 |
|
Registration Statement No. 333-275898
Filed Pursuant to Rule 424(b)(2) |
| The information in this preliminary pricing supplement is not complete and may be changed. |
| |
|
|
|
Preliminary Pricing Supplement
Subject to Completion: Dated November 19, 2024
Pricing Supplement dated November __, 2024 to the Prospectus
dated December 20, 2023, the Prospectus Supplement dated December 20, 2023, the Underlying Supplement No. 1A dated May 16, 2024 and the
Product Supplement No. 1A dated May 16, 2024 |
|
$
Capped Enhanced Return Buffer Notes
Linked to the SPDR® Gold Trust,
Due November 24, 2026
Royal Bank of Canada |
| |
|
|
Royal Bank of Canada is offering Capped Enhanced
Return Buffer Notes (the “Notes”) linked to the performance of the SPDR® Gold Trust (the “Underlier”).
| · | Capped Enhanced Return Potential —
If the Final Underlier Value is greater than the Initial Underlier Value, at maturity, investors will receive a return equal to 115% of
the Underlier Return, subject to the Maximum Return of 31.50%. |
| · | Contingent Return of Principal at Maturity
— If the Final Underlier Value is less than or equal to the Initial Underlier Value, but is greater than or equal to the Buffer
Value (93% of the Initial Underlier Value), at maturity, investors will receive the principal amount of their Notes. If the Final Underlier
Value is less than the Buffer Value, at maturity, investors will lose 1% of the principal amount of their Notes for each 1% that the Final
Underlier Value is less than the Initial Underlier Value in excess of the Buffer Percentage of 7%. |
| · | The Notes do not pay interest. |
| · | Any payments on the Notes are subject to our credit
risk. |
| · | The Notes will not be listed on any securities
exchange. |
CUSIP: 78017GYP0
Investing in the Notes involves a number of
risks. See “Selected Risk Considerations” beginning on page P-6 of this pricing supplement and “Risk Factors”
in the accompanying prospectus, prospectus supplement and product supplement.
None of the Securities and Exchange Commission
(the “SEC”), any state securities commission or any other regulatory body has approved or disapproved of the Notes or passed
upon the adequacy or accuracy of this pricing supplement. Any representation to the contrary is a criminal offense. The Notes will not
constitute deposits insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation or any other Canadian
or U.S. governmental agency or instrumentality. The Notes are not bail-inable notes and are not subject to conversion into our common
shares under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act.
| |
Per Note |
Total |
| Price to public |
100.00% |
$ |
| Underwriting discounts and commissions(1) |
0.00% |
$ |
| Proceeds to Royal Bank of Canada |
100.00% |
$ |
(1) RBC Capital Markets, LLC, acting
as our agent, will not receive a commission in connection with its sales of the Notes. See “Supplemental Plan of Distribution (Conflicts
of Interest)” below.
The initial estimated value of the Notes determined
by us as of the Trade Date, which we refer to as the initial estimated value, is expected to be between $938.70 and $988.70 per $1,000
principal amount of Notes and will be less than the public offering price of the Notes. The final pricing supplement relating to the Notes
will set forth the initial estimated value. The market value of the Notes at any time will reflect many factors, cannot be predicted with
accuracy and may be less than this amount. We describe the determination of the initial estimated value in more detail below.
RBC Capital Markets, LLC
| | |
| | Capped Enhanced Return Buffer Notes Linked to the SPDR® Gold Trust |
KEY TERMS
The information in this “Key Terms”
section is qualified by any more detailed information set forth in this pricing supplement and in the accompanying prospectus, prospectus
supplement, underlying supplement and product supplement.
| Issuer: |
Royal Bank of Canada |
| Underwriter: |
RBC Capital Markets, LLC (“RBCCM”) |
| Minimum Investment: |
$1,000 and minimum denominations of $1,000 in excess thereof |
| Underlier: |
The SPDR® Gold Trust |
| |
Bloomberg Ticker |
Initial Underlier Value(1) |
Buffer Value(2) |
| |
GLD UP |
$241.09 |
$224.21 |
| |
(1) The closing value of the Underlier on the Strike Date. The Initial Underlier Value is not the closing value of the Underlier on the Trade Date. |
| |
(2) 93% of the Initial Underlier Value (rounded to two decimal places) |
| Strike Date: |
November 18, 2024 |
| Trade Date: |
November 19, 2024 |
| Issue Date: |
November 22, 2024 |
| Valuation Date:* |
November 19, 2026 |
| Maturity Date:* |
November 24, 2026 |
| Payment at Maturity: |
Investors will receive on the Maturity Date per
$1,000 principal amount of Notes:
· If
the Final Underlier Value is greater than the Initial Underlier Value, an amount equal to:
$1,000 + ($1,000 × the lesser of (a) Underlier
Return × Participation Rate and (b) Maximum Return)
· If
the Final Underlier Value is less than or equal to the Initial Underlier Value, but is greater than or equal to
the Buffer Value: $1,000
· If
the Final Underlier Value is less than the Buffer Value, an amount equal to:
$1,000 + [$1,000 × (Underlier Return + Buffer
Percentage)]
If the Final Underlier Value is less than the
Buffer Value, you will lose some or a substantial portion of your principal amount at maturity. All payments on the Notes are subject
to our credit risk.
|
| Participation Rate: |
115% (subject to the Maximum Return) |
| Maximum Return: |
31.50%. Accordingly, the maximum payment at maturity will be $1,315 per $1,000 principal amount of Notes. |
| Buffer Percentage: |
7% |
| Underlier Return: |
The Underlier Return, expressed as a percentage,
is calculated using the following formula:
Final Underlier Value – Initial Underlier
Value
Initial Underlier Value
|
| Final Underlier Value: |
The closing value of the Underlier on the Valuation Date |
| Calculation Agent: |
RBCCM |
* Subject to postponement. See “General Terms of the Notes—Postponement
of a Determination Date” and “General Terms of the Notes—Postponement of a Payment Date” in the accompanying product
supplement.
| P-2 | RBC Capital Markets, LLC |
| | |
| | Capped Enhanced Return Buffer Notes Linked to the SPDR® Gold Trust |
ADDITIONAL TERMS OF YOUR NOTES
You should read this pricing supplement together
with the prospectus dated December 20, 2023, as supplemented by the prospectus supplement dated December 20, 2023, relating to our Senior
Global Medium-Term Notes, Series J, of which the Notes are a part, the underlying supplement no. 1A dated May 16, 2024 and the product
supplement no. 1A dated May 16, 2024. This pricing supplement, together with these documents, contains the terms of the Notes and supersedes
all other prior or contemporaneous oral statements as well as any other written materials, including preliminary or indicative pricing
terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials
of ours.
We have not authorized anyone to provide any information
or to make any representations other than those contained or incorporated by reference in this pricing supplement and the documents listed
below. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may give
you. These documents are an offer to sell only the Notes offered hereby, but only under circumstances and in jurisdictions where it is
lawful to do so. The information contained in each such document is current only as of its date.
If the information in this pricing supplement differs
from the information contained in the documents listed below, you should rely on the information in this pricing supplement.
You should carefully consider, among other things,
the matters set forth in “Selected Risk Considerations” in this pricing supplement and “Risk Factors” in the documents
listed below, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the Notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | Prospectus dated December 20, 2023: |
https://www.sec.gov/Archives/edgar/data/1000275/000119312523299520/d645671d424b3.htm
| · | Prospectus Supplement dated December 20, 2023: |
https://www.sec.gov/Archives/edgar/data/1000275/000119312523299523/d638227d424b3.htm
| · | Underlying Supplement No. 1A dated May 16, 2024: |
https://www.sec.gov/Archives/edgar/data/1000275/000095010324006773/dp211259_424b2-us1a.htm
| · | Product Supplement No. 1A dated May 16, 2024: |
https://www.sec.gov/Archives/edgar/data/1000275/000095010324006777/dp211286_424b2-ps1a.htm
Our Central Index Key, or CIK, on the SEC website
is 1000275. As used in this pricing supplement, “Royal Bank of Canada,” the “Bank,” “we,” “our”
and “us” mean only Royal Bank of Canada.
| P-3 | RBC Capital Markets, LLC |
| | |
| | Capped Enhanced Return Buffer Notes Linked to the SPDR® Gold Trust |
HYPOTHETICAL RETURNS
The table and examples set forth below illustrate
hypothetical payments at maturity for hypothetical performance of the Underlier, based on the Buffer Value of 93% of the Initial Underlier
Value, the Participation Rate of 115%, the Maximum Return of 31.50% and the Buffer Percentage of 7%. The table and examples are only for
illustrative purposes and may not show the actual return applicable to investors.
| Hypothetical Underlier Return |
Payment at Maturity per $1,000 Principal Amount of Notes |
Payment at Maturity as Percentage of Principal Amount |
| 50.0000% |
$1,315.00 |
131.500% |
| 40.0000% |
$1,315.00 |
131.500% |
| 30.0000% |
$1,315.00 |
131.500% |
| 27.3913% |
$1,315.00 |
131.500% |
| 20.0000% |
$1,230.00 |
123.000% |
| 10.0000% |
$1,115.00 |
111.500% |
| 5.0000% |
$1,057.50 |
105.750% |
| 2.0000% |
$1,023.00 |
102.300% |
| 0.0000% |
$1,000.00 |
100.000% |
| -5.0000% |
$1,000.00 |
100.000% |
| -7.0000% |
$1,000.00 |
100.000% |
| -10.0000% |
$970.00 |
97.000% |
| -20.0000% |
$870.00 |
87.000% |
| -30.0000% |
$770.00 |
77.000% |
| -40.0000% |
$670.00 |
67.000% |
| -50.0000% |
$570.00 |
57.000% |
| -60.0000% |
$470.00 |
47.000% |
| -70.0000% |
$370.00 |
37.000% |
| -80.0000% |
$270.00 |
27.000% |
| -90.0000% |
$170.00 |
17.000% |
| -100.0000% |
$70.00 |
7.000% |
| Example 1 — |
The value of the Underlier increases from the Initial Underlier Value to the Final Underlier Value by 2%. |
| |
Underlier Return: |
2% |
| |
Payment at Maturity: |
$1,000 + ($1,000 × the lesser of (a) 2% ×
115% and (b) 31.50%)
= $1,000 + ($1,000 × the lesser of (a) 2.30%
and (b) 31.50%)
= $1,000 + ($1,000 × 2.30%) = $1,000 + $23
= $1,023
|
| |
In this example, the payment at maturity is $1,023
per $1,000 principal amount of Notes, for a return of 2.30%.
Because the Final Underlier Value is greater than
the Initial Underlier Value, investors receive a return equal to 115% of the Underlier Return, subject to the Maximum Return of 31.50%.
|
| P-4 | RBC Capital Markets, LLC |
| | |
| | Capped Enhanced Return Buffer Notes Linked to the SPDR® Gold Trust |
| |
|
| Example 2 — |
The value of the Underlier increases from the Initial Underlier Value to the Final Underlier Value by 40%, resulting in a return equal to the Maximum Return. |
| |
Underlier Return: |
40% |
| |
Payment at Maturity: |
$1,000 + ($1,000 × the lesser of (a) 40%
× 115% and (b) 31.50%)
= $1,000 + ($1,000 × the lesser of (a) 46%
and (b) 31.50%)
= $1,000 + ($1,000 × 31.50%) = $1,000 + $315
= $1,315
|
| |
In this example, the payment at maturity is $1,315
per $1,000 principal amount of Notes, for a return of 31.50%, which is the Maximum Return.
This example illustrates that investors will not
receive a return at maturity in excess of the Maximum Return. Accordingly, the return on the Notes may be less than the return of the
Underlier.
|
| |
|
| Example 3 — |
The value of the Underlier decreases from the Initial Underlier Value to the Final Underlier Value by 3.50% (i.e., the Final Underlier Value is below the Initial Underlier Value but above the Buffer Value). |
| |
Underlier Return: |
-3.50% |
| |
Payment at Maturity: |
$1,000 |
| |
In this example, the payment at maturity is $1,000
per $1,000 principal amount of Notes, for a return of 0%.
Because the Final Underlier Value is greater than
the Buffer Value, investors receive a full return of the principal amount of their Notes.
|
| |
|
| Example 4 — |
The value of the Underlier decreases from the Initial Underlier Value to the Final Underlier Value by 50% (i.e., the Final Underlier Value is below the Buffer Value). |
| |
Underlier Return: |
-50% |
| |
Payment at Maturity: |
$1,000 + [$1,000 × (-50% + 7%)] = $1,000 – $430 = $570 |
| |
In this example, the payment at maturity is $570
per $1,000 principal amount of Notes, representing a loss of 43% of the principal amount.
Because the Final Underlier Value is less than
the Buffer Value, investors do not receive a full return of the principal amount of their Notes.
|
Investors in the Notes could lose some or
a substantial portion of the principal amount of their Notes at maturity.
| P-5 | RBC Capital Markets, LLC |
| | |
| | Capped Enhanced Return Buffer Notes Linked to the SPDR® Gold Trust |
SELECTED RISK CONSIDERATIONS
An investment in the Notes involves significant
risks. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes. Some of the risks
that apply to an investment in the Notes are summarized below, but we urge you to read also the “Risk Factors” sections of
the accompanying prospectus, prospectus supplement and product supplement. You should not purchase the Notes unless you understand and
can bear the risks of investing in the Notes.
Risks Relating to the Terms and Structure of
the Notes
| · | You May Lose a Substantial Portion of the Principal
Amount at Maturity — If the Final Underlier Value is less than the Buffer Value, you will lose 1% of the principal amount of
your Notes for each 1% that the Final Underlier Value is less than the Initial Underlier Value in excess of the Buffer Percentage. You
could lose some or a substantial portion of your principal amount at maturity. |
| · | Your Potential Return at Maturity Is Limited
— Your return on the Notes will not exceed the Maximum Return, regardless of any appreciation in the value of the Underlier, which
may be significant. 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 Underlier. |
| · | The Notes Do Not Pay Interest, and Your Return
on the Notes 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. |
| · | Payments on the Notes Are Subject to Our Credit
Risk, and Market Perceptions about Our Creditworthiness May Adversely Affect the Market Value of the Notes — The Notes are our
senior unsecured debt securities, and your receipt of any amounts due on the Notes is dependent upon our ability to pay our obligations
as they come due. If we were to default on our payment obligations, you may not receive any amounts owed to you under the Notes and you
could lose your entire investment. In addition, any negative changes in market perceptions about our creditworthiness may adversely affect
the market value of the Notes. |
| · | Any Payment on the Notes Will Be Determined
Based on the Closing Values of the Underlier on the Dates Specified — Any payment on the Notes will be determined based on the
closing values of the Underlier on the dates specified. You will not benefit from any more favorable value of the Underlier determined
at any other time. |
| · | The U.S. Federal Income Tax Consequences of
an Investment in the Notes Are Uncertain — There is no direct legal authority regarding the proper U.S. federal income tax treatment
of the Notes, and significant aspects of the tax treatment of the Notes are uncertain. Moreover, the Notes may be subject to the “constructive
ownership” regime, in which case certain adverse tax consequences may apply upon your disposition of a Note. You should review carefully
the section entitled “United States Federal Income Tax Considerations” herein, in combination with the section entitled “United
States Federal Income Tax Considerations” in the accompanying product supplement, and consult your tax adviser regarding the U.S.
federal income tax consequences of an investment in the Notes. |
Risks Relating to the Initial Estimated Value
of the Notes and the Secondary Market for the Notes
| · | 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 and, if they choose to do so, may stop any market-making activities at any time. Because other dealers
are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on
the price, if any, at which RBCCM or any of our other affiliates is willing to buy the Notes. Even if a secondary |
| P-6 | RBC Capital Markets, LLC |
| | |
| | Capped Enhanced Return Buffer Notes Linked to the SPDR® Gold Trust |
market for the Notes develops, it may
not provide enough liquidity to allow you to easily trade or sell the Notes. 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. If
you sell your Notes before maturity, you may have to do so at a substantial discount from the price that you paid for them, and as a result,
you may suffer significant losses. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and
willing to hold your Notes to maturity.
| · | The Initial Estimated Value of the Notes Will
Be Less Than the Public Offering Price — The initial estimated value of the Notes will be less than the public offering price
of the Notes and does not represent a minimum price at which we, RBCCM or any of our other 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 Underlier, the internal funding rate we pay to issue securities of this kind (which is lower than the rate at which we borrow funds
by issuing conventional fixed rate debt) and the inclusion in the public offering price of our estimated profit 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 our estimated profit or the hedging costs relating to the Notes. In addition, any price at which you may sell the
Notes is likely to reflect customary bid-ask spreads for similar trades. In addition to bid-ask spreads, the value of the Notes determined
for any secondary market price is expected to be based on a secondary market rate rather than the internal funding rate used to price
the Notes and determine the initial estimated value. As a result, the secondary market price will be less than if the internal funding
rate were used. |
| · | The Initial Estimated Value of the Notes Is
Only an Estimate, Calculated as of the Trade Date — 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 internal funding rate (which represents a discount
from 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. |
The value of the Notes at any time after
the Trade Date will vary based on many factors, including changes in market conditions, and cannot be predicted with accuracy. As a result,
the actual value you would receive if you sold the Notes in any secondary market, if any, should be expected to differ materially from
the initial estimated value of the Notes.
Risks Relating to Conflicts of Interest and
Our Trading Activities
| · | Our and Our Affiliates’ Business and
Trading Activities May Create Conflicts of Interest — You should make your own independent investigation of the merits of investing
in the Notes. Our and our affiliates’ economic interests are potentially adverse to your interests as an investor in the Notes due
to our and our affiliates’ business and trading activities, and we and our affiliates have no obligation to consider your interests
in taking any actions that might affect the value of the Notes. Trading by us and our affiliates may adversely affect the value of the
Underlier and the market value of the Notes. See “Risk Factors—Risks Relating to Conflicts of Interest” in the accompanying
product supplement. |
| · | RBCCM’s Role as Calculation Agent May
Create Conflicts of Interest — As Calculation Agent, our affiliate, RBCCM, will determine any values of the Underlier and make
any other determinations necessary to calculate any payments on the Notes. In making these determinations, the Calculation Agent may be
required to make discretionary judgments, including those described under “—Risks Relating to the Underlier” below.
In making these discretionary judgments, the economic interests of the Calculation Agent are potentially adverse to your interests as
an investor in the Notes, and any of these determinations may adversely affect any payments on the Notes. The Calculation Agent will have
no obligation to consider your interests as an investor in the Notes in making any determinations with respect to the Notes. |
| P-7 | RBC Capital Markets, LLC |
| | |
| | Capped Enhanced Return Buffer Notes Linked to the SPDR® Gold Trust |
Risks Relating to the Underlier
| · | You Will Not Have Any Rights to the Underlier
or the Gold Held by the Underlier — As an investor in the Notes, you will not have voting rights or rights to receive dividends
or other distributions or any other rights with respect to the Underlier or the gold held by the Underlier. |
| · | Investing in the Notes Linked to the Underlier
Is Not the Same as Investing Directly in Gold — The performance of the Underlier will not exactly replicate the performance
of gold. The Underlier is subject to management risk, which is the risk that the investment strategy for the Underlier, the implementation
of which is subject to a number of constraints, may not produce the intended results. The Underlier does not generate any income, and
because it regularly sells gold to pay for its ongoing expenses, the amount of gold represented by each share of the Underlier will gradually
decline over time. Additionally, there is a risk that part or all of the Underlier’s holding in gold could be lost, damaged or stolen,
and access to gold could be restricted due to war, terrorism, theft, natural disaster or otherwise. In addition, because the shares of
the Underlier are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share
of the Underlier may differ from the net asset value per share of the Underlier. |
The performance of the Underlier may
diverge significantly from the performance of gold due to differences in trading hours between the Underlier and gold or other circumstances.
During periods of market volatility, gold may be unavailable in the secondary market, market participants may be unable to calculate accurately
the intraday net asset value per share of the Underlier and the liquidity of the Underlier may be adversely affected. This kind of market
volatility may also disrupt the ability of market participants to create and redeem shares in the Underlier. Further, market volatility
may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Underlier.
As a result, under these circumstances, the market value of the Underlier may vary substantially from the net asset value per share. For
all of the foregoing reasons, the performance of the Underlier may not correlate with gold as well as its net asset value per share of
the Underlier.
| · | The Notes Are Subject to Risks Associated With
Gold — The investment objective of the Underlier is to reflect the performance of the price of gold bullion, less the expenses
of the Underlier’s operations. The market for gold bullion is global, and gold prices are subject to volatile price movements over
short periods of time and are affected by numerous factors, including global demand for and supply of gold and macroeconomic factors,
such as the structure of and confidence in the global monetary system, expectations regarding the future rate of inflation, the relative
strength of, and confidence in, the U.S. dollar (the currency in which the price of gold is usually quoted), interest rates, gold borrowing
and lending rates and global or regional economic, financial, political, regulatory, judicial or other events. Gold prices may be affected
by industry factors, such as industrial and jewelry demand as well as lending, sales and purchases of gold by the official sector, including
central banks and other governmental agencies and multilateral institutions that hold gold. Additionally, gold prices may be affected
by levels of gold production, production costs and short-term changes in supply and demand due to trading activities in the gold market.
From time to time, above-ground inventories of gold may also influence the market. Gold prices may also be affected by any gold pricing
or auction methodologies used widely by the market, which methodologies may change from time to time. It is not possible to predict the
aggregate effect of all or any combination of these factors. The price of gold has recently been, and may continue to be, extremely volatile. |
| · | Any Payment on the Notes May Be Postponed and
Adversely Affected by the Occurrence of a Market Disruption Event — The timing and amount of any payment on the Notes is subject
to adjustment upon the occurrence of a market disruption event affecting the Underlier. If a market disruption event persists for a sustained
period, the Calculation Agent may make a discretionary determination of the closing value of the Underlier. See “General Terms of
the Notes—Reference Stocks and Funds—Market Disruption Events,” “General Terms of the Notes—Postponement
of a Determination Date” and “General Terms of the Notes—Postponement of a Payment Date” in the accompanying product
supplement. |
| · | Adjustments to the Underlier Could Adversely
Affect Any Payments on the Notes — The investment adviser of the Underlier make changes to its investment strategy at any time.
This could adversely affect the value of the Underlier and, consequently, the value of the Notes. |
| P-8 | RBC Capital Markets, LLC |
| | |
| | Capped Enhanced Return Buffer Notes Linked to the SPDR® Gold Trust |
| · | Anti-dilution Protection Is Limited, and the
Calculation Agent Has Discretion to Make Anti-dilution Adjustments — The Calculation Agent may in its sole discretion make adjustments
affecting any amounts payable on the Notes upon the occurrence of certain events with respect to the Underlier that the Calculation Agent
determines have a diluting or concentrative effect on the theoretical value of the Underlier. However, the Calculation Agent might not
make adjustments in response to all such events that could affect the Underlier. The occurrence of any such event and any adjustment made
by the Calculation Agent (or a determination by the Calculation Agent not to make any adjustment) may adversely affect the market price
of, and any amounts payable on, the Notes. See “General Terms of the Notes—Reference Stocks and Funds—Anti-dilution
Adjustments” in the accompanying product supplement. |
| · | Reorganization or Other Events Could Adversely
Affect the Value of the Notes or Result in the Notes Being Accelerated — If the Underlier is delisted or terminated, the Calculation
Agent may select a successor fund. In addition, upon the occurrence of certain reorganization or other events affecting the Underlier,
the Calculation Agent may make adjustments that result in payments on the Notes being based on the performance of (i) cash, securities
of another issuer and/or other property distributed to holders of the Underlier upon the occurrence of that event or (ii) in the case
of a reorganization event in which only cash is distributed to holders of the Underlier, a substitute security, if the Calculation Agent
elects to select one. Any of these actions could adversely affect the value of the Underlier and, consequently, the value of the Notes.
Alternatively, the Calculation Agent may accelerate the Maturity Date for a payment determined by the Calculation Agent. Any amount payable
upon acceleration could be significantly less than any amount that would be due on the Notes if they were not accelerated. However, if
the Calculation Agent elects not to accelerate the Notes, the value of, and any amount payable on, the Notes could be adversely affected,
perhaps significantly. See “General Terms of the Notes—Reference Stocks and Funds—Anti-dilution Adjustments—Reorganization
Events” and “General Terms of the Notes—Reference Stocks and Funds—Discontinuation of, or Adjustments to, a Fund”
in the accompanying product supplement. |
| P-9 | RBC Capital Markets, LLC |
| | |
| | Capped Enhanced Return Buffer Notes Linked to the SPDR® Gold Trust |
INFORMATION REGARDING THE UNDERLIER
According to publicly available information, the
Underlier is an investment trust sponsored by World Gold Trust Services, LLC, whose investment objective is to reflect the performance
of the price of gold bullion, less expenses. The Underlier holds gold bars and from time to time, issues blocks of shares in exchange
for deposits of gold and distributes gold in connection with the redemption of blocks of shares. For more information about the Underlier,
see “Exchange-Traded Funds—The SPDR® Gold Trust” in the accompanying underlying supplement.
Historical Information
The following graph sets forth historical closing
values of the Underlier for the period from January 1, 2014 to November 18, 2024. The red line represents the Buffer Value. We obtained
the information in the graph from Bloomberg Financial Markets, without independent investigation. We cannot give you assurance that
the performance of the Underlier will result in the return of all of your initial investment.
SPDR® Gold Trust
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
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UNITED STATES FEDERAL INCOME
TAX CONSIDERATIONS
You should review carefully the section in the
accompanying product supplement entitled “United States Federal Income Tax Considerations.” The following discussion, when
read in combination with that section, constitutes the full opinion of our counsel, Davis Polk & Wardwell LLP, regarding the material
U.S. federal income tax consequences of owning and disposing of the Notes.
Generally, this discussion assumes that you purchased
the Notes for cash in the original issuance at the stated issue price and does not address other circumstances specific to you, including
consequences that may arise due to any other investments relating to the Underlier. You should consult your tax adviser regarding the
effect any such circumstances may have on the U.S. federal income tax consequences of your ownership of a Note.
In the opinion of our counsel, which is based on
current market conditions, it is reasonable to treat the Notes for U.S. federal income tax purposes as prepaid financial contracts that
are “open transactions,” as described in the section entitled “United States Federal Income Tax Considerations—Tax
Consequences to U.S. Holders—Notes Treated as Prepaid Financial Contracts that are Open Transactions” in the accompanying
product supplement. There is uncertainty regarding this treatment, and the Internal Revenue Service (the “IRS”) or a court
might not agree with it. Moreover, because this treatment of the Notes and our counsel’s opinion are based on market conditions
as of the date of this preliminary pricing supplement, each is subject to confirmation on the Trade Date. A different tax treatment could
be adverse to you. Generally, if this treatment is respected, subject to the potential application of the “constructive ownership”
regime discussed below, (i) you should not recognize taxable income or loss prior to the taxable disposition of your Notes (including
upon maturity or an earlier redemption, if applicable) and (ii) the gain or loss on your Notes should be treated as short-term capital
gain or loss unless you have held the Notes for more than one year, in which case your gain or loss should be treated as long-term capital
gain or loss.
Even if the treatment of the Notes as prepaid financial
contracts is respected, purchasing a Note could be treated as entering into a “constructive ownership transaction” within
the meaning of Section 1260 of the Internal Revenue Code (“Section 1260”). In that case, all or a portion of any long-term
capital gain you would otherwise recognize upon the taxable disposition of the Note would be recharacterized as ordinary income to the
extent such gain exceeded the “net underlying long-term capital gain” as defined in Section 1260. Any long-term capital gain
recharacterized as ordinary income would be treated as accruing at a constant rate over the period you held the Note, and you would be
subject to a notional interest charge in respect of the deemed tax liability on the income treated as accruing in prior tax years. In
addition, long-term capital gain that you would otherwise recognize in respect of your Notes up to the amount of the “net underlying
long-term capital gain” could, if you are an individual or other non-corporate investor, be subject to tax at the higher rates applicable
to “collectibles” instead of the general rates that apply to long-term capital gain. Due to the lack of direct legal authority,
our counsel is unable to opine as to whether or how Section 1260 applies to the Notes.
We do not plan to request a ruling from the IRS
regarding the treatment of the Notes. An alternative characterization of the Notes could materially and adversely affect the tax consequences
of ownership and disposition of the Notes, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the Notes, possibly with retroactive effect.
Non-U.S. Holders. As discussed under “United
States Federal Income Tax Considerations—Tax Consequences to Non-U.S. Holders—Dividend Equivalents under Section 871(m) of
the Code” in the accompanying product supplement, Section 871(m) of the Internal Revenue Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. The Treasury regulations,
as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2027 that do not have a “delta” of one.
Based on certain determinations made by us, we expect that Section 871(m) will not apply to the Notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. If necessary, further
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| | Capped Enhanced Return Buffer Notes Linked to the SPDR® Gold Trust |
information regarding the potential application
of Section 871(m) will be provided in the final pricing supplement for the Notes.
We will not be required to pay any additional amounts
with respect to U.S. federal withholding taxes.
You should consult your tax adviser regarding the
U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and the potential application
of the “constructive ownership” regime, as well as tax consequences arising under the laws of any state, local or non-U.S.
taxing jurisdiction.
SUPPLEMENTAL PLAN OF DISTRIBUTION
(CONFLICTS OF INTEREST)
The Notes are offered initially to investors at
a purchase price equal to par.
The value of the Notes shown on your account statement
may be based on RBCCM’s estimate of the value of the Notes if RBCCM or another of our affiliates were to make a market in the Notes
(which it is not obligated to do). That estimate will be based on the price that RBCCM may pay for the Notes in light of then-prevailing
market conditions, our creditworthiness and transaction costs. For a period of approximately three months after the Issue Date, the value
of the Notes that may be shown on your account statement may be higher than RBCCM’s estimated value of the Notes at that time. This
is because the estimated value of the Notes will not include our hedging costs and profits; however, the value of the Notes shown on your
account statement during that period may initially be a higher amount, reflecting the addition of our estimated costs and profits from
hedging the Notes. This excess is expected to decrease over time until the end of this period. After this period, if RBCCM repurchases
your Notes, it expects to do so at prices that reflect their estimated value.
RBCCM or another of its affiliates or agents may
use this pricing supplement in the initial sale of the Notes. In addition, RBCCM or another of our affiliates may use this pricing supplement
in a market-making transaction in the Notes after their initial sale. Unless we or our agent informs the purchaser otherwise in
the confirmation of sale, this pricing supplement is being used in a market-making transaction.
For additional information about the settlement
cycle of the Notes, see “Plan of Distribution” in the accompanying prospectus. For additional information as to the relationship
between us and RBCCM, see the section “Plan of Distribution—Conflicts of Interest” in the accompanying prospectus.
STRUCTURING THE NOTES
The Notes are our debt securities. As is the case
for all of our debt securities, including our structured notes, the economic terms of the Notes reflect our actual or perceived creditworthiness.
In addition, because structured notes result in increased operational, funding and liability management costs to us, we typically borrow
the funds under structured notes at a rate that is lower than the rate that we might pay for a conventional fixed or floating rate debt
security of comparable maturity. The lower internal funding rate and the hedging-related costs relating to the Notes reduce the economic
terms of the Notes to you and result in the initial estimated value for the Notes being less than their public offering price. Unlike
the initial estimated value, any value of the Notes determined for purposes of a secondary market transaction may be based on a secondary
market rate, which may result in a lower value for the Notes than if our initial internal funding rate were used.
In order to satisfy our payment obligations under
the Notes, we may choose to enter into certain hedging arrangements (which may include call options, put options or other derivatives)
with RBCCM and/or one of our other subsidiaries. The terms of these hedging arrangements take into account a number of factors, including
our creditworthiness, interest rate movements, volatility and the tenor of the Notes. The economic terms of the Notes and the initial
estimated value depend in part on the terms of these hedging arrangements.
See “Selected Risk Considerations—Risks
Relating to the Initial Estimated Value of the Notes and the Secondary Market for the Notes—The Initial Estimated Value of the Notes
Will Be Less Than the Public Offering Price” above.
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