By Marisa Wong
Madison, Wis., May 18 – Royal Bank of Canada priced $1 million of 0% bearish return notes due June 17, 2016 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index decreases from the initial level to the final level, the payout at maturity will be par plus double the percentage change – the initial level minus the final level – subject to a maximum return of 12.85%.
Investors will lose 1% for each 1% gain in the index.
RBC Capital Markets, LLC is the agent.
Issuer: | Royal Bank of Canada
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Issue: | Bearish return notes
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Underlying index: | S&P 500
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Amount: | $1 million
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Maturity: | June 17, 2016
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus two times the absolute value of any index decline, capped at 12.85%; 1% loss for each 1% index gain
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Initial index level: | 2,121.10
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Pricing date: | May 14
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Settlement date: | May 19
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Agent: | RBC Capital Markets, LLC
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Fees: | 1.25%
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Cusip: | 78012KEG8
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