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 28, 2024
Pricing Supplement Dated April __, 2024 to the Product Prospectus Supplement ERN-ES-1, the Prospectus
Supplement and the Prospectus, Each Dated December 20, 2023
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$
Digital Plus Barrier Return Notes
Linked to the Common Stock of Microsoft Corporation,
Due October 16, 2025
Royal Bank of Canada
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Reference Stock
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Initial Stock Price*
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Barrier Price
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Microsoft Corporation (“MSFT”)
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75.00% of the Initial Stock Price
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If the Final Stock Price is greater than or equal to the Barrier Price, the Notes provide a positive return. In this case, we will pay you an amount at maturity based on the Percentage
Change of the Reference Stock:
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If the Percentage Change is greater than or equal to the Maximum Return, investors will receive a positive return on the Notes equal to the Maximum Return. The Maximum Return is 21% of
the principal amount of the Notes.
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If the Percentage Change is less than Maximum Return but greater than the Digital Return, investors will receive a one-for-one positive return equal to the Percentage Change. The
Digital Return is 10% of the principal amount of the Notes.
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If the Percentage Change is greater than ‑25% but less than the Digital Return, investors will receive a positive return equal to the Digital Return.
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If the Final Stock Price is less than the Barrier Price, investors will not receive a cash payment at maturity (except in the limited circumstances described below); instead, investors
will receive a number of shares of the Reference Stock, the value of which is expected to be significantly less than the principal amount of the Notes. In this
case, the Notes provide a negative return and you will lose some, and possibly all, of your principal investment in the Notes.
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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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1.50%
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$
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Proceeds to Royal Bank of Canada
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98.50%
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$
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Digital Plus Barrier Return Notes
Royal Bank of Canada
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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 Stock:
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The common stock of Microsoft Corporation (“MSFT”)
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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 10, 2024
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Issue Date:
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April 15, 2024
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Valuation Date:
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October 10, 2025
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Maturity Date:
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October 16, 2025, 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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At maturity, your return on the Notes will be based on the Final Stock Price and the Percentage Change.
If the Final Stock Price is greater
than or equal to the Barrier Price, for each $1,000 in principal amount of the Notes, you will receive a cash payment based on the Percentage Change:
• If the Percentage Change is greater than the Digital Return (that is, the Final Stock Price is greater
than 110.00% of the Initial Stock Price), an amount in cash equal to the greater of:
(i) the Maximum Redemption Amount and
(ii) $1,000 + ($1,000 x Percentage Change)
•
If the Percentage Change is less than or equal to the Digital Return but the Final Stock Price
is equal to or exceeds the Barrier Price (that is, the Percentage Change is between ‑25.00% and 10.00%), an amount in cash equal to:
$1,000 + ($1,000 x Digital Return)
If the Final Stock Price is less
than the Barrier Price (that is, the Percentage Change is less than -25.00%), you will not receive a cash payment at maturity (except if we pay you the Cash Delivery Amount under the circumstances described below).
Instead, the investor will receive, for each $1,000 in principal amount of the Notes, a number of shares of the Reference Stock equal to the Physical Delivery Amount (or, under the circumstances described below, the cash value of
those shares).
In this case, your return on the Notes will be negative and the value of the shares of
the Reference Stock (or the cash value of those shares, as the case may be) that you receive will represent a loss of a substantial portion, and possibly all, of your principal amount of the Notes.
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Digital Payment:
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10% of the principal amount ($100 for each $1,000 in principal amount of the Notes).
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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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Final Stock Price - Initial Stock Price
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Initial Stock Price
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Initial Stock Price:
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The closing price of the Reference Stock on the Trade Date.
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Final Stock Price:
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The closing price of the Reference Stock on the Valuation Date.
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Digital Return:
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10.00%
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Digital Plus Barrier Return Notes
Royal Bank of Canada
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Maximum Return:
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21.00%. An investor's return on the Notes will not exceed the Maximum Return.
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Maximum Redemption
Amount:
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121.00% of the principal amount of the Notes.
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Barrier Percentage:
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25%
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Barrier Price:
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75% of the Initial Stock Price
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Physical Delivery
Amount:
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For each $1,000 in principal amount of the Notes, a number of shares of the Reference Stock equal to $1,000 divided by the Initial Stock Price,
subject to adjustment as described in the product prospectus supplement. Fractional shares will be paid in cash.
If, due to an event beyond our control, we determine it is impossible, impracticable (including unduly burdensome) or illegal for us to deliver
shares of the Reference Stock to you at maturity, we will pay the Cash Delivery Amount in lieu of delivering shares.
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Cash Delivery Amount:
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The product of the Physical Delivery Amount multiplied by the Final Stock Price.
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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 Stock Price is less than the Barrier Price.
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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 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 Return Notes
Royal Bank of Canada
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Digital Plus Barrier Return Notes
Royal Bank of Canada
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Example 1 —
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Calculation of the Payment at Maturity where the Percentage Change is positive and greater than the Digital
Return.
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Percentage Change: 30%
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Payment at Maturity: $1,000 + ($1,000 x Percentage Change)
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= $1,000 + ($1,000 x 30%) = $1,000 + $300 = $1,300
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However, the Payment at Maturity is limited to the Maximum Redemption Amount.
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In this case, on a $1,000 investment, a Percentage Change of 30% results in a Payment at Maturity of $1,210, a return of 21.00% on the Notes
(which is the Maximum 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: 5%
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Payment at Maturity: $1,000 + ($1,000 x 10%) = $1,000 + $100 = $1,100
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In this case, on a $1,000 investment, a Percentage Change of 5% results in a Payment at Maturity of $1,100, a return of 10% on the Notes. In this case, the return on the Notes is equal to the Digital Return.
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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 Stock Price is not less than
the Barrier Price.
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Percentage Change: ‑20%
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Payment at Maturity: $1,000 + ($1,000 x ‑20%) = $800
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However, since the Percentage Change is greater than the Barrier Percentage, the return on the Notes will be equal to the Digital Return.
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In this case, on a $1,000 investment, a Percentage Change of ‑20% results in a Payment at Maturity of $1,100, a return of 10% on the Notes
(which is the Digital Return). In this case, the return on the Notes will be positive, even though the Percentage Change is negative.
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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 Stock Price is less than the
Barrier Price.
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Percentage Change: ‑50%
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Payment at Maturity: At maturity, if the Percentage Change is negative and the Final Stock Price is less than the Barrier Price, the investor
will receive the Physical Delivery Amount, or under the circumstances described above, the Cash Delivery Amount, calculated as follows:
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Cash Delivery Amount = Physical Delivery Amount x Final Stock Price = 10 x $50 = $500
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In this case, on a $1,000 investment, a Percentage Change of ‑50% results in the investor receiving 10 shares of the Reference Stock (or, if
the Cash Delivery Amount is payable instead, $500, a return of ‑50% on the Notes). In this case, an investor will lose all or a substantial portion of the
principal amount of the Notes if the Final Stock Price is less than the Barrier Price.
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Digital Plus Barrier Return Notes
Royal Bank of Canada
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Final Stock
Price
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Percentage
Change
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Payment at Maturity
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Physical Delivery
Amount as Number
of Shares of the
Reference Stock
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Cash Delivery
Amount
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$150.00
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50.00%
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$1,210.00
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n/a
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n/a
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$140.00
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40.00%
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$1,210.00
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n/a
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n/a
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$130.00
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30.00%
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$1,210.00
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n/a
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n/a
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$121.00
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21.00%
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$1,210.00
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n/a
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n/a
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$120.00
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20.00%
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$1,200.00
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n/a
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n/a
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$115.00
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15.00%
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$1,150.00
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n/a
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n/a
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$110.00
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10.00%
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$1,100.00
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n/a
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n/a
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$100.00
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0.00%
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$1,100.00
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n/a
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n/a
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$90.00
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-10.00%
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$1,100.00
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n/a
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n/a
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$80.00
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-20.00%
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$1,100.00
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n/a
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n/a
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$75.00
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-25.00%
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$1,100.00
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n/a
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n/a
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$70.00
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-30.00%
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Physical or Cash Delivery Amount
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10
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$700.00
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$60.00
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-40.00%
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Physical or Cash Delivery Amount
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10
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$600.00
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$50.00
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-50.00%
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Physical or Cash Delivery Amount
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10
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$500.00
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$40.00
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-60.00%
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Physical or Cash Delivery Amount
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10
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$400.00
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$30.00
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-70.00%
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Physical or Cash Delivery Amount
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10
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$300.00
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$20.00
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-80.00%
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Physical or Cash Delivery Amount
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10
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$200.00
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$10.00
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-90.00%
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Physical or Cash Delivery Amount
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10
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$100.00
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$0.00
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-100.00%
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Physical or Cash Delivery Amount
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10
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$0.00
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Digital Plus Barrier Return Notes
Royal Bank of Canada
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You May Not Receive the Full 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 price of the Reference Stock. If the Final Stock Price is less than the Barrier Price, the value of the
shares or cash that you receive at maturity will represent a loss of your principal that is proportionate to the decline in the closing price of the Reference Stock from the Trade Date to the Valuation Date. If you receive shares
of the Reference Stock, they may decrease in value between the Valuation Date and the maturity date, further reducing your return on the Notes.
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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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Your Potential Payment at Maturity Is Limited — The
Notes will provide less opportunity to participate in the appreciation of the Reference Stock than an investment in a security linked to the Reference Stock providing full participation in the appreciation, because the payment at
maturity will not exceed the Maximum Redemption Amount. Accordingly, your return on the Notes may be less than your return would be if you made an investment in a security directly linked to the positive performance of the
Reference Stock.
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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 price of the Reference Stock 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 ask 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 price of the Reference Stock, 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
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Digital Plus Barrier Return Notes
Royal Bank of Canada
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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 issuer of the Reference Stock (the "Reference Stock Issuer") 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 price of the Reference Stock, 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 Reference Stock Issuer, 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 Stock. 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 price of the Reference Stock, and, therefore, the market value of the Notes.
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Owning the Notes Is Not the Same as Owning the Reference Stock – The return on your Notes is unlikely to reflect the return you would realize if you actually owned the Reference Stock. For example, you will not receive or be entitled to receive any dividend payments or other
distributions on the Reference Stock during the term of your Notes; accordingly, an investment in the Notes may return less than an actual investment in the Reference Stock. As an owner of the Notes, you will not have voting
rights or any other rights that holders of the Reference Stock may have. Furthermore, the Reference Stock may appreciate substantially during the term of the Notes, and you will not fully participate in such appreciation.
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There Is No Affiliation Between the Reference Stock Issuer and RBCCM, and RBCCM Is Not Responsible for any
Disclosure by the Reference Stock Issuer — We are not affiliated with the Reference Stock Issuer. However, we and our affiliates may currently, or from time to time in the future engage, in business with the Reference
Stock Issuer. Nevertheless, neither we nor our affiliates assume any responsibilities for the accuracy or the completeness of any
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Digital Plus Barrier Return Notes
Royal Bank of Canada
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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 Return Notes
Royal Bank of Canada
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Digital Plus Barrier Return Notes
Royal Bank of Canada
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Digital Plus Barrier Return Notes
Royal Bank of Canada
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Digital Plus Barrier Return Notes
Royal Bank of Canada
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Digital Plus Barrier Return Notes
Royal Bank of Canada
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