Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-275898
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Pricing Supplement
Dated May 10, 2024
To the Product Prospectus Supplement No. CCBN-2, the Prospectus Supplement and the Prospectus, Each Dated December 20, 2023
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$5,919,000
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices, Due May 15, 2028 Royal Bank of Canada |
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Reference Assets
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Initial Levels
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Coupon Barriers and Trigger Levels*
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S&P 500® Index (“SPX”)
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5,222.68
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3,394.74, which is 65% of the Initial Level
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Russell 2000® Index (“RTY”)
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2,059.778
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1,338.856, which is 65% of the Initial Level
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Issuer:
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Royal Bank of Canada
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Stock Exchange Listing:
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None
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Trade Date:
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May 10, 2024
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Principal Amount:
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$1,000 per Note
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Issue Date:
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May 15, 2024
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Maturity Date:
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May 15, 2028
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Observation Dates:
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Monthly, as set forth below.
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Coupon Payment Dates:
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Monthly, as set forth below.
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Valuation Date:
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May 10, 2028
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Contingent Coupon Rate:
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7.80% per annum
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Final Level:
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For each Reference Asset, its closing level on the Valuation Date.
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Contingent Coupon:
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If the closing level of each Reference Asset is greater than or equal to its Coupon Barrier on the applicable Observation Date, we
will pay the Contingent Coupon on the applicable Coupon Payment Date. You may not receive any Contingent Coupons during the term of the Notes.
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Payment at Maturity (if
held to maturity):
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We will pay you at maturity an amount based on the Final Level of the Lesser Performing Reference Asset:
For each $1,000 in principal amount, $1,000 plus the final Contingent Coupon, unless the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level.
If the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level, then the investor will receive at maturity, for each $1,000 in principal amount, a cash payment
equal to:
$1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset)
Investors could lose some or all of the principal amount if the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level.
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Lesser Performing
Reference Asset:
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The Reference Asset with the lowest Percentage Change.
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CUSIP:
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78017FW33
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Per Note
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Total
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Price to public
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100.00%
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$5,919,000
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Underwriting discounts and commissions(1)
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0.00%
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$0
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Proceeds to Royal Bank of Canada
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100.00%
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$5,919,000
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|
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Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
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General:
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This pricing supplement relates to an offering of Contingent Coupon Barrier Notes (the “Notes”) linked to the lesser performing of two equity indices
(the “Reference Assets”).
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Reference Assets:
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The S&P 500® Index (“SPX”) and the Russell 2000® Index (“RTY”)
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Issuer:
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Royal Bank of Canada (the “Bank”)
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Trade Date:
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May 10, 2024
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Issue Date:
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May 15, 2024
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Valuation Date:
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May 10, 2028
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Maturity Date:
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May 15, 2028
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Denominations:
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Minimum denomination of $1,000, and integral multiples of $1,000 thereafter.
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Contingent Coupon:
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We will pay you a Contingent Coupon during the term of the Notes, periodically in arrears on each Coupon Payment Date, under the conditions described below:
• If the closing level of each Reference Asset is greater than or equal to its Coupon Barrier on the applicable Observation Date, we will pay the Contingent Coupon
applicable to that Observation Date.
• If the closing level of either of the Reference Assets is less than its Coupon Barrier on the applicable Observation Date, we will not pay you the Contingent Coupon
applicable to that Observation Date.
You may not receive a Contingent Coupon for one or more monthly periods during the term of the Notes.
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Contingent Coupon
Rate:
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7.80% per annum (0.65% per Coupon Payment Date)
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Observation Dates and Coupon Payment
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Monthly, as set forth in the table below:
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Dates: |
Observation Dates:
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Coupon Payment Dates:
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June 10, 2024
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June 13, 2024
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July 10, 2024
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July 15, 2024
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August 12, 2024
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August 15, 2024
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September 10, 2024
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September 13, 2024
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October 10, 2024
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October 16, 2024
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November 11, 2024
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November 14, 2024
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December 10, 2024
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December 13, 2024
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January 10, 2025
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January 15, 2025
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February 10, 2025
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February 13, 2025
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March 10, 2025
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March 13, 2025
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April 10, 2025
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April 15, 2025
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May 12, 2025
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May 15, 2025
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June 10, 2025
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June 13, 2025
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July 10, 2025
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July 15, 2025
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August 11, 2025
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August 14, 2025
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September 10, 2025
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September 15, 2025
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|
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Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
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October 10, 2025
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October 16, 2025
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November 10, 2025
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November 14, 2025
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December 10, 2025
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December 15, 2025
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January 12, 2026
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January 15, 2026
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February 10, 2026
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February 13, 2026
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March 10, 2026
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March 13, 2026
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April 10, 2026
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April 15, 2026
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May 11, 2026
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May 14, 2026
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June 10, 2026
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June 15, 2026
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July 10, 2026
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July 15, 2026
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August 10, 2026
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August 13, 2026
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September 10, 2026
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September 15, 2026
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October 12, 2026
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October 15, 2026
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||||
November 10, 2026
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November 16, 2026
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December 10, 2026
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December 15, 2026
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January 11, 2027
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January 14, 2027
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February 10, 2027
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February 16, 2027
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||||
March 10, 2027
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March 15, 2027
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||||
April 12, 2027
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April 15, 2027
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May 10, 2027
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May 13, 2027
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||||
June 10, 2027
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June 15, 2027
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||||
July 12, 2027
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July 15, 2027
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||||
August 10, 2027
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August 13, 2027
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September 10, 2027
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September 15, 2027
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October 11, 2027
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October 14, 2027
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November 10, 2027
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November 16, 2027
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December 10, 2027
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December 15, 2027
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January 10, 2028
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January 13, 2028
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February 10, 2028
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February 15, 2028
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March 10, 2028
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March 15, 2028
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April 10, 2028
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April 13, 2028
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May 10, 2028
(the Valuation Date)
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May 15, 2028
(the Maturity Date)
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Record Dates:
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The record date for each Coupon Payment Date will be one business day prior to that scheduled Coupon Payment Date; provided, however, that any Contingent Coupon payable at
maturity will be payable to the person to whom the payment at maturity will be payable.
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Initial Level:
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For each Reference Asset, its closing level on the Trade Date, as set forth on the cover page of this pricing supplement.
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Final Level:
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For each Reference Asset, its closing level on the Valuation Date.
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Coupon Barrier and Trigger Level:
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For each Reference Asset, 65% of its Initial Level, as set forth on the cover page of this pricing supplement.
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|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
Payment at Maturity (if
held to maturity):
|
We will pay you at maturity an amount based on the Final Level of the Lesser Performing Reference Asset:
1. If the Final Level of the Lesser Performing Reference Asset is greater than or equal to its Trigger Level, we will pay you a cash payment equal to the principal amount,
plus the final Contingent Coupon.
2. If the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level, you will receive at maturity, for each $1,000 in principal amount, a cash
payment equal to:
$1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset)
The amount of cash that you receive in this case will be less than your principal amount, if anything, resulting in a loss that is proportionate to the decline of the
Lesser Performing Reference Asset from the Trade Date to the Valuation Date. Investors in the Notes could lose some or all of the principal amount if the Final Level of the Lesser Performing Reference
Asset is less than its Trigger Level.
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Percentage Change:
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With respect to each Reference Asset:
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Lesser Performing
Reference Asset:
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The Reference Asset with the lowest Percentage Change.
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Early Call:
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The Notes are not subject to an automatic call, or to a call at our option.
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Market Disruption
Events:
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The occurrence of a market disruption event (or a non-trading day) as to either of the Reference Assets will result in the postponement of an
Observation Date or the Valuation Date as to that Reference Asset, as described in the product prospectus supplement, but not to any non-affected Reference Asset.
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Calculation Agent:
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RBC Capital Markets, LLC (“RBCCM”)
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U.S. Tax Treatment:
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By purchasing a Note, each holder agrees (in the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to
treat the Note as a pre-paid cash-settled contingent income-bearing derivative contract linked to the Reference Assets for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the
Notes are uncertain and the Internal Revenue Service could assert that the Notes should be taxed in a manner that is different from that described in the preceding sentence. Please see the section below, “Supplemental Discussion of U.S.
Federal Income Tax Consequences,” and the discussion (including the opinion of Ashurst LLP, our special U.S. tax counsel) in the product prospectus supplement dated December 20, 2023 under “Supplemental Discussion of U.S. Federal Income
Tax Consequences,” which apply to the Notes.
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Secondary Market:
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RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary market in the Notes after the issue date. The amount that
you may receive upon sale of your Notes prior to maturity may be less than the principal amount.
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Listing:
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The Notes will not be listed on any securities exchange.
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Settlement:
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DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as described under “Ownership and Book-Entry Issuance”
in the prospectus).
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Terms Incorporated in
the Master Note:
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All of the terms appearing on the cover page and above the item captioned “Secondary Market” in this section and the terms appearing under the caption “General Terms of the Notes”
in the product prospectus supplement, as modified by this pricing supplement.
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|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
Hypothetical Initial Level (for each Reference Asset):
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100.00*
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Hypothetical Trigger Level and Coupon Barrier (for each Reference Asset):
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65% of each hypothetical Initial Level
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Contingent Coupon Rate:
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7.80% per annum (0.65% per Coupon Payment Date)
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Contingent Coupon Amount:
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$6.50 per Coupon Payment Date
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Observation Dates:
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Monthly
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Principal Amount:
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$1,000 per Note
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Hypothetical Final Level of the Lesser
Performing Reference Asset
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Payment at Maturity as
Percentage of Principal Amount
|
Cash Payment Amount per
$1,000 in Principal Amount
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130.00
|
100.65%*
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$1,006.50*
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120.00
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100.65%*
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$1,006.50*
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110.00
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100.65%*
|
$1,006.50*
|
100.00
|
100.65%*
|
$1,006.50*
|
90.00
|
100.65%*
|
$1,006.50*
|
80.00
|
100.65%*
|
$1,006.50*
|
70.00
|
100.65%*
|
$1,006.50*
|
65.00
|
100.65%*
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$1,006.50*
|
64.99
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64.99%
|
$649.90
|
60.00
|
60.00%
|
$600.00
|
50.00
|
50.00%
|
$500.00
|
40.00
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40.00%
|
$400.00
|
30.00
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30.00%
|
$300.00
|
20.00
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20.00%
|
$200.00
|
10.00
|
10.00%
|
$100.00
|
0.00
|
0.00%
|
$0.00
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
• |
You May Receive Less than the Principal Amount at Maturity — Investors in the Notes could lose all or a substantial portion of their principal amount if there is a
decline in the level of the Lesser Performing Reference Asset between the Trade Date and the Valuation Date. If the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level, the amount of cash that you receive
at maturity will represent a loss of your principal that is proportionate to the decline in the closing level of the Lesser Performing Reference Asset from the Trade Date to the Valuation Date. Any Contingent Coupons received on the
Notes on or prior to the Maturity Date may not be sufficient to compensate for any such loss.
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• |
You May Not Receive Any Contingent Coupons — We will not necessarily make any coupon payments on the Notes. If the closing level of either of the Reference Assets on
an Observation Date is less than its Coupon Barrier, we will not pay you the Contingent Coupon applicable to that Observation Date. If the closing level of either of the Reference Assets is less than its Coupon Barrier on each of the
Observation Dates and on the Valuation Date, we will not pay you any Contingent Coupons during the term of, and you will not receive a positive return on your Notes. This non-payment of the Contingent Coupon will coincide with the risk
of principal loss on your Notes. Accordingly, if we do not pay the Contingent Coupon on the Maturity Date, you will also incur a loss of principal, because the Final Level of the Lesser Performing Reference Asset will be less than its
Trigger Level.
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• |
The Notes Are Linked to the Lesser Performing Reference Asset, Even if the Other Reference Asset Performs Better — Your return on the Notes will be linked to the
lesser performing of the Reference Assets. Even if the Final Level of the other Reference Asset has increased compared to its Initial Level, or has experienced a decrease that is less than that of the Lesser Performing Reference Asset,
your return will only be determined by reference to the performance of the Lesser Performing Reference Asset, regardless of the performance of the other Reference Asset. Because each Reference Asset tracks a different segment of the
U.S. securities markets, it is possible that both Reference Assets will decline in value during the term of the Notes.
|
• |
Your Payment on the Notes Will Be Determined by Reference to Each Reference Asset Individually, Not to a Basket, and the Payment at Maturity Will Be Based on the Performance
of the Lesser Performing Reference Asset — The Payment at Maturity will be determined only by reference to the performance of the Lesser Performing Reference Asset, regardless of the performance of the other Reference Asset.
The Notes are not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components. For example, in the case of notes linked to a weighted basket, the return would depend on the
weighted aggregate performance of the basket components reflected as the basket return. As a result, the depreciation of one basket component could be mitigated by the appreciation of the other basket component, as scaled by the
weighting of that basket component. However, in the case of the Notes, the individual performance of each of the Reference Assets would not be combined, and the depreciation of one Reference Asset would not be mitigated by any
appreciation of the other Reference Asset. Instead, your return will depend solely on the Final Level of the Lesser Performing Reference Asset.
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• |
The Contingent Coupon Feature Limits Your Potential Return — The return potential of the Notes is limited to the pre-specified Contingent Coupon Rate, regardless of
the appreciation of the Reference Assets. In addition, the total return on the Notes will vary based on the number of Observation Dates on which the Contingent Coupon becomes payable prior to maturity. As a result, the return on an
investment in the Notes could be less than the return on a direct investment in securities included in the Reference Assets.
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• |
Your Return May Be Lower than the Return on a Conventional Debt Security of Comparable 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.
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
• |
Owning the Notes Is Not the Same as Owning the Securities Represented by the Reference Assets — The return on your Notes is unlikely to reflect the return you would
realize if you actually owned the securities represented by the Reference Assets. For instance, you will not receive or be entitled to receive any dividend payments or other distributions on those securities during the term of your
Notes. As an owner of the Notes, you will not have voting rights or any other rights that holders of the securities represented by the Reference Assets may have. Furthermore, the Reference Assets may appreciate substantially during the
term of the Notes, while your potential return will be limited to the applicable Contingent Coupon payments.
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• |
Payments on the Notes Are Subject to Our Credit Risk, and Changes in Our Credit Ratings Are Expected to Affect the Market Value of the Notes — The Notes are our senior
unsecured debt securities. As a result, your receipt of any Contingent Coupons, if payable, and the amount due on any relevant payment date is dependent upon our ability to repay our obligations on the applicable payment dates. This
will be the case even if the levels of the Reference Assets increase after the Trade Date. No assurance can be given as to what our financial condition will be at any time during the term of the Notes.
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• |
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. RBCCM or any of our other affiliates may stop any market-making
activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We expect that transaction costs in any secondary market would be high. As a
result, the difference between bid and asked prices for your Notes in any secondary market could be substantial.
|
• |
The Initial Estimated Value of the Notes that Is Set Forth on the Cover Page of this Pricing Supplement Is an Estimate Only, Calculated as of the Time the Terms of the Notes
Were Set — 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 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.
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|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
• |
Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the Reference Assets that are not
for the account of holders of the Notes or on their behalf. These trading activities may present a conflict between the holders’ interests in the Notes and the interests we and our affiliates will have in their proprietary accounts, in
facilitating transactions, including options and other derivatives transactions, for their customers and in accounts under their management. These trading activities, if they influence the levels of the Reference Assets, could be
adverse to the interests of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with companies included in the Reference Assets, including making loans to or providing
advisory services. These services could include investment banking and merger and acquisition advisory services. These activities may present a conflict between our or one or more of our affiliates’ obligations and your interests as a
holder of the Notes. Moreover, we and our affiliates may have published, and in the future expect to publish, research reports with respect to the Reference Assets. This research is modified from time to time without notice and may
express opinions or provide recommendations that are inconsistent with purchasing or holding the Notes. Any of these activities by us or one or more of our affiliates may affect the levels of the Reference Assets, and therefore, the
market value of the Notes.
|
• |
The Payments on the Notes Are Subject to Market Disruption Events and Adjustments — The payment at maturity, each Observation
Date and the Valuation Date are subject to adjustment as described in the product prospectus supplement. For a description of what constitutes a market disruption event as well as the consequences of that market disruption event, see
“General Terms of the Notes—Market Disruption Events” in the product prospectus supplement.
|
• |
An Investment in Notes Linked to the RTY Is Subject to Risks Associated in Investing in Stocks With a Small Market Capitalization — The RTY consists of stocks issued by
companies with relatively small market capitalizations. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies. As a result, the level of the RTY may be
more volatile than that of a market measure that does not track solely small-capitalization stocks. Stock prices of small-capitalization companies are also generally more vulnerable than those of large-capitalization companies to
adverse business and economic developments, and the stocks of small-capitalization companies may be thinly traded, and be less attractive to many investors if they do not pay dividends. In addition, small capitalization companies are
often less well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of those individuals. Small capitalization companies tend
to have lower revenues, less diverse product lines, smaller shares of their target markets, fewer financial resources and fewer competitive strengths than large-capitalization companies. These companies may also be more susceptible to
adverse developments related to their products or services.
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|
|
|
Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity Indices
Royal Bank of Canada
|