Published on 3/1/2018 in the Prospect News Structured Products Daily.
New Issue: RBC sells $1.7 million 5.75% contingent rate autocalls on two indexes
By Susanna Moon
Chicago, March 1 – Royal Bank of Canada priced $1.79 million of autocallable contingent coupon barrier notes due Aug. 14, 2023 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.
The notes pay a contingent quarterly coupon at an annual rate of 5.75% if each index closes at or above its 60% coupon barrier on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless either index finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
RBC Capital Markets, LLC is the underwriter.
Issuer: | Royal Bank of Canada
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Issue: | Callable contingent coupon barrier notes
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Underlying indexes: | S&P 500 index, Russell 2000 index
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Amount: | $1.79 million
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Maturity: | Aug. 14, 2023
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Coupon: | 5.75% annualized, payable quarterly if each index closes at or above 60% coupon barrier on observation date for that quarter
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Price: | Par
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Payout at maturity: | Par unless either index finishes below 60% trigger, in which case 1% loss per 1% decline of worse performing index
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Call option: | At par on any quarterly observation date beginning Aug. 9, 2018
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Initial levels: | 2,619.55 for S&P, 1,477.836 for Russell
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Trigger levels: | 1,571.73 for S&P, 886.702 for Russell, 60% of initial levels
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Pricing date: | Feb. 9
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Settlement date: | Feb. 14
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Agent: | RBC Capital Markets, LLC
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Fees: | 2.25%
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Cusip: | 78013XEN4
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