Published on 4/29/2015 in the Prospect News Structured Products Daily.
New Issue: RBC prices $5 million trigger phoenix autocallables on S&P 500, Russell 2000
By Susanna Moon
Chicago, April 29 – Royal Bank of Canada priced $5 million of trigger phoenix autocallable notes due Feb. 1, 2017 linked to the worst performing of the S&P 500 index and the Russell 2000 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 7.7% if each index closes at or above its 70% coupon barrier on an observation date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial price on any quarterly observation date.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its 70% barrier level, in which case investors will be fully exposed to any losses of the worst performing index.
RBC Capital Markets, LLC is the underwriter.
Issuer: | Royal Bank of Canada
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Issue: | Trigger phoenix autocallable notes
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Underlying indexes: | S&P 500 index, Russell 2000 index
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Amount: | $5 million
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Maturity: | Feb. 1, 2017
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Coupon: | 7.7% per year if each index closes at or above its barrier level on a quarterly observation date
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Price: | Par
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Payout at maturity: | If each index finishes at or above barrier level, par plus contingent coupon; otherwise, full exposure to losses of worst performing stock
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Call: | At par plus contingent coupon if each index closes at or above its initial level on any quarterly observation date
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Initial levels: | 2,108.92 for S&P, 1,252.70 for Russell
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Barrier levels: | 1,476.24 for S&P, 876.89 for Russell; 70% of initial levels
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Pricing date: | April 27
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Settlement date: | April 30
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Underwriter: | RBC Capital Markets, LLC
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Fees: | None
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Cusip: | 78012KDX2
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