New Issue: RBC prices $1 million buffer enhanced absolute return notes on index, ETF

By Wendy Van Sickle

Columbus, Ohio, July 28 – Royal Bank of Canada priced $1 million of 0% buffer enhanced absolute return notes due Sept. 25, 2024 linked to the performance of the S&P 500 index and the iShares Russell 2000 Value ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus any gain of the worst performing underlier, subject to a maximum return of par plus 16.15%.

If the laggard asset falls by up to 15%, the payout will be par plus 150% of the absolute value of that asset’s return.

Investors will lose 1% for each 1% that the level of the laggard underlier decreases by more than 15%.

RBC Capital Markets, LLC is the agent.

Issuer:	Royal Bank of Canada
Issue:	Buffer enhanced return notes
Underlying assets:	S&P 500 index and iShares Russell 2000 Value ETF
Amount:	$1 million
Maturity:	Sept. 25, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus any gain of the laggard underlier, capped at par plus 15.15%; if laggard underlier falls by up to 15%, par plus 150% of the absolute value of that asset’s return; otherwise, 1% loss for each 1% of underlier decline below 15%
Initial underlier levels:	4,534.87 for index, $148.26 for ETF
Buffer levels:	3,854.64 for index, $126.02 for ETF; 85% of initial level
Pricing date:	July 20
Settlement date:	July 25
Agent:	RBC Capital Markets, LLC
Fees:	0%
Cusip:	78016NPL5

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