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RBC plans to price absolute return notes linked to S&P 500 index
By Wendy Van Sickle
Columbus, Ohio, Jan. 6 – Royal Bank of Canada plans to price 0% absolute return notes due July 29, 2022 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
If the index return is positive, the payout at maturity will be par plus 101% to 105% of the index return. The exact leverage factor will be set at pricing. If the index return is negative but the final index level is greater than the buffer level, 80% of the initial level, the payout will be par plus the absolute value of the index return. If the final index level is less than the buffer level, investors will lose 1% for every 1% that the index declines beyond 20%.
RBC Capital Markets LLC is the underwriter.
The notes will price Jan. 26.
The Cusip number is 78012KYF8.
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