01/12/2022 | Press release | Distributed by Public on 01/12/2022 16:17
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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-259205
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Pricing Supplement
Dated January 10, 2022
To the Product Prospectus Supplement No. CCBN-1, Dated September 14, 2021 and the Prospectus Supplement and the Prospectus, Each Dated September 14, 2021
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$750,000
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity
Exchange Traded Funds, Due January 15, 2025
Royal Bank of Canada
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Reference Assets
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Initial Prices
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Coupon Barriers and Trigger Prices
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Energy Select Sector SPDR® Fund ("XLE")
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$61.15
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$48.92, which is 80% of its Initial Price
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Technology Select Sector SPDR® Fund ("XLK")
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$165.96
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$132.77, which is 80% of its Initial Price*
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Issuer:
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Royal Bank of Canada
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Stock Exchange Listing:
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None
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Trade Date:
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January 10, 2022
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Principal Amount:
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$1,000 per Note
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Issue Date:
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January 13, 2022
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Maturity Date:
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January 15, 2025
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Observation Dates:
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Quarterly, as set forth below.
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Coupon Payment Dates:
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Quarterly, as set forth below.
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Valuation Date:
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January 10, 2025
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Contingent Coupon Rate:
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15.25% per annum
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Contingent Coupon:
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If the closing price of each Reference Asset is greater than or equal to its Coupon Barrier on the applicable Observation Date, we will pay the Contingent Coupon applicable to the corresponding Observation Date. You may not receive any Contingent Coupons during the term of the Notes.
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Payment at Maturity (if
held to maturity):
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If the Notes are not previously called, we will pay you at maturity an amount based on the Final Price of the Lesser Performing Reference Asset:
For each $1,000 in principal amount, $1,000 plus the Contingent Coupon at maturity, unless the Final Price of the Lesser Performing Reference Asset is less than its Trigger Price.
If the Final Price of the Lesser Performing Reference Asset is less than its Trigger Price, then the investor will receive at maturity, for each $1,000 in principal amount, a cash payment equal to:
$1,000 + ($1,000 x Reference Asset Return of the Lesser Performing Reference Asset)
Investors in the Notes could lose some or all of their principal amount if the Final Price of the Lesser Performing Reference Asset is less than its Trigger Price.
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Lesser Performing
Reference Asset:
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The Reference Asset with the lowest Reference Asset Return.
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Call Feature:
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If the closing price of each Reference Asset is greater than or equal to its Initial Price starting on April 11, 2022 and on any quarterly Call Observation Date thereafter, the Notes will be automatically called for 100% of their principal amount, plus the Contingent Coupon applicable to the corresponding Observation Date.
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Call Settlement Dates:
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The Coupon Payment Date corresponding to that Observation Date.
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Final Price:
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For each Reference Asset, its closing price on the Valuation Date.
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CUSIP:
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78016FCC6
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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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$750,000
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Underwriting discounts and commissions(1)
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1.00%
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$7,500
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Proceeds to Royal Bank of Canada
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99.00%
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$742,500
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(1) |
Certain dealers who purchased the Notes for sale to certain fee-based advisory accounts may have foregone some or all of their underwriting discount or selling concessions. The public offering price for investors purchasing the Notes in these accounts was between $990 and $1,000 per $1,000 in principal amount.
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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General:
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This pricing supplement relates to an offering of Auto-Callable Contingent Coupon Barrier Notes (the "Notes") linked to the lesser performing of the shares of two exchange traded funds (the "Reference Assets").
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Issuer:
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Royal Bank of Canada ("Royal Bank")
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Trade Date:
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January 10, 2022
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Issue Date:
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January 13, 2022
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Valuation Date:
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January 10, 2025
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Maturity Date:
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January 15, 2025
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Denominations:
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Minimum denomination of $1,000, and integral multiples of $1,000 thereafter.
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Designated Currency:
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U.S. Dollars
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Contingent Coupon:
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We will pay you a Contingent Coupon during the term of the Notes, periodically in arrears on each Coupon Payment Date, under the conditions described below:
•If the closing price of each Reference Asset is greater than or equal to its Coupon Barrier on the applicable Observation Date, we will pay the Contingent Coupon applicable to that Observation Date.
•If the closing price of either of the Reference Assets is less than its Coupon Barrier on the applicable Observation Date, we will not pay you the Contingent Coupon applicable to that Observation Date.
You may not receive a Contingent Coupon for one or more quarterly periods during the term of the Notes.
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Contingent Coupon Rate:
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15.25% per annum (3.8125% per quarter)
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Observation Dates:
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Quarterly, on April 11, 2022, July 11, 2022, October 10, 2022, January 10, 2023, April 10, 2023, July 10, 2023, October 10, 2023, January 10, 2024, April 10, 2024, July 10, 2024, October 10, 2024 and the Valuation Date.
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Coupon Payment Dates:
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The Contingent Coupon, if payable, will be paid quarterly, on April 14, 2022, July 14, 2022, October 13, 2022, January 13, 2023, April 13, 2023, July 13, 2023, October 13, 2023, January 16, 2024, April 15, 2024, July 15, 2024, October 16, 2024 and the Maturity Date.
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Record Dates:
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The record date for each Coupon Payment Date will be one business day prior to that scheduled Coupon Payment Date; provided, however, that any Contingent Coupon payable at maturity or upon a call will be payable to the person to whom the payment at maturity or upon the call, as the case may be, will be payable.
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Call Feature:
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If, on any Observation Date beginning in April 2022, the closing price of each Reference Asset is greater than or equal to its Initial Price, then the Notes will be automatically called.
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Payment if Called:
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If the Notes are automatically called, then, on the applicable Call Settlement Date, for each $1,000 principal amount, you will receive $1,000 plus the Contingent Coupon otherwise due on that Call Settlement Date.
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P-2
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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Call Settlement Dates:
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If the Notes are called on any Observation Date beginning in April 2022, the Call Settlement Date will be the Coupon Payment Date corresponding to that Observation Date.
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Initial Price:
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For each Reference Asset, its closing price on the Trade Date, as set forth on the cover page of this pricing supplement.
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Final Price:
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For each Reference Asset, its closing price on the Valuation Date.
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Coupon Barrier and
Trigger Price:
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For each Reference Asset, 80% of its Initial Price, as set forth on the cover page of this pricing supplement.
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Payment at Maturity (if
not previously called and
held to maturity):
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If the Notes are not previously called, we will pay you at maturity an amount based on the Final Price of the Lesser Performing Reference Asset:
•If the Final Price of the Lesser Performing Reference Asset is greater than or equal to its Trigger Price, we will pay you a cash payment equal to the principal amount plus the Contingent Coupon otherwise due on the Maturity Date.
•If the Final Price of the Lesser Performing Reference Asset is less than its Trigger Price, you will receive at maturity, for each $1,000 in principal amount, a cash payment equal to:
$1,000 + ($1,000 x Reference Asset Return of the Lesser Performing Reference Asset)
The amount of cash that you receive will be less than your principal amount, if anything, resulting in a loss that is proportionate to the decline of the Lesser Performing Reference Asset from the Trade Date to the Valuation Date. Investors in the Notes will lose some or all of their principal amount if the Final Price of the Lesser Performing Reference Asset is less than its Trigger Price.
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Stock Settlement:
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Not applicable. Payments on the Notes will be made solely in cash.
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Reference Asset Return:
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With respect to each Reference Asset:
Final Price - Initial Price
Initial Price
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Lesser Performing
Reference Asset:
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The Reference Asset with the lowest Reference Asset Return.
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Market Disruption Events:
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The occurrence of a market disruption event (or a non-trading day) as to either of the Reference Assets will result in the postponement of an Observation Date or the Valuation Date as to that Reference Asset, as described in the product prospectus supplement, but not to any non-affected Reference Asset.
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Calculation Agent:
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RBC Capital Markets, LLC ("RBCCM")
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U.S. Tax Treatment:
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By purchasing a Note, each holder agrees (in the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat the Notes as a callable pre-paid cash-settled contingent income-bearing derivative contract linked to the Reference Assets 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 September 14, 2021 under "Supplemental Discussion of U.S. Federal Income Tax Consequences," which apply to the Notes.
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P-3
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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Secondary Market:
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RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary market in the Notes after the issue date. The amount that you may receive upon sale of your Notes prior to maturity may be less than the principal amount 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 September 14, 2021).
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Terms Incorporated in the
Master Note:
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All of the terms appearing above the item captioned "Secondary Market" on pages P-2 and P-3 of this pricing supplement and the terms appearing under the captions "General Terms of the Notes" and "Supplemental Discussion of U.S. Federal Income Tax Consequences" in the product prospectus supplement dated September 14, 2021, as modified by this pricing supplement.
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P-4
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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P-5
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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Hypothetical Initial Price (for each Reference Asset):
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$100.00*
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Hypothetical Coupon Barrier and Trigger Price (for each Reference Asset):
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$80.00, which is 80% of its hypothetical Initial Price.
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Contingent Coupon Rate:
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15.25% per annum (or 3.8125% per quarter)
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Contingent Coupon Amount:
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$38.125 per quarter
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Observation Dates:
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Quarterly
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Principal Amount:
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$1,000 per Note
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Hypothetical Final Price of
the Lesser Performing
Reference Asset
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Payment at Maturity as
Percentage of Principal
Amount
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Payment at Maturity
(assuming that the Notes
were not previously called)
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$150.00
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103.8125%
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$1,038.125*
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$140.00
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103.8125%
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$1,038.125*
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$130.00
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103.8125%
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$1,038.125*
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$120.00
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103.8125%
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$1,038.125*
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$110.00
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103.8125%
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$1,038.125*
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$100.00
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103.8125%
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$1,038.125*
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$90.00
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103.8125%
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$1,038.125*
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$80.00
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103.8125%
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$1,038.125*
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$79.99
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79.99%
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$799.90
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$70.00
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70.00%
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$700.00
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$60.00
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60.00%
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$600.00
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$50.00
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50.00%
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$500.00
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$40.00
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40.00%
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$400.00
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$25.00
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25.00%
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$250.00
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$10.00
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10.00%
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$100.00
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$0.00
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0.00%
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$0.00
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P-6
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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P-7
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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You May Receive Less than the Principal Amount at Maturity- Investors in the Notes could lose all or a substantial portion of their principal amount if there is a decline in the trading price of the Lesser Performing Reference Asset between the Trade Date and the Valuation Date. If the Notes are not automatically called and the Final Price of the Lesser Performing Reference Asset on the Valuation Date is less than its Trigger Price, the amount of cash that you receive at maturity will represent a loss of your principal that is proportionate to the decline in the closing price of the Lesser Performing Reference Asset from the Trade Date to the Valuation Date. Any Contingent Coupons received on the Notes prior to the Maturity Date may not be sufficient to compensate for any such loss.
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The Notes Are Subject to an Automatic Call - If on any Observation Date beginning in April 2022, the closing price of each Reference Asset is greater than or equal to its Initial Price, then the Notes will be automatically called. If the Notes are automatically called, then, on the applicable Call Settlement Date, for each $1,000 in principal amount, you will receive $1,000 plus the Contingent Coupon otherwise due on the applicable Call Settlement Date. You will not receive any Contingent Coupons after the Call Settlement Date. 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.
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You May Not Receive Any Contingent Coupons - We will not necessarily make any coupon payments on the Notes. If the closing price of either of the Reference Assets on an Observation Date is less than its Coupon Barrier, we will not pay you the Contingent Coupon applicable to that Observation Date. If the closing price of either of the Reference Assets is less than its Coupon Barrier on each of the Observation Dates and on the Valuation Date, we will not pay you any Contingent Coupons during the term of, and you will not receive a positive return on your Notes. Generally, this non-payment of the Contingent Coupon coincides with a period of greater risk of principal loss on your Notes. Accordingly, if we do not pay the Contingent Coupon on the Maturity Date, you will also incur a loss of principal, because the Final Price of the Lesser Performing Reference Asset will be less than its Trigger Price.
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The Notes Are Linked to the Lesser Performing Reference Asset, Even if the Other Reference Asset Performs Better - If either of the Reference Assets has a Final Price that is less than its Trigger Price, your return will be linked to the lesser performing of the Reference Asset. Even if the Final Prices of the other Reference Asset has increased compared to its respective Initial Price, or has experienced a decrease that is less than that of the Lesser Performing Reference Asset, your return will only be determined by reference to the performance of the Lesser Performing Reference Asset, regardless of the performance of the other Reference Asset.
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Your Payment on the Notes Will Be Determined by Reference to Each Reference Asset Individually, Not to a Basket, and the Payment at Maturity Will Be Based on the Performance of the Lesser Performing Reference Asset - The Payment at Maturity will be determined only by reference to the performance of the Lesser Performing Reference Asset, regardless of the performance of the other Reference Asset. The Notes are not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components. For example, in the case of notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket components reflected as the basket return. As a result, the depreciation of one basket component could be mitigated by the appreciation of the other basket components, as scaled by the weighting of those basket components. However, in the case of the Notes, the individual performance of each of the Reference Assets would not be combined, and the depreciation of one Reference Asset would not be mitigated by any appreciation of the other Reference Asset. Instead, your return will depend solely on the Final Price of the Lesser Performing Reference Asset.
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P-8
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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The Call Feature and the Contingent Coupon Feature Limit Your Potential Return - The return potential of the Notes is limited to the pre-specified Contingent Coupon Rate, regardless of the appreciation of the Reference Assets. In addition, the total return on the Notes will vary based on the number of Observation Dates on which the Contingent Coupon becomes payable prior to maturity or an automatic call. Further, if the Notes are called due to the Call Feature, you will not receive any Contingent Coupons or any other payment in respect of any Observation Dates after the applicable Call Settlement Date. Since the Notes could be called as early as April 2022, the total return on the Notes could be minimal. If the Notes are not called, you may be subject to the full downside performance of the Lesser Performing Reference Asset even though your potential return is limited to the Contingent Coupon Rate. As a result, the return on an investment in the Notes could be less than the return on a direct investment in the Reference Assets.
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Your Return on the Notes May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity - The return that you will receive on the Notes, which could be negative, may be less than the return you could earn on other investments. Even if your return is positive, your return may be less than the return you would earn if you purchased one of our conventional senior interest bearing debt securities.
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Payments on the Notes Are Subject to Our Credit Risk, and Changes in Our Credit Ratings Are Expected to Affect the Market Value of the Notes - The Notes are our senior unsecured debt securities. As a result, your receipt of any Contingent Coupons, if payable, and the amount due on any relevant payment date is dependent upon our ability to repay our obligations on the applicable payment dates. This will be the case even if the prices of the Reference Assets increase after the Trade Date. No assurance can be given as to what our financial condition will be at any time during the term of the Notes.
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There May Not Be an Active Trading Market for the Notes-Sales in the Secondary Market May Result in Significant Losses - There may be little or no secondary market for the Notes. The Notes will not be listed on any securities exchange. RBCCM and our other affiliates may make a market for the Notes; however, they are not required to do so. RBCCM or any other affiliate of ours may stop any market-making activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We expect that transaction costs in any secondary market would be high. As a result, the difference between bid and asked prices for your Notes in any secondary market could be substantial.
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The Initial Estimated Value of the Notes Is Less than the Price to the Public - The initial estimated value that is set forth on the cover page of this pricing supplement does not represent a minimum price at which we, RBCCM or any of our affiliates would be willing to purchase the 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 prices of the Reference Assets, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to the public of the underwriting discount 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 and the hedging costs relating to the Notes. In addition to bid-ask spreads, the value of the Notes determined by RBCCM 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 Set Forth on the Cover Page of this Pricing Supplement Is an Estimate Only, Calculated as of the Time the Terms of the Notes Were Set - The initial estimated value of the Notes is based on the value of our obligation to make the payments on the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes. See "Structuring the Notes" below. Our
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P-9
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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• |
Our Business Activities May Create Conflicts of Interest - We and our affiliates expect to engage in trading activities related to the Notes or to the securities represented by the Reference Assets 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 share prices of the Reference Assets, 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 securities represented by the Reference Assets, 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 Reference Assets or securities represented by the Reference Assets. This research is modified from time to time without notice and may express opinions or provide recommendations that are inconsistent with purchasing or holding the Notes. Any of these activities by us or one or more of our affiliates may affect the share price or prices, as applicable, of the Reference Assets, and, therefore, the market value of the Notes.
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An Investment in the Notes Is Subject to Risks Associated with Specific Economic Sectors- The stocks held by each exchange traded fund to which the Notes are linked are issued by companies engaged in a specific sector of the economy, specifically, the energy sector, as to XLE, and the technology sector, as to XLK. Accordingly, an investment in the Notes is subject to the specific risks of companies that operate in each of those sectors. An investment in the Notes may accordingly be more risky than a security linked to a more diversified set of securities.
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Owning the Notes Is Not the Same as Owning the Securities Represented by the Reference Assets - The return on your Notes is unlikely to reflect the return you would realize if you actually owned shares of the Reference Assets or the securities represented by the Reference Assets. For instance, you will not receive or be entitled to receive any dividend payments or other distributions on these securities during the term of your Notes. As an owner of the Notes, you will not have voting rights or any other rights that holders of these securities may have. Furthermore, the Reference Assets may appreciate substantially during the term of the Notes, while your potential return will be limited to the applicable Contingent Coupon payments.
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You Must Rely on Your Own Evaluation of the Merits of an Investment Linked to the Reference Assets - In the ordinary course of their business, our affiliates may have expressed views on expected movements in the Reference Assets or the equity securities that they represent, and may do so in the future. These views or reports may be communicated to our clients and clients of our affiliates. However, these views are subject to change from time to time. Moreover, other professionals who transact business in markets relating to any Reference Asset may at any time have significantly different views from those of our affiliates. For these reasons, you are encouraged to derive information concerning the Reference Assets from multiple sources, and you should not rely solely on views expressed by our affiliates.
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•
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An Investment in the Notes Is Subject to Management Risk - The Reference Assets are not managed according to traditional methods of ''active'' investment management, which involve the buying and selling of securities based on economic, financial and market analysis and investment judgment. Instead, each Reference
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P-10
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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• |
The Reference Assets and their Underlying Indices Are Different - The performance of each Reference Asset may not exactly replicate the performance of its respective underlying index, because these Reference Assets will reflect transaction costs and fees that are not included in the calculation of its underlying index. It is also possible that the performance of these Reference Assets may not fully replicate or may in certain circumstances diverge significantly from the performance of their underlying indices due to the temporary unavailability of certain securities in the secondary market, the performance of any derivative instruments contained in the Reference Assets, or due to other circumstances. These Reference Assets may use futures contracts, options, swap agreements, currency forwards and repurchase agreements in seeking performance that corresponds to their underlying indices and in managing cash flows.
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We and Our Affiliates Do Not Have Any Affiliation with the Advisor or the Sponsor of the Reference Assets or the Underlying Indices and Are Not Responsible for Their Public Disclosure of Information- We and our affiliates are not affiliated with the investment advisor or the sponsor of any Reference Asset or their underlying indices in any way and have no ability to control or predict their actions, including any errors in or discontinuance of disclosure regarding their methods or policies relating to the Reference Assets or the underlying indices. The investment advisor or the sponsor of the Reference Assets and the underlying indices are not involved in the offering of the Notes in any way and have no obligation to consider your interests as an owner of the Notes in taking any actions relating to the Reference Assets that might affect the value of the Notes. Neither we nor any of our affiliates has independently verified the adequacy or accuracy of the information about the investment advisor, the sponsor, or the Reference Assets contained in any public disclosure of information. You, as an investor in the Notes, should make your own investigation into the Reference Assets.
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The Policies of the Reference Assets' Investment Advisor or Underlying Indices Could Affect the Amount Payable on the Notes and Their Market Value - The policies of the Reference Assets' investment advisor concerning the management of the Reference Assets, or the index sponsor for each underlying index, concerning the calculation of each underlying index, additions, deletions or substitutions of the securities held by the Reference Assets could affect the market price of shares of the Reference Assets and, therefore, the amount payable on the Notes on the maturity date and the market value of the Notes before that date. The amount payable on the Notes and their market value could also be affected if the Reference Assets' investment advisor or relevant sponsors change these policies, for example, by changing the manner in which an investment advisor manages the Reference Assets, or if the sponsor changes the manner in which it calculates the applicable index, or if a Reference Asset's investment advisor discontinues or suspends maintenance of a Reference Asset, in which case it may become difficult to determine the market value of the Notes. The Reference Assets' investment advisor has no connection to the offering of the Notes and has no obligations to you as an investor in the Notes in making its decisions regarding the Reference Assets.
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•
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The Payments on the Notes Are Subject to Postponement due to Market Disruption Events and Adjustments - The payment at maturity, each Observation Date and the Valuation Date are subject to adjustment as described in the product prospectus supplement. For a description of what constitutes a market
|
P-11
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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P-12
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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Each of the component stocks in a Select Sector Index (the "Component Stocks") is a constituent company of the S&P 500® Index.
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The eleven Select Sector Indices together will include all of the companies represented in the S&P 500® Index and each of the stocks in the S&P 500® Index will be allocated to at least one of the Select Sector Indices.
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Each constituent stock of the S&P 500® Index is assigned to a Select Sector Index based on its GICS sector. Each Select Sector Index is made up of all the stocks in the applicable GICS sector.
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Each Select Sector Index is calculated by the index sponsor, Standard & Poor's, using a capped market capitalization methodology where single index constituents or defined groups of index constituents are confined to a maximum weight and the excess weight is distributed proportionally among the remaining index constituents. Each Select Sector Index is rebalanced from time to time to re-establish the proper weighting.
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For reweighting purposes, each Select Sector Index is rebalanced quarterly after the close of business on the third Friday of March, June September and December using the following procedures: (1) The rebalancing reference date is the second Friday of March, June, September and December; (2) With prices reflected on the rebalancing reference date, and membership, shares outstanding and investable weight factors as of the rebalancing effective date, each company is weighted by float-adjusted market capitalization methodology. Modifications are made as defined below.
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P-13
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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(i) |
If any Component Stock has a weight greater than 24%, that Component Stock has its float-adjusted market capitalization weight capped at 23%. The 23% weight cap creates a 2% buffer to ensure that no Component Stock exceeds 25% as of the quarter-end diversification requirement date.
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(ii) |
All excess weight is equally redistributed to all uncapped Component Stocks within the relevant Select Sector Index.
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(iii) |
After this redistribution, if the float-adjusted market capitalization weight of any other Component Stock(s) then breaches 23%, the process is repeated iteratively until no Component Stocks breaches the 23% weight cap.
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(iv) |
The sum of the Component Stocks with weights greater than 4.8% cannot exceed 50% of the total index weight. These caps are set to allow for a buffer below the 5% limit.
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(v) |
If the rule in step (iv) is breached, all the Component Stocks are ranked in descending order of their float-adjusted market capitalization weights and the first Component Stock that causes the 50% limit to be breached has its weight reduced to 4.5%.
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(vi) |
This excess weight is equally redistributed to all Component Stocks with weights below 4.5%. This process is repeated iteratively until step (iv) is satisfied.
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(vii) |
Index share amounts are assigned to each Component Stock to arrive at the weights calculated above. Since index shares are assigned based on prices one week prior to rebalancing, the actual weight of each Component Stock at the rebalancing differs somewhat from these weights due to market movements.
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(viii) |
If, on the second to last business day of March, June, September, or December, a company has a weight greater than 24% or the sum of the companies with weights greater than 4.8% exceeds 50%, a secondary rebalancing will be triggered with the rebalancing effective date being after the close of the last business day of the month. This second rebalancing will use the closing prices as of the second to last business day of March, June, September or December, and membership, shares outstanding, and IWFs as of the rebalancing effective date.
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P-14
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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P-15
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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P-16
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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P-17
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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P-18
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RBC Capital Markets, LLC
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds
Royal Bank of Canada
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P-19
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RBC Capital Markets, LLC
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