Published on 4/29/2015 in the Prospect News Structured Products Daily.
New Issue: RBC prices $3 million market plus notes linked to ETF, three indexes
By Marisa Wong
Madison, Wis., April 29 – Royal Bank of Canada priced $3 million of 0% market plus notes due May 1, 2020 linked to a basket of one exchange-traded fund and three indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the S&P 500 index with a 40% weight, the Euro Stoxx 50 index with a 25% weight, the Russell 2000 index with a 15% weight and the iShares MSCI Emerging Markets exchange-traded fund with a 20% weight.
The payout at maturity will be par plus the greater of the basket return and 18.5% unless the final basket level has decreased from the initial basket level by more than 25%, in which case investors will lose 1% for every 1% that the final basket level is less than the initial basket level.
RBC Capital Markets, LLC is the underwriter with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents.
| Issuer: | Royal Bank of Canada
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| Issue: | Market plus notes
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| Underlying basket: | S&P 500 index (40% weight), Euro Stoxx 50 index (25% weight), Russell 2000 index (15% weight) and iShares MSCI Emerging Markets ETF (20% weight)
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| Amount: | $3 million
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| Maturity: | May 1, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final basket level has decreased from initial basket level by more than 25%, 1% loss for every 1% that final basket level is less than initial basket level; otherwise, par plus greater of basket return and 18.5%
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| Initial levels: | 2,114.76 for S&P 500, 3,715.42 for Euro Stoxx, 1,259.36 for Russell and $44.09 for ETF
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| Pricing date: | April 28
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| Settlement date: | April 30
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| Underwriter: | HSBC Securities (USA) Inc.
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| Agent: | RBC Capital Markets, LLC
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| Fees: | 3%
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| Cusip: | 78012KDZ7
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