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Registration
Statement No. 333-275898
Filed Pursuant to Rule 424(b)(2) |
The information in this preliminary pricing supplement is not complete and may be changed. |
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|
Preliminary Pricing Supplement
Subject to Completion: Dated September 13, 2024
Pricing Supplement dated September __, 2024 to
the Prospectus dated December 20, 2023, the Prospectus Supplement dated December 20, 2023 and the Product Supplement No. 1A dated May
16, 2024 |
|
$
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Least Performing of Two Underliers,
Due September 16, 2027
Royal Bank of Canada |
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|
|
Royal Bank of Canada is offering Auto-Callable
Contingent Coupon Barrier Notes (the “Notes”) linked to the performance of the least performing of the common stock of Apple
Inc. and the common stock of Tesla, Inc. (each, an “Underlier”).
| · | Contingent Coupons — If the Notes
have not been automatically called, investors will receive a Contingent Coupon on a quarterly Coupon Payment Date at a rate of 21.25%
per annum if the closing value of each Underlier is greater than or equal to its Coupon Threshold (60% of its Initial Underlier Value)
on the immediately preceding Coupon Observation Date. You may not receive any Contingent Coupons during the term of the Notes. |
| · | Call Feature — If, on any quarterly
Call Observation Date beginning approximately six months following the Trade Date, the closing value of each Underlier is greater than
or equal to its Call Value, the Notes will be automatically called for 100% of their principal amount plus the Contingent Coupon
otherwise due. No further payments will be made on the Notes. |
| · | Contingent Return of Principal at Maturity
— If the Notes are not automatically called and the Final Underlier Value of the Least Performing Underlier is greater than or equal
to its Barrier Value (60% of its Initial Underlier Value), at maturity, investors will receive the principal amount of their Notes plus
the Contingent Coupon otherwise due. If the Notes are not automatically called and the Final Underlier Value of the Least Performing Underlier
is less than its Barrier Value, at maturity, investors will lose 1% of the principal amount of their Notes for each 1% that the Final
Underlier Value of the Least Performing Underlier is less than its Initial Underlier Value. |
| · | Any payments on the Notes are subject to our credit
risk. |
| · | The Notes will not be listed on any securities
exchange. |
CUSIP: 78017GP88
Investing in the Notes involves a number of
risks. See “Selected Risk Considerations” beginning on page P-7 of this pricing supplement and “Risk Factors”
in the accompanying prospectus, prospectus supplement and product supplement.
None of the Securities and Exchange Commission
(the “SEC”), any state securities commission or any other regulatory body has approved or disapproved of the Notes or passed
upon the adequacy or accuracy of this pricing supplement. Any representation to the contrary is a criminal offense. 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. governmental agency or instrumentality. The Notes are not bail-inable notes and are not subject to conversion into our
common shares under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act.
|
Per Note |
Total |
Price to public(1) |
100.00% |
$ |
Underwriting discounts and commissions(1) |
1.00% |
$ |
Proceeds to Royal Bank of Canada |
99.00% |
$ |
(1) We or one of our affiliates may
pay varying selling concessions of up to $10.00 per $1,000 principal amount of 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 forgo
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 $990.00 and $1,000.00 per $1,000 principal amount of Notes. See “Supplemental Plan of Distribution (Conflicts
of Interest)” below.
The initial estimated value of the Notes determined
by us as of the Trade Date, which we refer to as the initial estimated value, is expected to be between $922.00 and $972.00 per $1,000
principal amount of Notes and will be less than the public offering price of the Notes. The final pricing supplement relating to the Notes
will set forth the initial estimated value. The market 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 the determination of the initial estimated value in more detail below.
| |
| Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Two Underliers |
KEY TERMS
The information in this “Key Terms”
section is qualified by any more detailed information set forth in this pricing supplement and in the accompanying prospectus, prospectus
supplement and product supplement.
Issuer: |
Royal Bank of Canada |
Underwriter: |
RBC Capital Markets, LLC (“RBCCM”) |
Minimum Investment: |
$1,000 and minimum denominations of $1,000 in excess thereof |
Underliers: |
The common stock of Apple Inc. (the “AAPL Underlier”) and the common stock of Tesla, Inc. (the “TSLA Underlier”) |
|
Underlier |
Bloomberg Ticker |
Initial Underlier Value(1) |
Call Value(1) |
Coupon Threshold and Barrier Value(2) |
|
AAPL Underlier |
AAPL UW |
$222.77 |
$222.77 |
$133.66 |
|
TSLA Underlier |
TSLA UW |
$229.81 |
$229.81 |
$137.89 |
|
(1) With respect to each Underlier, the closing value of that Underlier on the Strike Date. The Initial Underlier Value of each Underlier is not the closing value of that Underlier on the Trade Date. |
|
(2) With respect to each Underlier, 60% of its Initial Underlier Value (rounded to two decimal places) |
Strike Date: |
September 12, 2024 |
Trade Date: |
September 13, 2024 |
Issue Date: |
September 18, 2024 |
Valuation Date:* |
September 13, 2027 |
Maturity Date:* |
September 16, 2027 |
Payment of Contingent Coupons: |
If the Notes have not been automatically called,
investors will receive a Contingent Coupon on a Coupon Payment Date if the closing value of each Underlier is greater than or equal
to its Coupon Threshold on the immediately preceding Coupon Observation Date.
No Contingent Coupon will be payable on a Coupon
Payment Date if the closing value of any Underlier is less than its Coupon Threshold on the immediately preceding Coupon Observation Date.
Accordingly, you may not receive a Contingent Coupon on one or more Coupon Payment Dates during the term of the Notes.
|
Contingent Coupon: |
If payable, $53.125 per $1,000 principal amount of Notes (corresponding to a rate of 5.3125% per quarter or 21.25% per annum) |
Call Feature: |
If, on any Call Observation Date, the closing value of each Underlier is greater than or equal to its Call Value, the Notes will be automatically called. Under these circumstances, investors will receive on the Call Settlement Date per $1,000 principal amount of Notes an amount equal to $1,000 plus the Contingent Coupon otherwise due. No further payments will be made on the Notes. |
P-2 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Two Underliers |
Payment at Maturity: |
If the Notes are not automatically called, investors
will receive on the Maturity Date per $1,000 principal amount of Notes, in addition to any Contingent Coupon otherwise due:
· If
the Final Underlier Value of the Least Performing Underlier is greater than or equal to its Barrier Value: $1,000
· If
the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, an amount equal to:
$1,000 + ($1,000 × Underlier Return
of the Least Performing Underlier)
If the Notes are not automatically called and
the Final Underlier Value of the Least Performing Underlier is less than its Barrier Value, you will lose a substantial portion or all
of your principal amount at maturity. All payments on the Notes are subject to our credit risk.
|
Underlier Return: |
With respect to each Underlier, the Underlier Return,
expressed as a percentage, is calculated using the following formula:
Final Underlier Value – Initial Underlier
Value
Initial Underlier Value
|
Final Underlier Value: |
With respect to each Underlier, the closing value of that Underlier on the Valuation Date |
Least Performing Underlier: |
The Underlier with the lowest Underlier Return |
Coupon Observation Dates:* |
Quarterly, as set forth in the table below |
Coupon Payment Dates:* |
Quarterly, as set forth in the table below |
Call Observation Dates:* |
Quarterly, beginning approximately six months following the Trade Date, on each Coupon Observation Date from and including the second Coupon Observation Date |
Call Settlement Date:* |
If the Notes are automatically called on any Call Observation Date, the Coupon Payment Date immediately following that Call Observation Date |
Calculation Agent: |
RBCCM |
Coupon Observation Dates* |
Coupon Payment Dates* |
December 12, 2024 |
December 17, 2024 |
March 12, 2025 |
March 17, 2025 |
June 12, 2025 |
June 17, 2025 |
September 12, 2025 |
September 17, 2025 |
December 12, 2025 |
December 17, 2025 |
March 12, 2026 |
March 17, 2026 |
June 12, 2026 |
June 17, 2026 |
September 14, 2026 |
September 17, 2026 |
December 14, 2026 |
December 17, 2026 |
March 12, 2027 |
March 17, 2027 |
June 14, 2027 |
June 17, 2027 |
September 13, 2027 (the Valuation Date) |
September 16, 2027 (the Maturity Date) |
* Subject to postponement. See “General Terms of the Notes—Postponement
of a Determination Date” and “General Terms of the Notes—Postponement of a Payment Date” in the accompanying product
supplement.
P-3 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Two Underliers |
ADDITIONAL TERMS OF YOUR NOTES
You should read this pricing supplement together
with the prospectus dated December 20, 2023, as supplemented by the prospectus supplement dated December 20, 2023, relating to our Senior
Global Medium-Term Notes, Series J, of which the Notes are a part, and the product supplement no. 1A dated May 16, 2024. This pricing
supplement, together with these documents, contains the terms of the Notes and supersedes all other prior or contemporaneous oral statements
as well as any other written materials, including preliminary or indicative pricing terms, correspondence, trade ideas, structures for
implementation, sample structures, fact sheets, brochures or other educational materials of ours.
We have not authorized anyone to provide any information
or to make any representations other than those contained or incorporated by reference in this pricing supplement and the documents listed
below. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may give
you. These documents are an offer to sell only the Notes offered hereby, but only under circumstances and in jurisdictions where it is
lawful to do so. The information contained in each such document is current only as of its date.
If the information in this pricing supplement differs
from the information contained in the documents listed below, you should rely on the information in this pricing supplement.
You should carefully consider, among other things,
the matters set forth in “Selected Risk Considerations” in this pricing supplement and “Risk Factors” in the documents
listed below, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the Notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | Prospectus dated December 20, 2023: |
https://www.sec.gov/Archives/edgar/data/1000275/000119312523299520/d645671d424b3.htm
| · | Prospectus Supplement dated December 20, 2023: |
https://www.sec.gov/Archives/edgar/data/1000275/000119312523299523/d638227d424b3.htm
| · | Product Supplement No. 1A dated May 16, 2024: |
https://www.sec.gov/Archives/edgar/data/1000275/000095010324006777/dp211286_424b2-ps1a.htm
Our Central Index Key, or CIK, on the SEC website
is 1000275. As used in this pricing supplement, “Royal Bank of Canada,” the “Bank,” “we,” “our”
and “us” mean only Royal Bank of Canada.
P-4 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Two Underliers |
HYPOTHETICAL RETURNS
The table and examples set forth below illustrate
hypothetical payments at maturity for hypothetical performance of the Least Performing Underlier, based on its Coupon Threshold and Barrier
Value of 60% of its Initial Underlier Value and the Contingent Coupon of $53.125 per $1,000 principal amount of Notes. The table and
examples below also assume that the Notes are not automatically called and do not account for any Contingent Coupons that may be paid
prior to maturity. The table and examples are only for illustrative purposes and may not show the actual return applicable to investors.
Hypothetical Underlier Return of the Least Performing Underlier |
Payment at Maturity per $1,000 Principal Amount of Notes* |
Payment at Maturity as Percentage of Principal Amount* |
50.00% |
$1,053.125 |
105.3125% |
40.00% |
$1,053.125 |
105.3125% |
30.00% |
$1,053.125 |
105.3125% |
20.00% |
$1,053.125 |
105.3125% |
10.00% |
$1,053.125 |
105.3125% |
5.00% |
$1,053.125 |
105.3125% |
0.00% |
$1,053.125 |
105.3125% |
-5.00% |
$1,053.125 |
105.3125% |
-10.00% |
$1,053.125 |
105.3125% |
-20.00% |
$1,053.125 |
105.3125% |
-30.00% |
$1,053.125 |
105.3125% |
-40.00% |
$1,053.125 |
105.3125% |
-40.01% |
$599.900 |
59.9900% |
-50.00% |
$500.000 |
50.0000% |
-60.00% |
$400.000 |
40.0000% |
-70.00% |
$300.000 |
30.0000% |
-80.00% |
$200.000 |
20.0000% |
-90.00% |
$100.000 |
10.0000% |
-100.00% |
$0.000 |
0.0000% |
* Including any Contingent Coupon otherwise
due
Example 1 — |
The value of the Least Performing Underlier increases from its Initial Underlier Value to its Final Underlier Value by 30%. |
|
Underlier Return of the Least Performing Underlier: |
30% |
|
Payment at Maturity: |
$1,000 + Contingent Coupon otherwise due = $1,000 + $53.125 = $1,053.125 |
|
In this example, the payment at maturity is $1,053.125
per $1,000 principal amount of Notes.
Because the Final Underlier Value of the Least
Performing Underlier is greater than its Coupon Threshold and Barrier Value, investors receive a full return of the principal amount of
their Notes plus the Contingent Coupon otherwise due. This example illustrates that investors do not participate in any appreciation
of the Least Performing Underlier, which may be significant.
|
P-5 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Two Underliers |
Example 2 — |
The value of the Least Performing Underlier decreases from its Initial Underlier Value to its Final Underlier Value by 10% (i.e., its Final Underlier Value is below its Initial Underlier Value but above its Coupon Threshold and Barrier Value). |
|
Underlier Return of the Least Performing Underlier: |
-10% |
|
Payment at Maturity: |
$1,000 + Contingent Coupon otherwise due = $1,000 + $53.125 = $1,053.125 |
|
In this example, the payment at maturity is $1,053.125
per $1,000 principal amount of Notes.
Because the Final Underlier Value of the Least
Performing Underlier is greater than its Coupon Threshold and Barrier Value, investors receive a full return of the principal amount of
their Notes plus the Contingent Coupon otherwise due.
|
Example 3 — |
The value of the Least Performing Underlier decreases from its Initial Underlier Value to its Final Underlier Value by 50% (i.e., its Final Underlier Value is below its Coupon Threshold and Barrier Value). |
|
Underlier Return of the Least Performing Underlier: |
-50% |
|
Payment at Maturity: |
$1,000 + ($1,000 × -50%) = $1,000 – $500 = $500 |
|
In this example, the payment at maturity is $500
per $1,000 principal amount of Notes, representing a loss of 50% of the principal amount.
Because the Final Underlier Value of the Least
Performing Underlier is less than its Barrier Value, investors do not receive a full return of the principal amount of their Notes. In
addition, because the Final Underlier Value of the Least Performing Underlier is less than its Coupon Threshold, investors do not receive
a Contingent Coupon at maturity.
|
Investors in the Notes could lose a substantial
portion or all of the principal amount of their Notes at maturity. The table and examples above assume that the Notes are not automatically
called. However, if the Notes are automatically called, investors will not receive any further payments after the Call Settlement Date.
P-6 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Two Underliers |
SELECTED RISK CONSIDERATIONS
An investment in the Notes involves significant
risks. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes. Some of the risks
that apply to an investment in the Notes are summarized below, but we urge you to read also the “Risk Factors” sections of
the accompanying prospectus, prospectus supplement and product supplement. You should not purchase the Notes unless you understand and
can bear the risks of investing in the Notes.
Risks Relating to the Terms and Structure of
the Notes
| · | You May Lose a Portion or All of the Principal
Amount at Maturity — If the Notes are not automatically called and the Final Underlier Value of the Least Performing Underlier
is less than its Barrier Value, you will lose 1% of the principal amount of your Notes for each 1% that the Final Underlier Value of the
Least Performing Underlier is less than its Initial Underlier Value. You could lose a substantial portion or all of your principal amount
at maturity. |
| · | You May Not Receive Any Contingent Coupons
— We will not necessarily pay any Contingent Coupons on the Notes. If the closing value of any Underlier is less than its Coupon
Threshold on a Coupon Observation Date, we will not pay you the Contingent Coupon applicable to that Coupon Observation Date. If the closing
value of any Underlier is less than its Coupon Threshold on each of the Coupon Observation Dates, we will not pay you any Contingent Coupons
during the term of, and you will not receive a positive return on, your Notes. Generally, this non-payment of the Contingent Coupon coincides
with a greater risk of principal loss on your Notes. 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. |
| · | Any Payment on the Notes Will Be Determined
Solely by the Performance of the Underlier with the Worst Performance Even If the Other Underlier Performs Better — Any payment
on the Notes will be determined solely by the performance of the Underlier with the worst performance. The Notes are not linked to a weighted
basket, in which the risk may be mitigated and diversified among each of the basket components. In the case of the Notes, the individual
performance of the Underliers will not be combined, and the adverse performance of one Underlier will not be mitigated by any appreciation
of the other Underlier. The Underliers may be uncorrelated and may not perform similarly over the term of the Notes, which may increase
your risk of loss on the Notes and the risk that you will receive few or no Contingent Coupons. |
| · | You Will Not Participate in Any Appreciation
of Any Underlier, and Any Potential Return on the Notes Is Limited — The return on the Notes is limited to the Contingent Coupons,
if any, that may be payable on the Notes, regardless of any appreciation of any Underlier, which may be significant. As a result, the
return on an investment in the Notes could be less than the return on a direct investment in any Underlier. |
| · | The Notes Are Subject to an Automatic Call
— If, on any Call Observation Date, the closing value of each Underlier is greater than or equal to its Call Value, the Notes will
be automatically called, and you will not receive any further payments on the Notes. Because the Notes could be called as early as approximately
six months after the Issue Date, the total return on the Notes could be minimal. You may be unable to reinvest your proceeds from the
automatic call in an investment with a return that is as high as the return on the Notes would have been if they had not been called. |
| · | Payments on the Notes Are Subject to Our Credit
Risk, and Market Perceptions about Our Creditworthiness May Adversely Affect the Market Value of the Notes — The Notes are our
senior unsecured debt securities, and your receipt of any amounts due on the Notes is dependent upon our ability to pay our obligations
as they come due. If we were to default on our payment obligations, you may not receive any amounts owed to you under the Notes and you
could lose your entire investment. In addition, any negative changes in market perceptions about our creditworthiness may adversely affect
the market value of the Notes. |
| · | Any Payment on the Notes Will Be Determined
Based on the Closing Values of the Underliers on the Dates Specified — Any payment on the Notes will be determined based on
the closing values of the Underliers on the dates specified. You will not benefit from any more favorable values of the Underliers determined
at any other time. |
P-7 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Two Underliers |
| · | The U.S. Federal Income Tax Consequences of
an Investment in the Notes Are Uncertain — There is no direct legal authority regarding the proper U.S. federal income tax treatment
of the Notes, and significant aspects of the tax treatment of the Notes are uncertain. Moreover, non-U.S. investors should note that persons
having withholding responsibility in respect of the Notes may withhold on any coupon paid to a non-U.S. investor, generally at a rate
of 30%. We will not pay any additional amounts in respect of such withholding. You should review carefully the section entitled “United
States Federal Income Tax Considerations” herein, in combination with the section entitled “United States Federal Income Tax
Considerations” in the accompanying product supplement, and consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the Notes. |
Risks Relating to the Initial Estimated Value
of the Notes and 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 and, if they choose to do so, may stop any market-making activities at any time. Because other dealers
are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on
the price, if any, at which RBCCM or any of our other affiliates is willing to buy the Notes. Even if a secondary market for the Notes
develops, it may not provide enough liquidity to allow you to easily trade or sell the Notes. We expect that transaction costs in any
secondary market would be high. As a result, the difference between bid and ask prices for your Notes in any secondary market could be
substantial. If you sell your Notes before maturity, you may have to do so at a substantial discount from the price that you paid for
them, and as a result, you may suffer significant losses. The Notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your Notes to maturity. |
| · | The Initial Estimated Value of the Notes Will
Be Less Than the Public Offering Price — The initial estimated value of the Notes will be less than the public offering price
of the Notes and does not represent a minimum price at which we, RBCCM or any of our other 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 values of
the Underliers, the internal funding rate we pay to issue securities of this kind (which is lower than the rate at which we borrow funds
by issuing conventional fixed rate debt) and the inclusion in the public offering price of the underwriting discount, our estimated profit
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, our estimated profit or the hedging costs relating to the
Notes. In addition, any price at which you may sell the Notes is likely to reflect customary bid-ask spreads for similar trades. In addition
to bid-ask spreads, the value of the Notes determined for any secondary market price is expected to be based on a secondary market rate
rather than the internal funding rate used to price the Notes and determine the initial estimated value. As a result, the secondary market
price will be less than if the internal funding rate were used. |
| · | The Initial Estimated Value of the Notes Is
Only an Estimate, Calculated as of the Trade Date — The initial estimated value of the Notes is based on the value of our obligation
to make the payments on the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes. See “Structuring
the Notes” below. Our estimate is based on a variety of assumptions, including our internal funding rate (which represents a discount
from our credit spreads), expectations as to dividends, interest rates and volatility and the expected term of the 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. |
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 the Notes.
P-8 | RBC Capital Markets, LLC |
| |
| Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Two Underliers |
Risks Relating to Conflicts of Interest and
Our Trading Activities
| · | Our and Our Affiliates’ Business and
Trading Activities May Create Conflicts of Interest — You should make your own independent investigation of the merits of investing
in the Notes. Our and our affiliates’ economic interests are potentially adverse to your interests as an investor in the Notes due
to our and our affiliates’ business and trading activities, and we and our affiliates have no obligation to consider your interests
in taking any actions that might affect the value of the Notes. Trading by us and our affiliates may adversely affect the values of the
Underliers and the market value of the Notes. See “Risk Factors—Risks Relating to Conflicts of Interest” in the accompanying
product supplement. |
| · | RBCCM’s Role as Calculation Agent May
Create Conflicts of Interest — As Calculation Agent, our affiliate, RBCCM, will determine any values of the Underliers and make
any other determinations necessary to calculate any payments on the Notes. In making these determinations, the Calculation Agent may be
required to make discretionary judgments, including those described under “—Risks Relating to the Underliers” below.
In making these discretionary judgments, the economic interests of the Calculation Agent are potentially adverse to your interests as
an investor in the Notes, and any of these determinations may adversely affect any payments on the Notes. The Calculation Agent will have
no obligation to consider your interests as an investor in the Notes in making any determinations with respect to the Notes. |
Risks Relating to the Underliers
| · | You Will Not Have Any Rights to Any Underlier
— As an investor in the Notes, you will not have voting rights or rights to receive dividends or other distributions or any other
rights with respect to any Underlier. |
| · | Any Payment on the Notes May Be Postponed and
Adversely Affected by the Occurrence of a Market Disruption Event — The timing and amount of any payment on the Notes is subject
to adjustment upon the occurrence of a market disruption event affecting an Underlier. If a market disruption event persists for a sustained
period, the Calculation Agent may make a discretionary determination of the closing value of any affected Underlier. See “General
Terms of the Notes—Reference Stocks and Funds—Market Disruption Events,” “General Terms of the Notes—Postponement
of a Determination Date” and “General Terms of the Notes—Postponement of a Payment Date” in the accompanying product
supplement. |
| · | Anti-dilution Protection Is Limited, and the
Calculation Agent Has Discretion to Make Anti-dilution Adjustments — The Calculation Agent may in its sole discretion make adjustments
affecting any amounts payable on the Notes upon the occurrence of certain corporate events (such as stock splits or extraordinary or special
dividends) that the Calculation Agent determines have a diluting or concentrative effect on the theoretical value of an Underlier. However,
the Calculation Agent might not make adjustments in response to all such events that could affect an Underlier. The occurrence of any
such event and any adjustment made by the Calculation Agent (or a determination by the Calculation Agent not to make any adjustment) may
adversely affect the market price of, and any amounts payable on, the Notes. See “General Terms of the Notes—Reference Stocks
and Funds—Anti-dilution Adjustments” in the accompanying product supplement. |
| · | Reorganization or Other Events Could Adversely
Affect the Value of the Notes or Result in the Notes Being Accelerated — Upon the occurrence of certain reorganization or other
events affecting an Underlier, the Calculation Agent may make adjustments that result in payments on the Notes being based on the performance
of (i) cash, securities of another issuer and/or other property distributed to holders of that Underlier upon the occurrence of that event
or (ii) in the case of a reorganization event in which only cash is distributed to holders of that Underlier, a substitute security, if
the Calculation Agent elects to select one. Any of these actions could adversely affect the value of the affected Underlier and, consequently,
the value of the Notes. Alternatively, the Calculation Agent may accelerate the Maturity Date for a payment determined by the Calculation
Agent. Any amount payable upon acceleration could be significantly less than any amount that would be due on the Notes if they were not
accelerated. However, if the Calculation Agent elects not to accelerate the Notes, the value of, and any amount payable on, the Notes
could be adversely affected, perhaps significantly. See “General Terms of the Notes—Reference Stocks and Funds—Anti-dilution
Adjustments—Reorganization Events” in the accompanying product supplement. |
P-9 | RBC Capital Markets, LLC |
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| Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Two Underliers |
INFORMATION REGARDING THE UNDERLIERS
Each Underlier is registered under the Securities
Exchange Act of 1934, as amended (the “Exchange Act”). Companies with securities registered under the Exchange Act are required
to file financial and other information specified by the SEC periodically. Information provided to or filed with the SEC by the issuer
of each Underlier can be located on a website maintained by the SEC at https://www.sec.gov by reference to that issuer’s SEC file
number provided below. Information from outside sources is not incorporated by reference in, and should not be considered part of, this
pricing supplement. We have not independently verified the accuracy or completeness of the information contained in outside sources.
Underlier |
Exchange Ticker |
Exchange |
SEC File Number |
AAPL Underlier |
AAPL |
Nasdaq Stock Market |
001-36743 |
TSLA Underlier |
TSLA |
Nasdaq Stock Market |
001-34756 |
According to publicly available information:
| · | Apple Inc. designs, manufactures and markets smartphones,
personal computers, tablets, wearables and accessories and sells a variety of related services. |
| · | Tesla, Inc. designs, develops, manufactures, sells
and leases electric vehicles and energy generation and storage systems and offers services related to its products. |
Historical Information
The following graphs set forth historical closing
values of the Underliers for the period from January 1, 2014 to September 12, 2024. Each red line represents the Coupon Threshold and
Barrier Value of the relevant Underlier. We obtained the information in the graphs from Bloomberg Financial Markets, without independent
investigation. We cannot give you assurance that the performance of the Underliers will result in the return of all of your initial
investment.
Common Stock of Apple Inc.
P-10 | RBC Capital Markets, LLC |
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| Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Two Underliers |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
Common Stock of Tesla, Inc.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
RESULTS.
P-11 | RBC Capital Markets, LLC |
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| Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Two Underliers |
UNITED STATES FEDERAL INCOME
TAX CONSIDERATIONS
You should review carefully the section in the
accompanying product supplement entitled “United States Federal Income Tax Considerations.” The following discussion, when
read in combination with that section, constitutes the full opinion of our counsel, Davis Polk & Wardwell LLP, regarding the material
U.S. federal income tax consequences of owning and disposing of the Notes.
Generally, this discussion assumes that you purchased
the Notes for cash in the original issuance at the stated issue price and does not address other circumstances specific to you, including
consequences that may arise due to any other investments relating to the Underliers. You should consult your tax adviser regarding the
effect any such circumstances may have on the U.S. federal income tax consequences of your ownership of a Note.
In the opinion of our counsel, which is based on
current market conditions, it is reasonable to treat the Notes for U.S. federal income tax purposes as prepaid financial contracts with
associated coupons, and any coupons as ordinary income, as described in the section entitled “United States Federal Income Tax Considerations—Tax
Consequences to U.S. Holders—Notes Treated as Prepaid Financial Contracts with Associated Coupons” in the accompanying product
supplement. There is uncertainty regarding this treatment, and the Internal Revenue Service (the “IRS”) or a court might not
agree with it. Moreover, because this treatment of the Notes and our counsel’s opinion are based on market conditions as of the
date of this preliminary pricing supplement, each is subject to confirmation on the Trade Date. A different tax treatment could be adverse
to you.
We do not plan to request a ruling from the IRS
regarding the treatment of the Notes. An alternative characterization of the Notes could materially and adversely affect the tax consequences
of ownership and disposition of the Notes, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the Notes, possibly with retroactive effect.
Non-U.S. Holders. The U.S. federal income
tax treatment of the coupons is unclear. To the extent that we have withholding responsibility in respect of the Notes, we would expect
generally to treat the coupons as subject to U.S. withholding tax. Moreover, you should expect that, if the applicable withholding agent
determines that withholding tax should apply, it will be at a rate of 30% (or lower treaty rate). In order to claim an exemption from,
or a reduction in, the 30% withholding under an applicable treaty, you may need to comply with certification requirements to establish
that you are not a U.S. person and are eligible for such an exemption or reduction under an applicable tax treaty. You should consult
your tax adviser regarding the tax treatment of the coupons.
As discussed under “United States Federal
Income Tax Considerations—Tax Consequences to Non-U.S. Holders—Dividend Equivalents under Section 871(m) of the Code”
in the accompanying product supplement, Section 871(m) of the Internal Revenue Code and Treasury regulations promulgated thereunder (“Section
871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to
certain financial instruments linked to U.S. equities or indices that include U.S. equities. The Treasury regulations, as modified by
an IRS notice, exempt financial instruments issued prior to January 1, 2027 that do not have a “delta” of one. Based on certain
determinations made by us, we expect that Section 871(m) will not apply to the Notes with regard to Non-U.S. Holders. Our determination
is not binding on the IRS, and the IRS may disagree with this determination. If necessary, further information regarding the potential
application of Section 871(m) will be provided in the final pricing supplement for the Notes.
We will not be required to pay any additional amounts
with respect to U.S. federal withholding taxes.
You should consult your tax adviser regarding the
U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments, as well as tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
P-12 | RBC Capital Markets, LLC |
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| Auto-Callable Contingent Coupon Barrier Notes Linked to the Least Performing of Two Underliers |
SUPPLEMENTAL PLAN OF DISTRIBUTION
(CONFLICTS OF INTEREST)
The Notes are offered initially to investors at
a purchase price equal to par, except with respect to certain accounts as indicated on the cover page of this pricing supplement. We or
one of our affiliates may pay the underwriting discount as set forth on the cover page of this pricing supplement.
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 on 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 six months after the Issue Date, 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 or our hedging costs and profits; however, the
value of the Notes shown on your account statement during that period may initially be a higher amount, reflecting the addition of the
underwriting discount 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.
RBCCM or another of its affiliates or agents may
use this pricing supplement in the initial sale of the Notes. In addition, RBCCM or another of our affiliates may use this pricing 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 pricing supplement is being used in a market-making transaction.
For additional information about the settlement
cycle of the Notes, see “Plan of Distribution” in the accompanying prospectus. For additional information as to the relationship
between us and RBCCM, see the section “Plan of Distribution—Conflicts of Interest” in the accompanying prospectus.
STRUCTURING THE NOTES
The Notes are our debt securities. 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.
In addition, because structured notes result in increased operational, funding and liability management costs to us, we typically borrow
the funds under structured notes at a rate that is lower than the rate that we might pay for a conventional fixed or floating rate debt
security of comparable maturity. The lower internal funding rate, the underwriting discount and the hedging-related costs relating to
the Notes reduce the economic terms of the Notes to you and result in the initial estimated value for the Notes being less than their
public offering price. Unlike the initial estimated value, any value of the Notes determined for purposes of a secondary market transaction
may be based on a secondary market rate, which may result in a lower value for the 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)
with RBCCM and/or one of our other subsidiaries. The terms of these hedging arrangements take into account a number of factors, including
our creditworthiness, interest rate movements, volatility and the tenor of the Notes. The economic terms of the Notes and the initial
estimated value depend in part on the terms of these hedging arrangements.
See “Selected Risk Considerations—Risks
Relating to the Initial Estimated Value of the Notes and the Secondary Market for the Notes—The Initial Estimated Value of the Notes
Will Be Less Than the Public Offering Price” above.
P-13 | RBC Capital Markets, LLC |
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