Published on 1/10/2017 in the Prospect News Structured Products Daily.
New Issue: RBC prices $700,000 autocallable barrier notes linked to S&P, Russell
By Angela McDaniels
Tacoma, Wash., Jan. 10 – Royal Bank of Canada priced $700,000 of autocallable floating-rate and contingent coupon barrier notes due Jan. 9, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a floating-rate coupon at an annual rate equal to Libor plus 200 basis points.
In addition to the floating-rate coupon, the notes will pay a quarterly contingent coupon at the rate of 2% per year if each index closes at or above its trigger level, 65% of its initial level, on the observation date for that quarter.
Beginning Jan. 8, 2018, the notes will be called at par if each index closes at or above its initial level on any quarterly observation date.
If the final level of the lesser-performing index is greater than or equal to its trigger level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the lesser-performing index finishes below its initial level.
RBC Capital Markets, LLC is the underwriter.
| Issuer: | Royal Bank of Canada
|
| Issue: | Autocallable floating-rate and contingent coupon barrier notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $700,000
|
| Maturity: | Jan. 9, 2020
|
| Coupon: | Libor plus 200 bps and, if each index closes at or above trigger level on observation date, an additional 2%; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If final level of lesser-performing index is greater than or equal to trigger level, par; otherwise, 1% loss for every 1% that lesser-performing index finishes below initial level
|
| Call: | Beginning Jan. 8, 2018, notes will be called at par if each index closes at or above initial level on any quarterly observation date
|
| Initial index levels: | 2,276.98 for S&P 500 and 1,367.281 for Russell 2000
|
| Trigger levels: | 1,480.04 for S&P 500 and 888.733 for Russell 2000; 65% of initial levels
|
| Pricing date: | Jan. 6
|
| Settlement date: | Jan. 11
|
| Underwriter: | RBC Capital Markets, LLC
|
| Fees: | 1.15%
|
| Cusip: | 78012KYP6
|
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