| Preliminary Pricing Supplement dated May , 2024 |
Subject to Completion
Dated May 23, 2024 |
Registration Statement No. 333-275898
Filed Pursuant to Rule 424(b)(2) |
Royal Bank of Canada Trigger In-Digital Securities
$• Securities Linked to the S&P 500® Index due
on or about June 25, 2025
The Trigger In-Digital Securities (the “Securities”) are
senior unsecured debt securities issued by Royal Bank of Canada linked to the performance of the S&P 500® Index (the
“Underlying”). If the Final Underlying Value is greater than or equal to the Digital Barrier (which is equal to the Downside
Threshold), we will repay the principal amount at maturity plus pay a return equal to the Digital Return. The Digital Return will be set
on the Trade Date and will be at least 7.00%. If the Final Underlying Value is less than the Downside Threshold, we will pay less than
the full principal amount at maturity, if anything, resulting in a loss of principal amount that is proportionate to the negative Underlying
Return, and you will lose up to 100% of the principal amount. Investing in the Securities involves significant risks. The Securities
do not pay dividends or interest. You will lose a significant portion or all of your principal amount if the Final Underlying Value is
less than the Downside Threshold. The Digital Return and the contingent repayment of principal apply only
at maturity. Any payment on the Securities, including any repayment of principal, is subject to our creditworthiness. If we default on
our payment obligations, you may not receive any amounts owed to you under the Securities and you could lose your entire investment. The
Securities will not be listed on any securities exchange.
| Features |
|
Key Dates |
|
q Digital
Return Feature — At maturity, if the Final Underlying Value is greater than or equal to the Digital Barrier (which is equal
to the Downside Threshold), we will pay you the principal amount plus a return equal to the Digital Return.
q Contingent
Repayment of Principal at Maturity — If the Final Underlying Value is less than the Initial Underlying Value but is greater
than or equal to the Digital Barrier, we will pay you the principal amount plus a return equal to the Digital Return. However, if the
Final Underlying Value is less than the Downside Threshold, we will pay less than the full principal amount at maturity, if anything,
resulting in a loss of principal amount that is proportionate to the negative Underlying Return. Accordingly, you may lose a significant
portion or all of the principal amount of the Securities. Any payment on the Securities, including any repayment of principal, is subject
to our creditworthiness. |
|
Trade Date |
May 23, 2024 |
| Settlement Date |
May 29, 2024 |
| Final Valuation Date1 |
June 20, 2025 |
|
Maturity Date1 |
June 25, 2025 |
| 1 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. |
NOTICE TO INVESTORS: THE SECURITIES ARE SIGNIFICANTLY RISKIER THAN
CONVENTIONAL DEBT INSTRUMENTS. WE ARE NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE SECURITIES
CAN HAVE THE FULL DOWNSIDE MARKET RISK OF THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING OUR
DEBT OBLIGATIONS. YOU SHOULD NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED
IN INVESTING IN THE SECURITIES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY
RISKS” BEGINNING ON PAGE 5 OF THIS PRICING SUPPLEMENT AND UNDER “RISK FACTORS” IN THE ACCOMPANYING PROSPECTUS, PROSPECTUS
SUPPLEMENT AND PRODUCT SUPPLEMENT BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES,
COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES. YOU COULD LOSE A SIGNIFICANT PORTION OR ALL OF THE PRINCIPAL
AMOUNT OF YOUR SECURITIES.
We are offering Trigger In-Digital Securities Linked to the S&P
500® Index. The Securities will be issued in minimum denominations of $10, and integral multiples of $10 in excess thereof,
with a minimum investment of $1,000. The return on the Securities is subject to, and will not exceed,
the Digital Return. The Initial Underlying Value, Digital Barrier and Downside Threshold will be determined and the Digital Return will
be set on the Trade Date.
| Underlying |
Digital Return |
Initial Underlying Value* |
Digital Barrier** |
Downside Threshold** |
CUSIP / ISIN |
| S&P 500® Index (SPX) |
At least 7.00% |
• |
75% of the Initial Underlying Value |
75% of the Initial Underlying Value |
78016U135 / US78016U1354 |
*The closing value of the Underlying on the Trade Date
** Rounded to two decimal places
See “Additional Information
about Royal Bank of Canada and the Securities” in this pricing supplement. The Securities will have the terms specified in the prospectus
dated December 20, 2023, the prospectus supplement dated December 20, 2023, the underlying supplement no. 1A dated May 16, 2024, the product
supplement no. 1A dated May 16, 2024 and this pricing 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 Securities or passed upon the adequacy
or accuracy of this pricing supplement. Any representation to the contrary is a criminal offense. The Securities 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 Securities 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.
| |
Price to Public |
Fees and Commissions(1) |
Proceeds to Us |
| Offering of the Securities |
Total |
Per Security |
Total |
Per Security |
Total |
Per Security |
| Securities Linked to the S&P 500® Index |
• |
$10.00 |
• |
$0.10 |
• |
$9.90 |
(1) UBS Financial Services Inc., which we refer to as UBS,
will receive a commission that will depend on market conditions on the Trade Date. In no event will that commission exceed $0.10 per Security.
See “Supplemental Plan of Distribution (Conflicts of Interest)” below.
The initial estimated value of the Securities determined by us as of
the Trade Date, which we refer to as the initial estimated value, is expected to be between $9.36
and $9.86 per Security and will be less than the public offering price of the Securities. The final pricing supplement relating
to the Securities will set forth the initial estimated value. The market value of the Securities 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.
| UBS Financial Services Inc. |
RBC Capital Markets, LLC |
| Additional Information about Royal Bank of Canada and the
Securities |
You may revoke your offer to purchase the Securities at any time prior
to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any
offer to purchase, the Securities prior to their issuance. In the event of any changes to the terms of the Securities, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
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 Securities 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 Securities 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 Securities 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 “Key Risks” in this pricing supplement and “Risk Factors” in the documents listed below, as the Securities
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 Securities.
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):
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.
| Selected Purchase Considerations |
|
The Securities may be appropriate for you if, among other considerations:
¨ You
fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You
can tolerate the loss of a significant portion or all of the principal amount of the Securities and are willing to make an investment
that may have the full downside market risk of the Underlying.
¨ You
believe that the value of the Underlying will not decline below the Digital Barrier and Downside Threshold from the Initial Underlying
Value to the Final Underlying Value.
¨ You
understand and accept that any positive return on the Securities will be limited to the Digital Return.
¨ You
are willing to invest in the Securities based on the minimum Digital Return set forth on the cover page of this pricing supplement. (The
actual Digital Return will be set on the Trade Date.)
¨ You
do not seek current income from your investment and are willing to forgo the dividends paid on the securities composing the Underlying.
¨ You
can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the value of the Underlying.
¨ You
fully understand and accept the risks associated with the Underlying.
¨ You
are willing to hold the Securities to maturity, and accept that there may be little or no secondary market for the Securities.
¨ You
are willing to assume our credit risk for all payments under the Securities, and understand that if we default on our obligations, you
may not receive any amounts due to you, including any repayment of principal. |
|
The Securities may not be appropriate for you if, among
other considerations:
¨ You
do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You
cannot tolerate the loss of a significant portion or all of the principal amount of the Securities, and you are not willing to make an
investment that may have the full downside market risk of the Underlying.
¨ You
believe that the value of the Underlying will decline below the Digital Barrier and Downside Threshold from the Initial Underlying Value
to the Final Underlying Value.
¨ You
do not seek an investment that has a potential positive return that is limited to the Digital Return.
¨ You
are unwilling to invest in the Securities based on the minimum Digital Return set forth on the cover page of this pricing supplement.
(The actual Digital Return will be set on the Trade Date.)
¨ You
seek current income from your investment or prefer to receive the dividends paid on the securities composing the Underlying.
¨ You
cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the value of the Underlying.
¨ You
do not fully understand or accept the risks associated with the Underlying.
¨ You
are unable or unwilling to hold the Securities to maturity, or you seek an investment for which there will be an active secondary market.
¨ You
are not willing to assume our credit risk for all payments under the Securities, including any repayment of principal. |
The considerations identified above are not exhaustive. Whether or
not the Securities are an appropriate investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting, and other advisers have carefully considered the appropriateness
of an investment in the Securities in light of your particular circumstances. You should also review carefully the “Key Risks”
in this pricing supplement and “Risk Factors” in the accompanying prospectus, prospectus supplement and product supplement
for risks related to an investment in the Securities. For more information about the Underlying, see “Information about the Underlying”
below.
| Indicative Terms of the Securities1 |
| Issuer: |
Royal Bank of Canada |
| Principal Amount: |
$10 per Security (subject to minimum investment of 100 Securities) |
| Term: |
Approximately 56 weeks |
| Underlying: |
S&P 500® Index |
| Payment at Maturity: |
If the Final Underlying Value is greater than or equal to the Digital
Barrier (which is equal to the Downside Threshold), we will pay you at maturity an amount per Security equal to:
$10 + ($10 × Digital Return)
If the Final Underlying Value is less than the Downside Threshold,
we will pay you at maturity an amount per Security equal to:
$10 + ($10 × Underlying Return)
In this scenario, you will lose a significant portion or all
of the principal amount of the Securities in an amount proportionate to the negative Underlying Return. |
| Digital Return: |
At least 7.00% |
| Underlying Return: |
Final Underlying Value – Initial Underlying Value
Initial Underlying Value |
| Digital Barrier: |
A percentage of the Initial Underlying Value, as specified on the cover of this pricing supplement |
| Downside Threshold: |
A percentage of the Initial Underlying Value, as specified on the cover of this pricing supplement |
| Initial Underlying Value: |
The closing value of the Underlying on the Trade Date |
| Final Underlying Value: |
The closing value of the Underlying on the Final Valuation Date |
| Calculation Agent: |
RBC Capital Markets, LLC (“RBCCM”) |
| Investment Timeline |
| Trade Date: |
The Initial Underlying Value, Digital Barrier and Downside Threshold are determined and the Digital Return is set. |
 |
|
| Maturity Date: |
The Final Underlying Value is observed and the Underlying Return is
determined on the Final Valuation Date.
If the Final Underlying Value is greater than or equal to the Digital
Barrier (which is equal to the Downside Threshold), we will pay you at maturity an amount per Security equal to:
$10 + ($10 × Digital Return)
If the Final Underlying Value is less than the Downside Threshold,
we will pay you at maturity an amount per Security equal to:
$10 + ($10 × Underlying Return)
In this scenario, you will lose a significant portion or all
of the principal amount of the Securities in an amount proportionate to the negative Underlying Return. |
|
Investing in the Securities involves significant risks. The
Securities do not pay dividends or interest. You will lose a significant portion or all of your principal amount if the Final Underlying
Value is less than the Downside Threshold. The Digital Return and the contingent repayment of principal apply only at maturity. Any payment
on the Securities, including any repayment of principal, is subject to our creditworthiness. If we default on our payment obligations,
you may not receive any amounts owed to you under the Securities and you could lose your entire investment. |
1 Terms used in this pricing supplement, but not defined
herein, shall have the meanings ascribed to them in the accompanying product supplement.
An investment in the Securities involves significant risks. We urge
you to consult your investment, legal, tax, accounting and other advisers before you invest in the Securities. Some of the risks that
apply to an investment in the Securities 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 Securities unless you understand
and can bear the risks of investing in the Securities.
Risks Relating to the Terms and Structure of the Securities
| ¨ | Your Investment in the Securities May Result in a Loss of Principal — The Securities differ
from ordinary debt securities in that we are not necessarily obligated to repay the full principal amount of the Securities at maturity.
The return on the Securities at maturity is linked to the performance of the Underlying and will depend on whether, and the extent to
which, the Underlying Return is positive or negative. If the Final Underlying Value is less than the Downside Threshold, you
will be exposed to the negative Underlying Return, and we will pay you less than your principal amount at maturity, if anything, resulting
in a loss of principal of your Securities that is proportionate to the percentage decline in the Underlying. Accordingly,
you could lose a significant portion or all of the principal amount of the Securities. |
| ¨ | Payments on the Securities Are Subject to Our Credit Risk, and Market Perceptions
about Our Creditworthiness May Adversely Affect the Market Value of the Securities — The Securities are our senior unsecured
debt securities, and your receipt of any amounts due on the Securities 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 Securities 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 Securities. |
| ¨ | Your Maximum Return on the Securities Is Limited by the Digital Return — If the Final Underlying
Value is greater than or equal to the Digital Barrier, for each Security, we will pay you at maturity $10 plus an additional return equal
to the Digital Return, regardless of the appreciation of the Underlying, which may be significant. Therefore, you will not benefit from
any appreciation of the Underlying. Your return on the Securities may be less than the return on a direct investment in the Underlying
or its underlying components. |
| ¨ | The Digital Return Applies Only If You Hold the Securities to Maturity — The Digital Return
applies only at maturity. If you are able to sell your Securities prior to maturity in the secondary market, the price you receive will
likely not reflect the full effect of the Digital Return and you may have to sell them at a loss relative to your initial investment,
even if the value of the Underlying is greater than the Digital Barrier and Downside Threshold. |
| ¨ | The Probability That the Underlying Will Fall Below the
Downside Threshold on the Final Valuation Date Will Depend on the Volatility of the Underlying —
Volatility is a measure of the degree of variation in the value of the Underlying over a period of time. Greater expected volatility with
respect to the Underlying reflects a higher expectation as of the Trade Date that the Underlying could close below the Downside Threshold
on the Final Valuation Date, resulting in the loss of a significant portion or all of your investment. However, the Underlying’s
volatility can change significantly over the term of the Securities. The value of the Underlying could fall sharply, which could result
in a significant loss of principal. |
| ¨ | The Securities Do Not Pay Interest, and Your Return on the Securities May
Be Lower Than the Return on a Conventional Debt Security of Comparable Maturity — There will be no periodic interest
payments on the Securities 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 Securities, 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. |
| ¨ | Any Payment on the Securities Will Be Determined Based on the Closing Values
of the Underlying on the Dates Specified — Any payment on the Securities will be determined based on the closing values
of the Underlying on the dates specified. You will not benefit from any more favorable value of the Underlying determined at any other
time. |
| ¨ | The Securities Will Be Subject to Risks, Including
Non-Payment in Full, under Canadian Bank Resolution Powers — Under Canadian bank
resolution powers, the Canada Deposit Insurance Corporation (“CDIC”) may, in circumstances where we have ceased, or are about
to cease, to be viable, assume temporary control or ownership over us and may be granted broad powers by one or more orders of the Governor
in Council (Canada), including the power to sell or dispose of all or a part of our assets, and the power to carry out or cause us to
carry out a transaction or a series of transactions the purpose of which is to restructure our business. See “Description of Debt
Securities — Canadian Bank Resolution Powers” in the accompanying prospectus for a description of the Canadian bank resolution
powers. If the CDIC were to take action under the Canadian bank resolution powers with respect to us, holders of the Securities could
be exposed to losses. |
| ¨ | The U.S. Federal Income Tax Consequences of an Investment in the Securities
Are Uncertain — There is no direct legal authority regarding the proper U.S. federal income tax treatment of the Securities,
and significant aspects of the tax treatment of the Securities are uncertain. You should review carefully the section entitled “What
Are the Tax Consequences of the Securities?—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 Securities. |
Risks Relating to the Initial Estimated Value of the Securities and
the Secondary Market for the Securities
| ¨ | There May Not Be an Active Trading Market for the Securities; Sales in the Secondary Market May Result
in Significant Losses — There may be little or no secondary market for the Securities. The Securities will not be listed on
any securities exchange. RBCCM and our other affiliates intend to make a market for the Securities; 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 Securities, the price at which you may be able to trade your Securities is likely to depend on the price, if
any, at which RBCCM or any of our other affiliates is willing to buy the Securities. Even if a secondary market for the Securities develops,
it may not provide enough liquidity to allow you to easily trade or sell the Securities. We expect that transaction costs in any secondary
market would be high. As a result, the difference between bid and ask prices for your Securities in any secondary market could be substantial.
If you sell your Securities 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 Securities are not designed to be short-term trading instruments. Accordingly, you
should be able and willing to hold your Securities to maturity. |
| ¨ | The Initial Estimated Value of the Securities
Will Be Less Than the Public Offering Price — The initial estimated value of the
Securities will be less than the public offering price of the Securities and does not represent a minimum price at which we, RBCCM or
any of our other affiliates would be willing to purchase the Securities in any secondary market (if any exists) at any time. If you attempt
to sell the Securities 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 Underlying, 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 the underwriting discount, our estimated profit and the estimated costs relating to our hedging of the Securities. These factors,
together with various credit, market and economic factors over the term of the Securities, are expected to reduce the price at which you
may be able to sell the Securities in any secondary market and will affect the value of the Securities 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 Securities
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, our estimated profit or the hedging costs relating to the Securities. In addition, any price at which you may sell the Securities
is likely to reflect customary bid-ask spreads for similar trades. In addition to bid-ask spreads, the value of the Securities 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 Securities 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 Securities Is Only an Estimate, Calculated
as of the Trade Date — The initial estimated value of the Securities is based on the value of our obligation to make
the payments on the Securities, together with the mid-market value of the derivative embedded in the terms of the Securities. See “Structuring
the Securities” 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 Securities.
These assumptions are based on certain forecasts about future events, which may prove to be incorrect. Other entities may value the Securities
or similar securities at a price that is significantly different than we do. |
The value of the Securities 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 Securities in any secondary market, if any, should be expected to differ
materially from the initial estimated value of the Securities.
| ¨ | The Terms of the Securities at Issuance and Their Market Value Prior to
Maturity Are Influenced by Many Unpredictable Factors — Many economic and market factors influence the terms of the Securities
at issuance and affect their value prior to maturity. These factors are similar in some ways to those that could affect the value of a
combination of instruments that might be used to replicate the payments on the Securities, including a combination of a bond with one
or more options or other derivative instruments. For the market value of the Securities, we expect that, generally, the value of the Underlying
on any day will affect the value of the Securities more than any other single factor. However, you should not expect the value of the
Securities in the secondary market to vary in proportion to changes in the value of the Underlying. The value of the Securities will be
affected by a number of other factors that may either offset or magnify each other, including: |
| ¨ | the value of the Underlying; |
| ¨ | the actual and expected volatility of the Underlying; |
| ¨ | the time remaining to maturity of the Securities; |
| ¨ | the dividend rates on the securities composing the Underlying; |
| ¨ | interest and yield rates in the market generally, as well as in the markets of the securities composing the Underlying; |
| ¨ | a variety of economic, financial, political, regulatory or judicial events; and |
| ¨ | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
Some or all of these factors influence
the terms of the Securities at issuance and affect the price you will receive if you choose to sell the Securities prior to maturity.
The impact of any of the factors set forth above may enhance or offset some or all of any change resulting from another factor or factors.
Risks Relating to Conflicts of Interest and Our Trading Activities
| ¨ | Our, Our Affiliates’ and UBS’s Business and Trading Activities
May Create Conflicts of Interest — You should make your own independent investigation of the merits of investing in the
Securities. Our, our affiliates’ and UBS’s economic interests are potentially adverse to your interests as an investor in
the Securities due to our, our affiliates’ and UBS’s business and trading activities, and we, our affiliates and UBS have
no obligation to consider your interests in taking any actions that might affect the value of the Securities. Trading by us, UBS and our
respective affiliates may adversely affect the value of the Underlying and the market value of the Securities. 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 Underlying and make any other determinations necessary
to calculate any payments on the Securities. In making these determinations, the Calculation Agent may be required to make discretionary
judgments, including those described under “— Risks Relating to the Underlying” below. In making these discretionary
judgments, the economic interests of the Calculation Agent are potentially adverse to your interests as an investor in the Securities,
and any of these determinations may adversely affect any payments on the Securities. The Calculation Agent will have no obligation to
consider your interests as an investor in the Securities in making any determinations with respect to the Securities. |
Risks Relating
to the Underlying
| ¨ | You Will Not Have Any Rights to the Securities Included in the Underlying
— As an investor in the Securities, you will not have voting rights or rights to receive dividends or other distributions or any
other rights with respect to the securities included in the Underlying. The Underlying is a price return index and its return does not
reflect regular cash dividends paid by its components. |
| ¨ | Any Payment on the Securities May Be Postponed and Adversely Affected by
the Occurrence of a Market Disruption Event — The timing and amount of any payment on the Securities is subject to adjustment
upon the occurrence of a market disruption event affecting the Underlying. If a market disruption event persists for a sustained period,
the Calculation Agent may make a determination of the closing value of the Underlying. See “General Terms of the Notes—Indices—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 Underlying Could Adversely Affect Any Payments on the
Securities — The sponsor of the Underlying may add, delete, substitute or adjust the securities composing the Underlying
or make other methodological changes to the Underlying that could affect its performance. The Calculation Agent will calculate the value
to be used as the closing value of the Underlying in the event of certain material changes in, or modifications to, the Underlying. In
addition, the sponsor of the Underlying may also discontinue or suspend calculation or publication of the Underlying at any time. Under
these circumstances, the Calculation Agent may select a successor index that the Calculation Agent determines to be comparable to the
Underlying or, if no successor index is available, the Calculation Agent will determine the value to be used as the closing value of the
Underlying. Any of these actions could adversely affect the value of the Underlying and, consequently, the value of the Securities. See
“General Terms of the Notes—Indices—Discontinuation of, or Adjustments to, an Index” in the accompanying product
supplement. |
| Hypothetical Examples
and Return Table at Maturity |
Hypothetical
terms only. Actual terms may vary. See the cover page for actual offering terms.
The table and hypothetical examples below illustrate the payment at
maturity per Security for a hypothetical range of Underlying Returns and assume a hypothetical Initial Underlying Value of 1,000.00, a
hypothetical Digital Barrier and Downside Threshold of 75% of the hypothetical Initial Underlying Value and a hypothetical Digital Return
of 7.00% (the minimum set forth above). The actual Initial Underlying Value, Digital Barrier and Downside Threshold will be determined
and the actual Digital Return will be set on the Trade Date. The table and examples set forth below are only for illustrative purposes
and may not show the actual return applicable to a purchaser of the Securities. The actual payment at maturity will be determined based
on the Final Underlying Value on the Final Valuation Date. You should consider carefully whether the Securities are appropriate for your
investment goals. The numbers appearing in the table below have been rounded for ease of analysis.
| Hypothetical Final Underlying Value |
Hypothetical Underlying Return |
Hypothetical Payment at Maturity ($) |
Hypothetical Total Return on Securities1 |
| 2,000.00 |
100.00% |
$10.700 |
7.00% |
| 1,750.00 |
75.00% |
$10.700 |
7.00% |
| 1,500.00 |
50.00% |
$10.700 |
7.00% |
| 1,400.00 |
40.00% |
$10.700 |
7.00% |
| 1,300.00 |
30.00% |
$10.700 |
7.00% |
| 1,200.00 |
20.00% |
$10.700 |
7.00% |
| 1,100.00 |
10.00% |
$10.700 |
7.00% |
| 1,070.00 |
7.00% |
$10.700 |
7.00% |
| 1,050.00 |
5.00% |
$10.700 |
7.00% |
| 1,020.00 |
2.00% |
$10.700 |
7.00% |
| 1,000.00 |
0.00% |
$10.700 |
7.00% |
| 950.00 |
-5.00% |
$10.700 |
7.00% |
| 900.00 |
-10.00% |
$10.700 |
7.00% |
| 850.00 |
-15.00% |
$10.700 |
7.00% |
| 800.00 |
-20.00% |
$10.700 |
7.00% |
| 750.00 |
-25.00% |
$10.700 |
7.00% |
| 749.90 |
-25.01% |
$7.499 |
-25.01% |
| 700.00 |
-30.00% |
$7.000 |
-30.00% |
| 600.00 |
-40.00% |
$6.000 |
-40.00% |
| 500.00 |
-50.00% |
$5.000 |
-50.00% |
| 400.00 |
-60.00% |
$4.000 |
-60.00% |
| 250.00 |
-75.00% |
$2.500 |
-75.00% |
| 0.00 |
-100.00% |
$0.000 |
-100.00% |
1 The “total return” is the number,
expressed as a percentage, that results from comparing the payment at maturity per Security to the principal amount of $10 per Security.
Example 1 —The value of the Underlying increases from the Initial
Underlying Value to the Final Underlying Value by 75%. Because the Final Underlying Value is greater than or equal to the Digital
Barrier, we will pay you an amount based upon the Digital Return. We will pay you at maturity a cash payment of $10.70 per Security (a
return of 7%), calculated as follows:
$10 + ($10 × 7%) = $10.70
In this case, the return on the Securities is less than the Underlying
Return.
Example 2 — The value of the Underlying decreases from the
Initial Underlying Value to the Final Underlying Value by 10%. Because the Final Underlying Value is greater than or equal to the
Digital Barrier, even though the Final Underlying Value is less than the Initial Underlying Value, we will pay you an amount based upon
the Digital Return. We will pay you at maturity a cash payment of $10.70 per Security (a return of 7%), calculated as follows:
$10 + ($10 × 7%) = $10.70
Example 3 — The value of the Underlying decreases from the
Initial Underlying Value to the Final Underlying Value by 50%. Because the Underlying Return is -50%, which is negative, and the Final
Underlying Value is less than the Downside Threshold, we will pay you at maturity a cash payment of $5.00 per Security (a 50% loss on
the principal amount), calculated as follows:
$10 + ($10 × -50%) = $10 – $5.00 = $5.00
| What Are the Tax Consequences of the Securities? |
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 Securities.
Generally, this discussion assumes that you purchased the Securities
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 Underlying. 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 Security.
In the opinion of our counsel, which is based on current market conditions,
it is reasonable to treat the Securities 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 Securities 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, (i) you should not recognize taxable income or loss prior to the taxable disposition of your Securities (including upon
maturity or an earlier redemption, if applicable) and (ii) the gain or loss on your Securities should be treated as short-term capital
gain or loss unless you have held the Securities for more than one year, in which case your gain or loss should be treated as long-term
capital gain or loss.
We do not plan to request a ruling from the IRS regarding the treatment
of the Securities. An alternative characterization of the Securities could materially and adversely affect the tax consequences of ownership
and disposition of the Securities, including the timing and character of income recognized. In particular, there is a risk that the Securities
could be characterized as debt instruments for U.S. federal income tax purposes, in which case the tax consequences of an investment in
the Securities could be different from those described herein and possibly adverse to certain investors. 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 Securities, 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 Securities 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 information regarding the potential
application of Section 871(m) will be provided in the final pricing supplement for the Securities.
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 Securities, including possible alternative treatments, as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Canadian Federal Income Tax Consequences
For a discussion of the material Canadian federal income tax consequences
relating to an investment in the Securities, please see the section entitled “Supplemental Discussion of Canadian Tax Consequences”
in the accompanying product supplement, which you should carefully review prior to investing in the Securities.
| Information about
the Underlying |
The Underlying consists of stocks of 500 companies selected to provide
a performance benchmark for the U.S. equity markets. For more information about the Underlying, see “Indices—The S&P U.S.
Indices” in the accompanying underlying supplement.
Historical Information
The following graph sets forth historical closing values of the Underlying
for the period from January 1, 2014 through May 22, 2024, reflecting a hypothetical Initial Underlying Value of 5,307.01, the closing
value on May 22, 2024. The solid line represents a hypothetical Downside Threshold of 3,980.26, which is equal to 75% of the hypothetical
Initial Underlying Value. We obtained the information in the graph from Bloomberg Financial Markets, without independent investigation.
The historical performance of the Underlying should not be taken as an indication of its future performance. We cannot give you assurance
that the performance of the Underlying will result in the return of any of your initial investment.
n
Digital Barrier / Downside Threshold = 75% of the Initial Price
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
| Supplemental Plan of Distribution (Conflicts of Interest) |
We have agreed to indemnify UBS and RBCCM against liabilities under
the Securities Act of 1933, as amended, or to contribute payments that UBS and RBCCM may be required to make relating to these liabilities
as described in the prospectus supplement and the prospectus. We have agreed that UBS may sell all or a part of the Securities that it
will purchase from us to investors or to its affiliates at the price to public listed on the cover page of this pricing supplement.
UBS may allow a concession not in excess of the underwriting discount
set forth on the cover page of this pricing supplement to its affiliates for distribution of the Securities.
We or our affiliates may enter into swap agreements or related hedge
transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Securities and RBCCM and/or
an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Use of
Proceeds and Hedging” in the accompanying product supplement.
The value of the Securities shown on your account statement may be based
on RBCCM’s estimate of the value of the Securities if RBCCM or another of our affiliates were to make a market in the Securities
(which it is not obligated to do). That estimate will be based on the price that RBCCM may pay for the Securities in light of then-prevailing
market conditions, our creditworthiness and transaction costs. If so specified in the final pricing supplement related to the Securities,
for a period of approximately four months after the Settlement Date, the value of the Securities that may be shown on your account statement
may be higher than RBCCM’s estimated value of the Securities at that time. This is because the estimated value of the Securities
will not include the underwriting discount or our hedging costs and profits; however, the value of the Securities shown on your account
statement during that period may be a higher amount, potentially reflecting the addition of the underwriting discount and our estimated
costs and profits from hedging the Securities. Any such excess is expected to decrease over time until the end of this period. After this
period, if RBCCM repurchases your Securities, it expects to do so at prices that reflect their estimated value. This period may be reduced
at RBCCM’s discretion based on a variety of factors, including but not limited to, the amount of the Securities that we repurchase
and our negotiated arrangements from time to time with UBS.
RBCCM or another of its affiliates or agents may use this pricing supplement
in the initial sale of the Securities. In addition, RBCCM or another of our affiliates may use this pricing supplement in a market-making
transaction in the Securities 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 Securities,
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 Securities |
The Securities are our debt securities. As is the case for all of our
debt securities, including our structured notes, the economic terms of the Securities 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, the underwriting discount and the hedging-related costs relating to
the Securities reduce the economic terms of the Securities to you and result in the initial estimated value for the Securities being less
than their public offering price. Unlike the initial estimated value, any value of the Securities 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 Securities than if our initial internal
funding rate were used.
In order to satisfy our payment obligations under the Securities, 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 Securities. The economic terms of the Securities and the initial estimated value
depend in part on the terms of these hedging arrangements.
See “Key Risks—Risks Relating to the Initial Estimated Value
of the Securities and the Secondary Market for the Securities—The Initial Estimated Value of the Securities Will Be Less Than the
Public Offering Price” above.
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