Published on 4/15/2015 in the Prospect News Structured Products Daily.
New Issue: RBC sells $3.34 million contingent income callable notes on Russell 2000, S&P 500
By Susanna Moon
Chicago, April 15 – Royal Bank of Canada priced $3.34 million of contingent income callable index-linked notes due April 13, 2017 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 6% if each index closes at or above its barrier, 70% of its initial level, on an observation date for that quarter.
The notes are callable on any quarterly observation date at par plus accrued interest.
The payout at maturity is par unless either index closes below its 70% barrier level, in which case the payout will be par plus the return of the worst performing index, with full exposure to losses.
RBC Capital Markets, LLC is the agent.
Issuer: | Royal Bank of Canada
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Issue: | Contingent income callable index-linked notes
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Underlying indexes: | Russell 2000, S&P 500 index
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Amount: | $3,342,000
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Maturity: | April 13, 2017
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Coupon: | 6% per year, payable quarterly if each underlying closes at or above barrier level on observation date for that quarter
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Price: | Par
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Payout at maturity: | Par unless either index closes below barrier level, in which case full exposure to decline of worst performing index
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Call option: | At par on any quarterly observation date
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Initial levels: | 2,102.06 for S&P, 1,264.775 for Russell
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Barrier levels: | 1,471.44 for S&P, 885.343 for Russell; 70% of initial levels
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Pricing date: | April 10
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Settlement date: | April 15
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Agent: | RBC Capital Markets, LLC
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Fees: | 2%
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Cusip: | 78012KDS3
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