Royal Bank of Canada filed a Form 424B2 pricing supplement on July 31, 2026, disclosing the terms of $11,795,000 in Digital S&P 500 Index-Linked Notes due September 2, 2027, issued under its Senior Global Medium-Term Notes, Series J program.

Key Highlights

  • Total offering size: $11,795,000 in aggregate principal amount, in denominations of $1,000.
  • Maturity date: September 2, 2027, with a determination date of August 31, 2027, subject to adjustment.
  • Threshold settlement: If the final S&P 500 Index level is at or above 90.00% of the initial underlier level, investors receive $1,093.50 per $1,000 principal amount.
  • Initial underlier level: 7,489.72, the closing level of the S&P 500 Index on the trade date of July 31, 2026.
  • Initial estimated value: $987.64 per $1,000 principal amount, which the filing states "is less than the original issue price."
  • Underwriting discount: 1.09% of the principal amount; net proceeds to the issuer equal 98.91% of the principal amount.
  • No interest: The filing states "the notes will not bear interest."

Structure and Payment Terms of Royal Bank of Canada's Digital Index-Linked Notes

According to the filing, the notes are linked to the performance of the S&P 500 Index (Bloomberg symbol "SPX Index"), published by S&P Dow Jones Indices LLC, measured from the trade date of July 31, 2026, through the determination date of August 31, 2027. The original issue date is August 5, 2026, and the notes were priced at 100.00% of principal amount. The notes do not pay interest during their term.

The filing describes two payment scenarios at maturity. If the final underlier level is greater than or equal to 90.00% of the initial underlier level (that is, at or above the threshold level), each $1,000 principal amount pays the threshold settlement amount of $1,093.50. If the final underlier level falls below the threshold level, the cash settlement amount equals the sum of $1,000 plus the product of $1,000 times approximately 1.1111 times the sum of the underlier return plus 10.00%. The filing states this amount "will be less than $1,000 and could be zero," and that investors "could lose your entire investment in the notes."

The filing discloses that the initial estimated value of $987.64 per $1,000 principal amount was determined by Royal Bank of Canada as of the trade date and reflects factors including the bank's credit risk. The filing notes that "the market value of the notes at any time will reflect many factors, cannot be predicted with accuracy and may be less than this amount." The notes are not deposits insured by the Canada Deposit Insurance Corporation or the U.S. Federal Deposit Insurance Corporation, and the filing states they "are not bail-inable notes."

What Was Disclosed

Royal Bank of Canada disclosed pricing terms for $11,795,000 of S&P 500 Index-linked notes maturing September 2, 2027, including a threshold settlement of $1,093.50 per $1,000 if the index stays within 10% of its July 31, 2026 closing level, with full principal loss possible otherwise.