Published on 2/9/2024 in the Prospect News Structured Products Daily.
New Issue: RBC prices $4.59 million leveraged buffered notes linked to index basket
By Angela McDaniels
Tacoma, Wash., Feb. 9 – Royal Bank of Canada priced $4.59 million of 0% leveraged buffered basket-linked notes due Aug. 22, 2025 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Euro Stoxx 50 index with a 36% weight, the Topix index with a 26% weight, the FTSE 100 index with a 17% weight, the Swiss Market index with a 12% weight and the S&P/ASX 200 index with a 9% weight.
If the basket return is positive, the payout at maturity will be par plus 200% of the basket return, subject to a maximum settlement amount of $1,460.60 per $1,000 principal amount of notes.
If the basket return is zero or negative but not below negative 17.5%, the payout will be par.
If the basket return is below negative 17.5%, investors will lose 1.2121% for every 1% that the basket declines beyond 17.5%.
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), Topix (26% weight), FTSE 100 (17% weight), Swiss Market (12% weight) and S&P/ASX 200 (9% weight)
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| Amount: | $4.59 million
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| Maturity: | Aug. 22, 2025
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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 200% of basket return, subject to maximum return of 46.06%; if basket return is zero or negative but not below negative 17.5%, par; otherwise, 1.2121% loss for every 1% that basket declines beyond 17.5%
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| Initial levels: | 4,305.26 for Euro Stoxx 50, 2,253.81 for Topix, 7,461.46 for FTSE 100, 11,142.65 for Swiss Market and 7,118.212 for S&P/ASX 200
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| Buffer level: | 82.5% of initial level
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| Pricing date: | June 27, 2023
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| Settlement date: | July 5, 2023
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| Agent: | RBC Capital Markets, LLC
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| Fees: | 0%
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| Cusip: | 78016NJW8
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