Published on 2/1/2022 in the Prospect News Structured Products Daily.
New Issue: RBC prices $7.26 million capped notes tied to a weighted basket of indexes
By William Gullotti
Buffalo, N.Y., Feb. 1 – Royal Bank of Canada priced $7.26 million of 0% capped notes due Jan. 30, 2026 linked to a weighted basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with an initial weight of 55%, the Russell 2000 index with an initial weight of 15%, the Euro Stoxx 50 index with an initial weight of 12%, the FTSE 100 index with an initial weight of 6%, the Nikkei Stock average with an initial weight of 6%, the Swiss Market index with an initial weight of 2.25%, the S&P/ASX 200 index with an initial weight of 2.25% and the FTSE China 50 index with an initial weight of 1.5%.
If the basket return is positive, the payout at maturity will be par plus 150% of the basket return, capped at par plus 64.2%.
Investors will be fully exposed to any basket decline.
BofA Securities, Inc. is the agent.
| Issuer: | Royal Bank of Canada
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| Issue: | Capped notes
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| Underlying basket: | S&P 500 index (55% weight), Russell 2000 index (15% weight), Euro Stoxx 50 index (12% weight), FTSE 100 index (6% weight), Nikkei Stock average (6% weight), Swiss Market index (2.25% weight), S&P/ASX 200 index (2.25% weight), FTSE China 50 index (1.5% weight)
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| Amount: | $7,258,600
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| Maturity: | Jan. 30, 2026
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If the basket return is positive, par plus 150% of the basket return, capped at par plus 64.2%; otherwise, investors will lose 1% for every 1% of basket decline
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| Initial levels: | 4,326.51 for S&P 500, 1,931.288 for Russell, 4,184.97 for Stoxx, 7,554.31 for FTSE, 26,170.3 for Nikkei, 12,176.9 for Swiss Market, 6,838.282 for S&P/ASX, 16,394.62 for FTSE China
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| Pricing date: | Jan. 27
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| Settlement date: | Feb. 3
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| Agent: | BofA Securities, Inc.
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| Fees: | 2.5%
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| Cusip: | 78015B799
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