Published on 2/3/2017 in the Prospect News Structured Products Daily.
New Issue: RBC prices $3.56 million trigger autocallable contingent yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 3 – Royal Bank of Canada priced $3.56 million of 0% trigger autocallable contingent yield notes due Jan. 30, 2020 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of between 8.13% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon unless either index closes below the downside threshold level, 70% of the initial level, during the life of the notes, in which case investors will lose 1% for every 1% decline from the initial level of the worse performing index.
RBC Capital Markets, LLC and UBS Financial Services Inc. are the underwriters.
| Issuer: | Royal Bank of Canada
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| Issue: | Trigger autocallable contingent yield notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $3,556,500
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| Maturity: | Jan. 30, 2020
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| Coupon: | 8.13%, payable quarterly if each index closes at or above coupon barrier on observation date
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| Price: | Par of $10
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| Call: | After six months, at par plus contingent coupon if each index closes at or above initial level on any quarterly observation date
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| Payout at maturity: | Par unless either index finishes below downside threshold level, in which case 1% loss for each 1% decline of worse performing index
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| Initial levels: | 1,370.704 for Russell, 2,294.69 for S&P
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| Coupon barrier/thresholds: | 959.493 for Russell and 1,606.28 for S&P; 70% of initial levels
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| Pricing date: | Jan. 27
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| Settlement date: | Jan. 31
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| Agents: | UBS Financial Services Inc. and RBC Capital Markets, LLC
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| Fees: | 0.5%
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| Cusip: | 78014E281
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