Published on 6/23/2020 in the Prospect News Structured Products Daily.
New Issue: RBC sells $2.96 million leveraged buffered notes on index basket
By Sarah Lizee
Olympia, Wash., June 23 – Royal Bank of Canada priced $2.96 million of 0% leveraged buffered basket-linked notes due Feb. 23, 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 27% weight, the FTSE 100 index with a 19% weight, the Swiss Market index with a 10% 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 1.4 times the basket return, subject to a maximum of $1,191.80 for each $1,000 principal amount of notes.
If the basket return is zero or negative but not less than negative 12.5%, the payout will be par.
Investors will lose 1.1429% for every 1% decline in the basket beyond 12.5%
RBC Capital Markets, LLC is the agent.
| Issuer: | Royal Bank of Canada
|
| Issue: | Leveraged buffered basket-linked notes
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| Underlying indexes: | Euro Stoxx 50 (36% weight), Topix (27% weight), FTSE 100 (19% weight), Swiss Market (10% weight) and S&P/ASX 200 (8% weight)
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| Amount: | $2,956,000
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| Maturity: | Feb. 23, 2022
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | If the basket return is positive, par plus 1.4 times the basket return, up to a maximum of $1,191.80 for each $1,000 principal amount of notes; if basket falls by up to 12.5%, par; 1.1429% loss for every 1% decline in the basket beyond 12.5%
|
| Initial levels: | 3,242.65 for Stoxx, 1,593.45 for Topix, 6,242.79 for FTSE, 10,034.29 for Swiss and 5,942.302 for S&P/ASX
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| Buffer levels: | 87.5% of initial levels
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| Pricing date: | June 16
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| Settlement date: | June 23
|
| Agent: | RBC Capital Markets, LLC
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| Fees: | None
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| Cusip: | 78015KYW8
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