![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324007995/image_021.jpg) |
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. |
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Preliminary Pricing Supplement
Subject to Completion: Dated June 6, 2024
Pricing Supplement Dated June __, 2024 to the Prospectus
dated December 20, 2023, the Prospectus Supplement dated December 20, 2023 and the Product Supplement No. 1A dated May 16, 2024 |
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$
Capped Enhanced Return Buffer Notes
Linked to a Basket of Ten Equity Securities,
Due December 31, 2025
Royal Bank of Canada
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Royal Bank of Canada is offering Capped Enhanced
Return Buffer Notes (the “Notes”) linked to the performance of an equally weighted basket (the “Basket”) consisting
of the common stock of The AES Corporation, the common stock of Carrier Global Corporation, the common stock of Digital Realty Trust,
Inc., the common stock of Equinix, Inc., the ordinary shares of Eaton Corporation plc, the common stock of NextEra Energy, Inc., the
common stock of The Southern Company, the Class A common stock of Vertiv Holdings Co, the common stock of Vistra Corp. and the common
stock of WESCO International, Inc. (each, a “Basket Underlier”).
| · | Capped Enhanced Return Potential —
If the Final Basket Value is greater than the Initial Basket Value, at maturity, the investor will receive a return equal to 200% of the
Basket Return, subject to the Maximum Redemption Amount of 120% to 122% of the principal amount of the Notes (to be determined on the
Trade Date). |
| · | Contingent Return of Principal at Maturity
— If the Final Basket Value is less than or equal to the Initial Basket Value, but is greater than or equal to the Buffer Value
(90% of the Initial Basket Value), at maturity, the investor will receive the principal amount of the Notes. If the Final Basket Value
is less than the Buffer Value, at maturity, the investor will lose 1% of the principal amount of the Notes for each 1% that the Final
Basket Value is less than the Initial Basket Value in excess of the Buffer Percentage. |
| · | 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: 78017G5U1
Investing in the Notes involves a number of
risks. See “Selected Risk Considerations” beginning on page P-7 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.
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Per Note |
Total |
Price to public(1) |
100.00% |
$ |
Underwriting discounts and commissions(1) |
1.75% |
$ |
Proceeds to Royal Bank of Canada |
98.25% |
$ |
(1) We or one of our affiliates may
pay varying selling concessions of up to $17.50 per $1,000 principal amount of Notes in connection with the distribution of the Notes
to other registered broker-dealers. Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo
some or all of their underwriting discount or selling concessions. The public offering price for investors purchasing the Notes in these
accounts may be between $982.50 and $1,000.00 per $1,000 principal amount of 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 $894.00 and $944.00 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.
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| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
KEY TERMS
The information in this “Key Terms”
section is qualified by the more detailed information set forth in this pricing supplement and in the accompanying prospectus, prospectus
supplement and product supplement.
Issuer: |
Royal Bank of Canada |
Underwriter: |
RBC Capital Markets, LLC (“RBCCM”) |
Basket Underliers: |
The common stock of The AES Corporation (the “AES Underlier”), the common stock of Carrier Global Corporation (the “CARR Underlier”), the common stock of Digital Realty Trust, Inc. (the “DLR Underlier”), the common stock of Equinix, Inc. (the “EQIX Underlier”), the ordinary shares of Eaton Corporation plc (the “ETN Underlier”), the common stock of NextEra Energy, Inc. (the “NEE Underlier”), the common stock of The Southern Company (the “SO Underlier”), the Class A common stock of Vertiv Holdings Co (the “VRT Underlier”), the common stock of Vistra Corp. (the “VST Underlier”) and the common stock of WESCO International, Inc. (the “WCC Underlier”) |
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Basket Underlier |
Bloomberg Ticker |
Initial Basket Underlier Value(1) |
Basket Weighting |
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AES Underlier |
AES UN |
$ |
1/10 |
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CARR Underlier |
CARR UN |
$ |
1/10 |
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DLR Underlier |
DLR UN |
$ |
1/10 |
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EQIX Underlier |
EQIX UW |
$ |
1/10 |
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ETN Underlier |
ETN UN |
$ |
1/10 |
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NEE Underlier |
NEE UN |
$ |
1/10 |
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SO Underlier |
SO UN |
$ |
1/10 |
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VRT Underlier |
VRT UN |
$ |
1/10 |
|
VST Underlier |
VST UN |
$ |
1/10 |
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WCC Underlier |
WCC UN |
$ |
1/10 |
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(1) With respect to each Basket Underlier, the closing value of that Basket Underlier on the Trade Date |
Minimum Investment: |
$1,000 and minimum denominations of $1,000 in excess thereof |
Trade Date: |
June 25, 2024 |
Issue Date: |
June 28, 2024 |
Valuation Date:* |
December 26, 2025 |
Maturity Date:* |
December 31, 2025 |
Payment at Maturity: |
The investor will receive on the Maturity Date
per $1,000 principal amount of Notes:
· If
the Final Basket Value is greater than the Initial Basket Value, an amount equal to the lesser of:
1. $1,000
+ ($1,000 × Basket Return × Participation Rate); and
2. the
Maximum Redemption Amount
· If
the Final Basket Value is less than or equal to the Initial Basket Value, but is greater than or equal to
the Buffer Value: $1,000 |
P-2 | RBC Capital Markets, LLC |
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| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
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· If
the Final Basket Value is less than the Buffer Value, an amount equal to:
$1,000 + [$1,000 × (Basket Return
+ Buffer Percentage)]
If the Final Basket 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: |
200% (subject to the Maximum Redemption Amount) |
Maximum Redemption Amount: |
$1,200 to $1,220 (120% to 122% of the principal amount), to be determined on the Trade Date |
Buffer Value: |
90, which is 90% of the Initial Basket Value |
Buffer Percentage: |
10% |
Basket Return: |
The Basket Return, expressed as a percentage, is
calculated using the following formula:
Final Basket Value – Initial Basket
Value
Initial Basket Value |
Initial Basket Value: |
Set equal to 100 on the Trade Date |
Final Basket Value: |
The Final Basket Value will be calculated as follows:
100 × [1 + (the sum of, for each Basket Underlier,
its Basket Underlier Return times its Basket Weighting)]
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Basket Underlier Return: |
With respect to each Basket Underlier, the Basket
Underlier Return, expressed as a percentage, is calculated using the following formula:
Final Basket Underlier Value – Initial
Basket Underlier Value
Initial Basket Underlier Value |
Final Basket Underlier Value: |
With respect to each Basket Underlier, the closing value of that Basket 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-3 | RBC Capital Markets, LLC |
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| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
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, 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
| · | 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-4 | RBC Capital Markets, LLC |
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| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
HYPOTHETICAL RETURNS
The table and examples set forth below illustrate
hypothetical payments at maturity for hypothetical performance of the Basket, based on the Buffer Value of 90% of the Initial Basket Value,
the Participation Rate of 200%, a hypothetical Maximum Redemption Amount of $1,200.00 (the actual Maximum Redemption Amount will be determined
on the Trade Date) and the Buffer Percentage of 10%. The table and examples are only for illustrative purposes and may not show the actual
return applicable to a purchaser of the Notes.
Hypothetical Basket Return |
Payment at Maturity per $1,000 Principal Amount of Notes |
Payment at Maturity as Percentage of Principal Amount |
50.00% |
$1,200.00 |
120.000% |
40.00% |
$1,200.00 |
120.000% |
30.00% |
$1,200.00 |
120.000% |
20.00% |
$1,200.00 |
120.000% |
10.00% |
$1,200.00 |
120.000% |
5.00% |
$1,100.00 |
110.000% |
2.00% |
$1,040.00 |
104.000% |
0.00% |
$1,000.00 |
100.000% |
-5.00% |
$1,000.00 |
100.000% |
-10.00% |
$1,000.00 |
100.000% |
-20.00% |
$900.00 |
90.000% |
-30.00% |
$800.00 |
80.000% |
-40.00% |
$700.00 |
70.000% |
-50.00% |
$600.00 |
60.000% |
-60.00% |
$500.00 |
50.000% |
-70.00% |
$400.00 |
40.000% |
-80.00% |
$300.00 |
30.000% |
-90.00% |
$200.00 |
20.000% |
-100.00% |
$100.00 |
10.000% |
Example 1 — |
The value of the Basket increases from the Initial Basket Value to the Final Basket Value by 2%. |
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Basket Return: |
2% |
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Payment at Maturity: |
$1,000 + ($1,000 × 2% × 200%) = $1,000 + $40 = $1,040 |
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In this example, the payment at maturity is $1,040
per $1,000 principal amount of Notes, for a return of 4%.
Because the Final Basket Value is greater than
the Initial Basket Value, the investor receives a return equal to 200% of the Basket Return, subject to the Maximum Redemption Amount
of 120% of the principal amount of the Notes.
|
P-5 | RBC Capital Markets, LLC |
| |
| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
Example 2 — |
The value of the Basket increases from the Initial Basket Value to the Final Basket Value by 30%, resulting in a payment equal to the Maximum Redemption Amount. |
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Basket Return: |
30% |
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Payment at Maturity: |
$1,000 + ($1,000 × 30% × 200%) = $1,000
+ $600 = $1,600
However, the Maximum Redemption Amount is $1,200.
Accordingly, you will receive a payment at maturity equal to $1,200 per $1,000 principal amount of Notes.
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In this example, the payment at maturity is $1,200
per $1,000 principal amount of Notes, for a return of 20%, which is the maximum return on the Notes.
This example illustrates that the investor will
not receive a payment at maturity in excess of the Maximum Redemption Amount. Accordingly, the return on the Notes may be less than the
return of the Basket.
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Example 3 — |
The value of the Basket decreases from the Initial Basket Value to the Final Basket Value by 5% (i.e., the Final Basket Value is below the Initial Basket Value but above the Buffer Value). |
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Basket Return: |
-5% |
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Payment at Maturity: |
$1,000 |
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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 Basket Value is greater than
the Buffer Value, the investor receives a full return of the principal amount.
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Example 4 — |
The value of the Basket decreases from the Initial Basket Value to the Final Basket Value by 50% (i.e., the Final Basket Value is below the Buffer Value). |
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Basket Return: |
-50% |
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Payment at Maturity: |
$1,000 + [$1,000 × (-50% + 10%)] = $1,000 – $400 = $600 |
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In this example, the payment at maturity is $600
per $1,000 principal amount of Notes, representing a loss of 40% of your principal amount.
Because the Final Basket Value is less than the
Buffer Value, the investor does not receive a full return of the principal amount.
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Investors in the Notes could lose some or
a substantial portion of their principal amount at maturity.
P-6 | RBC Capital Markets, LLC |
| |
| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
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 Basket Value is less than the Buffer Value, you will lose 1% of the principal amount of your
Notes for each 1% that the Final Basket Value is less than the Initial Basket Value in excess of the Buffer Percentage. Investors in the
Notes could lose some or a substantial portion of their principal amount at maturity. |
| · | Your Potential Payment at Maturity Is Limited
— The payment at maturity will not exceed the Maximum Redemption Amount, regardless of any appreciation in the value of the Basket,
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 Basket. |
| · | 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. |
| · | Changes in the Value of One Basket Underlier
May Be Offset by Changes in the Value of the Other Basket Underliers — A change in the value of one Basket Underlier may not
correlate with changes in the value of the other Basket Underliers. The value of one Basket Underlier may increase, while the values of
the other Basket Underliers may not increase as much, or may even decrease. Therefore, in determining the value of the Basket as of any
time, increases in the value of one Basket Underlier may be moderated, or wholly offset, by lesser increases or decreases in the value
of the other Basket Underliers. |
| · | Any Payment on the Notes Will Be Determined
Based on the Closing Values of the Basket Underliers on the Dates Specified — Any payment on the Notes will be determined based
on the closing values of the Basket Underliers on the dates specified. You will not benefit from any more favorable values of the Basket
Underliers 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. |
P-7 | RBC Capital Markets, LLC |
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| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
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 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 values of
the Basket Underliers, 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 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, 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 values of the
Basket Underliers and the market value of the Notes. See “Risk Factors—Risks Relating to Conflicts of Interest” in the
accompanying product supplement. |
P-8 | RBC Capital Markets, LLC |
| |
| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
| · | RBCCM’s Role as Calculation Agent May
Create Conflicts of Interest — As Calculation Agent, our affiliate, RBCCM, will determine any values of the Basket Underliers
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 Basket Underliers”
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. |
Risks Relating to the Basket Underliers
| · | You Will Not Have Any Rights to Any Basket
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 any Basket Underlier. |
| · | The Basket Is Concentrated in the Energy and
Utilities Sectors — A substantial portion of the Basket Underliers have been issued by companies whose primary lines of business
are directly associated with the energy and utilities sectors. As a result, the value of the Notes may be subject to greater volatility
and be more adversely affected by a single economic, political or regulatory occurrence affecting these sectors than a different investment
linked to securities of a more broadly diversified group of issuers. |
| · | The Notes Are Subject to Risks Relating to
Non-U.S. Securities with Respect to the ETN Underlier — Because the issuer of the ETN Underlier is incorporated in Ireland,
an investment in the Notes involves risks associated with Ireland. The prices of securities of non-U.S. companies may be affected by political,
economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies
and currency exchange laws. |
| · | We May Accelerate the Notes If a Change-in-Law
Event Occurs — Upon the occurrence of legal or regulatory changes that may, among other things, prohibit or otherwise materially
restrict persons from holding the Notes or a Basket Underlier, or engaging in transactions in them, the Calculation Agent may determine
that a change-in-law-event has occurred and accelerate the Maturity Date for a payment determined by the Calculation Agent in its sole
discretion. 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, by the occurrence of such legal or regulatory changes. See “General Terms of
Notes—Change-in-Law Events” in the accompanying product supplement. |
| · | 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 a Basket Underlier. If a market disruption event persists for
a sustained period, the Calculation Agent may make a discretionary determination of the closing value of any affected Basket 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. |
| · | 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 corporate events (such as stock splits or extraordinary or special
dividends) that the Calculation Agent determines have a diluting or concentrative effect on the theoretical value of a Basket Underlier.
However, the Calculation Agent might not make adjustments in response to all such events that could affect a Basket 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. |
P-9 | RBC Capital Markets, LLC |
| |
| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
| · | Reorganization or Other Events Could Adversely
Affect the Value of the Notes or Result in the Notes Being Accelerated — Upon the occurrence of certain reorganization or other
events affecting a Basket 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 that Basket 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 that Basket Underlier, a substitute
security, if the Calculation Agent elects to select one. Any of these actions could adversely affect the value of the affected Basket
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” in the accompanying product supplement. |
P-10 | RBC Capital Markets, LLC |
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| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
INFORMATION REGARDING THE BASKET
UNDERLIERS
Each Underlier is registered under the Securities
Exchange Act of 1934, as amended (the “Exchange Act”). Companies with securities registered under the Exchange Act are required
to file financial and other information specified by the SEC periodically. Information provided to or filed with the SEC by the issuer
of each Underlier can be located on a website maintained by the SEC at https://www.sec.gov by reference to that issuer’s SEC file
number provided below. Information from outside sources is not incorporated by reference in, and should not be considered part of, this
pricing supplement. We have not independently verified the accuracy or completeness of the information contained in outside sources.
Underlier |
Exchange Ticker |
Exchange |
SEC File Number |
AES Underlier |
AES |
New York Stock Exchange |
001-12291 |
CARR Underlier |
CARR |
New York Stock Exchange |
001-39220 |
DLR Underlier |
DLR |
New York Stock Exchange |
001-32336 |
EQIX Underlier |
EQIX |
Nasdaq Stock Market |
001-40205 |
ETN Underlier |
ETN |
New York Stock Exchange |
000-54863 |
NEE Underlier |
NEE |
New York Stock Exchange |
001-08841 |
SO Underlier |
SO |
New York Stock Exchange |
001-03526 |
VRT Underlier |
VRT |
New York Stock Exchange |
001-38518 |
VST Underlier |
VST |
New York Stock Exchange |
001-38086 |
WCC Underlier |
WCC |
New York Stock Exchange |
001-14989 |
According to publicly available information:
| · | The AES Corporation is a power generation and
utility company that provides energy through a portfolio of renewable and thermal generation facilities and distribution businesses. |
| · | Carrier Global Corporation is a climate and energy
company that offers products and services of heating, ventilating and air conditioning, refrigeration, fire, security and building automation. |
| · | Digital Realty Trust, Inc. owns, acquires, develops
and operates data centers that exchange, process and store data for digital communication, disaster recovery purposes, transaction processing
and housing corporation IT application. |
| · | Equinix, Inc. is a digital infrastructure company
with a platform that includes data center offerings, interconnection offerings and digital offerings. |
| · | Eaton Corporation plc, an Irish company, is a
power management company that offers a range of power products for the data center, utility, industrial, commercial, machine building,
residential, aerospace and mobility markets. |
| · | NextEra Energy, Inc. is an electric power and
energy infrastructure company in the renewal energy industry. |
| · | The Southern Company is a holding company that,
through its subsidiaries, (1) generates, wholesales and retails electricity in the southeastern United States, (2) develops, constructs,
acquires, owns and manages power generation assets, including renewable energy projects and (3) distribute natural gas through the natural
gas distribution utilities. |
| · | Vertiv Holdings Co designs, manufactures and services
digital infrastructure for data centers, communication networks and commercial and industrial environments. |
| · | Vistra Corp. is an integrated retail electricity
and power generation company that generates and provides electricity and natural gas to residential, commercial and industrial retail
customers. |
| · | WESCO International, Inc. is a provider of business-to-business
distribution, logistics services and supply chain products and services. |
Historical Information
The following graphs set forth historical closing
values of the Basket Underliers for the period from January 1, 2014 (or from the initial listing date, if later) to June 4, 2024. We obtained
the information in the graphs from Bloomberg Financial Markets,
P-11 | RBC Capital Markets, LLC |
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| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
without independent investigation. We cannot
give you assurance that the performance of the Basket Underliers will result in the return of all of your initial investment.
Common Stock of The AES Corporation
![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324007995/image_011.jpg)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of Carrier Global Corporation
![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324007995/image_012.jpg)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
P-12 | RBC Capital Markets, LLC |
| |
| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
Common Stock of Digital Realty Trust, Inc.
![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324007995/image_013.jpg)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of Equinix, Inc.
![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324007995/image_014.jpg)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
P-13 | RBC Capital Markets, LLC |
| |
| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
Ordinary Shares of Eaton Corporation plc
![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324007995/image_015.jpg)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of NextEra Energy, Inc.
![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324007995/image_016.jpg)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
P-14 | RBC Capital Markets, LLC |
| |
| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
Common Stock of The Southern Company
![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324007995/image_017.jpg)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Class A Common Stock of Vertiv Holdings Co
![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324007995/image_018.jpg)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
P-15 | RBC Capital Markets, LLC |
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| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity Securities |
Common Stock of Vistra Corp.
![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324007995/image_019.jpg)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of WESCO International, Inc.
![](https://www.sec.gov/Archives/edgar/data/1000275/000095010324007995/image_020.jpg)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
P-16 | RBC Capital Markets, LLC |
| |
| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity 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 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 Basket Underliers. 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. 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 information regarding
the potential application of Section 871(m) will be provided in the final pricing supplement for the Notes.
P-17 | RBC Capital Markets, LLC |
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| Capped Enhanced Return Buffer Notes Linked to a Basket of Ten Equity 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 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, except with respect to certain accounts as indicated on the cover page of this pricing supplement. We or
one of our affiliates may pay the underwriting discount as set forth on the cover page of this pricing supplement.
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 the underwriting discount or 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 the
underwriting discount and 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, the underwriting discount 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.
P-18 | RBC Capital Markets, LLC |
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