Hypothetical returns
Hypothetical
Final Basket Value
|
|
Hypothetical Percentage Change
from the Initial Basket Value to
the Hypothetical
Final Basket Value
|
|
Hypothetical Maturity
Payment Amount per
Security(1)
|
|
Hypothetical Pre-Tax
Total Rate of Return
on the Securities
|
0.00
|
|
-100.00%
|
|
$100.00
|
|
-90.00%
|
10.00
|
|
-90.00%
|
|
$200.00
|
|
-80.00%
|
20.00
|
|
-80.00%
|
|
$300.00
|
|
-70.00%
|
30.00
|
|
-70.00%
|
|
$400.00
|
|
-60.00%
|
40.00
|
|
-60.00%
|
|
$500.00
|
|
-50.00%
|
50.00
|
|
-50.00%
|
|
$600.00
|
|
-40.00%
|
60.00
|
|
-40.00%
|
|
$700.00
|
|
-30.00%
|
70.00
|
|
-30.00%
|
|
$800.00
|
|
-20.00%
|
80.00
|
|
-20.00%
|
|
$900.00
|
|
-10.00%
|
90.00 (2)
|
|
-10.00%
|
|
$1,000.00
|
|
0.00%
|
95.00
|
|
-5.00%
|
|
$1,000.00
|
|
0.00%
|
100.00 (3)
|
|
0.00%
|
|
$1,000.00
|
|
0.00%
|
110.00
|
|
10.00%
|
|
$1,110.00
|
|
11.00%
|
120.00
|
|
20.00%
|
|
$1,220.00
|
|
22.00%
|
130.00
|
|
30.00%
|
|
$1,330.00
|
|
33.00%
|
130.45
|
|
30.45%
|
|
$1,335.00
|
|
33.50%
|
140.00
|
|
40.00%
|
|
$1,335.00
|
|
33.50%
|
150.00
|
|
50.00%
|
|
$1,335.00
|
|
33.50%
|
160.00
|
|
60.00%
|
|
$1,335.00
|
|
33.50%
|
(1)
|
Based on a hypothetical maximum maturity payment amount of $1,335.00 (the mid-point of the range of maximum maturity payment amounts set forth in this term sheet).
|
(2)
|
This is the Buffer Value.
|
(3)
|
This is the Initial Basket Value.
|
How the maturity payment amount is calculated
The maturity payment amount will be determined as follows:
•
|
If the Final Basket Value is greater than the Initial Basket Value, the maturity payment amount per security will equal the lesser of:
|
|
(i)
|
|
|
(ii)
|
the maximum maturity payment amount
|
•
|
If the Final Basket Value is equal to or less than the Initial Basket Value but greater than or equal to the Buffer Value, the maturity payment amount per security will equal the issue price of $1,000.00
|
•
|
If the Final Basket Value is less than the Buffer Value, the maturity payment amount per security will equal:
|
In such a case, you will lose up to 90% of your principal.
Hypothetical Historical Basket Values*
*The graph above sets forth the hypothetical historical daily values of the Basket for the period from January 1, 2016 to November 26, 2021,
assuming that the Basket was constructed on January 1, 2016 with a starting value of 100 and that each of the basket components had the applicable weighting as of that day. The hypothetical historical performance of the Basket is not an
indication of its future performance during the term of the securities.
Selected risk considerations
The risks set forth below are discussed in detail in the “Risk Factors” section in the accompanying preliminary pricing supplement. Please review
those risk disclosures carefully.
Risks Relating to the Terms and Structure of the Securities
•
|
Your investment may result in a loss of up to 90% of your principal
|
•
|
You will not receive interest payments on the securities
|
•
|
Your yield may be lower than the yield on a standard debt security of comparable maturity
|
•
|
Your return is limited and will not reflect the return of owning the shares of the basket components or the common stocks held by the basket components
|
•
|
The amount to be paid at maturity is not linked to the prices of the basket components at any time other than the valuation date
|
•
|
Owning the securities is not the same as owning the shares of the basket components or the common stocks held by the basket components
|
•
|
Changes in the prices of the basket components may offset each other
|
•
|
The securities will be debt obligations of Royal Bank of Canada. No other company or entity will be responsible for payments under the securities
|
•
|
The tax treatment of the securities is uncertain and gain on the securities may be treated as ordinary income under the constructive ownership rules
|
Risks Relating to the Secondary Market for the Securities
•
|
There may not be an active trading market for the securities
|
•
|
Many factors affect the market value of the securities
|
Risks Relating to the Basket Components
•
|
An investment in securities linked to IWM is subject to risks associated with an investment in stocks with a small market capitalization
|
•
|
The correlation between the performance of a basket component and the performance of its Underlying Index may be imperfect, especially during periods of market volatility
|
•
|
The policies of the investment advisers of the basket components and changes that affect the Underlying Indices could affect the amount payable on the securities and their market value
|
•
|
We have no affiliation with the Index Sponsors and will not be responsible for any actions taken by the Index Sponsors
|
•
|
Historical prices of the basket components should not be taken as an indication of their future prices during the term of the securities
|
Risks Relating to the Initial Estimated Value of the Securities
•
|
Our initial estimated value of the securities will be less than the initial public offering price
|
•
|
The price, if any, at which you may be able to sell your securities prior to maturity may be less than the initial public offering price and our initial estimated value
|
•
|
The initial estimated value of the securities is an estimate only, calculated as of the time the terms of the securities are set
|
Risks Relating to Conflicts of Interest
•
|
Hedging transactions may affect the return on the securities
|
•
|
Potential conflicts of interest could arise
|
•
|
Anti-dilution adjustments relating to the shares of a basket component do not address every event that could affect such shares
|
•
|
The calculation agent may postpone the valuation date and, therefore, determination of the Final Basket Value and the maturity date if a market disruption event occurs on the valuation date
|
•
|
There are potential conflicts of interest between you and the calculation agent
|
Not suitable for all investors
Investment suitability must be determined individually for each investor. The securities described herein are not a suitable investment for all investors. In
particular, no investor should purchase the securities unless they understand and are able to bear the associated market, liquidity and yield risks. Unless market conditions and other relevant factors change significantly in your favor,
a sale of the securities prior to maturity is likely to result in sale proceeds that are substantially less than the initial public offering price per security. Royal Bank of Canada, Wells Fargo Securities, LLC and their respective
affiliates are not obligated to purchase the securities from you at any time prior to maturity.
The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you
should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on
the SEC website at www.sec.gov. Alternatively, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling your financial advisor or by calling Royal Bank of Canada
toll-free at 1-877-688-2301.
Wells Fargo Advisors is a trade name used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers and
non-bank affiliates of Wells Fargo & Company.
Consult your tax advisor
Investors should review carefully the accompanying preliminary pricing supplement, prospectus supplement and prospectus and consult their tax advisors regarding the
application of the U.S. federal income tax laws to their particular circumstances, as well as any tax consequences arising under the laws of any state, local or foreign jurisdiction.
SPDR® and S&P 500® are trademarks of Standard & Poor’s Financial Services LLC (“S&P Financial”). The securities are not sponsored,
endorsed, sold or promoted by the SPDR® Dow Jones® Industrial Average ETF Trust (the “DJA Trust”), the SPDR® S&P MidCap 400® ETF Trust (the “MDY Trust”) or S&P Financial. Neither the DJA
Trust, MDY Trust nor S&P Financial makes any representations or warranties to the holders of the securities or any member of the public regarding the advisability of investing in the securities. Neither the DJA Trust, MDY Trust nor
S&P Financial will have any obligation or liability in connection with the registration, operation, marketing, trading or sale of the securities or in connection with our use of information about the DJA Trust or MDY Trust.
“iShares®” and “BlackRock®” are registered trademarks of BlackRock, Inc. (BlackRock) or its subsidiaries. The securities are not sponsored, endorsed, sold, or
promoted by BlackRock, or by any of the iShares Funds. Neither BlackRock nor the iShares Funds make any representations or warranties to the owners of the securities or any member of the public regarding the advisability of investing in
the securities. Neither BlackRock nor the iShares Funds shall have any obligation or liability in connection with the registration, operation, marketing, trading, or sale of the securities or in connection with our use of information
about its Underlying Index or any of the iShares Funds.
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