New Issue: RBC prices $2 million buffer enhanced absolute return notes on S&P index, iShares ETF

By William Gullotti

Buffalo, N.Y., Aug. 18 – Royal Bank of Canada priced $2 million of buffer enhanced absolute return notes due Oct. 29, 2024 linked to the performance of the iShares Russell 2000 Value ETF and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the least performing underlier finishes at or above its initial level, the payout at maturity will be par plus that underlier’s return, subject to a maximum payout of par plus 17.65%.

If the worst performer declines up to the buffer level, 85% of initial level, the payout will be par plus 1.5 times the absolute value of that underlier’s return.

Otherwise, investors will lose 1% for every 1% decline of the worst performer beyond 15%.

RBC Capital Markets LLC is the underwriter.

Issuer:	Royal Bank of Canada
Issue:	Buffer enhanced absolute return notes
Underlying assets:	iShares Russell 2000 Value ETF, S&P 500 index
Amount:	$2 million
Maturity:	Oct. 29, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	If least performing underlier finishes at or above its initial level, par plus that underlier’s return, capped at par plus 17.65%; if the worst performer declines no more than 15%, par plus 1.5 times the absolute value of that underlier’s return; otherwise, 1% loss for every 1% decline of the worst performer beyond 15%
Initial levels:	$151.24 for ETF, 4,588.96 for index
Buffer levels:	$128.55 for ETF, 3,900.62 for index; 85% of initial levels
Pricing date:	July 31
Settlement date:	Aug. 3
Underwriter:	RBC Capital Markets LLC
Fees:	None
Cusip:	78016NRX7

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