Published on 1/4/2022 in the Prospect News Structured Products Daily.
New Issue: RBC sells $2.07 million autocallable contingent coupon barrier notes on three indexes
By William Gullotti
Buffalo, N.Y., Jan. 4 – Royal Bank of Canada priced $2.07 million of autocallable contingent coupon barrier notes due May 17, 2027 linked to the performance of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at the rate of 5.25% per year if the worst performing index closes at or above its coupon barrier, 65% of its initial level, on the relevant observation date.
The notes will be called at par plus coupon if the worst performing index closes at or above its initial level on any quarterly observation date after six months.
If each index finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above the 60% trigger level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
RBC Capital Markets, LLC is the agent.
| Issuer: | Royal Bank of Canada
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| Issue: | Autocallable contingent coupon barrier notes
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| Underlying indexes: | Russell 2000 index, S&P 500 index, Euro Stoxx 50 index
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| Amount: | $2,068,000
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| Maturity: | May 17, 2027
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| Coupon: | 5.25%, payable quarterly if worst performing index closes at or above coupon barrier on the relevant observation date
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| Price: | Par
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| Payout at maturity: | If all indexes finishes at or above coupon barrier, par plus the final coupon; if the worst performer finishes below coupon barrier but not below trigger level, par; otherwise, investors will be fully exposed to the decline of the worst performing index from its initial level
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| Call: | At par plus coupon if each index closes at or above initial level on any quarterly observation date after six months
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| Initial levels: | 2,411.776 for Russell, 4,682.85 for S&P, 4,370.33 for Stoxx
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| Coupon barriers: | 1,567.654 for Russell, 3,043.85 for S&P, 2,840.71 for Stoxx; 65% of initial levels
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| Trigger levels: | 1,447.066 for Russell, 2,809.71 for S&P, 2,622.2 for Stoxx; 60% of initial levels
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| Pricing date: | Nov. 12
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| Settlement date: | Nov. 17
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| Agent: | RBC Capital Markets, LLC
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| Fees: | 2.25%
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| Cusip: | 78016F5T7
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