Royal Bank of Canada is offering Buffered Enhanced Return Notes (the “Notes”) linked to the performance of an equally-weighted basket (the “Basket”) consisting of seven equity
securities (each, a “Basket Component”).
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Basket Component
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Component Weight
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Initial Stock Price*
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Apple Inc. (“AAPL”)
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1/7
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Amazon.com, Inc. (“AMZN”)
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1/7
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Alphabet Inc. (“GOOGL”)
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1/7
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Meta Platforms, Inc. (“META”)
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1/7
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Microsoft Corporation (“MSFT”)
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1/7
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NVIDIA Corporation (“NVDA”)
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1/7
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Tesla, Inc. (“TSLA”)
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1/7
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*The Initial Stock Price of each Basket Component will be its closing price on the Trade Date.
| • |
The Notes provide a positive return equal to 150% of the Percentage Change if the value of the Basket increases from the Initial Basket Level to the Final Basket Level, subject to the Maximum Redemption Amount
of at least 130.75% of the principal amount (to be determined on the Trade Date).
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| • |
If the Final Basket Level is less than the Initial Basket Level by no more than 10%, investors will receive the principal amount. However, investors will lose 1% of the principal amount of the Notes for each 1%
decrease from the Initial Basket Level to the Final Basket Level of more than 10%.
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| • |
All payments on the Notes are subject to our credit risk.
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| • |
The Notes do not pay interest.
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| • |
The Notes will not be listed on any securities exchange.
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Issue Date: February 29, 2024
Maturity Date: March 3, 2026
CUSIP: 78017FG80
Investing in the Notes involves a number of risks. See “Selected Risk Considerations” beginning on page P-7 of this terms supplement, and “Risk Factors” beginning on page PS-4 of
the product prospectus supplement and on page S-3 of the prospectus supplement, each dated December 20, 2023.
The Notes will not constitute deposits insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation or any other Canadian or U.S. government
agency or instrumentality. The Notes are not subject to conversion into our common shares under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the Notes or determined that this terms supplement is truthful or
complete. Any representation to the contrary is a criminal offense.
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Per Note
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Total
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Price to public(1)
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100.00%
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$
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Underwriting discounts and commissions(1)
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2.25%
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$
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Proceeds to Royal Bank of Canada
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97.75%
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$
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(1) We or one of our affiliates may pay varying selling concessions of up to $22.50 per $1,000 in principal amount of the Notes in connection with the distribution of the
Notes to other registered broker dealers. Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forego some or all of their underwriting discount or selling concessions. The public offering price for investors
purchasing the Notes in these accounts may be between $977.50 and $1,000 per $1,000 in principal amount. In addition, RBCCM or one of its affiliates may pay a referral fee to a broker-dealer that is not affiliated with us in an amount of up to
0.30% of the principal amount of the Notes. See “Supplemental Plan of Distribution (Conflicts of Interest)” below.
The initial estimated value of the Notes as of the Trade Date is expected to be between $903.48 and $953.48 per $1,000 in principal amount, and
will be less than the price to public. The final pricing supplement relating to the Notes will set forth our estimate of the initial value of the Notes as of the Trade Date. The actual value of the Notes at any time will reflect many factors,
cannot be predicted with accuracy, and may be less than this amount. We describe our determination of the initial estimated value in more detail below.
RBC Capital Markets, LLC
SUMMARY
The information in this “Summary” section is qualified by the more detailed information set forth in this terms supplement, the product prospectus supplement, the
prospectus supplement, and the prospectus.
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Issuer:
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Royal Bank of Canada (the “Bank”)
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Underwriter:
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RBC Capital Markets, LLC (“RBCCM”)
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Reference Assets:
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The Notes are linked to the value of a basket (the “Basket”) of seven equity securities (each, a “Basket Component,” collectively, the “Basket Components”). The Basket
Components and their respective Component Weights are indicated in the table on the cover page of this document.
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Denominations:
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$1,000 and minimum denominations of $1,000 in excess thereof
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Trade Date:
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February 26, 2024
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Issue Date:
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February 29, 2024
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Valuation Date:
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February 26, 2026
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Maturity Date:
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March 3, 2026
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Payment at Maturity
(if held to maturity):
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If the Final Basket Level is greater than the Initial Basket Level (that is, the Percentage Change is positive),
then the investor will receive, for each $1,000 in principal amount, the lesser of:
1. $1,000 + [$1,000 x (Percentage Change x Participation Rate)] and
2. The Maximum Redemption Amount
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If the Final Basket Level is less than or equal to the Initial Basket Level, but is greater than or equal to the Buffer Level (that is, the Percentage Change is between 0% and -10%), then the investor will receive the principal amount.
If the Final Basket Level is less than the Buffer Level (that is, the Percentage Change is less than -10%), then the investor will
receive, for each $1,000 in principal amount:
$1,000 + [$1,000 x (Percentage Change + Buffer Percentage)]
In this case, the payment on the Notes will be less than the principal amount, and you could lose some or a substantial portion of the principal amount.
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Maximum
Redemption
Amount:
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At least 130.75% multiplied by the principal amount (to be determined on the Trade Date).
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Participation Rate:
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150%
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Buffer Percentage:
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10%
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Initial Basket Level:
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The Initial Basket Level will be set to 100 on the Trade Date.
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Buffer Level:
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90
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Final Basket Level:
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The Final Basket Level will be calculated as follows:
100 x [1 + (the sum of, for each Basket Component, the Basket Component return multiplied by its Component Weight)]
Each of the Basket Component returns set forth above refers to the percentage change from the applicable Initial Stock Price to the applicable Final Stock Price, calculated as follows:
Final Stock Price – Initial Stock Price
Initial Stock Price
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Percentage
Change:
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The Percentage Change of the Basket, expressed as a percentage and rounded to two decimal places, will be equal to:
Final Basket Level – Initial Basket Level
Initial Basket Level
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Initial Stock Price:
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With respect to each Basket Component, its closing price per share on the Trade Date, as will be set forth on the cover page of the final pricing supplement for the Notes.
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Final Stock Price:
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With respect to each Basket Component, its closing price on the Valuation Date.
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Principal at Risk:
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The Notes are NOT principal protected. You may lose a substantial portion of your principal amount at maturity if
the Final Basket Level is less than 90.
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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 Note as a
pre-paid cash-settled derivative contract linked to the Basket Components for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the Notes are uncertain and the Internal Revenue Service
could assert that the Notes should be taxed in a manner that is different from that described in the preceding sentence. Please see the section below, “Supplemental Discussion of U.S. Federal Income Tax Consequences,” and the discussion
(including the opinion of Ashurst LLP, our special U.S. tax counsel) in the product prospectus supplement dated December 20, 2023 under “Supplemental Discussion of U.S. Federal Income Tax Consequences,” which apply to the Notes.
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Secondary Market:
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RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary market in the Notes after the issue date. The
amount that you may receive upon sale of your Notes prior to maturity may be substantially less than the principal amount of your Notes.
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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 terms supplement.
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The Trade Date, issue date and other dates set forth above are subject to change, and will be set forth in the final pricing supplement relating to the Notes.
ADDITIONAL TERMS OF YOUR NOTES
You should read this terms supplement together with the prospectus dated December 20, 2023, as supplemented by the prospectus supplement and the product prospectus supplement,
each dated December 20, 2023, relating to our Senior Global Medium-Term Notes, Series J, of which these Notes are a part. Capitalized terms used but not defined in this terms supplement will have the meanings given to them in the product prospectus
supplement. In the event of any conflict, this terms supplement will control. The Notes vary from the terms described in the product prospectus supplement in several important ways. You should
read this terms supplement carefully.
This terms supplement, together with the documents listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other
written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things,
the matters set forth in “Risk Factors” in the prospectus supplement and in the product prospectus supplement, each dated December 20, 2023, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your
investment, legal, tax, accounting and other advisors before you invest in the Notes. You may access these documents on the Securities and Exchange Commission (the “SEC”) website at www.sec.gov as follows (or if that address has changed, by
reviewing our filings for the relevant date on the SEC website):
Prospectus dated December 20, 2023:
Prospectus Supplement dated December 20, 2023:
Product Prospectus Supplement ERN-ES-1 dated December 20, 2023:
Our Central Index Key, or CIK, on the SEC website is 1000275. As used in this terms supplement, “we,” “us,” or “our” refers to Royal Bank of Canada.
Royal Bank of Canada has filed a registration statement (including a product prospectus supplement, a prospectus supplement, and a prospectus) with the SEC for the offering to
which this terms supplement relates. Before you invest, you should read those documents and the other documents relating to this offering that we have filed with the SEC for more complete information about us and this offering. You may obtain these
documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Royal Bank of Canada, any agent or any dealer participating in this offering will arrange to send you the product prospectus supplement, the prospectus
supplement and the prospectus if you so request by calling toll-free at 1-877-688-2301.
HYPOTHETICAL RETURNS
The examples set out below are included for illustration purposes only. The hypothetical Percentage Changes of the Basket used to
illustrate the calculation of the Payment at Maturity are not estimates or forecasts of the price of any Basket Component on any trading day prior to the Maturity Date. All examples are based on the Initial Basket Level of 100, the Buffer
Percentage of 10% (the Buffer Level is 90% of the Initial Basket Level), the Participation Rate of 150% and a hypothetical Maximum Redemption Amount of 130.75% of the principal amount, and assume that a holder purchased Notes with an aggregate
principal amount of $1,000.00 and that no market disruption event occurs on the Valuation Date.
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Example 3 —
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Calculation of the Payment at Maturity where the Percentage Change is negative (but not by more than the Buffer Percentage).
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Percentage Change:
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-5%
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Payment at Maturity:
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$1,000
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On a $1,000 investment, a Percentage Change of -5% results in a Payment at Maturity of $1,000, a return of 0% on the Notes.
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Example 4 —
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Calculation of the Payment at Maturity where the Percentage Change is negative (by more than the Buffer Percentage).
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Percentage Change:
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-40%
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Payment at Maturity:
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$1,000 + [$1,000 x (-40% + 10%)] = $1,000 - $300 = $700
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On a $1,000 investment, a Percentage Change of -40% results in a Payment at Maturity of $700, a return of -30% on the Notes.
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The table set forth below is included for illustration purposes only. The table illustrates the hypothetical Payment at Maturity of the Notes for a hypothetical range of
performance for the Basket, based on the Initial Basket Level of 100, the Buffer Percentage of 10%, the Participation Rate of 150%, and a hypothetical Maximum Redemption Amount of 130.75% of the principal amount.
Hypothetical Final Basket Levels are shown in the first column on the left. The second column shows the hypothetical Percentage Changes for these hypothetical Final Basket
Levels. The third column shows the Payment at Maturity for these hypothetical Final Basket Levels, expressed as a percentage of the principal amount of the Notes. The fourth column shows the Payment at Maturity to be paid on the Notes per $1,000 in
principal amount.
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Hypothetical Final
Basket Level
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Hypothetical
Percentage Change
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Payment at Maturity as
Percentage of Principal Amount
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Payment at Maturity per $1,000
in Principal Amount
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150.00
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50.00%
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130.75%
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$1,307.50
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140.00
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40.00%
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130.75%
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$1,307.50
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130.00
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30.00%
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130.75%
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$1,307.50
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120.50
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20.50%
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130.75%
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$1,307.50
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120.00
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20.00%
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130.00%
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$1,300.00
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110.00
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10.00%
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115.00%
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$1,150.00
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100.00
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0.00%
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100.00%
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$1,000.00
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95.00
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-5.00%
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100.00%
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$1,000.00
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90.00
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-10.00%
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100.00%
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$1,000.00
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80.00
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-20.00%
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90.00%
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$900.00
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70.00
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-30.00%
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80.00%
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$800.00
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60.00
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-40.00%
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70.00%
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$700.00
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50.00
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-50.00%
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60.00%
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$600.00
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40.00
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-60.00%
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50.00%
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$500.00
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30.00
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-70.00%
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40.00%
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$400.00
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20.00
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-80.00%
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30.00%
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$300.00
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10.00
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-90.00%
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20.00%
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$200.00
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0.00
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-100.00%
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10.00%
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$100.00
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SELECTED RISK CONSIDERATIONS
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in any Basket Component. These risks are explained in more
detail in the section “Risk Factors” in the product prospectus supplement. In addition to the risks described in the prospectus supplement and the product prospectus supplement, you should consider the following:
Risks Relating to the Terms of the Notes
| • |
You May Receive Less Than the Principal Amount at Maturity — Investors in the Notes will lose some or a substantial
portion of their principal amount if the Final Basket Level is less than the Buffer Level. In such a case, you will lose 1% of the principal amount of your Notes for each 1% that the Percentage Change is less than -10%. You could lose up
to 90% of the principal amount at maturity.
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| • |
The Notes Do Not Pay Interest and Your Return May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity — There will be no periodic interest payments on the Notes as there would be on a conventional fixed-rate or floating-rate debt security having the same maturity. The return that you will receive on the 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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| • |
Your Potential Payment at Maturity Is Limited — The Notes will provide less opportunity to participate in the appreciation
of the Basket Components than an investment in a security linked to the Basket Components providing full participation in the appreciation, because the Payment at Maturity will not exceed the Maximum Redemption Amount. Accordingly, your
return on the Notes may be less than your return would be if you made an investment in a security directly linked to the positive performance of the Basket.
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| • |
You Will Not Have Any Rights to the Basket Components — 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 a Basket Component would have. The Final Stock Prices of the Basket Components will not reflect any dividends paid on the securities included in the
Basket Components; accordingly, any positive return on the Notes may be less than the potential positive return on those 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 the amount due on the maturity date is dependent upon our ability to repay our obligations at that time. This will be the case even
if the value of the Basket increases after the Trade Date. No assurance can be given as to what our financial condition will be at the maturity of the Notes.
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| • |
Changes in the Price of One Basket Component May Be Offset by Changes in the Prices of the Other Basket Components — A
change in the price of one Basket Component may not correlate with changes in the prices of the other Basket Components. The price of one Basket Component may increase, while the prices of the other Basket Components may not increase as
much, or may even decrease. Therefore, in determining the value of the Basket as of any time, increases in the price of one Basket Component may be moderated, or wholly offset, by lesser increases or decreases in the prices of the other
Basket Components.
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Risks Relating to the Secondary Market for the Notes
| • |
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
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market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We expect that transaction costs in any
secondary market would be high. As a result, the difference between bid and asked prices for your Notes in any secondary market could be substantial.
Risks Relating to the Estimated Value of the Notes
| • |
The Initial Estimated Value of the Notes Will Be Less than the Price to the Public — The initial estimated value of the
Notes that will be set forth on the cover page of the final pricing supplement for the Notes does not represent a minimum price at which we, RBCCM or any of our affiliates would be willing to purchase the Notes in any secondary market (if
any exists) at any time. If you attempt to sell the Notes 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 value of the
Basket, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to the public of the underwriting discount, the referral fee and the estimated costs relating to our hedging of the Notes. These factors,
together with various credit, market and economic factors over the term of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any secondary market and will affect the value of the Notes 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 Notes prior to maturity may be less than your original purchase price, as any such
sale price would not be expected to include the underwriting discount, the referral fee or the hedging costs relating to the Notes. In addition to bid-ask spreads, the value of the Notes 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 Notes and determine the initial estimated value. As a result, the secondary price will be less than if the internal funding rate was used.
The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
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| • |
The Initial Estimated Value of the Notes that We Will Provide in the Final Pricing Supplement Will Be an Estimate Only, Calculated as of the Time the Terms of
the Notes Are Set — The initial estimated value of the Notes will be 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 will be 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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The value of the Notes at any time after the Trade Date will vary based on many factors, including changes in market conditions, and cannot be predicted with
accuracy. As a result, the actual value you would receive if you sold the Notes in any secondary market, if any, should be expected to differ materially from the initial estimated value of your Notes.
Risks Relating to Conflicts of Interest and Our Trading Activities
| • |
Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the Basket that are not for the account
of holders of the Notes or on their behalf. These trading activities may present a conflict between the holders’ interests in the Notes and the interests we and our affiliates will have in their proprietary accounts, in facilitating
transactions, including options and other derivatives transactions, for their customers and in accounts under their management. These trading activities, if they influence the prices of the Basket Components, could be adverse to the
interests of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with the issuers of the Basket Components (the “Basket Component Issuers”), including making loans to or
providing advisory services. These services could include investment banking and merger and acquisition advisory services. These activities may present a conflict between our or one or more of our affiliates’ obligations and your interests
as a holder of the Notes. Moreover, we and our affiliates may have published, and in the future expect to publish, research reports with respect to the Basket Components. This research is modified from time to time without notice and may
express opinions or provide recommendations that are inconsistent with
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purchasing or holding the Notes. Any of these activities by us or one or more of our affiliates may affect the prices of the Basket Components, and, therefore,
the market value of the Notes.
Risks Relating to the Basket Components
| • |
The Basket Components Are Concentrated in One Sector — All of the Basket Components are issued by companies in the technology sector. Although an investment in the Notes
will not give holders any ownership or other direct interests in the Basket Components, the return on an investment in the Notes will be subject to certain risks associated with a direct equity investment in companies in the technology
sector. Accordingly, by investing in the Notes, you will not benefit from the diversification which could result from an investment linked to companies that operate in multiple sectors.
|
| • |
There Is No Affiliation Between the Basket Component Issuers and RBCCM, and RBCCM Is Not Responsible for any Disclosure by the Basket Component Issuers — We are not affiliated with the Basket Component Issuers. However, we and our affiliates may currently, or from time to time in the future, engage in business with the Basket Component Issuers. Nevertheless,
neither we nor our affiliates assume any responsibilities for the accuracy or the completeness of any information that any other company prepares. You, as an investor in the Notes, should make your own investigation into the Basket
Components. The Basket Component Issuers are not involved in this offering and have no obligation of any sort with respect to your Notes. The Basket Component Issuers have no obligation to take your interests into consideration for any
reason, including when taking any corporate actions that might affect the value of your Notes.
|
| • |
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.
|
INFORMATION REGARDING THE BASKET COMPONENT ISSUERS
The Basket Components are registered under the Securities Exchange Act of 1934 (the “Exchange Act”). Companies with securities registered under that Act are required to file
periodically certain financial and other information specified by the SEC. Information filed with the SEC can be obtained through the SEC’s website at www.sec.gov. In addition, information regarding the Basket Components may be obtained from other
sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
The following information regarding the Basket Component Issuers is derived from publicly available information.
We have not independently verified the accuracy or completeness of reports filed by the Basket Component Issuers with the SEC, information published by it on its website or in
any other format, information about it obtained from any other source or the information provided below.
Apple Inc.
Apple Inc. designs, manufactures and markets computers and related computing and mobile communication devices, along with related software, services, peripherals, and networking solutions. The
company sells its products through its online stores, retail stores, direct sales force, third-party wholesalers and resellers.
The company’s common stock is listed on the Nasdaq Global Select Market under the ticker symbol “AAPL.”
Amazon.com, Inc.
Amazon.com, Inc. is an online retailer that offers a range of products including books, music, computers, electronics and numerous other products. The company also operates a cloud platform.
The company’s common stock is listed on the Nasdaq Global Select Market under the ticker symbol “AMZN.”
Alphabet Inc.
Alphabet Inc. provides web-based search, advertisements, maps, software applications, mobile operating systems, consumer content, enterprise solutions, commerce and hardware products.
The company’s Class A common stock is listed on the Nasdaq Global Select Market under the ticker symbol “GOOGL.”
Meta Platforms, Inc.
Meta Platforms, Inc. develops products that enable people to connect and share with friends and family through mobile devices, personal computers, virtual reality headsets and in-home devices.
The company’s Class A common stock is listed on the Nasdaq Global Select Market under the ticker symbol “META”.
Microsoft Corporation
Microsoft Corporation develops, manufactures, licenses, sells and supports software products. The company offers operating system software, server application software, business and consumer
applications software, software development tools, and Internet and intranet software. The company also develops video game consoles and digital music entertainment devices.
The company’s common stock is listed on the Nasdaq Global Select Market under the ticker symbol “MSFT.”
NVIDIA Corporation
NVIDIA Corporation designs, develops and markets three-dimensional graphics processors and related software. The company offers products that provide interactive 3D graphics to the mainstream
personal computer market.
The company’s common stock is listed on the Nasdaq Global Select Market under the ticker symbol “NVDA.”
Tesla, Inc.
Tesla, Inc. designs, develops, manufactures, sells and leases electric vehicles and energy generation and storage systems, and offers services related to its products.
The company’s common stock is listed on the Nasdaq Global Select Market under the ticker symbol “TSLA.”
HISTORICAL INFORMATION
The graphs below set forth the information relating to the historical performance of the Basket Components from January 1, 2014 to February 8, 2024. We obtained the information
in the graphs below from Bloomberg Financial Markets, without independent investigation.
Apple Inc. (“AAPL”)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Amazon.com, Inc. (“AMZN”)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Alphabet Inc. (“GOOGL”)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Meta Platforms, Inc. (“META”)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Microsoft Corporation (“MSFT”)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
NVIDIA Corporation (“NVDA”)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Tesla, Inc. (“TSLA”)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
SUPPLEMENTAL DISCUSSION OF
U.S. FEDERAL INCOME TAX CONSEQUENCES
The following disclosure supplements, and to the extent inconsistent supersedes, the discussion in the product prospectus supplement dated December 20, 2023 under “Supplemental
Discussion of U.S. Federal Income Tax Consequences.”
Under Section 871(m) of the Code, a “dividend equivalent” payment is treated as a dividend from sources within the United States. Such payments generally would be subject to a 30% U.S. withholding
tax if paid to a non-U.S. holder. Under U.S. Treasury Department regulations, payments (including deemed payments) with respect to equity-linked instruments (“ELIs”) that are “specified ELIs” may be treated as dividend equivalents if such specified
ELIs reference, directly or indirectly, an interest in an “underlying security,” which is generally any interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment with respect to such interest could give rise
to a U.S. source dividend. However, the Internal Revenue Service (the “IRS”) has issued guidance that states that the U.S. Treasury Department and the IRS intend to amend the effective dates of the U.S. Treasury Department regulations to provide
that withholding on dividend equivalent payments will not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2025. Based on our determination that the Notes are not delta-one instruments, non-U.S.
holders should not be subject to withholding on dividend equivalent payments, if any, under the Notes. However, it is possible that the Notes could be treated as deemed reissued for U.S. federal income tax purposes upon the occurrence of certain
events affecting the Basket Components or the Notes, and following such occurrence the Notes could be treated as subject to withholding on dividend equivalent payments. Non-U.S. holders that enter, or have entered, into other transactions in
respect of the Basket Components or the Notes should consult their tax advisors as to the application of the dividend equivalent withholding tax in the context of the Notes and their other transactions. If any payments are treated as dividend
equivalents subject to withholding, we (or the applicable withholding agent) would be entitled to withhold taxes without being required to pay any additional amounts with respect to amounts so withheld.
SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)
We expect that delivery of the Notes will be made against payment for the Notes on or about February 29, 2024, which is the third (3rd) business day following the
Trade Date (this settlement cycle being referred to as “T+3”). See “Plan of Distribution” in the prospectus dated December 20, 2023. For additional information as to the relationship between us and RBCCM, please see the section “Plan of
Distribution—Conflicts of Interest” in the prospectus dated December 20, 2023.
We expect to deliver the Notes on a date that is greater than two business days following the Trade Date. Under Rule 15c6-1 of the Exchange Act, trades in the secondary market
generally are required to settle in two business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes more than two business days prior to the original issue date will be required
to specify alternative settlement arrangements to prevent a failed settlement.
In the initial offering of the Notes, they will be offered to investors at a purchase price equal to par, except with respect to certain accounts as indicated on the cover page
of this document. In addition to the underwriting discount and the referral fee set forth on the cover page of this document, we or one of our affiliates may also pay an expected fee to a broker-dealer that is unaffiliated with us for providing
certain electronic platform services with respect to this offering.
The value of the Notes shown on your account statement may be based on RBCCM’s estimate of the value of the Notes if RBCCM or another of our affiliates were to make a market in
the Notes (which it is not obligated to do). That estimate will be based upon the price that RBCCM may pay for the Notes in light of then prevailing market conditions, our creditworthiness and transaction costs. For a period of approximately three
months after the issue date of the Notes, the value of the Notes that may be shown on your account statement may be higher than RBCCM’s estimated value of the Notes at that time. This is because the estimated value of the Notes will not include the
underwriting discount, the referral fee or our hedging costs and profits; however, the value of the Notes shown on your account statement during that period may be a higher amount, reflecting the addition of RBCCM’s underwriting discount, the
referral fee and our estimated costs and profits from hedging the Notes. This excess is expected to decrease over time until the end of this period. After this period, if RBCCM repurchases your Notes, it expects to do so at prices that reflect
their estimated value.
We may use this terms supplement in the initial sale of the Notes. In addition, RBCCM or another of our affiliates may use this terms supplement in a market-making transaction in the Notes after
their initial sale. Unless we or our agent informs the purchaser otherwise in the confirmation of sale, this terms supplement is being used in a market-making transaction.
STRUCTURING THE NOTES
The Notes are our debt securities, the return on which is linked to the performance of the Basket Components. As is the case for all of our debt securities, including our
structured notes, the economic terms of the Notes reflect our actual or perceived creditworthiness at the time of pricing. In addition, because structured notes result in increased operational, funding and liability management costs to us, we
typically borrow the funds under these Notes at a rate that is more favorable to us than the rate that we might pay for a conventional fixed or floating rate debt security of comparable maturity. Using this relatively lower implied borrowing rate
rather than the secondary market rate, is a factor that is likely to reduce the initial estimated value of the Notes at the time their terms are set. Unlike the estimated value that will be set forth on the cover page of the final pricing
supplement, any value of the Notes determined for purposes of a secondary market transaction may be based on a different funding rate, which may result in a lower value for the Notes than if our initial internal funding rate were used.
In order to satisfy our payment obligations under the Notes, we may choose to enter into certain hedging arrangements (which may include call options, put options or other
derivatives) on the issue date with RBCCM or one of our other subsidiaries. The terms of these hedging arrangements take into account a number of factors, including our creditworthiness, interest rate movements, the volatility of the Basket
Components, and the tenor of the Notes. The economic terms of the Notes and their initial estimated value depend in part on the terms of these hedging arrangements.
The lower implied borrowing rate is a factor that reduces the economic terms of the Notes to you. The initial offering price of the Notes also reflects the underwriting discount, the referral fee and
our estimated hedging costs. These factors result in the initial estimated value for the Notes on the Trade Date being less than their public offering price. See “Selected Risk Considerations—The Initial Estimated Value of the Notes Will Be Less
than the Price to the Public” above.