the public of the underwriting discount 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 or the hedging costs relating to the Notes. In addition to bid-ask spreads, the value of the Notes determined 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
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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The Initial Estimated Value of the Notes that We Will Provide in the Final Pricing Supplement Will Be an Estimate Only, Calculated as of the Time the Terms of the Notes Are
Set — The initial estimated value of the Notes will be 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 will be based on a variety of assumptions, including our credit spreads, expectations as to dividends, interest rates and volatility, and the expected term of the Notes. These assumptions are
based on certain forecasts about future events, which may prove to be incorrect. Other entities may value the Notes or similar securities at a price that is significantly different than we do.
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Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the Reference Asset that are not for
the account of holders of the Notes or on their behalf. These trading activities may present a conflict between the holders’ interests in the Notes and the interests we and our affiliates will have in their proprietary accounts, in
facilitating transactions, including options and other derivatives transactions, for their customers and in accounts under their management. These trading activities, if they influence the level of the Reference Asset, could be adverse
to the interests of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with companies included in the Reference Asset, including making loans to or providing advisory
services. These services could include investment banking and merger and acquisition advisory services. These activities may present a conflict between our or one or more of our affiliates’ obligations and your interests as a holder of
the Notes. Moreover, we and our affiliates may have published, and in the future expect to publish, research reports with respect to the Reference Asset. This research is modified from time to time without notice and may express
opinions or provide recommendations that are inconsistent with purchasing or holding the Notes. Any of these activities by us or one or more of our affiliates may affect the level of the Reference Asset, and, therefore, the market value
of the Notes.
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An Investment in the Notes Is Subject to Risks Relating to Non-U.S. Securities Markets - Because foreign companies or foreign equity securities held by or included in
the Reference Asset are publicly traded in the applicable foreign countries and are denominated in non-U.S. currencies, an investment in the Notes involves particular risks. For example, the non-U.S. securities markets may be more
volatile than the U.S. securities markets, and market developments may affect these markets differently from the U.S. or other securities markets. Direct or indirect 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 Notes Will Not Be Adjusted for Changes in Exchange Rates — Although the equity securities composing the Reference Asset are traded in euro and the Notes are
denominated in U.S. dollars, the amount payable on the Notes at maturity, if any, will not be adjusted for changes in the exchange rates between the U.S. dollar and the euro. Changes in exchange rates, however, may also reflect changes
in the applicable non-U.S. economies that in turn may affect the level of this index, and therefore the Notes. The amount we pay in respect of your Notes on the maturity date will be determined solely in accordance with the procedures
described in this document.
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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You Will Not Have Any Rights to the Securities Included in the Reference Asset — As a holder of the Notes, you will not have voting rights or rights to receive cash
dividends or other distributions or other rights that holders of securities included in the Reference Asset would have. The Final Level will not reflect any dividends paid on the securities included in the Reference Asset, and
accordingly, any positive return on the Notes may be less than the potential positive return on those securities.
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The Payments on the Notes Are Subject to Postponement Due to Market Disruption Events and Adjustments — The payment at maturity and the Valuation Date are subject to
adjustment as described in the product prospectus supplement. For a description of what constitutes a market disruption event as well as the consequences of that market disruption event, see “General Terms of the Notes-Market Disruption
Events” in the product prospectus supplement.
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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SX5E =
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Free float market capitalization of the SX5E
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Divisor
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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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 securities;
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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 SX5E, 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 SX5E and the data included in the SX5E;
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the accuracy or completeness of the SX5E and its data;
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the merchantability and the fitness for a particular purpose or use of the SX5E and its data;
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STOXX will have no liability for any errors, omissions, or interruptions in the SX5E 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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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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Digital Plus Barrier Notes Linked to the
EURO STOXX 50® Index
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