Published on 6/9/2020 in the Prospect News Structured Products Daily.
New Issue: RBC prices $266,700 put spread warrants linked to S&P 500
By Sarah Lizee
Olympia, Wash., June 9 – Royal Bank of Canada priced $266,700 of put spread warrants expiring Nov. 30, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The initial investment is $25.40 per warrant, or 2.54% of the $1,000 notional amount.
The warrants will be automatically exercised on the expiration date if the index’s final level is less than the strike level, 90% of the initial index level. The cash settlement amount will be the notional amount multiplied by the lesser of the index change and 10%. The index change is the quotient of (a) the strike level minus the final index level divided by (b) the initial index level.
If the final index level is greater than or equal to the strike level, the warrants will not be exercised and will expire worthless.
RBC Capital Markets, LLC is the underwriter. JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the placement agents.
| Issuer: | Royal Bank of Canada
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| Issue: | Put spread warrants
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| Underlying index: | S&P 500
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| Notional amount: | $1,000 per warrant
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| Price: | $25.40 per warrant, or $266,700 total
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| Expiration date: | Nov. 30, 2020
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| Cash settlement date: | Dec. 3, 2020
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| Payout: | If final index level is less than strike level, $1,000 multiplied by lesser of index change and 10%; if final index level is greater than or equal to strike level, nothing
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| Index change: | Quotient of (a) strike level minus final index level divided by (b) initial index level
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| Initial index level: | 3,044.31
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| Strike level: | 2,739.88, 90% of initial level
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| Final index level: | Average of index’s closing levels on five trading days ending Nov. 27, 2020
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| Pricing date: | June 1
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| Settlement date: | June 4
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| Underwriter: | RBC Capital Markets, LLC
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| Placement agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
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| Fees: | $1.44 per warrant
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| Cusip: | 78013GA21
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