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 April 24, 2024
Pricing Supplement Dated May __, 2024 to the Index Supplement No. SOL-1 dated March 6, 2024, and the Product
Prospectus Supplement ERN-EI-1, the Prospectus Supplement and the Prospectus, Each Dated December 20, 2023
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$
Barrier Enhanced Return Notes
Linked to the Solactive Equal Weight U.S. Blue Chip
Select AR Index,
Due May 4, 2028
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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Solactive Equal Weight U.S. Blue Chip Select AR Index (“SOLUSBCA”)
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80.00% of the Initial Level
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If the Final Level of the Reference Asset is greater than the Initial Level, the Notes will pay at maturity a return equal to 245.75% of the Percentage Change.
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If the Final Level is less than or equal to the Initial Level, but is greater than or equal to the Barrier Level, the Notes will pay the principal amount at maturity.
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If the Final Level is less than the Barrier Level, investors will lose 1% of the principal amount for each 1% that the Final Level has decreased 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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1.00%
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$
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Proceeds to Royal Bank of Canada
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99.00%
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$
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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR 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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Solactive Equal Weight U.S. Blue Chip Select AR Index (Bloomberg L.P. symbol “SOLUSBCA Index”)
The Reference Asset is designed to measure the performance of the Solactive Equal Weight U.S. Blue Chip Select GTR Index (the “Underlying Index”), less an adjustment factor of 5.5% per annum
(the “Adjustment Factor”), calculated daily and deducted on each index calculation day. The Underlying Index is an equally-weighted equity index, rebalanced on a quarterly basis, consisting of a fixed set of 10 equity securities from the U.S.
stock market and is intended to represent a “blue chip” investment theme as defined by Solactive AG (the “Index Sponsor”). The Underlying Index is calculated on a gross total return basis, which means that dividends paid on the constituents
of the Underlying Index (the “Underlying Index Constituents”) are reinvested in the Underlying Index. Although the Underlying Index is a gross total return index, the Adjustment Factor will counteract some or all of the positive benefit of
dividends paid on the Underlying Index Constituents.
Please see the section below, “Information About the Reference Asset,” for additional information.
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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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May 1, 2024
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Issue Date:
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May 6, 2024
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Valuation Date:
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May 1, 2028
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Maturity Date:
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May 4, 2028, 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 the Initial Level (that is, the Percentage Change is positive), then the investor will receive an
amount per $1,000 principal amount per Note equal to:
Principal Amount + [Principal Amount x
(Percentage Change x Participation Rate)]
If the Final Level is less than or equal to the Initial Level but is greater
than or equal to the Barrier Level (that is, the Percentage Change is between 0% and ‑20.00%), 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 ‑20.00%), then the investor will
receive a cash payment equal to:
Principal Amount + (Principal Amount x Percentage Change)
In this case, you could 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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Participation Rate:
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245.75%
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Barrier Percentage:
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20%
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Barrier Level:
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80% of the Initial Level
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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR 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.
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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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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR Index
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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR Index
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Example 1 —
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Calculation of the Payment at Maturity where the Percentage Change is positive.
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Percentage Change:
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2%
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Payment at Maturity:
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$1,000 + [$1,000 x (2% x 245.75%)] = $1,000 + $49.15 = $1,049.15
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On a $1,000 investment, a Percentage Change of 2% results in a Payment at Maturity of $1,049.15, a return of 4.915% on the Notes.
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Example 2 —
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Calculation of the Payment at Maturity where the Percentage Change is negative (but not by more than the Barrier Percentage).
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Percentage Change:
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-10%
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Payment at Maturity:
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At maturity, if the Percentage Change is negative BUT not by more than the Barrier Percentage, then the Payment at Maturity will equal the principal amount.
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On a $1,000 investment, a Percentage Change of -10% results in a Payment at Maturity of $1,000, a return of 0% on the Notes.
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Example 3 —
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Calculation of the Payment at Maturity where the Percentage Change is negative (by more than the Barrier Percentage).
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Percentage Change:
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-30%
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Payment at Maturity:
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$1,000 + ($1,000 x -30%) = $1,000 - $300 = $700
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On a $1,000 investment, a Percentage Change of -30% results in a Payment at Maturity of $700, a return of -30% on the Notes.
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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR Index
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Hypothetical Percentage
Change
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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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50.00%
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222.8750%
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$2,228.750
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40.00%
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198.3000%
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$1,983.000
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30.00%
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173.7250%
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$1,737.250
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20.00%
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149.1500%
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$1,491.500
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10.00%
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124.5750%
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$1,245.750
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5.00%
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112.2875%
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$1,122.875
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2.00%
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104.9150%
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$1,049.150
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0.00%
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100.0000%
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$1,000.000
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-10.00%
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100.0000%
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$1,000.000
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-20.00%
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100.0000%
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$1,000.000
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-20.01%
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79.9900%
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$799.900
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-30.00%
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70.0000%
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$700.000
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-40.00%
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60.0000%
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$600.000
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-50.00%
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50.0000%
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$500.000
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-60.00%
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40.0000%
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$400.000
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-70.00%
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30.0000%
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$300.000
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-80.00%
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20.0000%
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$200.000
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-90.00%
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10.0000%
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$100.000
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-100.00%
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0.0000%
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$0.000
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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR Index
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You May Lose All or a Portion 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 level of the Reference Asset. If the Final Level is less than the Barrier Level, you will lose 1% of the principal amount of your Notes for each 1% that the Final Level 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. 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 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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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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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, the referral fee and the estimated costs relating to our hedging of the Notes. These factors, together with various credit, market and
economic factors over the term of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any secondary market and will affect the value of the Notes in
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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR 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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The Reference Asset Has a Limited Operating History and May Perform in Unanticipated Ways — The Reference Asset was launched
on November 16, 2023 (the “Launch Date”). As a result, the Reference Asset has a very limited operating history. Because the Reference Asset is of recent origin and limited actual historical performance data exists with respect to it, your
investment in the Notes may involve a greater risk than investing in securities linked to an index with a more established record of performance.
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The Reference Asset Is Subject to an Adjustment Factor That Will Adversely Affect the Reference Asset Performance — The Reference Asset includes an adjustment factor of 5.5%
per annum (the “Adjustment Factor”),
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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR Index
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Any Potential Benefit From the Gross Total Return Feature of the Underlying Index Will Be Reduced by the Adjustment Factor Applied to the Reference Asset — The Reference Asset is comprised exclusively of the Underlying Index. Although the Underlying Index is a gross total return index, which means that dividends paid on the Underlying Index Constituents are reinvested
in the Underlying Index, the Adjustment Factor will reduce any positive benefit from dividends paid on the Underlying Index Constituents. This fee will accrue daily and will be deducted on each index calculation day, regardless of whether
any dividends are paid on the Underlying Index Constituents.
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Dividends and Distributions of the Underlying Index Constituents May Vary When Compared to Historical Levels — The Reference
Asset tracks the gross total return performance of the Underlying Index less the Adjustment Factor. The level of the Reference Asset may be affected by the ability of issuers of the Underlying Index Constituents to declare and pay dividends
or make distributions in respect of their equity securities. Historical levels of dividends and distributions paid in respect of the Underlying Index Constituents are not indicative of future payments, which payments are uncertain and
depend upon various factors, including, without limitation, the financial position, earnings ratio and cash requirements of the applicable issuer and the state of financial markets in general. It is not possible to predict if dividends or
distributions paid in respect of the Underlying Index Constituents will increase, decrease or remain the same over the term of the Notes.
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The Underlying Index Constituents Are Not Expected to Change During the Term of the Notes, and Are Limited in Number — Unlike
the constituents of many equity indices, the Underlying Index Constituents are not expected to change over the term of the Notes, unless certain types of reorganization events occur, such as if an Underlying Index Constituent is merged into
another company. Accordingly, you should only invest in the Notes if you are willing to make an investment linked to the current Underlying Index Constituents, as set forth in “The Reference Asset” below.
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There Is No Guarantee That the Index Methodology Will Be Successful — The Underlying Index is comprised of equity securities
exclusively selected by Solactive A.G. (the “Index Sponsor”) based on a specific investment theme. There is no guarantee that the Index Sponsor will successfully select companies that will benefit from the investment theme chosen by the
Index Sponsor or that the Reference Asset will outperform any other indices or strategies that attempt to achieve a similar goal using other criteria. The Reference Asset may outperform or underperform some or all of the securities of its
targeted theme. Accordingly, the investment strategy represented by the Reference Asset may not be successful, and your investment in the Notes may not earn a positive return or you may suffer a loss.
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Owning the Notes Is Not the Same as Owning the Underlying Index Constituents — The return on your Notes is unlikely to
reflect the return you would realize if you actually owned the Underlying Index Constituents. As an owner of the Notes, you will not have voting rights or any other rights that holders of the Underlying Index Constituents may have.
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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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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR Index
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Security Issuer
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Security Type
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Symbol
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Exchange
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Target
Weighting
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3M Company*
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common stock
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MMM
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NYSE
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10.00%
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Citigroup Inc.
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common stock
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C
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NYSE
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10.00%
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Exxon Mobil Corporation
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common stock
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XOM
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NYSE
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10.00%
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Ford Motor Company
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common stock
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F
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NYSE
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10.00%
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Morgan Stanley
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common stock
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MS
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NYSE
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10.00%
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Pfizer Inc.
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common stock
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PFE
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NYSE
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10.00%
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QUALCOMM Incorporated
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common stock
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QCOM
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Nasdaq
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10.00%
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Target Corporation
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common stock
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TGT
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NYSE
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10.00%
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Valero Energy Corporation
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common stock
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VLO
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NYSE
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10.00%
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Verizon Communications Inc.
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common stock
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VZ
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NYSE
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10.00%
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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR Index
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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR Index
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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR Index
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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR Index
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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR Index
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Barrier Enhanced Return Notes Linked to the
Solactive Equal Weight U.S. Blue Chip Select
AR Index
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