Preliminary Pricing Supplement dated June ,
2024 |
Subject
to Completion
Dated
June 21, 2024 |
Registration Statement
No. 333-275898
Filed Pursuant
to Rule 424(b)(2) |
Royal Bank of Canada Capped Buffer GEARS
$• Securities Linked to a Basket of Fifteen Equity Securities
due on or about June 25, 2026
The Capped Buffer GEARS (the “Securities”) are senior unsecured
debt securities issued by Royal Bank of Canada linked to an equally weighted basket (the “Basket”) of fifteen equity securities
(each, a “Basket Underlying”), as listed on page 4 of this pricing supplement. If the Basket Return (as defined below) is
positive, we will repay the principal amount at maturity plus pay a return equal to 2.0 (the “Upside Gearing”) times
the Basket Return, up to the Maximum Gain. The Maximum Gain will be set on the Trade Date and will be between 44.00% and 47.00%. If the
Basket Return is zero or negative, but the Final Basket Value is greater than or equal to the Downside Threshold, we will repay the full
principal amount at maturity. However, if the Basket Return is negative and the Final Basket Value is less than the Downside Threshold,
we will pay less than the full principal amount at maturity and you will lose 1% of the principal amount of your Securities for every
1% decline in the value of the Basket over the term of the Securities in excess of the Buffer, and you may lose up to 90% of the principal
amount. Investing in the Securities involves significant risks. The Securities
do not pay dividends or interest. You will lose some or a significant portion of your principal amount if the Final Basket Value is less
than the Downside Threshold. The Upside Gearing and buffered downside exposure of the Basket 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.
q Enhanced
Growth Potential, Subject to the Maximum Gain —
At maturity, if the Basket Return is positive, we
will pay you the principal amount plus a return equal to the Upside Gearing times the Basket Return, up to
the Maximum Gain.
q Buffered
Downside Market Exposure with Contingent Repayment of Principal at Maturity —
If the Basket Return is zero or negative, but the Final Basket Value is greater
than or equal to the Downside Threshold, we will repay the full principal amount at maturity. However, if the Basket Return is negative
and the Final Basket Value is less than the Downside Threshold, we will pay less than the full principal amount at maturity, resulting
in a loss of principal amount that is proportionate to the percentage decline in the value of the Basket in excess of the Buffer.
Accordingly, you may lose some or a significant portion of the principal amount of the Securities. Any payment on the Securities,
including any repayment of principal, is subject to our creditworthiness. |
Trade Date |
June 21, 2024 |
Settlement Date |
June 26, 2024 |
Final Valuation Date1 |
June 22, 2026 |
Maturity Date1 |
June 25, 2026 |
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 SECURITIES AT MATURITY, AND
THE SECURITIES HAVE THE DOWNSIDE MARKET RISK OF THE BASKET IN EXCESS OF THE BUFFER. 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 SOME OR A SIGNIFICANT PORTION OF THE PRINCIPAL
AMOUNT OF YOUR SECURITIES.
We are offering Capped Buffer GEARS Linked to a Basket of Fifteen Equity
Securities. 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 Maximum Gain. The Maximum Gain will be set
on the Trade Date.
Basket |
Basket Weightings |
Maximum Gain |
Upside Gearing |
Initial Basket Value |
Downside Threshold |
Buffer |
CUSIP/ ISIN |
Basket of Fifteen Equity Securities |
1/15 |
44.00% to 47.00% |
2.0 |
100.00 |
90.00, 90% of the Initial Basket Value |
10% |
78016U176 / US78016U1768 |
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 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 a Basket of Fifteen Equity Securities |
• |
$10.00 |
• |
$0.00 |
• |
$10.00 |
(1) All sales of the Securities
will be made to fee-based advisory accounts, for which UBS Financial Services Inc., which we refer to as UBS, is an investment advisor,
and UBS will act as a placement agent. UBS will not receive a commission. 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 $9.40 and $9.90 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, 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 a significant portion of your initial
investment.
¨ You
can tolerate the loss of some or a significant portion of the principal amount of the Securities and are willing to make an investment
that has the downside market risk of the Basket in excess of the Buffer.
¨ You
believe that the value of the Basket will appreciate from the Initial Basket Value to the Final Basket Value and that any such appreciation
is unlikely to exceed the Maximum Gain.
¨ You
understand and accept that your potential return is limited by the Maximum Gain.
¨ You
would be willing to invest in the Securities if the Maximum Gain were set equal to the low end of the range set forth on the cover page
of this pricing supplement. (The actual Maximum Gain 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 Basket Underlyings.
¨ 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 Basket.
¨ You
fully understand and accept the risks associated with the Basket.
¨ 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 a significant portion of
your initial investment.
¨ You
cannot tolerate the loss of some or a significant portion of the principal amount of the Securities, and you are not willing to make an
investment that has the downside market risk of the Basket in excess of the Buffer.
¨ You
believe that the value of the Basket will decline from the Initial Basket Value to the Final Basket Value, or you believe the value of
the Basket will appreciate from the Initial Basket Value to the Final Basket Value by more than the Maximum Gain.
¨ You
seek an investment that has unlimited return potential without a cap on appreciation.
¨ You
would be unwilling to invest in the Securities if the Maximum Gain were set equal to the low end of the range set forth on the cover page
of this pricing supplement. (The actual Maximum Gain will be set on the Trade Date.)
¨ You
seek current income from your investment or prefer to receive the dividends paid on the Basket Underlyings.
¨ 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 Basket.
¨ You
do not fully understand or accept the risks associated with the Basket.
¨ 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 Basket Underlyings, see “Information about
the Basket Underlyings” 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 2 years |
Basket: |
An equally weighted basket consisting of the following equity securities: |
Basket Component |
Bloomberg Symbol |
Initial Basket Underlying Value* |
Basket Weighting |
Common stock of Array Technologies, Inc. |
ARRY UQ |
|
1/15 |
Class C common stock of Clearway Energy, Inc. |
CWEN UN |
|
1/15 |
Common stock of Enphase Energy, Inc. |
ENPH UQ |
|
1/15 |
Class A common stock of Fluence Energy, Inc. |
FLNC UW |
|
1/15 |
Common stock of First Solar, Inc. |
FSLR UW |
|
1/15 |
Common stock of GE Vernova Inc. |
GEV UN |
|
1/15 |
Common stock of Generac Holdings Inc. |
GNRC UN |
|
1/15 |
Common stock of Hannon Armstrong Sustainable Infrastructure Capital, Inc. |
HASI UN |
|
1/15 |
Common stock of MasTec, Inc. |
MTZ UN |
|
1/15 |
Common stock of NextEra Energy, Inc. |
NEE UN |
|
1/15 |
Class A common stock of Nextracker Inc. |
NXT UW |
|
1/15 |
Common stock of Ormat Technologies, Inc. |
ORA UN |
|
1/15 |
Common stock of Primoris Services Corporation |
PRIM UN |
|
1/15 |
Common stock of Quanta Services, Inc. |
PWR UN |
|
1/15 |
Class A common stock of Shoals Technologies Group, Inc. |
SHLS UQ |
|
1/15 |
* With respect to each Basket Underlying, the closing value of that Basket Underlying on the Trade Date |
Payment at Maturity: |
If
the Basket Return is positive, we will pay you at maturity an amount per Security equal to:
$10 + ($10 × the lesser of (i)
Upside Gearing × Basket Return and (ii) the Maximum Gain)
If
the Basket Return is zero or negative and the Final Basket Value is greater than or equal to the Downside Threshold, we will
pay you at maturity an amount per Security equal to:
$10
If
the Basket Return is negative and the Final Basket Value is less than the Downside Threshold, we will pay you at maturity
an amount per Security equal to:
$10 + [$10 × (Basket Return + Buffer)]
In this scenario, you will lose some or a significant portion
of the principal amount of the Securities in an |
|
amount proportionate to the percentage decline in the value of the Basket in excess of the Buffer. |
Upside Gearing: |
2.0 |
Maximum Gain: |
44.00% to 47.00%. The actual Maximum Gain will be set on the Trade Date and will not be less than 44.00%. |
Downside Threshold: |
90.00, 90% of the Initial Basket Value |
Buffer: |
10% |
Basket Return: |
Final Basket Value – Initial Basket Value
Initial Basket Value |
Initial Basket Value: |
Set equal to 100 on the Trade Date |
Final Basket Value: |
100 × [1 + (the sum of, for each Basket Underlying, its Basket Underlying Return times its Basket Weighting)] |
Basket Underlying Return: |
With respect to each Basket Underlying:
(Final Basket Underlying Value – Initial
Basket Underlying Value) / Initial Basket Underlying Value |
Final Basket Underlying Value: |
With respect to each Basket Underlying, the closing value of that Basket Underlying on the Final Valuation Date |
Calculation Agent: |
RBC Capital Markets, LLC (“RBCCM”) |
|
Trade Date: |
|
The Maximum Gain is set. |
|
|
|
|
|
Maturity Date: |
|
The Final Basket Value is observed and the Basket Return is determined
on the Final Valuation Date.
If the
Basket Return is positive, we will pay you at maturity an amount per Security equal to:
$10 + ($10 × the lesser of (i) Upside
Gearing × Basket Return and (ii) the Maximum Gain)
If the
Basket Return is zero or negative and the Final Basket Value is greater than or equal to the Downside Threshold, we will pay
you at maturity an amount per Security equal to:
$10
If the
Basket Return is negative and the Final Basket Value is less than the Downside Threshold, we will pay you at maturity an amount
per Security equal to:
$10 + [$10 × (Basket Return + Buffer)]
In this scenario, you will lose some or a significant portion
of the principal amount of the Securities in an amount proportionate to the percentage decline in the value of the Basket in excess of
the Buffer. |
Investing in the Securities involves significant risks. The Securities
do not pay dividends or interest. You will lose some or a significant portion of your principal amount if the Final Basket Value is less
than the Downside Threshold. The Upside Gearing and buffered downside exposure of the Basket 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 Basket and will depend on
whether, and the extent to which, the Basket Return is positive or negative. If the Basket Return is negative and the Final Basket Value
is less than the Downside Threshold, you will be exposed to the negative Basket Return in excess of the Buffer, and we will pay you less
than your principal amount at maturity, resulting in a loss of principal of your Securities that is proportionate to the percentage decline
in the value of the Basket in excess of the Buffer. Accordingly, you could
lose some or a significant portion 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 Maximum Gain
— If the Basket Return is positive, for each Security, we will pay you at maturity $10 plus an additional return that will not exceed
the Maximum Gain, regardless of the appreciation of the Basket, which may be significant. Therefore, you will not benefit from any positive
Basket Return in excess of an amount that, when multiplied by the Upside Gearing, exceeds the Maximum Gain, and your return on the Securities
may be less than the return on a direct investment in the Basket or its Basket Underlyings. |
| ¨ | The Upside Gearing, Buffer and Contingent Repayment of Principal Apply
Only If You Hold the Securities to Maturity — You should be willing to hold your Securities to maturity. The market value
of the Securities may fluctuate between the date you purchase them and the Final Valuation Date. If you are able to sell your Securities
prior to maturity in the secondary market, if any, the price you receive likely will not reflect the full economic value of the Upside
Gearing and Buffer and may represent a loss relative to your initial investment even if at that time the level of the Underlying is greater
than the Downside Threshold. Accordingly, your return under these circumstances may be lower than the return of the Underlying, as well
as the return on the Securities that would be payable at maturity based on the return of the Underlying. You can receive the full benefit
of the Upside Gearing and Buffer only if you hold your Securities to maturity. |
| ¨ | The Probability That the Value of the Basket Will Fall Below the Downside
Threshold on the Final Valuation Date Will Depend on the Volatility of the Basket Underlyings — Volatility is a measure
of the degree of variation in the value of the Basket Underlyings over a period of time. Greater expected volatility with respect to the
Basket Underlyings reflects a higher expectation as of the Trade Date that the value of the Basket could fall below the Downside Threshold
on the Final Valuation Date, resulting in the loss of some or a significant portion of your investment. However, the Basket Underlyings’
volatility can change significantly over the term of the Securities. The value of the Basket 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. |
| ¨ | Changes in the Value of One Basket Underlying May Be Offset by Changes
in the Value of the Other Basket Underlyings — A change in the value of one Basket Underlying may not correlate with
changes in the value of the other Basket Underlyings. The value of one Basket Underlying may increase, while the values of the other Basket
Underlyings 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 Underlying may be moderated, or wholly offset, by lesser increases or decreases in the value of the other Basket
Underlyings. |
| ¨ | Any Payment on the Securities Will Be Determined Based on the Closing Values
of the Basket Underlyings on the Dates Specified — Any payment on the Securities will be determined based on the closing
values of the Basket Underlyings on the dates specified. You will not benefit from any more favorable values of the Basket Underlyings
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 values of the Basket
Underlyings, the internal funding rate we pay to issue securities of this kind (which is lower than the rate at which we borrow funds
by issuing conventional fixed rate debt) and the inclusion in the public offering price of our estimated profit and the estimated costs
relating to our hedging of the 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 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 Basket
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 Basket. The value of the Securities will be affected
by a number of other factors that may either offset or magnify each other, including: |
| ¨ | the values of the Basket Underlyings; |
| ¨ | the actual and expected volatility of the Basket Underlyings; |
| ¨ | the time remaining to maturity of the Securities; |
| ¨ | the dividend rates on the Basket Underlyings; |
| ¨ | interest and yield rates in the market generally, as well as in the markets of the Basket Underlyings; |
| ¨ | 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 values of the Basket Underlyings 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 Basket Underlyings 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 Basket Underlyings” 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 Basket Underlyings
| ¨ | You Will Not Have Any Rights to Any Basket 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 any Basket Underlying. |
| ¨ | The Basket Underlyings Are Concentrated in the Energy Sector —
All of the stocks included in the Basket are issued by companies in the energy sector. Although an investment in the Securities will not
give holders any ownership or other direct interests in the Basket Underlyings, the return on an investment in the Securities will be
subject to certain risks associated with a direct equity investment in companies in the energy sector. Accordingly, by investing in the
Securities, you will not benefit from the diversification which could result from an investment linked to companies that operate in multiple
sectors. |
| ¨ | 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 a Basket Underlying. 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 Underlying. 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 Securities 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 Underlying. However,
the Calculation Agent might not make adjustments in response to all such events that could affect a Basket Underlying. 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 Securities. See “General Terms of the Notes —Reference
Stocks and Funds—Anti-dilution Adjustments” in the accompanying product supplement. |
| ¨ | Reorganization or Other Events Could Adversely Affect the Value of the
Securities or Result in the Securities Being Accelerated — Upon the occurrence of certain reorganization or other events
affecting a Basket Underlying, the Calculation Agent may make adjustments that result in payments on the Securities being based on the
performance of (i) cash, securities of another issuer and/or other property distributed to holders of that Basket Underlying 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 Underlying,
a substitute security, if the Calculation Agent elects to select one. Any of these actions could adversely affect the value of the affected
Basket Underlying and, consequently, the value of the Securities. 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 Securities if they were not accelerated. However, if the Calculation Agent elects not to accelerate the Securities,
the value of, and any amount payable on, the Securities 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. |
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 Basket Returns based on the Initial Basket Value of 100.00, the Downside Threshold of
90% of the Initial Basket Value, the Upside Gearing of 2.0 and a hypothetical Maximum Gain of 44.00% (the low end of the range set forth
above). The actual Maximum Gain 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 Basket 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 Basket Value |
Hypothetical Basket Return |
Hypothetical Payment at Maturity ($) |
Hypothetical Total Return on Securities1 |
200.00 |
100.00% |
$14.40 |
44.00% |
175.00 |
75.00% |
$14.40 |
44.00% |
150.00 |
50.00% |
$14.40 |
44.00% |
140.00 |
40.00% |
$14.40 |
44.00% |
130.00 |
30.00% |
$14.40 |
44.00% |
122.00 |
22.00% |
$14.40 |
44.00% |
120.00 |
20.00% |
$14.00 |
40.00% |
110.00 |
10.00% |
$12.00 |
20.00% |
105.00 |
5.00% |
$11.00 |
10.00% |
102.00 |
2.00% |
$10.40 |
4.00% |
100.00 |
0.00% |
$10.00 |
0.00% |
95.00 |
-5.00% |
$10.00 |
0.00% |
90.00 |
-10.00% |
$10.00 |
0.00% |
80.00 |
-20.00% |
$9.00 |
-10.00% |
70.00 |
-30.00% |
$8.00 |
-20.00% |
60.00 |
-40.00% |
$7.00 |
-30.00% |
50.00 |
-50.00% |
$6.00 |
-40.00% |
25.00 |
-75.00% |
$3.50 |
-65.00% |
0.00 |
-100.00% |
$1.00 |
-90.00% |
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 Basket increases from the
Initial Basket Value to the Final Basket Value by 2%. Because the Basket Return is positive, we will pay you an amount based upon
the lesser of the Upside Gearing times the Basket Return and the hypothetical Maximum Gain. Since the Upside Gearing times the
Basket Return of 2% is less than the hypothetical Maximum Gain, we will pay you at maturity a cash payment of $10.40 per Security (a return
of 4%), calculated as follows:
$10 + ($10 × 2.0 × 2%) = $10 + $0.40
= $10.40
Example 2 — The value of the Basket increases from the
Initial Basket Value to the Final Basket Value by 30%. Because the Basket Return is positive, we will pay you an amount based upon
the lesser of the Upside Gearing times the Basket Return and the hypothetical Maximum Gain. Since the Upside Gearing times the
Basket Return of 30% is greater than the hypothetical Maximum Gain, we will pay you at maturity a cash payment of $14.40 per Security
(a return of 44%), calculated as follows:
$10 + ($10 × 44.00%) = $10 + $4.40 = $14.40
Example 3
— The value of the Basket decreases from the Initial Basket Value to the Final Basket Value by 10%. Because the Basket
Return is negative, but the Final Basket Value is greater than or equal to the Downside Threshold, we will pay you at maturity $10.00
per Security (a return of 0%).
Example 4
— The value of the Basket decreases from the Initial Basket Value to the Final Basket Value by 50%. Because the Basket
Return is -50%, which is negative, and the Final Basket Value is less than the Downside Threshold, we will pay you at maturity a cash
payment of $6.00 per Security (a 40% loss on the principal amount), calculated as follows:
$10 + [$10 × (-50% + 10%)] = $10 + -$4 = $6.00
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 Basket Underlyings. 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 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 Basket Underlyings |
The Basket Underlyings are 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 Basket Underlying 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.
Basket Underlyings |
Exchange Ticker |
Exchange |
SEC File Number |
Common stock of Array Technologies, Inc. |
ARRY |
Nasdaq Stock Market |
001-39613 |
Class C common stock of Clearway Energy, Inc. |
CWEN |
New York Stock Exchange |
001-36002 |
Common stock of Enphase Energy, Inc. |
ENPH |
Nasdaq Stock Market |
001-35480 |
Class A common stock of Fluence Energy, Inc. |
FLNC |
Nasdaq Stock Market |
001-40978 |
Common stock of First Solar, Inc. |
FSLR |
Nasdaq Stock Market |
001-33156 |
Common stock of GE Vernova Inc. |
GEV |
New York Stock Exchange |
001-41966 |
Common stock of Generac Holdings Inc. |
GNRC |
New York Stock Exchange |
001-34627 |
Common stock of Hannon Armstrong Sustainable Infrastructure Capital, Inc. |
HASI |
New York Stock Exchange |
001-35877 |
Common stock of MasTec, Inc. |
MTZ |
New York Stock Exchange |
001-08106 |
Common stock of NextEra Energy, Inc. |
NEE |
New York Stock Exchange |
001-08841 |
Class A common stock of Nextracker Inc. |
NXT |
Nasdaq Stock Market |
001-41617 |
Common stock of Ormat Technologies, Inc. |
ORA |
New York Stock Exchange |
001-32347 |
Common stock of Primoris Services Corporation |
PRIM |
New York Stock Exchange |
001-34145 |
Common stock of Quanta Services, Inc. |
PWR |
New York Stock Exchange |
001-13831 |
Class A common stock of Shoals Technologies Group, Inc. |
SHLS |
Nasdaq Stock Market |
001-39942 |
According to publicly available information:
| ¨ | Array Technologies, Inc. is a manufacturer of ground-mounting tracking systems used in utility and distributed
generation solar energy projects. |
| ¨ | Clearway Energy, Inc., together with its subsidiaries, is an energy infrastructure investor in clean energy
and owner of infrastructure assets in the renewable energy sector. |
| ¨ | Enphase Energy, Inc. is an energy technology company that delivers products and services that manage solar
generation, storage and communication. |
| ¨ | Fluence Energy, Inc. is a provider of energy storage products and solutions, services, and optimization
software for renewables and storage. |
| ¨ | First Solar, Inc. is a solar technology company and provider of photovoltaic solar energy products and
services. |
| ¨ | GE Vernova Inc. is an electric power company that provides products and services that generate, transfer,
orchestrate, convert, and store electricity. |
| ¨ | Generac Holdings Inc. is an energy technology solutions company that provides backup and prime power generation
systems for residential and commercial & industrial applications, solar and battery storage systems, energy monitoring & management
devices and services and engine- & battery-powered tools and equipment. |
| ¨ | Hannon Armstrong Sustainable Infrastructure Capital, Inc. is an investment firm that partners with clients
to deploy real assets that facilitate the energy transition. |
| ¨ | MasTec, Inc. is an infrastructure construction company whose activities primarily include the engineering,
building, installation, maintenance and upgrade of communications, energy, utility and other infrastructure. |
| ¨ | NextEra Energy, Inc. is an electric power and energy infrastructure company in the renewable energy industry. |
| ¨ | Nextracker Inc. is a provider of intelligent, integrated solar tracker and software solutions used in
utility-scale and distributed generation solar projects. |
| ¨ | Ormat Technologies, Inc. is a company that is primarily engaged in the geothermal energy power business. |
| ¨ | Primoris Services Corporation is a provider of infrastructure services that provides construction, maintenance,
replacement, fabrication, and engineering services through its two segments: Utilities and Energy. |
| ¨ | Quanta Services, Inc. is a provider of infrastructure products and services for the electric and gas utility,
renewable energy, communications, pipeline and energy industries. |
| ¨ | Shoals Technologies Group, Inc. is a provider of electrical balance of system products, services and components
for solar, battery storage and electric vehicle charging applications. |
Historical Information
The following graphs set forth historical closing values of the Basket
Underlyings for the period from January 1, 2014 (or from the initial listing date, if later) through June 18, 2024. We obtained the information
in the graphs from Bloomberg Financial Markets, without independent investigation. The
historical performance of each Basket Underlying should not be taken as an indication of its future performance. We cannot give you assurance
that the performance of the Basket Underlyings will result in the return of all of your initial investment.
Common Stock of Array Technologies, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Class C Common Stock of Clearway Energy, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of Enphase Energy, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Class A Common Stock of Fluence Energy, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of First Solar, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of GE Vernova Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of Generac Holdings Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of Hannon Armstrong Sustainable
Infrastructure Capital, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of MasTec, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of NextEra Energy, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Class A Common Stock of Nextracker Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of Ormat Technologies, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of Primoris Services Corporation
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of Quanta Services, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Class A Common Stock of Shoals Technologies Group,
Inc.
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.
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. For a period of approximately three 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 our hedging costs and profits; however, the value
of the Securities shown on your account statement during that period may initially be a higher amount, reflecting the addition of our
estimated costs and profits from hedging the Securities. This 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 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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