New Issue: RBC prices $997,000 absolute return notes linked to S&P 500 index

By Tali Rackner

Norfolk, Va., Jan. 31 – Royal Bank of Canada priced $997,000 of 0% absolute return notes due July 29, 2022 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par plus 105% of the index return.

If the index falls by up to 20%, the payout will be par plus the absolute value of the index return.

If the final index level is less than the 80% buffer level, investors will lose 1% for every 1% that the index declines beyond the buffer.

RBC Capital Markets LLC is the underwriter.

Issuer:	Royal Bank of Canada
Issue:	Absolute return notes
Underlying index:	S&P 500
Amount:	$997,000
Maturity:	July 29, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	If index gain, par plus 105% of return; if index falls by up to 20%, par plus absolute value of return; otherwise, full exposure to any losses
Initial level:	2,296.68
Buffer level:	1,837.34, 80% of initial level
Pricing date:	Jan. 26
Settlement date:	Jan. 31
Underwriter:	RBC Capital Markets LLC
Fees:	3%
Cusip:	78012KYF8

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