RBC plans notes linked to RBC Global Tactical Equity Total Return

By Angela McDaniels

Tacoma, Wash., May 23 – Royal Bank of Canada plans to price 0% rules-based investment securities due Dec. 31, 2039 linked to the RBC Global Tactical Equity Total Return index, according to an FWP filing with the Securities and Exchange Commission.

The index, subject to the operation of the “tactical trigger,” is designed to provide exposure to large-cap U.S. stocks, small-cap U.S. stocks, large-cap stocks in non-U.S. developed markets and emerging market stocks.

In order to obtain exposure to these markets, the index is allocated on a fixed-weight basis, rebalancing once a year to the RBC Large Cap US Tactical Equity Total Return index, the RBC Small Cap US Tactical Equity Total Return index, the RBC Emerging Market Tactical Equity Total Return index and the RBC International Developed Tactical Equity Total Return index at target weights of 50%, 10%, 15% and 25%, respectively.

Each subindex is allocated on a monthly basis to either (a) a futures contract on a specific index (the S&P 500, the Russell 2000, the MSCI EAFE or the MSCI Emerging Markets) and the Federal Funds rate or (b) only the Federal Funds rate. It is allocated depending on the tactical trigger, which compares the current closing price of an exchange-traded fund linked to the applicable underlying index to the average of that ETF’s closing price over a specified trading period. If the current closing price is higher than the moving average, then the subindex will be allocated to the relevant futures contract and the Federal Funds rate. If the current closing price is lower than the moving average, then the subindex will be allocated only to the Federal Funds rate.

Payout at maturity

For each $1,000 principal amount of notes, the payout at maturity will be an amount equal to the indicative note value.

The indicative note value will be set on the pricing date to an amount equal to $1,000 multiplied by the 99.75% participation rate, which equals $997.50. On each subsequent index trading day, the indicative note value will equal (a) the indicative note value on prior index trading day multiplied by (b) one plus the index factor multiplied by (c) one minus the index adjustment factor.

On any index trading day, the index factor will be equal to the quotient of (a) the closing level of the index minus the closing level of the index on the prior index trading day divided by (b) the closing level of the index on the prior index trading day.

On any index trading day after the pricing date, the index adjustment factor is 0.65% multiplied by (a) the number of calendar days elapsed since the most recent index trading day divided by (b) 365 (or 366 in a leap year).

The notes will be putable, subject to a minimum of $5,000 principal amount of notes. Holders who put will receive an amount equal to the indicative note value. The notes will not be callable.

RBC Capital Markets LLC is the agent.

The notes will price June 28.

The Cusip number is 78013X7H5.

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