Form FWP ROYAL BANK OF CANADA Filed by: ROYAL BANK OF CANADA
Filed Pursuant to Rule 433
Registration No. 333-227001
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Royal Bank of Canada
Market Linked Securities
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Market Linked Securities – Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside Principal at Risk
Securities Linked to the SPDR® S&P® Biotech ETF
Term Sheet to Preliminary Pricing Supplement No. WFC158 dated March 31, 2021
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Summary of terms
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Issuer
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Royal Bank of Canada
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Term
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Approximately 2.5 years
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Fund
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SPDR® S&P® Biotech ETF
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Pricing Date
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April 30, 2021*
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Original Issue Date
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May 5, 2021*
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Principal Amount
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$1,000 per security (each security will be offered at an initial public offering price of $1,000)
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Payment at Maturity
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See “How the maturity payment amount is calculated” on page 3
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Maturity Date
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November 6, 2023*
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Initial Fund Price
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The fund closing price of the Fund on the pricing date
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Final Fund Price
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The fund closing price of the Fund on the valuation date
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Maximum Maturity
Payment Amount
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[$1,320 - $1,360] (to be determined on the pricing date)
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Buffer Price
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90% of the Initial Fund Price
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Participation Rate
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200%
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Valuation Date
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October 30, 2023*
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Calculation Agent
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RBC Capital Markets, LLC, a wholly-owned subsidiary of the issuer
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Denominations
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$1,000 and any integral multiple of $1,000
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Underwriting
Discount and
Commission
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Up to 2.975%, of which dealers, including those using the trade name Wells Fargo Advisors (“WFA”), may receive a selling concession of 1.75% and WFA will receive a distribution expense fee of
0.075%.
In respect of certain securities sold in this offering, our affiliate, RBC Capital Markets, LLC, may pay a fee of up to $1.00 per security to selected securities dealers in consideration for marketing and other
services in connection with the distribution of the securities to other securities dealers.
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CUSIP
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78016ERL3
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*To the extent that the issuer makes any change to the expected pricing date or expected original issue date, the valuation date and maturity date may also be changed in the issuer’s discretion to ensure that the term
of the securities remains the same.
Investment description
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Linked to the SPDR® S&P® Biotech ETF
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Unlike ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity. Instead, the securities provide for a payment at maturity that may be greater than, equal
to or less than the initial public offering price of the securities, depending on the performance of the Fund from its Initial Fund Price to its Final Fund Price.
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The payment at maturity will reflect the following terms:
o If the price of the Fund increases:
You will receive the initial public offering price plus 200% participation in the upside performance of the Fund, subject to a maximum total return at maturity
of 32.00% to 36.00% (to be determined on the pricing date) of the initial public offering price
o If the price of the Fund does not change or decreases but the decrease is not more than 10%:
You will be repaid the initial public offering price
o If the price of the Fund decreases by more than 10%:
You will receive less than the initial public offering price and will have 1-to-1 downside exposure to the decrease in the price of the Fund below the Buffer
Price
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Investors may lose up to 90% of the initial public offering price
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All payments on the securities are subject to the credit risk of Royal Bank of Canada, and you will have no ability to pursue the Fund or any securities held by the Fund for payment; if Royal Bank of Canada
defaults on its obligations, you could lose some or all of your investment
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No periodic interest payments or dividends
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The issuer’s initial estimated value of the securities as of the pricing date is expected to be between $912.80 and $952.80 per $1,000 in principal
amount, which is less than the public offering price. The final pricing supplement relating to the securities will set forth the issuer’s estimate of the initial value of the securities as of the pricing date. The market value of the
securities at any time will reflect many factors, cannot be predicted with accuracy, and may be less than this amount. See “Risk Factors” and “Supplemental Plan of Distribution – Structuring the Securities” in the accompanying
preliminary pricing supplement for further information.
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The securities are not subject to conversion into our common shares under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act. The securities have complex
features and investing in the securities involves risks not associated with an investment in conventional debt securities. See “Selected Risk Considerations” in this term sheet and “Risk Factors” in the accompanying preliminary pricing
supplement and prospectus supplement.
This introductory term sheet does not provide all of the information that an investor should consider prior to making an investment decision.
Investors should carefully review the accompanying preliminary pricing supplement, prospectus supplement and prospectus before making a decision to invest in the securities.
NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE FDIC OR ANY OTHER GOVERNMENTAL AGENCY
Hypothetical payout profile
The profile to the right is based on a hypothetical maximum maturity payment amount of 134.00% or $1,340.00 per $1,000 security (the midpoint of the range set
forth above), the Participation Rate of 200% and a Buffer Price equal to 90% of the Initial Fund Price.
This graph has been prepared for purposes of illustration only. Your actual return will depend on the actual Final Fund Price, maximum maturity payment amount,
and whether you hold your securities to maturity.
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Hypothetical returns
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Hypothetical
Final Fund Price |
Hypothetical Percentage Change
from the Initial Fund Price to the
Hypothetical
Final Fund Price |
Hypothetical Maturity
Payment Amount per
Security(1)
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Hypothetical Pre-Tax
Total Rate of Return
on the Securities
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$0.00
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-100.00%
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$100.00
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-90.00%
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$10.00
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-90.00%
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$200.00
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-80.00%
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$30.00
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-70.00%
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$400.00
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-60.00%
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$40.00
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-60.00%
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$500.00
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-50.00%
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$50.00
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-50.00%
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$600.00
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-40.00%
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$60.00
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-40.00%
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$700.00
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-30.00%
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$70.00
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-30.00%
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$800.00
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-20.00%
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$80.00
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-20.00%
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$900.00
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-10.00%
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$85.00
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-15.00%
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$950.00
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-5.00%
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$90.00
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(2)
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-10.00%
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$1,000.00
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0.00%
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$95.00
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-5.00%
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$1,000.00
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0.00%
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$100.00
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(3)
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0.00%
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$1,000.00
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0.00%
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$105.00
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5.00%
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$1,100.00
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10.00%
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$110.00
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10.00%
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$1,200.00
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20.00%
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$115.00
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15.00%
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$1,300.00
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30.00%
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$117.00
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17.00%
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$1,340.00
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34.00%
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$120.00
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20.00%
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$1,340.00
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34.00%
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$130.00
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30.00%
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$1,340.00
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34.00%
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$140.00
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40.00%
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$1,340.00
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34.00%
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$150.00
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50.00%
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$1,340.00
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34.00%
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Based on a hypothetical maximum maturity payment amount of $1,340.00 (the mid-point of the range of maximum maturity payment amounts set forth in this pricing supplement).
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This is the Buffer Price.
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(3)
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This is the Initial Fund Price.
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How the maturity payment amount is calculated
The maturity payment amount will be determined as follows:
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If the Final Fund Price is greater than the Initial Fund Price, the maturity payment amount per security will equal the lesser of:
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$1,000 +
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the maximum maturity payment amount
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If the Final Fund Price is equal to or less than the Initial Fund Price but greater than or equal to the Buffer Price, the maturity payment amount per security will equal the issue price of $1,000.00
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If the Final Fund Price is less than the Buffer Price, the maturity payment amount per security will equal:
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$1,000 -
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In such a case, you will lose up to 90% of your principal.
Historical Fund Prices*
*The graph above sets forth the historical daily closing prices of the Fund for the period from January 1, 2016 to March 26, 2021. The closing price on March 26,
2021 was $133.06. The historical performance of the Fund is not an indication of its future performance during the term of the securities.
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Selected risk considerations
The risks set forth below are discussed in detail in the “Risk Factors” section in the accompanying preliminary pricing supplement. Please review
those risk disclosures carefully.
Risks Relating to the Terms and Structure of the Securities
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Your investment may result in a loss of up to 90% of your principal
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You will not receive interest payments on the securities
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Your yield may be lower than the yield on a standard debt security of comparable maturity
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Your return is limited and will not reflect the return of owning the Fund or the common stocks held by the Fund
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Owning the securities is not the same as owning the shares of the Fund or the common stocks held by the Fund
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The securities will be debt obligations of Royal Bank of Canada. No other company or entity will be responsible for payments under the securities
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The tax treatment of the securities is uncertain and gain on the securities may be treated as ordinary income under the constructive ownership rules
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Risks Relating to the Secondary Market for the Securities
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There may not be an active trading market for the securities
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The amount to be paid at maturity is not linked to the price of the Fund at any time other than the valuation date
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Many factors affect the market value of the securities
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Risks Relating to the Fund
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The securities are subject to risks relating to biotech companies and companies in the healthcare sector
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The Fund is concentrated in the biotechnology industry and does not provide diversified exposure
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The correlation between the performance of the Fund and the performance of the Underlying Index may be imperfect
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The policies of the Fund investment adviser and changes that affect the Underlying Index could affect the amount payable on the securities and their market value
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We have no affiliation with the Index Sponsor and will not be responsible for any actions taken by the Index Sponsor
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Historical prices of the Fund should not be taken as an indication of the future prices of the Fund during the term of the securities
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Risks Relating to the Initial Estimated Value of the Securities
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Our initial estimated value of the securities will be less than the initial public offering price
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The price, if any, at which you may be able to sell your securities prior to maturity may be less than the initial public offering price and our initial estimated value
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The initial estimated value of the securities is an estimate only, calculated as of the time the terms of the securities are set
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Risks Relating to Conflicts of Interest
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Hedging transactions may affect the return on the securities
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Potential conflicts of interest could arise
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Anti-dilution adjustments relating to the shares of the Fund do not address every event that could affect such shares
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The calculation agent may postpone the valuation date and, therefore, determination of the Final Fund Price and the maturity date if a market disruption event occurs on the valuation date
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There are potential conflicts of interest between you and the calculation agent
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Not suitable for all investors
Investment suitability must be determined individually for each investor. The securities described herein are not a suitable investment for all investors. In particular, no investor should
purchase the securities unless they understand and are able to bear the associated market, liquidity and yield risks. Unless market conditions and other relevant factors change significantly in your favor, a sale of the securities prior
to maturity is likely to result in sale proceeds that are substantially less than the initial public offering price per security. Royal Bank of Canada, Wells Fargo Securities, LLC and their respective affiliates are not obligated to
purchase the securities from you at any time prior to maturity.
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The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting
EDGAR on the SEC website at www.sec.gov. Alternatively, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling your financial advisor or by calling Royal Bank of
Canada at 1-877-688-2301.
S&P® and SPDR® are registered trademarks of Standard & Poor’s Financial Services LLC (S&P). The securities are not sponsored,
endorsed, sold or promoted by S&P or the SPDR® S&P® Biotech ETF (the “Fund”). Neither the Fund nor S&P makes any representations or warranties to the holders of the securities or any member of the
public regarding the advisability of investing in the securities. Neither the XBI Fund nor S&P will have any obligation or liability in connection with the registration, operation, marketing, trading or sale of the securities or in
connection with our use of information about the Fund.
Wells Fargo Advisors is a trade name used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers
and non-bank affiliates of Wells Fargo & Company.
Consult your tax advisor
Investors should review carefully the accompanying preliminary pricing supplement, prospectus supplement and prospectus and consult their tax advisors regarding the application of the U.S.
federal income tax laws to their particular circumstances, as well as any tax consequences arising under the laws of any state, local or foreign jurisdiction.
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