Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-275898
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Pricing Supplement
Dated April 22, 2024
To the Product Prospectus Supplement ERN-ES-1, the Prospectus Supplement and the Prospectus, Each Dated December 20, 2023
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$1,006,000
Buffered Enhanced Return Notes Linked
to a Basket of Three Common Stocks,
Due April 27, 2027
Royal Bank of Canada
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Basket Component
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Component Weight
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Initial Stock Price
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Archer-Daniels-Midland Company (“ADM”)
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1/3
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$62.50
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Cisco Systems, Inc. (“CSCO”)
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1/3
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$48.14
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Paycom Software, Inc. (“PAYC”)
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1/3
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$186.71
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If the Final Basket Level is greater than the Initial Basket Level, the Notes will pay at maturity a return equal to 200% of the Percentage Change of the Basket, subject to the Maximum Redemption Amount of
150% of the principal amount.
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If the Final Basket Level is less than or equal to the Initial Basket Level, but is greater than or equal to the Buffer Level of 80% of the Initial Basket Level, then the investor will receive the principal
amount.
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If the Final Basket Level is less than the Buffer Level, investors will lose 1% of the principal amount for each 1% that the Final Basket Level has decreased below the Buffer Level.
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All 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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$1,006,000
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Underwriting discounts and commissions(1)
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0.75%
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$7,545
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Proceeds to Royal Bank of Canada
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99.25%
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$998,455
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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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 Assets:
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The Notes are linked to the value of a basket (the “Basket”) of three equity securities (each, a “Basket Component,” collectively, the “Basket Components”). The
Basket Components and their respective Component Weights are indicated in the table on the cover page of this document.
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Denominations:
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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 22, 2024
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Issue Date:
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April 25, 2024
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Valuation Date:
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April 22, 2027
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Maturity Date:
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April 27, 2027, 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 Basket Level is greater than the Initial Basket Level (that is, the Percentage Change is
positive), then the investor will receive, for each $1,000 in principal amount, the lesser of:
1. $1,000 + [$1,000 x (Percentage Change x Participation Rate)] and
2. The Maximum Redemption Amount
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If the Final Basket Level is less than or equal to the Initial Basket Level, but is greater than or equal to the Buffer Level (that is, the Percentage Change is between 0% and -20%), then the investor will receive the principal amount, and no additional return.
If the Final Basket Level is less than the Buffer Level (that is, the Percentage Change is less than -20%), then the investor
will receive, for each $1,000 in principal amount:
$1,000 + [$1,000 x (Percentage Change + Buffer Percentage)]
In this case, the payment on the Notes will be less than the principal amount, and you could lose some or a substantial portion of the principal
amount.
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Maximum
Redemption
Amount:
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$1,500.00 per $1,000 in principal amount (150% multiplied by the principal amount)
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Participation Rate:
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200% (subject to the Maximum Redemption Amount)
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Buffer Percentage:
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20%
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Initial Basket Level:
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The Initial Basket Level was set to 100 on the Trade Date.
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Buffer Level:
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80
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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Final Basket Level:
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The Final Basket Level will be calculated as follows:
100 x [1 + (the sum of, for each Basket Component, the Basket Component return multiplied by its Component Weight)]
Each of the Basket Component returns set forth above refers to the percentage change from the applicable Initial Stock Price to the applicable Final Stock Price, calculated as follows:
Final Stock Price – Initial Stock Price
Initial Stock Price
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Percentage
Change:
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The Percentage Change of the Basket, expressed as a percentage and rounded to two decimal places, will be equal to:
Final Basket Level – Initial Basket Level
Initial Basket Level
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Initial Stock Price:
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With respect to each Basket Component, its closing price per share on the Trade Date, as set forth on the cover page of this pricing supplement.
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Final Stock Price:
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With respect to each Basket Component, its closing price on the Valuation Date.
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Principal at Risk:
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The Notes are NOT principal protected. You may lose a substantial portion of your principal amount at maturity
if the Final Basket Level is less than 80.
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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 Note as a
pre-paid cash-settled derivative contract linked to the Basket Components 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 substantially 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 pricing supplement.
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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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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10%
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Payment at Maturity:
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$1,000 + [$1,000 x (10% x 200%)] = $1,000 + $200 = $1,200.00
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On a $1,000 investment, a Percentage Change of 10% results in a Payment at Maturity of $1,200.00, a return of 20% on the Notes.
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Example 2 —
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Calculation of the Payment at Maturity where the Percentage Change is positive (and the Payment at Maturity is subject to the Maximum Redemption Amount).
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Percentage Change:
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60%
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Payment at Maturity:
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$1,000 + [$1,000 x (60% x 200%)] = $1,000 + $1,200 = $2,200.00
However, the Maximum Redemption Amount is $1,500.00. Accordingly, you will receive a Payment at Maturity equal to $1,500.00 per $1,000 in principal amount of the
Notes.
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On a $1,000 investment, a Percentage Change of 60% would result in a Payment at Maturity of $1,500.00, a return of 50% 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 (but not by more than the Buffer Percentage).
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Percentage Change:
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-5%
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Payment at Maturity:
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$1,000
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On a $1,000 investment, a Percentage Change of -5% 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 (by more than the Buffer Percentage).
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Percentage Change:
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-40%
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Payment at Maturity:
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$1,000 + [$1,000 x (-40% + 20%)] = $1,000 - $200 = $800
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On a $1,000 investment, a Percentage Change of -40% results in a Payment at Maturity of $800, a return of -20% on the Notes.
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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Hypothetical Final
Basket Level
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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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160.00
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60.00%
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150.00%
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$1,500.00
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150.00
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50.00%
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150.00%
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$1,500.00
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140.00
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40.00%
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150.00%
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$1,500.00
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130.00
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30.00%
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150.00%
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$1,500.00
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125.00
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25.00%
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150.00%
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$1,500.00
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120.00
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20.00%
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140.00%
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$1,400.00
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110.00
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10.00%
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120.00%
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$1,200.00
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100.00
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0.00%
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100.00%
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$1,000.00
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95.00
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-5.00%
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100.00%
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$1,000.00
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80.00
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-20.00%
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100.00%
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$1,000.00
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70.00
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-30.00%
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90.00%
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$900.00
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60.00
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-40.00%
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80.00%
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$800.00
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50.00
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-50.00%
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70.00%
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$700.00
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40.00
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-60.00%
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60.00%
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$600.00
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30.00
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-70.00%
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50.00%
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$500.00
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20.00
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-80.00%
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40.00%
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$400.00
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10.00
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-90.00%
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30.00%
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$300.00
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0.00
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-100.00%
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20.00%
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$200.00
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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You May Lose Some or a Substantial Portion of the Principal Amount at Maturity — Investors in the Notes will lose some
or a substantial portion of their principal amount if the Final Basket Level is less than the Buffer Level. In such a case, you will lose 1% of the principal amount of your Notes for each 1% that the Percentage Change is less than
-20%. You could lose up to 80% of the principal amount at maturity.
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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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Your Potential Payment at Maturity Is Limited — The Notes will provide less opportunity to participate in the
appreciation of the Basket Components than an investment in a security linked to the Basket Components 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 Basket.
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You Will Not Have Any Rights to the Basket Components — 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 a Basket Component would have. The Final Stock Prices of the Basket Components will not reflect any dividends paid on the securities included in
the Basket Components; accordingly, any positive return on the Notes may be less than the potential positive return on those 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 value of the Basket 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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Changes in the Price of One Basket Component May Be Offset by Changes in the Prices of the Other Basket Components — A
change in the price of one Basket Component may not correlate with changes in the prices of the other Basket Components. The price of one Basket Component may increase, while the prices of the other Basket Components may not increase
as much, or may even decrease. Therefore, in determining the value of the Basket as of any time, increases in the price of one Basket Component may be moderated, or wholly offset, by lesser increases or decreases in the prices of the
other Basket Components.
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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
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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The Initial Estimated Value of the Notes Is Less than the Price to the Public — The initial estimated value of the
Notes that is set forth on the cover page of this pricing supplement does not represent a minimum price at which we, RBCCM or any of our affiliates would be willing to purchase the Notes in any secondary market (if any exists) at any
time. If you attempt to sell the Notes prior to maturity, their market value may be lower than the price you paid for them and the initial estimated value. This is due to, among other things, changes in the value of the Basket, 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 complex and
unpredictable ways. Assuming no change in market conditions or any other relevant factors, the price, if any, at which you may be able to sell your Notes prior to maturity may be less than your original purchase price, as any such
sale price would not be expected to include the underwriting discount, the referral fee or the hedging costs relating to the Notes. In addition to bid-ask spreads, the value of the Notes determined by RBCCM for any secondary market
price is expected to be based on the secondary rate rather than the internal funding rate used to price the Notes and determine the initial estimated value. As a result, the secondary price will be less than if the internal funding
rate was used. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
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The Initial Estimated Value of the Notes that Is Set Forth on the Cover Page of this Pricing Supplement Is an Estimate Only, Calculated as of the Time the
Terms of the Notes Were Set — The initial estimated value of the Notes is based on the value of our obligation to make the payments on the Notes, together with the mid-market value of the
derivative embedded in the terms of the Notes. See “Structuring the Notes” below. Our estimate is based on a variety of assumptions, including our credit spreads, expectations as to dividends, interest rates and volatility, and the
expected term of the Notes. These assumptions are based on certain forecasts about future events, which may prove to be incorrect. Other entities may value the Notes or similar securities at a price that is significantly different
than we do.
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Our Business Activities and Those of Our Affiliates May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the
Basket that are not for the account of holders of the Notes or on their behalf. These trading activities may present a conflict between the holders’ interests in the Notes and the interests we and our affiliates will have in their
proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for their customers and in accounts under their management. These trading activities, if they influence the prices of the Basket
Components, 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 issuers of the Basket Components (the “Basket Component
Issuers”), 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 Basket Components. This research is
modified from time to time without notice and may express opinions or provide
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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There Is No Affiliation Between the Basket Component Issuers and RBCCM, and RBCCM Is Not Responsible for any Disclosure by the Basket Component Issuers — We are not affiliated with the Basket Component Issuers. However, we and our affiliates may currently, or from time to time in the future, engage in business with the Basket Component Issuers. Nevertheless,
neither we nor our affiliates assume any responsibilities for the accuracy or the completeness of any information that any other company prepares. You, as an investor in the Notes, should make your own investigation into the Basket
Components. The Basket Component Issuers are not involved in this offering and have no obligation of any sort with respect to your Notes. The Basket Component Issuers have no obligation to take your interests into consideration for
any reason, including when taking any corporate actions that might affect the value of your 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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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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Buffered Enhanced Return Notes
Linked to a Basket of Three Common Stocks
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