RBC - Royal Bank of Canada

08/02/2021 | Press release | Distributed by Public on 08/02/2021 13:19

Primary Offering Prospectus (SEC Filing - 424B2)
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-227001
(To Prospectus dated September 7, 2018,
Prospectus Supplement dated September 7, 2018 and
Product Supplement EQUITY INDICES LIRN-1 dated
September 25, 2018)



1,750,488 Units
$10 principal amount per unit
CUSIP No. 78014T254

Pricing Date
Settlement Date
Maturity Date

July 29, 2021
August 5, 2021
July 28, 2023





Capped Leveraged Index Return Notes® Linked to the STOXX® Europe 600 Index
◾Maturity of approximately two years
◾2-to-1 upside exposure to increases in the Index, subject to a capped return of 30.50%
◾1-to-1 downside exposure to decreases in the Index, with up to 100.00% of your principal at risk
◾All payments occur at maturity and are subject to the credit risk of Royal Bank of Canada
◾No periodic interest payments
◾In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.075 per unit. See 'Structuring the Notes'
◾Limited secondary market liquidity, with no exchange listing
◾The notes are unsecured debt securities and are not savings accounts or insured deposits of a bank. The notes are not insured or guaranteed by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation, or any other governmental agency of Canada or the United States


The notes are being issued by Royal Bank of Canada ('RBC'). There are important differences between the notes and a conventional debt security, including different investment risks and certain additional costs. See 'Risk Factors' beginning on page TS-6 of this term sheet and 'Risk Factors' beginning on page PS-6 of product supplement EQUITY INDICES LIRN-1.
The initial estimated value of the notes as of the pricing date is $9.7056 per unit, which is less than the public offering price listed below. See 'Summary' on the following page, 'Risk Factors' beginning on page TS-6 of this term sheet and 'Structuring the Notes' on page TS-12 of this term sheet for additional information. The actual value of your notes at any time will reflect many factors and cannot be predicted with accuracy.

None of the Securities and Exchange Commission (the 'SEC'), any state securities commission, or any other regulatory body has approved or disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any representation to the contrary is a criminal offense.

Per Unit
Total
Public offering price
$10.00
$ 17,504,880.00
Underwriting discount
$0.20
$ 350,097.60
Proceeds, before expenses, to RBC
$9.80
$ 17,154,782.40

The notes:
Are Not FDIC Insured
Are Not Bank Guaranteed
May Lose Value

BofA Securities
July 29, 2021

Capped Leveraged Index Return Notes®
Linked to the STOXX® Europe 600 Index, due July 28, 2023
Summary
The Capped Leveraged Index Return Notes® Linked to the STOXX® Europe 600 Index, due July 28, 2023 (the 'notes') are our senior unsecured debt securities. The notes are not guaranteed or insured by the Canada Deposit Insurance Corporation or the U.S. Federal Deposit Insurance Corporation or secured by collateral. The notes will rank equally with all of our other unsecured and unsubordinated debt. Any payments due on the notes, including any repayment of principal, will be subject to the credit risk of RBC. The notes are not bail-inable notes (as defined in the prospectus supplement). The notes provide you a leveraged return, subject to a cap, if the Ending Value of the Market Measure, which is the STOXX® Europe 600 Index (the 'Index'), is greater than the Starting Value. If the Ending Value is less than the Starting Value, you will lose all or a portion of the principal amount of your notes. Any payments on the notes will be calculated based on the $10 principal amount per unit and will depend on the performance of the Index, subject to our credit risk. See 'Terms of the Notes' below.
The economic terms of the notes (including the Capped Value) are based on our internal funding rate, which is the rate we would pay to borrow funds through the issuance of market-linked notes and the economic terms of certain related hedging arrangements. Our internal funding rate is typically lower than the rate we would pay when we issue conventional fixed or floating rate debt securities. This difference in funding rate, as well as the underwriting discount and the hedging related charge described below, reduced the economic terms of the notes to you and the initial estimated value of the notes on the pricing date. Due to these factors, the public offering price you pay to purchase the notes is greater than the initial estimated value of the notes.
On the cover page of this term sheet, we have provided the initial estimated value for the notes. This initial estimated value was determined based on our and our affiliates' pricing models, which take into consideration our internal funding rate and the market prices for the hedging arrangements related to the notes. For more information about the initial estimated value and the structuring of the notes, see 'Structuring the Notes' on page TS-12.
Terms of the Notes
Issuer:
Royal Bank of Canada ('RBC')
Principal Amount:
$10.00 per unit
Term:
Approximately two years
Market Measure:
The STOXX® Europe 600 Index (Bloomberg symbol: 'SXXP'), a price return index.
Starting Value:
463.84
Ending Value:
The average of the closing levels of the Market Measure on each calculation day occurring during the Maturity Valuation Period. The scheduled calculation days are subject to postponement in the event of Market Disruption Events, as described beginning on page PS-18 of product supplement EQUITY INDICES LIRN-1.
Threshold Value:
463.84 (100% of the Starting Value).
Participation Rate:
200%
Capped Value:
$13.05 per unit, which represents a return of 30.50% over the principal amount.
Maturity Valuation
Period:
July 19, 2023, July 20, 2023, July 21, 2023, July 24, 2023 and July 25, 2023.
Fees and
Charges:
The underwriting discount of $0.20 per unit listed on the cover page and the hedging related charge of $0.075 per unit described in 'Structuring the Notes' on page TS-12.
Calculation Agent:
BofA Securities, Inc. ('BofAS').
Redemption Amount Determination
On the maturity date, you will receive a cash payment per unit determined as follows:
Capped Leveraged Index Return Notes®
TS-2
Capped Leveraged Index Return Notes®
Linked to the STOXX® Europe 600 Index, due July 28, 2023
The terms and risks of the notes are contained in this term sheet and in the following:
◾
Product supplement EQUITY INDICES LIRN-1 dated September 25, 2018:
◾
Series H MTN prospectus supplement dated September 7, 2018:
◾
Prospectus dated September 7, 2018:
As a result of the completion of the reorganization of Bank of America's U.S. broker-dealer business, references to Merrill Lynch, Pierce, Fenner & Smith Incorporated ('MLPF&S') in the accompanying product supplement EQUITY INDICES LIRN-1 and prospectus supplement, as such references relate to MLPF&S's institutional services, should be read as references to BofAS.
These documents (together, the 'Note Prospectus') have been filed as part of a registration statement with the SEC, which may, without cost, be accessed on the SEC website as indicated above or obtained from MLPF&S or BofAS by calling 1-800-294-1322. Before you invest, you should read the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus. Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement EQUITY INDICES LIRN-1. Unless otherwise indicated or unless the context requires otherwise, all references in this document to 'we,' 'us,' 'our,' or similar references are to RBC.

Investor Considerations
You may wish to consider an investment in the notes if:
◾
You anticipate that the Index will increase moderately from the Starting Value to the Ending Value.
◾
You are willing to risk a loss of principal and return if the Index decreases from the Starting Value to the Ending Value.
◾
You accept that the return on the notes will be capped.
◾
You are willing to forgo the interest payments that are paid on conventional interest bearing debt securities.
◾
You are willing to forgo dividends or other benefits of owning the stocks included in the Index.
◾
You are willing to accept a limited or no market for sales prior to maturity, and understand that the market prices for the notes, if any, will be affected by various factors, including our actual and perceived creditworthiness, our internal funding rate and fees and charges on the notes.
◾
You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
The notes may not be an appropriate investment for you if:
◾
You believe that the Index will decrease from the Starting Value to the Ending Value or that it will not increase sufficiently over the term of the notes to provide you with your desired return.
◾
You seek principal repayment or preservation of capital.
◾
You seek an uncapped return on your investment.
◾
You seek interest payments or other current income on your investment.
◾
You want to receive dividends or other distributions paid on the stocks included in the Index.
◾
You seek an investment for which there will be a liquid secondary market.
◾
You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.

Capped Leveraged Index Return Notes®
TS-3
Capped Leveraged Index Return Notes®
Linked to the STOXX® Europe 600 Index, due July 28, 2023
Hypothetical Payout Profile and Examples of Payments at Maturity
Capped Leveraged Index Return Notes®
This graph reflects the returns on the notes, based on the Participation Rate of 200%, the Threshold Value of 100% of the Starting Value and the Capped Value of $13.05. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the stocks included in the Index, excluding dividends.
This graph has been prepared for purposes of illustration only.
The following table and examples are for purposes of illustration only. They are based on hypothetical values and show hypothetical returns on the notes. They illustrate the calculation of the Redemption Amount and total rate of return based on a hypothetical Starting Value of 100, a hypothetical Threshold Value of 100, the Participation Rate of 200%, the Capped Value of $13.05 per unit and a range of hypothetical Ending Values. The actual amount you receive and the resulting total rate of return will depend on the actual Starting Value, Threshold Value and Ending Value, and whether you hold the notes to maturity. The following examples do not take into account any tax consequences from investing in the notes.
For recent actual levels of the Market Measure, see 'The Index' section below. The Index is a price return index and as such the Ending Value will not include any income generated by dividends paid on the stocks included in the Index, which you would otherwise be entitled to receive if you invested in those stocks directly. In addition, all payments on the notes are subject to issuer credit risk.

Ending Value
Percentage Change from the
Starting Value to the Ending
Value
Redemption Amount per Unit
Total Rate of Return on the
Notes
0.00
-100.00%
$0.00
-100.00%
50.00
-50.00%
$5.00
-50.00%
80.00
-20.00%
$8.00
-20.00%
90.00
-10.00%
$9.00
-10.00%
94.00
-6.00%
$9.40
-6.00%
95.00
-5.00%
$9.50
-5.00%
97.00
-3.00%
$9.70
-3.00%
100.00(1) (2)
0.00%
$10.00
0.00%
102.00
2.00%
$10.40
4.00%
104.00
4.00%
$10.80
8.00%
105.00
5.00%
$11.00
10.00%
115.25
15.25%
$13.05(3)
30.50%
120.00
20.00%
$13.05
30.50%
130.00
30.00%
$13.05
30.50%
140.00
40.00%
$13.05
30.50%
150.00
50.00%
$13.05
30.50%
160.00
60.00%
$13.05
30.50%

(1)
This is the hypothetical Threshold Value.
(2)
The hypothetical Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual Starting Value is 463.84, which was the closing level of the Market Measure on the pricing date.
(3)
The Redemption Amount per unit cannot exceed the Capped Value.

Capped Leveraged Index Return Notes®
TS-4
Capped Leveraged Index Return Notes®
Linked to the STOXX® Europe 600 Index, due July 28, 2023
Redemption Amount Calculation Examples
Example 1
The Ending Value is 80.00, or 80.00% of the Starting Value:
Starting Value:
100.00
Threshold Value:
100.00
Ending Value:
 80.00
= $8.00 Redemption Amount per unit
Example 2
The Ending Value is 104.00, or 104.00% of the Starting Value:
Starting Value:
 100.00
Ending Value:
104.00
= $10.80 Redemption Amount per unit

Example 3
The Ending Value is 130.00, or 130.00% of the Starting Value:
Starting Value:
100.00
Ending Value:
130.00
= $16.00, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $13.05 per unit

Capped Leveraged Index Return Notes®
TS-5
Capped Leveraged Index Return Notes®
Linked to the STOXX® Europe 600 Index, due July 28, 2023
Risk Factors
There are important differences between the notes and a conventional debt security. An investment in the notes involves significant risks, including those listed below. You should carefully review the more detailed explanation of risks relating to the notes in the 'Risk Factors' sections beginning on page PS-6 of product supplement EQUITY INDICES LIRN-1, page S-1 of the MTN prospectus supplement, and page 1 of the prospectus identified above. We also urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.
Structure-related Risks

◾
Depending on the performance of the Index as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return of principal.

◾
Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of comparable maturity.

◾
Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire investment.

◾
Your investment return is limited to the return represented by the Capped Value and may be less than a comparable investment directly in the stocks included in the Index.
Valuation and Market-related Risks

◾
The initial estimated value of the notes is an estimate only, determined as of a particular point in time by reference to our and our affiliates' pricing models. These pricing models consider certain assumptions and variables, including our credit spreads, our internal funding rate on the pricing date, mid-market terms on hedging transactions, expectations on interest rates and volatility, price-sensitivity analysis, and the expected term of the notes. These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect.

◾
The public offering price you pay for the notes exceeds the initial estimated value. If you attempt to sell the notes prior to maturity, their market value may be lower than the price you paid for them and lower than the initial estimated value. This is due to, among other things, changes in the level of the Index, our internal funding rate, and the inclusion in the public offering price of the underwriting discount and the hedging related charge, all as further described in 'Structuring the Notes' on page TS-12. 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.

◾
The initial estimated value does not represent a minimum or maximum price at which we, MLPF&S, BofAS or any of our affiliates would be willing to purchase your notes in any secondary market (if any exists) at any time. The value of your notes at any time after issuance will vary based on many factors that cannot be predicted with accuracy, including the performance of the Index, our creditworthiness and changes in market conditions.

◾
A trading market is not expected to develop for the notes. None of us, MLPF&S or BofAS is obligated to make a market for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any price in any secondary market.

◾
Your return on the notes may be affected by factors affecting the international securities markets, specifically changes within Europe. Changes within the European markets could adversely affect the performance of the Index and, consequently, the value of the notes.
Conflict-related Risks

◾
Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trades in shares of companies included in the Index), and any hedging and trading activities we, MLPF&S, BofAS or our respective affiliates engage in for our clients' accounts, may affect the market value and return of the notes and may create conflicts of interest with you.

◾
There may be potential conflicts of interest involving the calculation agent, which is BofAS. We have the right to appoint and remove the calculation agent.
Market Measure-related Risks

◾
The Index sponsor may adjust the Index in a way that affects its level, and has no obligation to consider your interests.

◾
You will have no rights of a holder of the securities represented by the Index, and you will not be entitled to receive securities or dividends or other distributions by the issuers of those securities.

◾
Your return on the notes and the value of the notes may be affected by exchange rate movements and factors affecting the international securities markets, specifically changes in the countries represented by the Index.

Capped Leveraged Index Return Notes®
TS-6
Capped Leveraged Index Return Notes®
Linked to the STOXX® Europe 600 Index, due July 28, 2023

◾
While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the Index, we, MLPF&S, BofAS and our respective affiliates do not control any company included in the Index, and have not verified any disclosure made by any other company.
Tax-related Risks

◾
The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See 'Summary of U.S. Federal Income Tax Consequences' below and 'U.S. Federal Income Tax Summary' beginning on page PS-30 of product supplement EQUITY INDICES LIRN-1. For a discussion of the Canadian federal income tax consequences of investing in the notes, see 'Tax Consequences-Canadian Taxation' in the prospectus dated September 7, 2018.
Other Terms of the Notes
The provisions of this section supersede and replace the definition of 'Market Measure Business Day' set forth in product supplement EQUITY INDICES LIRN-1.
Market Measure Business Day
A 'Market Measure Business Day' means a day on which:

(A)
the Eurex (or any successor) is open for trading; and

(B)
the Index or any successor thereto is calculated and published.

Capped Leveraged Index Return Notes®
TS-7
Capped Leveraged Index Return Notes®
Linked to the STOXX® Europe 600 Index, due July 28, 2023
The Index
All disclosures contained in this term sheet regarding the Index, including, without limitation, its make-up, method of calculation, and changes in its components, have been derived from publicly available sources. The information reflects the policies of, and is subject to change by, STOXX Limited ('STOXX' or 'Index sponsor'). STOXX, which owns the copyright and all other rights to the Index, has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences of STOXX discontinuing publication of the Index are discussed in the section entitled 'Description of LIRNs-Discontinuance of an Index' in product supplement EQUITY INDICES LIRN-1. None of us, the calculation agent, MLPF&S or BofAS accepts any responsibility for the calculation, maintenance or publication of the Index or any successor index.
Description of the STOXX® Europe 600 Index

The Index is derived from the STOXX Europe Total Market Index (the 'TMI'), and is a subset of the STOXX Global 1800 Index. The Index has a fixed number of 600 components, and represents large, mid and small capitalization companies across 17 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Poland, Portugal, Spain, Sweden, Switzerland and the United Kingdom.

Composition and Maintenance

The composition of the Index is reviewed by STOXX Limited quarterly and changes are typically implemented on the third Friday of every March, June, September and December, with effect on the next trading day. If the third Friday of the relevant month is not a trading day, then the implementation occurs on the next trading day, with effect on the following trading day. In connection with the quarterly review, the eligible stocks in the Index are ranked in terms of free float market capitalization to produce the selection list for the Index. The Index consists of the top 95% (subject to applicable buffer rules) by free-float market capitalization of the total equity having a country assignment in one of the 17 applicable countries (based on the country of incorporation, the primary listing and the country with the largest trading volume).

The selection list for the Index is updated and published on a monthly basis according to the review component selection process in case a replacement is needed for a deletion. To create the selection list for the Index, for each company having more than one eligible class of stock, only the most liquid class is eligible, and a liquidity screen of a 3-month average daily trading volume of greater than one million euros is applied to the eligible stocks. The eligible stocks remaining after application of the liquidity screen are ranked by their free float market capitalizations.

At the quarterly review, the largest 550 stocks on the selection list qualify for selection for the Index. The remaining 50 stocks are selected from the current components ranked between 551 and 750 that meet all of the criteria (including the liquidity screen). If the number of stocks selected is still below 600, the largest (by free float market capitalization) stocks on the selection list are selected until there are 600 stocks.

The component stocks of the Index are monitored on an ongoing monthly basis for deletion and quarterly basis for addition. Changes to the composition of the Index due to corporate actions (including mergers and takeovers, spin-offs, sector changes and bankruptcy) are announced immediately, implemented two trading days later and become effective on the next trading day after implementation.

Any component stocks that are not traded for 10 consecutive days, are suspended from trading for 10 consecutive days, are officially delisted or are the subject of ongoing bankruptcy proceeds will be deleted from the Index. A deleted stock is replaced by the highest-ranked non-component on the selection list in the TMI to maintain the fixed number of stocks in the Index.
Additions and deletions in connection with a quarterly review are announced on the first trading day of the review implementation month.

The free float factors and outstanding number of shares for each index stock that STOXX Limited uses to calculate the Index are reviewed, calculated and implemented on a quarterly basis and are fixed until the next quarterly review. These changes are announced five trading days before they are implemented. Certain extraordinary adjustments to the factors and/or the number of outstanding shares are implemented and made effective more quickly. The timing depends on the magnitude of the change. The free float factor reduces the index stock's number of shares to the actual amount available on the market. All holdings that are larger than five percent of the total outstanding number of shares and held on a long-term basis are excluded from the index calculation (including, but not limited to, stock owned by the company itself, stock owned by governments, stock owned by certain individuals or families, and restricted shares). In addition, the weight of each component in the Index is capped at 20% of the Index's total free float market capitalization.

Capped Leveraged Index Return Notes®
TS-8
Capped Leveraged Index Return Notes®
Linked to the STOXX® Europe 600 Index, due July 28, 2023
Calculation of the Index

The Index is calculated with the 'Laspeyres formula,' which measures the aggregate price changes in the component stocks against a fixed base quantity weight. The formula for calculating the Index value can be expressed as follows:

STOXX® Europe
600 Index =
Free float market capitalization of the STOXX® Europe 600 Index
x 1,000
Adjusted base date market capitalization of the STOXX® Europe 600 Index

The 'free float market capitalization of the STOXX® Europe 600 Index' is equal to the sum of the products of the closing price, market capitalization, and free float factor for each component stock as of the time the Index is being calculated. Where any index component stock price is unavailable on any trading day, the index sponsor will generally use the last reported price for such component stock. If an index stock trades in a currency other than euros, its stock price is converted into euros.
The Index is also subject to a divisor, which is adjusted to maintain the continuity of the Index values across changes due to corporate actions, such as the deletion and addition of stocks, the substitution of stocks, stock dividends, and stock splits.

Capped Leveraged Index Return Notes®
TS-9
Capped Leveraged Index Return Notes®
Linked to the STOXX® Europe 600 Index, due July 28, 2023
The following graph shows the daily historical performance of the Index in the period from January 1, 2011 through July 29, 2021. We obtained this historical data from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the closing level of the Index was 463.84.
Historical Performance of the Index
This historical data on the Index is not necessarily indicative of the future performance of the Index or what the value of the notes may be. Any historical upward or downward trend in the level of the Index during any period set forth above is not an indication that the level of the Index is more or less likely to increase or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available sources for the levels of the Index.
License Agreement
We have entered into a non-exclusive license agreement with STOXX, which grants us a license in exchange for a fee to use the Index in connection with the issuance of certain securities, including the notes. The license agreement between us and STOXX requires that the following language be stated in this term sheet.
STOXX has no relationship to us, other than the licensing of the Index and its service marks for use in connection with the notes.
STOXX does not:

◾
sponsor, endorse, sell or promote the notes;

◾
recommend that any person invest in the notes or any other financial products;

◾
have any responsibility or liability for or make any decisions about the timing, amount or pricing of the notes;

◾
have any responsibility or liability for the administration, management or marketing of the notes; or

◾
consider the needs of the notes or the owners of the notes in determining, composing or calculating the Index or have any obligation to do so.
STOXX will not have any liability in connection with the notes. Specifically, STOXX does not make any warranty, express or implied, and STOXX disclaims any warranty about:

◾
the results to be obtained by the notes, the owner of the notes or any other person in connection with the use of the Index and the data included in the Index;

◾
the accuracy or completeness of the Index or its data;

◾
the merchantability and the fitness for a particular purpose or use of the Index or its data;

◾
any errors, omissions or interruptions in the Index or its data; and

◾
any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX knows that they might occur.
The licensing relating to the use of the Index and trademark referred to above by us is solely for our benefit, and not for any other third parties.

Capped Leveraged Index Return Notes®
TS-10
Capped Leveraged Index Return Notes®
Linked to the STOXX® Europe 600 Index, due July 28, 2023
Supplement to the Plan of Distribution
Under our distribution agreement with BofAS, BofAS will purchase the notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated underwriting discount.
MLPF&S will purchase the notes from BofAS for resale, and will receive a selling concession in connection with the sale of the notes in an amount up to the full amount of underwriting discount set forth on the cover of this term sheet.
We will deliver the notes against payment therefor in New York, New York on a date that is greater than two business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, 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.
The notes will not be listed on any securities exchange. In the original offering of the notes, the notes will be sold in minimum investment amounts of 100 units. If you place an order to purchase the notes, you are consenting to MLPF&S and/or one of its affiliates acting as a principal in effecting the transaction for your account.
MLPF&S and BofAS may repurchase and resell the notes, with repurchases and resales being made at prices related to then-prevailing market prices or at negotiated prices, and these prices will include MLPF&S's and BofAS's trading commissions and mark-ups or mark-downs. MLPF&S and BofAS may act as principal or agent in these market-making transactions; however, neither is obligated to engage in any such transactions. At their discretion, for a short, undetermined initial period after the issuance of the notes, MLPF&S and BofAS may offer to buy the notes in the secondary market at a price that may exceed the initial estimated value of the notes. Any price offered by MLPF&S or BofAS for the notes will be based on then-prevailing market conditions and other considerations, including the performance of the Index and the remaining term of the notes. However, none of us, MLPF&S, BofAS or any of our respective affiliates is obligated to purchase your notes at any price or at any time, and we cannot assure you that we, MLPF&S, BofAS or any of our respective affiliates will purchase your notes at a price that equals or exceeds the initial estimated value of the notes.
The value of the notes shown on your account statement will be based on BofAS's estimate of the value of the notes if BofAS or another of its 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 BofAS may pay for the notes in light of then-prevailing market conditions and other considerations, as mentioned above, and will include transaction costs. At certain times, this price may be higher than or lower than the initial estimated value of the notes.
The distribution of the Note Prospectus in connection with these offers or sales will be solely for the purpose of providing investors with the description of the terms of the notes that was made available to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized to, rely on the Note Prospectus for information regarding RBC or for any purpose other than that described in the immediately preceding sentence.

Capped Leveraged Index Return Notes®
TS-11
Capped Leveraged Index Return Notes®
Linked to the STOXX® Europe 600 Index, due July 28, 2023
Structuring the Notes
The notes are our debt securities, the return on which is linked to the performance of the Index. As is the case for all of our debt securities, including our market-linked notes, the economic terms of the notes reflect our actual or perceived creditworthiness at the time of pricing. In addition, because market-linked 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 which we refer to as our internal funding rate, which is the rate that we might pay for a conventional fixed or floating rate debt security. This generally relatively lower internal funding rate, which is reflected in the economic terms of the notes, along with the fees and charges associated with market-linked notes, resulted in the initial estimated value of the notes on the pricing date being less than their public offering price.
At maturity, we are required to pay the Redemption Amount to holders of the notes, which will be calculated based on the $10 per unit principal amount and will depend on the performance of the Index. In order to meet these payment obligations, at the time we issue the notes, we may choose to enter into certain hedging arrangements (which may include call options, put options or other derivatives) with BofAS or one of its affiliates. The terms of these hedging arrangements are determined by seeking bids from market participants, including MLPF&S, BofAS and its affiliates, and take into account a number of factors, including our creditworthiness, interest rate movements, the volatility of the Index, the tenor of the notes and the tenor of the hedging arrangements. The economic terms of the notes and their initial estimated value depend in part on the terms of these hedging arrangements.
BofAS has advised us that the hedging arrangements will include a hedging related charge of approximately $0.075 per unit, reflecting an estimated profit to be credited to BofAS from these transactions. Since hedging entails risk and may be influenced by unpredictable market forces, additional profits and losses from these hedging arrangements may be realized by BofAS or any third party hedge providers.
For further information, see 'Risk Factors-General Risks Relating to the LIRNs' beginning on page PS-6 and 'Use of Proceeds and Hedging' on page PS-15 of product supplement EQUITY INDICES LIRN-1.

Capped Leveraged Index Return Notes®
TS-12
Capped Leveraged Index Return Notes®
Linked to the STOXX® Europe 600 Index, due July 28, 2023
Summary of Canadian Federal Income Tax Consequences
For a discussion of the material Canadian federal income tax consequences relating to an investment in the notes, please see the section entitled 'Tax Consequences-Canadian Taxation' in the prospectus dated September 7, 2018.
Summary of U.S. Federal Income Tax Consequences
You should consider the U.S. federal income tax consequences of an investment in the notes, including the following:

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There is no statutory, judicial, or administrative authority directly addressing the characterization of the notes.

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You agree with us (in the absence of a statutory, regulatory, administrative, or judicial ruling to the contrary) to characterize and treat the notes for all tax purposes as pre-paid cash-settled derivative contracts in respect of the Index.

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Under this characterization and tax treatment of the notes, a U.S. holder (as defined on page 41 of the prospectus) generally will recognize capital gain or loss upon the sale or maturity of the notes. This capital gain or loss generally will be long-term capital gain or loss if you held the notes for more than one year.

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No assurance can be given that the Internal Revenue Service or any court will agree with this characterization and tax treatment.

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Under current Internal Revenue Service guidance, withholding on 'dividend equivalent' payments (as discussed in the accompanying product supplement), if any, will not apply to notes that are issued as of the date of this pricing supplement unless such notes are 'delta-one' instruments. The discussion in the accompanying product supplement is modified to reflect recent Internal Revenue Service guidance, which states that the U.S. Treasury Department and the Internal Revenue Service 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 equity-linked instruments that are not delta-one instruments and that are issued before January 1, 2023.

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The accompanying product supplement notes that FATCA withholding on payments of gross proceeds from a sale or redemption of the notes will only apply to payments made after December 31, 2018. That discussion is modified to reflect regulations proposed by the U.S. Treasury Department in December 2018 that eliminate the requirement of FATCA withholding on payments of gross proceeds upon the disposition of financial instruments. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed regulations pending their finalization. Prospective investors are urged to consult with their own tax advisors regarding the possible implications of FATCA on their investment in the notes.
You should consult your own tax advisor concerning the U.S. federal income tax consequences to you of acquiring, owning, and disposing of the notes, as well as any tax consequences arising under the laws of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other tax laws. You should review carefully the discussion under the section entitled 'U.S. Federal Income Tax Summary' beginning on page PS-30 of product supplement EQUITY INDICES LIRN-1. In addition, any reference to 'Morrison & Foerster LLP' in the aforementioned tax discussions in that product supplement should be read as a reference to 'Ashurst LLP.'
Validity of the Notes
In the opinion of Norton Rose Fulbright Canada LLP, the issue and sale of the notes has been duly authorized by all necessary corporate action of RBC in conformity with the Indenture, and when the notes have been duly executed, authenticated and issued in accordance with the Indenture and delivered against payment therefor, the notes will be validly issued and, to the extent validity of the notes is a matter governed by the laws of the Province of Ontario or Québec, or the laws of Canada applicable therein, and will be valid obligations of RBC, subject to equitable remedies which may only be granted at the discretion of a court of competent authority, subject to applicable bankruptcy, to rights to indemnity and contribution under the notes or the Indenture which may be limited by applicable law, to insolvency and other laws of general application affecting creditors' rights, to limitations under applicable limitations statutes and subject to limitations as to the currency in which judgments in Canada may be rendered, as prescribed by the Currency Act (Canada). This opinion is given as of the date hereof and is limited to the laws of the Provinces of Ontario and Québec and the federal laws of Canada applicable thereto. In addition, this opinion is subject to customary assumptions about the Trustee's authorization, execution and delivery of the Indenture and the genuineness of signatures and certain factual matters, all as stated in the letter of such counsel dated September 7, 2018, which has been filed as Exhibit 5.1 to RBC's Form 6-K filed with the SEC dated September 7, 2018.
In the opinion of Ashurst LLP, when the notes have been duly completed in accordance with the Indenture and issued and sold as contemplated by the prospectus supplement and the prospectus, the notes will be valid, binding and enforceable obligations of the Bank, entitled to the benefits of the Indenture, subject to applicable bankruptcy, insolvency, fraudulent transfer, reorganization, moratorium and similar laws of general applicability relating to or affecting creditors' rights and subject to general principles of equity, public policy considerations and the discretion of the court before which any suit or proceeding may be brought. This opinion is given as of the date hereof and is limited to the laws of the State of New York. This opinion is subject to customary assumptions about the Trustee's authorization, execution and delivery of the Indenture and the genuineness of signatures and to such counsel's reliance on the Bank and other sources as to certain factual matters, all as stated in the legal opinion dated June 25, 2021, which has been filed as Exhibit 5.3 to the Bank's Form 6-K dated June 25, 2021.

Capped Leveraged Index Return Notes®
TS-13
Capped Leveraged Index Return Notes®
Linked to the STOXX® Europe 600 Index, due July 28, 2023
Terms Incorporated in Master Global Security
The terms appearing under the captions 'Summary-Terms of the Notes' and 'Summary-Redemption Amount Determination' on page TS-2 above, the pricing date, settlement date and maturity date appearing on the cover page, and the applicable terms included in the documents listed under 'Summary' on page TS-2 are incorporated into the master global security that represents the notes and is held by The Depository Trust Company.
Where You Can Find More Information
We have filed a registration statement (including a product supplement, a prospectus supplement, and a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should read the Note Prospectus, including this term sheet, and the other documents that we have filed with the SEC, for more complete information about us and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, we, any agent, or any dealer participating in this offering will arrange to send you these documents if you so request by calling MLPF&S or BofAS toll-free at 1-800-294-1322.
'Leveraged Index Return Notes®' and 'LIRNs®' are the registered service marks of Bank of America Corporation, the parent company of MLPF&S and BofAS.


Capped Leveraged Index Return Notes®
TS-14