RBC Capital Markets®
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Filed Pursuant to Rule 433
Registration Statement No. 333-227001
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The information in this preliminary terms supplement is not complete and may be changed.
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Preliminary Terms Supplement
Subject to Completion:
Dated March 14, 2019
Pricing Supplement Dated March __, 2019 to the Product Prospectus Supplement No. CCBN-1, Dated September 10, 2018 and the Prospectus
Supplement and the Prospectus, Each Dated September 7, 2018
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$
Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Equity
Exchange Traded Funds, Due March 25, 2021
Royal Bank of Canada
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Reference Stocks
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Initial Stock Prices*
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Coupon Barriers and Trigger Prices
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SPDR® S&P® Biotech ETF (“XBI”)
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[●]
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60% of its Initial Stock Price
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Technology Select Sector SPDR® Fund (“XLK”)
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[●]
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60% of its Initial Stock 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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March 20, 2019
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Principal Amount:
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$1,000 per Note
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Issue Date:
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March 25, 2019
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Maturity Date:
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March 25, 2021
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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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March 22, 2021
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Contingent Coupon Rate:
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8.00% per annum
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Contingent Coupon:
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If the closing price of each Reference Stock 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 Stock Price of the Lesser Performing Reference Stock:
For each $1,000 in principal amount, $1,000 plus the Contingent Coupon at maturity, unless the Final Stock Price of the Lesser Performing Reference Stock
is less than its Trigger Price.
If the Final Stock Price of the Lesser Performing Reference Stock 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 + ($1,000 x Reference Stock Return of the Lesser Performing Reference Stock)
Investors in the Notes could lose some or all of their principal amount if the Final Stock Price of the Lesser
Performing Reference Stock is less than its Trigger Price.
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Lesser Performing
Reference Stock:
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The Reference Stock with the lowest Reference Stock Return.
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Call Feature:
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If the closing price of each Reference Stock is
greater than or equal to its Initial Stock Price on any Observation Date, the Notes will be automatically called for 100% of their principal amount, plus the Contingent Coupon applicable to the corresponding Observation Date.
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Call Settlement Dates:
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The Coupon Payment Date corresponding to that Observation Date.
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Final Stock Price:
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For each Reference Stock, its closing price on the Valuation Date.
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CUSIP:
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78013X3K2
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Per Note
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Total
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Price to public(1)
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100.00%
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$
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Underwriting discounts and commissions(1)
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2.25%
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$
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Proceeds to Royal Bank of Canada
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97.75%
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$
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(1) |
Certain dealers who purchase the Notes for sale to certain fee-based advisory accounts may forego some or all of their underwriting discount or selling concessions. The public
offering price for investors purchasing the Notes in these accounts may be between $977.50 and $1,000 per $1,000 in principal amount.
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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 terms 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 Stocks”).
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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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March 20, 2019
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Issue Date:
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March 25, 2019
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Valuation Date:
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March 22, 2021
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Maturity Date:
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March 25, 2021
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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 Stock 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 Stocks 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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8.00% per annum (2.00% per quarter)
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Observation Dates:
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Quarterly, on June 20, 2019, September 20, 2019, December 20, 2019, March 20, 2020, June 22, 2020, September 21, 2020,
December 21, 2020 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 June 25, 2019, September 25, 2019, December 26, 2019,
March 25, 2020, June 25, 2020, September 24, 2020, December 24, 2020 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, the closing price of each Reference Stock is greater than or equal to its Initial Stock
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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Call Settlement Dates:
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If the Notes are called on any Observation Date, the Call Settlement Date will be the Coupon Payment Date corresponding to that
Observation Date.
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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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Initial Stock Price:
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For each Reference Stock, its closing price on the Trade Date.
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Final Stock Price:
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For each Reference Stock, its closing price on the Valuation Date.
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Trigger Price and Coupon
Barrier:
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For each Reference Stock, 60% of its Initial Stock Price. The actual Trigger Prices and Coupon Barriers will be
determined on the Trade Date.
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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 Stock Price of the
Lesser Performing Reference Stock:
· If the Final Stock Price of the Lesser Performing Reference Stock 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 Stock Price of the Lesser Performing Reference Stock 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 Stock Return of the Lesser Performing Reference Stock)
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 Stock from the Trade Date to the Valuation Date. Investors in the Notes will lose some or all of
their principal amount if the Final Stock Price of the Lesser Performing Reference Stock 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 Stock Return:
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With respect to each Reference Stock:
Final Stock Price – Initial Stock Price
Initial Stock Price
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Lesser Performing
Reference Stock:
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The Reference Stock with the lowest Reference Stock 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 Stocks will
result in the postponement of an Observation Date or the Valuation Date as to that Reference Stock, as described in the product prospectus supplement, but not to any non-affected Reference Stock.
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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 Stocks 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 our counsel Morrison & Foerster LLP) in the product prospectus supplement dated September 10, 2018
under “Supplemental Discussion of U.S. Federal Income Tax Consequences,” which apply to the Notes.
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Secondary Market:
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RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary market in the Notes after the Issue
Date. The amount that you may receive upon sale of your Notes prior to maturity may be less than the 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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Listing:
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The Notes will not be listed on any securities exchange.
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Settlement:
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DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as described under
“Description of Debt Securities—Ownership and Book-Entry Issuance” in the prospectus dated September 7, 2018).
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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 terms supplement and the
terms appearing under the caption “General Terms of the Notes” in the product prospectus supplement dated September 10, 2018, as modified by this terms supplement.
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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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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 Stock Price (for each Reference Stock):
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$100.00*
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Hypothetical Trigger Price and Coupon Barrier (for each Reference Stock):
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$60.00, which is 60% of its hypothetical Initial Stock Price
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Contingent Coupon Rate:
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8.00% per annum (or 2.00% per quarter)
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Contingent Coupon Amount:
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$20.00 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 Stock
Price of the Lesser
Performing Reference
Stock
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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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102.00%
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$1,020.00*
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$140.00
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102.00%
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$1,020.00*
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$125.00
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102.00%
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$1,020.00*
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$120.00
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102.00%
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$1,020.00*
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$110.00
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102.00%
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$1,020.00*
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$100.00
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102.00%
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$1,020.00*
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$90.00
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102.00%
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$1,020.00*
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$80.00
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102.00%
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$1,020.00*
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$70.00
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102.00%
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$1,020.00*
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$60.00
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102.00%
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$1,020.00*
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$59.90
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59.90%
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$599.00
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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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$20.00
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20.00%
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$200.00
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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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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds Royal Bank of Canada
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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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Principal at Risk — 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 Stock between the Trade Date and the Valuation Date. If the Notes are not automatically called and the Final Stock Price of the Lesser
Performing Reference Stock 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 Stock 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, the closing price of each
Reference Stock is greater than or equal to its Initial Stock 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 Stocks 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 Stocks 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 Stock Price of the Lesser Performing Reference Stock will be less than its Trigger Price.
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The Notes Are Linked to the Lesser Performing Reference Stock, Even if the Other Reference Stock Performs
Better — If either of the Reference Stocks has a Final Stock Price that is less than its Trigger Price, your return will be linked to the lesser performing of the Reference Stocks. Even if the Final Stock Price of the
other Reference Stock has increased compared to its Initial Stock Price, or has experienced a decrease that is less than that of the Lesser Performing Reference Stock, your return will only be determined by reference to the
performance of the Lesser Performing Reference Stock, regardless of the performance of the other Reference Stock.
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Your Payment on the Notes Will Be Determined by Reference to Each Reference Stock Individually, Not to a
Basket, and the Payment at Maturity Will Be Based on the Performance of the Lesser Performing Reference Stock — The Payment at Maturity will be determined only by reference to the performance of the Lesser Performing
Reference Stock, regardless of the performance of the other Reference Stock. 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 component, as scaled by the weighting of those basket components. However, in the case of the Notes, the individual performance of each of the Reference Stocks would not be
combined, and the depreciation of one Reference Stock would not be mitigated by any appreciation of the other Reference Stock. Instead, your return will depend solely on the Final Stock Price of the Lesser Performing Reference
Stock.
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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 Stocks. 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 the first Observation Date, 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 Stock 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 Stocks.
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Your Return 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
bought a conventional senior interest bearing debt security of Royal Bank.
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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 its obligations on the applicable payment dates. This will be the case even if the prices of the Reference Stocks increase after the Trade Date. No assurance can be given as to what our financial
condition will be 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 Will Be Less than the Price to the Public — The initial estimated value that will be set forth in the final pricing supplement for the Notes does not represent a minimum price at which we, RBCCM or
any of our affiliates would be willing to purchase the Notes in any secondary market (if any exists) at any time. If you attempt to sell the Notes prior to maturity, their market value may be lower than the price you paid for them
and the initial estimated value. This is due to, among other things, changes in the prices of the Reference Stocks, 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 that We Will Provide in the Final Pricing Supplement Will Be an
Estimate Only, Calculated as of the Time the Terms of the Notes Are Set — The initial estimated value of the Notes will be based on the value of our obligation to make the payments on the Notes, together with the
mid-market value of the derivative embedded in the terms of the Notes. See “Structuring the Notes” below. Our estimate will be based on a variety of assumptions, including our credit spreads, expectations as to dividends,
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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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· |
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. 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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Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to engage in
trading activities related to the securities represented by the Reference Stocks 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 price or prices, as applicable, of the Reference Stocks, 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 Stocks, 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 Stocks or securities represented by the Reference Stocks. 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 Stocks, and,
therefore, the market value of the Notes.
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Owning the Notes Is Not the Same as Owning the Securities Represented by the Reference Stocks — The
return on your Notes is unlikely to reflect the return you would realize if you actually owned shares of the Reference Stocks or the securities represented by the Reference Stocks. 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 Stocks 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 Stocks — In
the ordinary course of their business, our affiliates may have expressed views on expected movements in the Reference Stocks 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 Stock 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 Stocks from multiple sources, and you should not rely solely on views
expressed by our affiliates.
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Management Risk — The Reference Stocks 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 Stock, utilizing a ‘‘passive’’ or indexing
investment approach, attempts to approximate the investment performance of its underlying index by investing in a portfolio of securities that generally replicate its underlying index. Therefore, unless a specific security is
removed from its underlying index, the Reference Stock generally would not sell a security because the security’s issuer
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds Royal Bank of Canada
|
· |
The Reference Stocks and their Underlying Indices Are Different — The performance of each Reference
Stock may not exactly replicate the performance of its respective underlying index, because these Reference Stocks 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 Stocks 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 Stocks, or due to other circumstances. These Reference Stocks 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 Sponsors of the Reference Stocks
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 sponsors of any Reference Stock 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 its methods or policies relating to the Reference Stocks or the underlying
indices. The investment advisor or the sponsors of the Reference Stocks 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 Stocks 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 sponsors, or the Reference Stocks contained in any public disclosure of information. You, as an investor in the Notes, should make your own investigation into the Reference Stocks.
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· |
The Policies of the Reference Stocks’ Investment Advisers or Underlying Indices Could Affect the Amount
Payable on the Notes and Their Market Value — The policies of the Reference Stocks’ investment advisers concerning the management of the Reference Stocks, 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 Stocks could affect the market price of shares of the Reference Stocks 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 Stocks’ investment advisers or relevant sponsors change
these policies, for example, by changing the manner in which an investment adviser manages the Reference Stocks, or if the sponsor changes the manner in which it calculates the applicable index, or if a Reference Stock’s
investment adviser discontinues or suspends maintenance of a Reference Stock, in which case it may become difficult to determine the market value of the Notes. The Reference Stocks’ investment advisers have no connection to the
offering of the Notes and have no obligations to you as an investor in the Notes in making its decisions regarding the Reference Stocks.
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· |
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 disruption event as well as the consequences of that market disruption event, see “General
Terms of the Notes—Market Disruption Events” in the product prospectus supplement.
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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds Royal Bank of Canada
|
• |
float-adjusted market capitalization above US$500 million and float-adjusted liquidity ratio above 90%;
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• |
float-adjusted market capitalization above US$400 million and float-adjusted liquidity ratio above 150%; or
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• |
for current constituents, float-adjusted market capitalization above US$300 million and float-adjusted liquidity ratio greater than or equal to 50%.
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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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Market Capitalization: Float-adjusted market capitalization should be at least US$400 million for inclusion in the underlying index. Existing index components must have a
float-adjusted market capitalization of US$300 million to remain in the underlying index at each rebalancing.
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Liquidity: The liquidity measurement used is a liquidity ratio, defined as dollar value traded over the previous 12-months divided by the float-adjusted market capitalization as
of the underlying index rebalancing reference date. Stocks having a float-adjusted market capitalization above US$500 million must have a liquidity ratio greater than 90% to be eligible for addition to the underlying index. Stocks
having a float-adjusted market capitalization between US$400 and US$500 million must have a liquidity ratio greater than 150% to be eligible for addition to the underlying index. Existing index constituents must have a liquidity
ratio greater than 50% to remain in the underlying index at the quarterly rebalancing. The length of time to evaluate liquidity is reduced to the available trading period for IPOs or spin-offs that do not have 12 months of trading
history.
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Takeover Restrictions: At the discretion of S&P, constituents with shareholder ownership restrictions defined in company bylaws may be deemed ineligible for inclusion in the
underlying index. Ownership restrictions preventing entities from replicating the index weight of a company may be excluded from the eligible universe or removed from the underlying index.
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Turnover: S&P believes turnover in index membership should be avoided when possible. At times, a company may appear to temporarily violate one or more of the addition
criteria. However, the addition criteria are for addition to the underlying index, not for continued membership. As a result, an index constituent that appears to violate the criteria for addition to the underlying index will not
be deleted unless ongoing conditions warrant a change in the composition of the underlying index.
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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 “SPDR Component Stocks”) is a constituent company of the S&P 500® Index.
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The nine 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 one and only 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 on the basis of that company’s sales and earnings composition and the sensitivity
of the company’s stock price and business results to the common factors that affect other companies in each Select Sector Index.
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S&P has sole control over the removal of stocks from the S&P 500® Index and the selection of replacement stocks to be added to the S&P 500®
Index. However, S&P plays only a consulting role in the Select Sector Indices.
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Each Select Sector Index is calculated by S&P using a modified “market capitalization” methodology. This design ensures that each of the component stocks within a Select
Sector Index is represented in a proportion consistent with its percentage with respect to the total market capitalization of that Select Sector Index. However, under certain conditions, the number of shares of a component stock
within the Select Sector Index may be adjusted to conform to certain Internal Revenue Code requirements.
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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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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds Royal Bank of Canada
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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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Auto-Callable Contingent Coupon Barrier Notes
Linked to the Lesser Performing of Two Exchange Traded Funds Royal Bank of Canada
|
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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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