Published on 11/14/2020 in the Prospect News Structured Products Daily.
New Issue: RBC prices $2 million leveraged buffered basket-linked notes on indexes
By Taylor Fox
New York, Nov. 16 – Royal Bank of Canada priced $1,995,000 of 0% leveraged buffered notes due Sept. 14, 2022 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 36% weight, the Topix index with a 29% weight, the FTSE 100 index with a 16% weight, the Swiss Market index with a 11% weight and the S&P/ASX 200 index with an 8% weight.
If the basket return is positive, the payout at maturity will be par plus 1.3 times the basket return, capped at a maximum settlement amount of $1,220.22 per note.
Investors will receive par for losses up to 10% and will share in any losses beyond 10% at a rate of 1.1111% per 1% decline beyond the 10% buffer.
RBC Capital Markets, LLC is the agent.
Issuer: | Royal Bank of Canada
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Issue: | Leveraged buffered basket-linked notes
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Underlying indexes: | Euro Stoxx 50 (36% weight), FTSE 100 (29% weight), Topix (16% weight), Swiss Market (11% weight) and S&P/ASX 200 (8% weight)
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Amount: | $1,995,000
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Maturity: | Sept. 14, 2022
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If basket return is positive, par plus 1.3 times basket return, capped at $1,220.22 per note; par for losses up to 10%; exposure to losses beyond 10% at rate of 1.1111% per 1% decline beyond buffer
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Initial index levels: | 3,180.70 for Euro Stoxx 50; 5,776.50 for FTSE 100; 1,637.60 for Topix; 9,989.75 for Swiss Market; 6,191.804 for S&P/ASX 200
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Pricing date: | Oct. 21
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Settlement date: | Oct. 28
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Agent: | RBC Capital Markets, LLC
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Fees: | None
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Cusip: | 78016EFF9
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