June 2024
MSELN583-TPX
Registration Statement No. 333-275898
Preliminary Pricing Supplement
Dated June 14, 2024
Filed Pursuant to Rule 424(b)(2)
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SUMMARY TERMS
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Issuer:
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Royal Bank of Canada
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Underlying index:
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The TOPIX® (Bloomberg symbol: “TPX Index”)
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Aggregate principal amount:
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$4,246,000
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Stated principal amount:
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$1,000 per Trigger PLUS
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Issue price:
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$1,000 per Trigger PLUS
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Pricing date:
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June 14, 2024
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Issue date:
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June 20, 2024
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Valuation date:
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June 30, 2027, subject to adjustment as described below
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Maturity date:
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July 6, 2027, subject to adjustment as described below
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Payment at maturity:
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If the final index level is greater than the initial index level,
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$1,000 + $1,000 x leverage factor x underlying index return
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If the final index level is less than or equal to the initial index level but is greater than or equal to the trigger level,
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$1,000
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If the final index level is less than the trigger level,
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$1,000 + $1,000 × underlying index return
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Under these circumstances, the payment at maturity will be less than $800. You will lose at least 20% and possibly all of the stated principal amount if the final index level is less than the
trigger level.
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Leverage factor:
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193.00%
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Underlying index return:
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(final index level – initial index level) / initial index level
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Trigger level:
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2,197.29, which is 80% of the initial index level (rounded to two decimal places)
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Initial index level:
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2,746.61, which was the closing level of the underlying index on the pricing date
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Final index level:
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The closing level of the underlying index on the valuation date
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CUSIP / ISIN:
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78017G3F6 / US78017G3F66
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Listing:
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The Trigger PLUS will not be listed on any securities exchange.
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Agent:
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RBC Capital Markets, LLC (“RBCCM”).
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Commissions and issue price:
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Price to public
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Agent's commissions
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Proceeds to issuer
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Per Trigger PLUS
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$1,000.00
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$25.00(1)
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$5.00(2)
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$970.00
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Total
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$4,246,000
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$106,150
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$4,118,620
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$21,230
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(1) |
RBCCM, acting as agent for Royal Bank of Canada, will receive a fee of $30.00 per $1,000 stated principal amount and will pay to Morgan Stanley Wealth Management (“MSWM”) a fixed
sales commission of $25.00 for each Trigger PLUS that MSWM sells. See “Supplemental Information Regarding Plan of Distribution; Conflicts of Interest.”
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(2) |
Of the amount per $1,000 stated principal amount received by RBCCM, acting as agent for Royal Bank of Canada, RBCCM will pay MSWM a structuring fee of $5.00 for each Trigger PLUS.
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
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◾ |
As an alternative to direct exposure to the underlying index that enhances returns for a certain range of positive performance of the underlying index.
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To potentially enhance returns and outperform the underlying index in a moderately bullish scenario.
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To achieve similar levels of upside exposure to the underlying index as a direct investment, while using fewer dollars by taking advantage of the leverage factor.
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To avoid loss in the event of a decline of the underlying index as of the valuation date, but only if the final index level is greater than or equal to the trigger level.
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Maturity:
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Approximately three years
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Leverage factor:
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193.00% (applicable only if the final index level is greater than the initial index level)
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Trigger level:
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80% of the initial index level
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Minimum payment at maturity:
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None. Investors may lose their entire initial investment in the Trigger PLUS.
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Coupon:
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None
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
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Leveraged Upside
Performance
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The Trigger PLUS offer investors an opportunity to receive a leveraged upside performance return linked to a direct investment in the underlying index within a certain range of positive performance.
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Upside Scenario
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The level of the underlying index increases and, at maturity, we will pay the stated principal amount of $1,000 plus 193.00% of the underlying index return.
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Par Scenario
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The level of the underlying index does not change or declines but the final index level is greater than or equal to the trigger level. In this case, at maturity, we will pay the stated principal amount of $1,000
per Trigger PLUS.
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Downside Scenario
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The final index level is less than the trigger level, and, at maturity, we will pay less than the stated principal amount by an amount that is proportionate to the percentage decrease in the level of the
underlying index from the initial index level. Under these circumstances, the payment at maturity will be less than $800 per security. For example, if the final index level is 50% less than the initial index level, the securities will be
redeemed at maturity for a loss of 50% of principal at $500 per security, or 50% of the stated principal amount. There is no minimum payment at maturity on the securities, and you could lose your entire investment.
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
• |
Prospectus dated December 20, 2023:
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• |
Prospectus Supplement dated December 20, 2023:
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
Stated principal amount:
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$1,000 per Trigger PLUS
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Leverage factor:
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193.00%
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Trigger level:
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80% of the initial index level
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Minimum payment at maturity:
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None
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Trigger PLUS Payoff Diagram
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■ The Trigger PLUS
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■ The Underlying Index
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Upside Scenario. If the final index level is greater than the initial index level, then investors would receive the $1,000 stated principal amount plus
a return reflecting 193.00% of the appreciation of the underlying index over the term of the Trigger PLUS.
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If the underlying index appreciates 10%, the investor would receive a 19.30% return, or $1,193.00 per Trigger PLUS, or 119.30% of the stated principal amount.
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Par Scenario. If the final index level is less than the initial index level, but has not decreased by more than 20%, the investor will receive the
principal amount.
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Downside Scenario. If the final index level is less than the trigger level, the investor would receive an amount
that is less than the $1,000 stated principal amount, based on a 1% loss of principal for each 1% decline in the underlying index. Under these circumstances, the payment at maturity will be less than $800 per Trigger PLUS. There is no
minimum payment at maturity on the Trigger PLUS.
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If the level of the underlying index depreciates by 50%, the investor would lose 50% of the investor’s principal and receive only $500 per Trigger PLUS at maturity, or 50% of the stated principal amount.
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
◾ |
The Trigger PLUS do not pay interest and you may lose all or a portion of the principal amount at maturity. The terms of the Trigger PLUS differ from those of ordinary
debt securities in that the Trigger PLUS do not pay interest, and you may lose some or all of the principal amount at maturity. If the final index level has declined from the initial index level by an amount greater than 20%, the payout at
maturity will be an amount in cash that is less than the $1,000 stated principal amount of each Trigger PLUS by an amount proportionate to the decrease in the level of the underlying index. You may lose the entire principal amount of the
Trigger PLUS.
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The Trigger PLUS are subject to the credit risk of Royal Bank of Canada, and any actual or anticipated changes to its credit ratings or credit spreads may adversely affect the
market value of the Trigger PLUS. You are dependent on Royal Bank of Canada’s ability to pay all amounts due on the Trigger PLUS at maturity and therefore you are subject to the credit risk of Royal Bank of Canada. If Royal Bank of
Canada defaults on its obligations under the Trigger PLUS, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the Trigger PLUS prior to maturity will be affected by changes
in the market’s view of Royal Bank of Canada’s creditworthiness. Any actual or anticipated decline in Royal Bank of Canada’s credit ratings or increase in the credit spreads charged by the market for taking Royal Bank of Canada credit risk
is likely to adversely affect the market value of the Trigger PLUS.
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The amount payable on the Trigger PLUS is not linked to the level of the underlying index at any time other than the valuation date. The final index level will be based on
the closing level of the underlying index on the valuation date, subject to adjustment for non-trading days and certain market disruption events. For example, even if the level of the underlying index appreciates prior to the valuation date
but then decreases on the valuation date to a level that is less than the initial index level, the payment at maturity will be less, and may be significantly less than it would have been had the payment at maturity been linked to the level
of the underlying index prior to that decrease. Although the actual level of the underlying index on the maturity date or at other times during the term of the Trigger PLUS may be higher than the final index level, the payment at maturity
will be based solely on the closing level of the underlying index on the valuation date.
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Investing in the Trigger PLUS is not equivalent to investing in the underlying index. Investing in the Trigger PLUS is not equivalent to investing in the underlying index
or its component stocks. Investors in the Trigger PLUS will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks that constitute the underlying index.
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Governmental regulatory actions, such as sanctions, could adversely affect your investment in the Trigger PLUS. Governmental regulatory actions, including, without
limitation, sanctions-related actions by the U.S. or a foreign government, could prohibit or otherwise restrict persons from holding the Trigger PLUS or securities included in the underlying index, or engaging in transactions in them, and
any such action could adversely affect the level of the underlying index. These regulatory actions could result in restrictions on the Trigger PLUS and could result in the loss of a significant portion of your initial investment in the
Trigger PLUS, including if you are forced to divest the Trigger PLUS due to the government mandates, especially if such divestment must be made at a time when the value of the Trigger PLUS has declined.
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Significant aspects of the tax treatment of the Trigger PLUS are uncertain. The tax treatment of an investment in the Trigger PLUS is uncertain. We do not plan to
request a ruling from the Internal Revenue Service (the “IRS”) or from the Canada Revenue Agency regarding the tax treatment of an investment in the Trigger PLUS, and the IRS, the Canada Revenue Agency or a court may not agree with the
tax treatment described in this document.
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
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◾ |
The initial estimated value of the Trigger PLUS is less than the price to the public. The initial estimated value that is set forth on the cover page of this pricing
supplement does not represent a minimum price at which we, RBCCM or any of our affiliates would be willing to purchase the Trigger PLUS in any secondary market (if any exists) at any time. If you attempt to sell the Trigger PLUS 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 level of the underlying index, the borrowing rate we pay to issue securities of
this kind, and the inclusion in the price to the public of the agent’s commissions and the estimated costs relating to our hedging of the Trigger PLUS. These factors, together with various credit, market and economic factors over the term
of the Trigger PLUS, are expected to reduce the price at which you may be able to sell the Trigger PLUS in any secondary market and will affect the value of the Trigger PLUS 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 Trigger PLUS prior to maturity may be less than your original purchase price, as any such sale price would not be expected to include the
agent’s commissions and the hedging costs relating to the Trigger PLUS. In addition to bid-ask spreads, the value of the Trigger PLUS determined for any secondary market price is expected to be based on the secondary rate rather than the
internal funding rate used to price the Trigger PLUS and determine the initial estimated value. As a result, the secondary price will be less than if the internal funding rate was used. The Trigger PLUS are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Trigger PLUS to maturity.
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Our initial estimated value of the Trigger PLUS is an estimate only, calculated as of the pricing date. The initial estimated value of the Trigger PLUS is based on the
value of our obligation to make the payments on the Trigger PLUS, together with the mid-market value of the derivative embedded in the terms of the Trigger PLUS. See “Structuring the Trigger PLUS” 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 Trigger PLUS. These assumptions are based on certain forecasts about future events, which may prove to
be incorrect. Other entities may value the Trigger PLUS or similar securities at a price that is significantly different than we do.
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The market price of the Trigger PLUS will be influenced by many unpredictable factors. Many factors will influence the value of the Trigger PLUS in the secondary market
and the price at which RBCCM may be willing to purchase or sell the Trigger PLUS in the secondary market, including:
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the trading price and volatility (frequency and magnitude of changes in value) of the securities represented by the underlying index;
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dividend yields on the securities represented by the underlying index;
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market interest rates;
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our creditworthiness, as represented by our credit ratings or as otherwise perceived in the market;
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time remaining to maturity; and
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geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying index.
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
◾ |
The Trigger PLUS will not be listed on any securities exchange and secondary trading may be limited. The Trigger PLUS will not be listed on any securities exchange.
Therefore, there may be little or no secondary market for the Trigger PLUS. RBCCM may, but is not obligated to, make a market in the Trigger PLUS, and, if it chooses to do so at any time, it may cease doing so. When it does make a market,
it will generally do so for transactions of routine secondary market size at prices based on its estimate of the current value of the Trigger PLUS, taking into account its bid/offer spread, our credit spreads, market volatility, the
notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and the likelihood that it will be able to resell the Trigger PLUS. Even if there is a secondary market, it may not
provide enough liquidity to allow you to trade or sell the Trigger PLUS easily. Because we do not expect that other broker-dealers will participate significantly in the secondary market for the Trigger PLUS, the price at which you may be
able to trade your Trigger PLUS is likely to depend on the price, if any, at which RBCCM is willing to transact. If, at any time, RBCCM were not to make a market in the Trigger PLUS, it is likely that there would be no secondary market for
the Trigger PLUS. Accordingly, you should be willing to hold your Trigger PLUS to maturity.
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An investment in the Trigger PLUS is subject to risks relating to non-U.S. securities markets. Because foreign companies or foreign equity securities included in the
underlying index are publicly traded in Japan and are denominated in yen, an investment in the Trigger PLUS involves particular risks. For example, Japanese markets may be more volatile than the U.S. securities markets, and market
developments may affect these markets differently from the U.S. or other securities markets. Direct or indirect government intervention to stabilize the securities markets in Japan, as well as cross-shareholdings in certain companies, may
affect trading prices and trading volumes in Japan. Also, the public availability of information concerning the foreign issuers may vary depending on the reporting requirements imposed by their respective regulators. In addition, the
foreign issuers may be subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies.
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The Trigger PLUS will not be adjusted for changes in exchange rates. Although the
equity securities composing the underlying index are traded in Japanese yen, and the Trigger PLUS is denominated in U.S. dollars, the amount payable on the Trigger PLUS at maturity will not be adjusted for changes in the exchange rates between the U.S. dollar and the Japanese yen. Changes in exchange rates, however, may also reflect changes in the Japanese economy that in turn may affect the
level of the underlying index, and therefore the Trigger PLUS. The amount we pay in respect of your Trigger PLUS on the maturity date will be determined solely
in accordance with the procedures described in this document.
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Adjustments to the underlying index could adversely affect the value of the Trigger PLUS. The sponsor of the underlying index (the “index sponsor”) may add, delete or
substitute the stocks constituting the underlying index, or make other methodological changes. Further, the index sponsor may discontinue or suspend calculation or publication of the underlying index at any time. Any of these actions could
affect the value of and the return on the Trigger PLUS.
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We have no affiliation with the index sponsor and will not be responsible for any actions taken by the index sponsor. The index sponsor is not an affiliate of ours and
will not be involved in the offering of the Trigger PLUS in any way. Consequently, we have no control over the actions of the index sponsor, including any actions of the type that would require the calculation agent to adjust the payment to
you at maturity. The index sponsor has no obligation of any sort with respect to the Trigger PLUS. Thus, the index sponsor has no obligation to take your interests into consideration for any reason, including in taking any actions that
might affect the value of the Trigger PLUS. None of our proceeds from the issuance of the Trigger PLUS will be delivered to the index sponsor.
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Historical levels of the underlying index should not be taken as an indication of its future levels during the term of the Trigger PLUS. The trading prices of the equity
securities comprising the underlying index will determine the level of the underlying index at any given time. As a result, it is impossible to predict whether the level of the underlying index will rise or fall. Trading prices of the
equity securities comprising the underlying index will be influenced by complex and interrelated political, economic, financial and other factors.
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
◾ |
Hedging and trading activity by us and our subsidiaries could potentially adversely affect the value of the Trigger PLUS. One or more of our subsidiaries and/or third
party dealers expect to carry out hedging activities related to the Trigger PLUS (and possibly to other instruments linked to the underlying index or the securities it represents), including trading in those securities as well as in other
related instruments. Some of our subsidiaries also may conduct trading activities relating to the underlying index on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities on
or prior to the pricing date could have affected the initial index level and, therefore, could have increased the level at or above which the underlying index must close on the valuation date so that investors do not suffer a loss on their
initial investment in the Trigger PLUS. Additionally, such hedging or trading activities during the term of the Trigger PLUS, including on the valuation date, could adversely affect the closing level of the underlying index on the valuation
date and, accordingly, the amount of cash an investor will receive at maturity, if any.
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Our business activities may create conflicts of interest. We and our affiliates may engage in trading activities related to the underlying index or the securities
represented by the underlying index that are not for the account of holders of the Trigger PLUS or on their behalf. These trading activities may present a conflict between the holders’ interest in the Trigger PLUS and the interests we and
our affiliates will have in proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for our customers and in accounts under our management. These trading activities could be adverse to the
interests of the holders of the Trigger PLUS.
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The calculation agent, which is a subsidiary of the issuer, will make determinations with respect to the Trigger PLUS, which may create a conflict of interest. Our
wholly owned subsidiary, RBCCM, will serve as the calculation agent. As calculation agent, RBCCM determined the initial index level, and will determine the final index level, the underlying index return, and the amount of cash, if any,
you will receive at maturity. Moreover, certain determinations made by RBCCM, in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or
non-occurrence of market disruption events and the selection of a successor index or the calculation of the final index level in the event of a market disruption event or discontinuance of the underlying index. These potentially
subjective determinations may adversely affect the payout to you at maturity, if any. For further information regarding these types of determinations see “Additional Terms of the Trigger PLUS” below.
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
Additional Provisions
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Postponement of the
valuation date:
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If the valuation date occurs on a day that is not a trading day or on a day on which the calculation agent has determined that a market disruption event (as defined
below) has occurred or is continuing, then the valuation date will be postponed until the next succeeding trading day on which the calculation agent determines that a market disruption event does not occur or is not continuing; provided
that in no event will the valuation date be postponed by more than five trading days. If the valuation date is postponed by five trading days, and a market disruption event occurs or is continuing on that fifth trading day, then the
calculation agent may determine, in its good faith and reasonable judgment, what the closing level of the underlying index would have been in the absence of the market disruption event. If the valuation date is postponed, then the maturity
date will be postponed by an equal number of business days. No interest shall accrue or be payable as a result of such postponement.
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Market disruption events:
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With respect to the underlying index and any relevant successor index, a “market disruption event” means:
• a suspension, absence or material limitation of trading of equity securities then constituting 20% or more of the level of the underlying index (or the relevant successor index) on the relevant exchanges (as
defined below) for such securities for more than two hours of trading during, or during the one hour period preceding the close of, the principal trading session on such relevant exchange; or
• a breakdown or failure in the price and trade reporting systems of any relevant exchange as a result of which the reported trading prices for equity securities then constituting 20% or more of the level of the
underlying index (or the relevant successor index) during the one hour preceding the close of the principal trading session on such relevant exchange are materially inaccurate; or
• a suspension, absence or material limitation of trading on the primary exchange or market for trading in futures or options contracts related to the underlying index (or the relevant successor index) for more
than two hours of trading during, or during the one hour period preceding the close of, the principal trading session on such exchange or market; or
• a decision to permanently discontinue trading in the relevant futures or options contracts;
in each case as determined by the calculation agent in its sole discretion; and
• a determination by the calculation agent in its sole discretion that the event described above materially interfered with our ability or the ability of any of our affiliates to adjust or unwind all or a material
portion of any hedge with respect to the Trigger PLUS.
For purposes of determining whether a market disruption event with respect to the underlying index (or the relevant successor index) exists at any time, if trading in a
security included in the underlying index (or the relevant successor index) is materially suspended or materially limited at that time, then the relevant percentage contribution of that security to the level of the underlying index (or the
relevant successor index) will be based on a comparison of (a) the portion of the level of the underlying index (or the relevant successor index) attributable to that security relative to (b) the overall level of the underlying index (or
the relevant successor index), in each case immediately before that suspension or limitation.
For purposes of determining whether a market disruption event with respect to the underlying index (or the relevant successor index) has occurred:
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
• a
limitation on the hours or number of days of trading will not constitute a market disruption event if it results from an announced change in the regular business hours of the relevant exchange, or the primary exchange or market for
trading in futures or options contracts related to the underlying index (or the relevant successor index);
• limitations
pursuant to the rules of any relevant exchange similar to NYSE Rule 80B (or any applicable rule or regulation enacted or promulgated by any other self-regulatory organization or any government agency of scope similar to NYSE Rule 80B as
determined by the calculation agent) on trading during significant market fluctuations will constitute a suspension, absence or material limitation of trading;
• a
suspension of trading in futures or options contracts on the underlying index (or the relevant successor index) by the primary exchange or market trading in such contracts by reason of:
• a price
change exceeding limits set by such exchange or market,
• an
imbalance of orders relating to such contracts, or
• a
disparity in bid and ask quotes relating to such contracts,
will, in each such case, constitute a suspension, absence or material limitation of trading in futures or options contracts related to the underlying index (or the relevant successor index);
and
• a
“suspension, absence or material limitation of trading” on any relevant exchange or on the primary exchange or market on which futures or options contracts related to the underlying index (or the relevant successor index) are traded will
not include any time when such exchange or market is itself closed for trading under ordinary circumstances.
“Relevant exchange” means the primary exchange or market of trading for any security (or any combination thereof) then included in the underlying index or such successor index, as applicable.
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Discontinuation
of/adjustments to the
underlying index:
|
If the index sponsor discontinues publication of the underlying index and the index sponsor or another entity publishes a successor or substitute index that the calculation agent determines,
in its sole discretion, to be comparable to the discontinued index (such index being referred to herein as a “successor index”), then the closing level of the underlying index on the valuation date will be determined by reference to the
level of such successor index at the close of trading on the relevant exchange for the successor index on such day.
Upon any selection by the calculation agent of a successor index, the calculation agent will cause written notice to be promptly furnished to the Trustee, to us and to the holders of the
Trigger PLUS.
If the index sponsor discontinues publication of the underlying index prior to, and that discontinuation is continuing on the valuation date, and the calculation agent determines, in its sole
discretion, that no successor index is available at that time or the calculation agent has previously selected a successor index and publication of that successor index is discontinued prior to, and that discontinuation is continuing on,
the valuation date, then the calculation agent will determine the closing level of the underlying index for that date. The closing level of the underlying index will be computed by the calculation agent in accordance with the formula for
and method of calculating the underlying index or successor index, as applicable, last in effect prior to the discontinuation, using the closing price (or, if trading in the relevant securities has been materially suspended or materially
limited, the calculation agent’s good faith estimate of the closing price that would have prevailed but for the suspension or limitation) at the close of the principal trading session on that date of each security most recently included in
the underlying index or successor index, as applicable.
If at any time the method of calculating the underlying index or a successor index, or the level thereof, is changed in a material respect, or if the underlying index or a
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
successor index is in any other way modified so that the underlying index or successor index does not, in the opinion of the calculation agent, fairly represent the level of the underlying
index or successor index had those changes or modifications not been made, then the calculation agent will, at the close of business in New York City on the date on which the closing level of the underlying index is to be determined, make
any calculations and adjustments as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a level of a stock index comparable to the underlying index or successor index, as the case may be, as if those
changes or modifications had not been made, and calculate the closing level of the underlying index with reference to the underlying index or such successor index, as adjusted. Accordingly, if the method of calculating the underlying index
or a successor index is modified so that the level of the underlying index or such successor index is a fraction of what it would have been if there had been no such modification (e.g., due to a split in the underlying index), then the
calculation agent will adjust its calculation of the underlying index or such successor index in order to arrive at a level of the underlying index or such successor index as if there had been no such modification (e.g., as if such split
had not occurred).
Notwithstanding these alternative arrangements, discontinuation the publication of or modification of the underlying index or successor index, as applicable, may adversely affect the value of
the Trigger PLUS.
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Business day:
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A business day means a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in The City of New York generally are authorized or obligated by law,
regulation or executive order to close.
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Trading day:
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A trading day means a day, as determined by the calculation agent, on which trading is generally conducted on (i) the relevant exchanges for securities comprising the underlying index or the
successor index and (ii) the exchanges on which futures or options contracts related to the underlying index or the successor index are traded, other than a day on which trading on such relevant exchange or exchange on which such futures or
options contracts are traded is scheduled to close prior to its regular weekday closing time.
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Events of default and
acceleration:
|
If the maturity of the Trigger PLUS is accelerated upon an event of default under the Indenture, the amount payable upon acceleration will be determined by the calculation agent. Such amount
will be the payment at maturity, calculated as if the date of declaration of acceleration were the valuation date.
|
|
Minimum ticketing size:
|
$1,000 / 1 Trigger PLUS
|
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Additional amounts:
|
We will pay any amounts to be paid by us on the Trigger PLUS without deduction or withholding for, or on account of, any and all present or future income, stamp and other taxes, levies,
imposts, duties, charges, fees, deductions or withholdings (“taxes”) now or hereafter imposed, levied, collected, withheld or assessed by or on behalf of Canada or any Canadian political subdivision or authority that has the power to tax,
unless the deduction or withholding is required by law or by the interpretation or administration thereof by the relevant governmental authority. At any time a Canadian taxing jurisdiction requires us to deduct or withhold for or on account
of taxes from any payment made under or in respect of the Trigger PLUS, we will pay such additional amounts (“Additional Amounts”) as may be necessary so that the net amounts received by each holder (including Additional Amounts), after
such deduction or withholding, shall not be less than the amount the holder would have received had no such deduction or withholding been required.
However, no Additional Amounts will be payable with respect to a payment made to a holder of a Trigger PLUS or of a right to receive payments in respect thereto (a “Payment Recipient”),
which we refer to as an “Excluded Holder,” in respect of a beneficial owner or Payment Recipient:
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Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
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(i) with whom we do not deal at arm’s length (within the meaning of the Income Tax Act (Canada)) at the time of making such payment;
(ii) who is subject to such taxes by reason of its holder being connected presently or formerly with Canada or any province or territory thereof otherwise than by reason of the holder’s activity in connection with
purchasing the Trigger PLUS, the holding of the Trigger PLUS or the receipt of payments thereunder;
(iii) who is, or who does not deal at arm’s length with a person who is, a “specified shareholder” (within the meaning of subsection 18(5) of the Income Tax Act (Canada)) of Royal Bank of Canada (generally a person
will be a “specified shareholder” for this purpose if that person, either alone or together with persons with whom the person does not deal at arm’s length, owns 25% or more of (a) our voting shares, or (b) the fair market value of all of
our issued and outstanding shares); or who is a “specified entity” as defined in proposals to amend the Income Tax Act (Canada) released on April 29, 2022 with respect to “hybrid mismatch arrangements” with respect to Royal Bank of Canada
or substantially analogous provisions of any finally enacted amendment to the Income Tax Act (Canada);
(iv) who presents such security for payment (where presentation is required, such as if a security is issued in definitive form) more than 30 days after the relevant date; for this purpose, the “relevant date” in
relation to any payments on any security means:
a. the due date for payment thereof (whether at maturity or upon an earlier acceleration), or
b. if the full amount of the monies payable on such date has not been received by the Trustee on or prior to such due date, the date on which the full amount of such monies has been received and notice to that
effect is given to holders of the Trigger PLUS in accordance with the Indenture;
(v) who could lawfully avoid (but has not so avoided) such withholding or deduction by complying or requiring that any agent comply with, any statutory requirements necessary to establish qualification for an
exemption from withholding or deduction or by making, or requiring that any agent make, a declaration of non-residence or other similar claim for exemption to any relevant tax authority; or
(vi) who is subject to deduction or withholding on account of any tax, assessment, or other governmental charge that is imposed or withheld by reason of the application of Section 1471 through 1474 of the United
States Internal Revenue Code of 1986, as amended (the “Code”) (or any successor provisions), any regulation, pronouncement, or agreement thereunder, official interpretations thereof, or any law implementing an intergovernmental approach
thereto, whether currently in effect or as published and amended from time to time.
For the purposes of clause (iv) above, if a security is presented for payment more than 30 days after the relevant date, we shall only be required to pay such Additional
Amounts as shall have accrued as of such 30th day, and no further Additional Amounts shall accrue or become payable after such date.
For the avoidance of doubt, we will not have any obligation to pay any holders Additional Amounts on any tax which is payable otherwise than by deduction or withholding
from payments made under or in respect of the Trigger PLUS.
We will also make such withholding or deduction and remit the full amount deducted or withheld to the relevant authority in accordance with applicable law. We will furnish to the
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Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
Trustee, within 30 days after the date the payment of any Canadian taxes is due pursuant to applicable law, certified copies of tax receipts evidencing that such payment has been made or
other evidence of such payment satisfactory to the Trustee. We will indemnify and hold harmless each holder of the Trigger PLUS(other than an Excluded Holder) and upon written request reimburse each such holder for the amount of (x) any
Canadian taxes so levied or imposed and paid by such holder as a result of payments made under or with respect to the Trigger PLUS, and (y) any Canadian taxes levied or imposed and paid by such holder with respect to any reimbursement under
(x) above, but excluding any such taxes on such holder’s net income or capital.
For additional information, see the section “Tax Consequences—Canadian Taxation” in the accompanying prospectus.
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||
Employee Retirement
Income Security Act:
|
If you are an insurance company or the fiduciary of a pension plan or an employee benefit plan (including a governmental plan, an IRA or a Keogh Plan) proposing to invest in the Trigger PLUS,
please review the section of the accompanying prospectus “Benefit Plan Investor Considerations.” If you are an insurance company or the fiduciary of a pension plan or an employee benefit plan, and propose to invest in the Trigger PLUS, you
should consult your legal counsel.
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|
Form of the Trigger PLUS:
|
Book-entry
|
|
Trustee:
|
The Bank of New York Mellon
|
|
Calculation agent:
|
RBCCM. The calculation agent will make all determinations regarding the Trigger PLUS. Absent manifest error, all determinations of the calculation agent will be final and binding on you and
us, without any liability on the part of the calculation agent. You will not be entitled to any compensation from us for any loss suffered as a result of any of the above determinations or confirmations by the calculation agent.
|
|
Terms incorporated in the
master note:
|
All of the terms in “Summary Terms” (except the item captioned “Commissions and issue price”) and the terms in the section “Additional Terms of the PLUS” of this pricing supplement, and the
section “Supplemental Discussion of U.S. Federal Income Tax Consequences.”
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
• |
was first launched on July 1, 1969 with a base level of 100 as of January 4, 1968; and
|
• |
is sponsored, calculated published and disseminated by JPX Market Innovation & Research, Inc., which we refer to as JPXI.
|
Index value = Base Index Value of 100 ×
|
Current free float adjusted market value
|
Base market value
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
I. |
Of the constituents as of April 1, 2022, those that fall under both the following (a) and (b) will be designated as “phased weighting reduction constituents”:
|
a) |
First decision: The constituent’s tradable share market capitalization is less then JPY 10 billion as of the “Notice on Whether the Listed Company is
Meeting the Continued Listing Criteria for New Market Segments”, which has a base date of June 30, 2021, and
|
b) |
Second decision: The constituent’s tradeable share market capitalization is less than JPY 10 billion at the end of the reporting period following the
reporting period used in decision (a).
|
II. |
Any constituent applying for listing on the First Section through an initial listing (excluding technical listings) or section transfer after the “first set of revisions pertaining to cash equity market
restructuring” were implemented on November 1, 2020 will not be subject to designation as a phased weighting reduction constituent based on tradable share market capitalization.
|
I. |
The weighting of phased weighting reduction constituents will be reduced in 10 stages on the last business day of every quarter starting on the last business day of October 2022 (October 31, 2022), and these
constituents will be removed from the index on the last business day of January 2025.
|
II. |
Said adjustments to the weighting of phased weighting reduction constituents will be calculated by multiplying the free-float weight by the transition factor (which will decrease from 1.0 to 0 in increments of
0.1).
|
III.
|
In order to check whether there have been changes to the tradeable share market capitalization of each phased weighting reduction constituent, a re-evaluation will be conducted, using tradable share market
capitalization as of the end of the reporting period following the reporting period used for the second decision in (i)(b). If the tradable share market capitalization of a constituent has reached JPY 10 billion or more but the annual
traded value ratio of
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
Transition Stage
|
Index Revision Date
|
Transition
Factor
|
1st
|
Last business day of October 2022
|
x0.9
|
2nd
|
Last business day of January 2023
|
x0.8
|
3rd
|
Last business day of April 2023
|
x0.7
|
4th
|
Last business day of July 2023
|
x0.6
|
Re-evaluation
|
||
5th
|
Last business day of October 2023
|
x0.5
|
6th
|
Last business day of January 2024
|
x0.4
|
7th
|
Last business day of April 2024
|
x0.3
|
8th
|
Last business day of July 2024
|
x0.2
|
9th
|
Last business day of October 2024
|
x0.1
|
10th (removed from TOPIX®)
|
Last business day of January 2025
|
x0
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
Event Requiring Adjustment
|
Adjustment Date
|
Stock Price Used for Adjustment
|
||||
Inclusion
|
New listing on the Prime Market
|
Last business day of the month after such listing
|
Stock price at the end of trading on the business day before adjustment date
|
|||
Inclusion
|
New listing of a newly formed company resulting from a corporate consolidation, stock transfer, etc., that results in a TOPIX® constituent being delisted and the new company being included in TOPIX®.
|
New listing date. If the initial listing date falls on a holiday, it will be the following business day
|
Base price
|
|||
Inclusion
|
Delisting of a TOPIX® constituent due to a stock swap or an absorption-type merger with a surviving stock that is not a TOPIX® constituent, and the surviving stock is included in TOPIX®
|
Delisting date
|
Stock price at the end of trading on the business day before adjustment date
|
|||
Inclusion
|
A company is transferred to the Prime Market
|
Last business day of the month following such change
|
Stock price at the end of trading on the business day before adjustment date
|
|||
Removal
|
New listing of a newly formed company resulting from a corporate consolidation, etc., that results in a TOPIX® constituent being delisted and the new company being included in TOPIX®.
|
Listing date of the newly formed company (normally two business days following delisting date)
|
Stock price at the end of trading on the business day before the delisting date. The stock price at the end of trading on the business day before the delisting date is used to calculate TOPIX® for the
period from the delisting date to the removal date.
|
|||
Removal
|
A constituent is to be delisted due to a reason other than as described in the preceding scenario
|
Delisting date
|
Stock price at the end of trading on the business day before adjustment date
|
|||
Removal
|
A constituent’s securities are designated to be delisted or designated as a security on alert
|
Four business days after designation. If the designation date falls on a holiday, it will be the next business day.
|
Stock price at the end of trading on the business day before adjustment date
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
Event Requiring Adjustment
|
Adjustment Date
|
Stock Price Used for Adjustment
|
||
Change of free-float weight
|
Date of change
|
Stock price at the end of trading on the business day before adjustment date
|
||
Public offering
|
Additional listing date (day after payment date). If listing date falls on a holiday, it will be the next business day
|
Stock price at the end of trading on the business day before adjustment date
|
||
Third-party allotment
|
Five business days after additional listing date (two business days after payment date)
|
Stock price at the end of trading on the business day before adjustment date
|
||
Capital increase through allotment to shareholders
|
Ex-rights date
|
Payment price per share
|
||
Exercise of subscription warrants
|
Last business day of the month following exercise
|
Stock price at the end of trading on the business day before adjustment date
|
||
Conversion of preferred shares
|
Last business day of the month following conversion
|
Stock price at the end of trading on the business day before adjustment date
|
||
Cancellation of treasury stock
|
Last business day of the month following cancellation
|
Stock price at the end of trading on the business day before adjustment date
|
||
Merger or stock swaps between a non-surviving constituent and another constituent
|
Delisting date of the non-surviving constituent
|
Stock price at the end of trading on the business day before adjustment date
|
||
Merger or stock swaps other than that described above
|
Listing change date (effective date)
|
Stock price at the end of trading on the business day before adjustment date
|
||
Rights offering (limited to case where the allotted subscription warrant securities are listed; the case where the allotted subscription warrant securities are not listed is treated as “Exercise of subscription
warrants”)
|
Ex-rights date
|
Payment price per share
|
||
Sale of shares held by the Japanese government (Nippon Telegraph, Telephone and Japan Tobacco and Japan Post Holdings only)
|
Date determined by JPXI (generally the delivery date)
|
Stock price at the end of trading on the business day before adjustment date
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
Demerger (absorption-type)
|
Listing change date (the effective date)
|
Stock price at the end of trading on the business day before adjustment date
|
||
Other adjustments
|
Last business day of the month in which the information appears in “Sho-ho” (TSE Notice) or the last business day of the following month
|
Stock price at the end of trading on the business day before adjustment date
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
Bloomberg Symbol:
|
TPX
|
52 Weeks Ago:
|
2,294.53
|
Current Index Level:
|
2,746.61
|
52 Week High (on 3/22/2024):
|
2,813.22
|
52 Week Low (on 10/4/2023):
|
2,218.89
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
The TOPIX®
|
High
|
Low
|
2019
|
||
First Quarter
|
1,627.59
|
1,471.16
|
Second Quarter
|
1,630.68
|
1,498.96
|
Third Quarter
|
1,623.27
|
1,478.03
|
Fourth Quarter
|
1,747.20
|
1,568.87
|
2020
|
||
First Quarter
|
1,744.16
|
1,236.34
|
Second Quarter
|
1,630.72
|
1,325.13
|
Third Quarter
|
1,661.93
|
1,496.06
|
Fourth Quarter
|
1,819.18
|
1,579.33
|
2021
|
||
First Quarter
|
2,012.21
|
1,791.22
|
Second Quarter
|
1,983.54
|
1,849.04
|
Third Quarter
|
2,118.87
|
1,880.68
|
Fourth Quarter
|
2,055.56
|
1,926.37
|
2022
|
||
First Quarter
|
2,039.27
|
1,758.89
|
Second Quarter
|
1,969.98
|
1,818.94
|
Third Quarter
|
2,006.99
|
1,835.94
|
Fourth Quarter
|
2,018.80
|
1,847.58
|
2023
|
||
First Quarter
|
2,071.09
|
1,868.15
|
Second Quarter
|
2,300.36
|
1,961.28
|
Third Quarter
|
2,430.30
|
2,221.48
|
Fourth Quarter
|
2,391.05
|
2,218.89
|
2024
|
||
First Quarter
|
2,813.22
|
2,378.79
|
Second Quarter (through June 14, 2024)
|
2,798.07
|
2,626.32
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|
Trigger PLUS Based on the Performance of the TOPIX® due July 6, 2027
Trigger Performance Leveraged Upside SecuritiesSM
|