Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-275898
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Pricing Supplement
Dated May 15, 2024
To the Product Prospectus Supplement CCBN-2, the Prospectus Supplement and the Prospectus, Each Dated December
20, 2023
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$2,168,000
Contingent Coupon Buffer Notes Linked to the Lesser
Performing of Two Equity Indices Due May 20, 2027
Royal Bank of Canada
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Reference Assets
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Initial Levels
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Buffer Levels and Coupon Barriers*
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Russell 2000® Index (“RTY”)
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2,109.459
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1,582.094, which is 75% of the Initial Level
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S&P 500® Index (“SPX”)
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5,308.15
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3,981.11, which is 75% 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 15, 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 20, 2024
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Maturity Date:
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May 20, 2027
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Observation Dates:
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Quarterly, as set forth below
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Coupon Payment Dates:
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Quarterly, as set forth below
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Valuation Date:
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May 17, 2027
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Contingent Coupon Rate:
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7.15% per annum
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Initial Level:
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For each Reference Asset, its closing level on the Trade Date, as set forth in the table above.
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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 applicable
to that Observation Date. You may not receive any Contingent Coupons during the term of the Notes.
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Payment at 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 Buffer Level.
If the Final Level of the Lesser Performing Reference Asset is less than its Buffer 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 + 25%)]
Investors could lose a significant portion of the principal amount if the Final Level of the Lesser Performing Reference Asset is less than its Buffer
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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78017FXJ7
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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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$2,168,000
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Underwriting discounts and commissions(1)
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0.50%
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$10,840
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Proceeds to Royal Bank of Canada
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99.50%
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$2,157,160
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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General:
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This pricing supplement relates to an offering of Contingent Coupon Buffer Notes (the “Notes”) linked to the lesser performing of two equity indices.
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Reference Assets:
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The Russell 2000® Index ("RTY") and the S&P 500® Index ("SPX").
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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 15, 2024
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Issue Date:
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May 20, 2024
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Valuation Date:
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May 17, 2027
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Maturity Date:
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May 20, 2027
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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 Reference Asset 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 quarterly periods during the term of the Notes.
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Contingent Coupon Rate:
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7.15% per annum (1.7875% per quarter).
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Observation Dates and
Coupon Payment Dates:
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Quarterly, as set forth in the table below.
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Observation Dates:
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Coupon Payment Dates:
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August 15, 2024
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August 20, 2024
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November 15, 2024
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November 20, 2024
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February 18, 2025
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February 21, 2025
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May 15, 2025
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May 20, 2025
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August 15, 2025
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August 20, 2025
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November 17, 2025
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November 20, 2025
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February 17, 2026
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February 20, 2026
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May 15, 2026
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May 20, 2026
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August 17, 2026
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August 20, 2026
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November 16, 2026
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November 19, 2026
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February 16, 2027
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February 19, 2027
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May 17, 2027
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May 20, 2027
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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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Early Redemption:
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The Notes are not subject to redemption prior to maturity, whether at our option, or based on the closing level of the Lesser Performing Reference Asset.
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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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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Buffer Level and Coupon
Barrier:
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For each Reference Asset, 75% of its Initial Level, as set forth on the cover page of this pricing supplement.
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Buffer Percentage: |
25% |
Payment at Maturity (if
held to maturity):
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If the Final Level of each Reference Asset is greater than or equal to the Buffer Level then the investor will receive at maturity a cash payment equal to the Principal Amount plus the
Contingent Coupon otherwise due on the Maturity Date.
If the Final Level of the Lesser Performing Reference Asset is less than the Buffer Level, then the investor will receive at maturity a cash payment equal to:
Principal Amount + [Principal Amount × (Percentage Change + Buffer Percentage)].
Investors in the Notes will lose some or a significant portion of their principal amount if the Final Level of the Lesser Performing Reference Asset
is less than its Buffer Level.
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Percentage Change:
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With respect to each Reference Asset:
Final Level - Initial Level
Initial Level
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Stock Settlement:
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Not applicable. Payments on the Notes will be made solely in cash.
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Lesser Performing
Reference Asset:
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The Reference Asset which has the lowest Percentage Change.
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Calculation Agent:
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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 Notes as a pre-paid
cash-settled derivative contract 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 our
counsel 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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Clearance and
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 dated December 20,
2023).
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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 Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Hypothetical Initial Level (for each Reference Asset):
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100.00*
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Hypothetical Buffer Level and Coupon Barrier (for each Reference Asset):
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75% of the hypothetical Initial Level
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Contingent Coupon Rate:
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7.15% per annum (or 1.7875% per quarter)
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Contingent Coupon Amount:
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$17.875 per quarter
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Observation Dates:
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Quarterly
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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
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Cash Payment Amount per $1,000 in
Principal Amount
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130.00
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101.7875%*
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$1,017.875*
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120.00
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101.7875%*
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$1,017.875*
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110.00
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101.7875%*
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$1,017.875*
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100.00
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101.7875%*
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$1,017.875*
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90.00
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101.7875%*
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$1,017.875*
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80.00
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101.7875%*
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$1,017.875*
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75.00
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101.7875%*
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$1,017.875*
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70.00
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95.00%
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$950.000
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60.00
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85.00%
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$850.000
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50.00
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75.00%
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$750.000
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40.00
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65.00%
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$650.000
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30.00
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55.00%
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$550.000
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20.00
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45.00%
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$450.000
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10.00
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35.00%
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$350.000
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0.00
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25.00%
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$250.000
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Example 1 —
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Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is positive.
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Percentage Change:
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30%
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Payment at Maturity:
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At maturity, if the Percentage Change of the Lesser Performing Reference Asset is positive AND its Final Level is greater than its Buffer Level and Coupon Barrier,
then the Payment at Maturity will equal the principal amount.
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On a $1,000 investment, a Percentage Change of 30% in the Lesser Performing Reference Asset results in a Payment at Maturity, in addition to the final Contingent
Coupon, of $1,000, a return of 0% on the Notes.
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Example 2 —
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Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is negative (but its Final Level is greater than its Buffer
Level and Coupon Barrier).
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Percentage Change:
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-20%
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Payment at Maturity:
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At maturity, if the Percentage Change of the Lesser Performing Reference Asset is negative BUT its Final Level is greater than its Buffer Level and Coupon Barrier,
then the Payment at Maturity will equal the principal amount.
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On a $1,000 investment, a Percentage Change of -20% in the Lesser Performing Reference Asset results in a Payment at Maturity, in addition to the final Contingent
Coupon, of $1,000, a return of 0% on the Notes.
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Example 3 —
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Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is negative (and its Final Level is less than its Buffer
Level and Coupon Barrier).
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Percentage Change:
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-30%
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Payment at Maturity:
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$1,000 + [$1,000 x (-30% + 25%)] = $950.00
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On a $1,000 investment, a Percentage Change of the Lesser Performing Reference Asset of -30% results in a Payment at Maturity of $950, a return of -5% on the Notes.
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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You May Not Receive the Full 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. You will lose 1% of the principal amount of the Notes for each 1% that the Final Level is less than the Initial Level by
more than the Buffer Percentage.
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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 Lesser Performing Reference Asset 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 the Lesser Performing
Reference Asset 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 Index will be less than its Buffer Level.
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The Contingent Coupon Feature Limit 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 the Reference Assets.
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Your Payment at Maturity Will Be Determined Solely by Reference to the Lesser Performing Reference Asset Even if the Other Reference Asset Performs Better –
Your Payment at Maturity will be determined solely by reference to the performance of the Lesser Performing Reference Asset. 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. 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. Because each Reference Asset tracks a
different segment of the U.S. equities market, they may each decrease in a comparable manner.
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Your Return on the Notes 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.
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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 Coupon, if payable, and the amount due on any relevant payment date is dependent upon our ability
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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The Payments on the Notes Are Subject to Postponement Due to Market Disruption Events and Adjustments — The Payment at
Maturity 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.
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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 ask prices for your Notes in any secondary market could be substantial.
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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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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
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Owning the Notes Is Not the Same as Owning the Reference Assets — The return on your Notes is unlikely to reflect the
return you would realize if you actually owned the Reference Assets. For instance, you will not receive or be entitled to receive any dividend payments or other distributions on the Reference Assets 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 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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You Will Not Have Any Rights to the Securities Included in the Reference Asset — As a holder of the Notes, you will
not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities included in the Reference Assets would have. The Final Level will not reflect any dividends paid on the
securities included in the Reference Assets, and accordingly, any positive return on the Notes may be less than the potential positive return on those securities.
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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.
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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Contingent Coupon Buffer Notes Linked to the
Lesser Performing of Two Equity Indices
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P-21
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RBC Capital Markets, LLC
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