Published on 10/10/2023 in the Prospect News Structured Products Daily.
New Issue: RBC sells $1.72 million contingent market-linked autocallable securities on three indexes
By William Gullotti
Buffalo, N.Y., Oct. 10 – Royal Bank of Canada priced $1.72 million of market-linked securities – autocallable with contingent coupon and contingent downside due March 27, 2026 linked to the performance of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 8.25% if each index closes at or above its 75% coupon barrier on the relevant observation date.
The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly observation date after six months.
If the notes are not called and the worst performer 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 65% downside threshold, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
Wells Fargo Securities, LLC is the agent.
| Issuer: | Royal Bank of Canada
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500 index, Russell 2000 index, Nasdaq-100 index
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| Amount: | $1.72 million
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| Maturity: | March 27, 2026
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| Coupon: | 8.25% per year, payable quarterly if each index closes at or above its coupon barrier on the relevant observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if worst performer finishes at or above coupon barrier; par if worst performer finishes below coupon barrier but at or above downside threshold; otherwise, 1% loss per 1% decline of worst performer from initial level
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| Call: | Automatically 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: | 4,288.05 for S&P, 1,785.102 for Russell, 14,715.24 for Nasdaq
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| Coupon barriers: | 3,216.0375 for S&P, 1,338.8265 for Russell, 11,036.43 for Nasdaq; 75% of initial levels
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| Downside thresholds: | 2,787.2325 for S&P, 1,160.3163 for Russell, 9,564.906 for Nasdaq; 65% of initial levels
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| Pricing date: | Sept. 29
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| Settlement date: | Oct. 4
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| Agent: | Wells Fargo Securities, LLC
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| Fees: | 2.325%
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| Cusip: | 78016NMX4
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