Published on 5/8/2017 in the Prospect News Structured Products Daily.
New Issue: RBC sells $892,000 barrier absolute return notes linked to S&P 500
By Marisa Wong
Morgantown, W.Va., May 8 – Royal Bank of Canada priced $892,000 of 0% barrier absolute return notes due July 29, 2022 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index finishes above the initial level, the payout at maturity will be par plus 101.5% of the gain.
If the index falls by up to 30%, the payout will be par plus the absolute value of the index return.
Otherwise, investors will lose 1% for each 1% decline.
RBC Capital Markets LLC is the underwriter.
Issuer: | Royal Bank of Canada
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Issue: | Barrier absolute return notes
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Underlying index: | S&P 500
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Amount: | $892,000
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Maturity: | July 29, 2022
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If the index return is positive, par plus 101.5% of the index gain; if the index falls by up to 30%, par plus the absolute value of the index return; otherwise, investors will lose 1% for each 1% decline
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Initial level: | 2,387.45
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Barrier level: | 1,671.22, 70% of initial level
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Pricing date: | April 26
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Settlement date: | April 28
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Agent: | RBC Capital Markets, LLC
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Fees: | 3.25%
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Cusip: | 78012KH67
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