Published on 9/26/2023 in the Prospect News Structured Products Daily.
New Issue: RBC prices $4.9 million geared buffered absolute return autocalls on Nasdaq, Russell
By William Gullotti
Buffalo, N.Y., Sept. 26 – Royal Bank of Canada priced $4.9 million of 0% autocallable geared buffered absolute return notes due March 24, 2025 linked to the worst performing of the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called automatically at par plus 11.65% per year if each index closes at or above its initial level on any semiannual review date.
If the notes are not called at maturity and the worst-performing index falls by no more than 20%, investors will receive par plus the absolute value of its return.
Otherwise, investors will lose 1.25% for every 1% decline of the worst-performing index beyond 20%.
RBC Capital Markets, LLC is the agent.
| Issuer: | Royal Bank of Canada
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| Issue: | Autocallable geared buffered absolute return notes
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| Underlying indexes: | Nasdaq-100 index and Russell 2000 index
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| Amount: | $4.9 million
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| Maturity: | March 24, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If worst-performing index falls by up to 20%, par plus absolute value of worst-performing index return; otherwise, 1.25% loss for every 1% decline of worst-performing index beyond 20%
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| Call: | Automatically at par plus 11.65% per year if each index closes at or above initial level on any semiannual review date
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| Initial levels: | 15,191.23 for Nasdaq, 1,826.527 for Russell
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| Buffer levels: | 12,152.98 for Nasdaq, 1,461.222 for Russell; 80% of initial levels
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| Strike date: | Sept. 19
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| Pricing date: | Sept. 20
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| Settlement date: | Sept. 25
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| Agent: | RBC Capital Markets, LLC
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| Fees: | 0.15%
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| Cusip: | 78016NE29
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