Published on 10/5/2023 in the Prospect News Structured Products Daily.
New Issue: RBC prices $1.2 million autocallable contingent coupon barrier notes on index, ETFs
By William Gullotti
Buffalo, N.Y., Oct. 5 – Royal Bank of Canada priced $1.2 million of autocallable contingent coupon barrier notes due Oct. 1, 2026 linked to the performance of the iShares Russell 2000 Value ETF, the Russell 2000 index and the Utilities Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent monthly coupon at the rate of 9.6% per year if the worst performing underlier closes at or above its coupon barrier level, 70% of its initial level, on the relevant observation date.
The notes will be called at par plus coupon if the worst performing underlier closes at or above its initial level on any quarterly observation date after six months.
If the notes are not called and each underlier 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 its 60% trigger level, the payout will be par. Otherwise, investors will be fully exposed to the decline of the worst performing underlier 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 assets: | Russell 2000 index, Utilities Select Sector SPDR Fund, iShares Russell 2000 Value ETF
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| Amount: | $1.2 million
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| Maturity: | Oct. 1, 2026
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| Coupon: | 9.6%, payable monthly if worst performing underlier closes at or above coupon barrier level on the relevant observation date
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| Price: | Par
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| Payout at maturity: | If all underliers finish at or above coupon barrier level, par plus final coupon; if worst performer finishes below coupon barrier but at or above trigger level, par; otherwise, investors will be fully exposed to the worst performer from its initial level
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| Call: | At par plus coupon if each underlier closes at or above initial level on any quarterly observation date after six months
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| Initial levels: | 1,794.312 for Russell, $58.83 for SPDR, $136.14 for iShares
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| Coupon barrier levels: | 1,256.018 for Russell, $41.18 for SPDR, $95.30 for iShares; 70% of initial levels
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| Trigger levels: | 1,076.587 for Russell, $35.30 for SPDR, $81.68 for iShares; 60% of initial levels
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| Pricing date: | Sept. 28
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| Settlement date: | Oct. 3
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| Agent: | RBC Capital Markets, LLC
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| Fees: | 0.7%
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| Cusip: | 78016NG92
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