Published on 7/7/2016 in the Prospect News Structured Products Daily.
New Issue: RBC prices $4.77 million leveraged buffered notes on index basket
By Wendy Van Sickle
Columbus, Ohio, July 7 – Royal Bank of Canada priced $4.77 million of 0% leveraged buffered notes due Sept. 28, 2017 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 37% initial weight, the FTSE 100 index with a 23% initial weight, the Topix index with a 23% initial weight, the Swiss Market index with a 9% initial weight and the S&P/ASX 200 index with an 8% initial weight.
The payout at maturity will be par plus 1.4 times any basket gain, up to a maximum settlement of $1,191.10 for every $1,000 of notes.
Investors will receive par if the basket falls by 10% or less and will lose 1.111% for every 1% decline in the basket beyond 10%.
RBC Capital Markets, LLC is the agent.
| Issuer: | Royal Bank of Canada
|
| Issue: | Leveraged buffered notes
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| Underlying indexes: | Euro Stoxx 50 (37% weight), FTSE 100 (23% weight), Topix (23% weight), Swiss Market (9% weight) and S&P/ASX 200 (8% weight)
|
| Amount: | $4,766,000
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| Maturity: | Sept. 28, 2017
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | If basket return is positive, par plus 140% of index return, subject to maximum settlement amount of $1,191.10 per $1,000 principal amount; par if index declines by 10% or less; 1.1111% loss for every 1% that index declines beyond 10%
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| Initial levels: | 2,864.74 for Euro Stoxx 50; 6,504.33 for FTSE 100; 1,245.82 for Topix: 8,020.15 for Swiss Market and 5,233.375 for S&P/ASX 200
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| Buffer level: | 90% of initial level
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| Pricing date: | June 30
|
| Settlement date: | July 8
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| Agent: | RBC Capital Markets, LLC
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| Fees: | None
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| Cusip: | 78012KQJ9
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