Published on 6/25/2021 in the Prospect News Structured Products Daily.
New Issue: RBC sells $1.83 million buffered return notes tied to SPDR ETF basket
By William Gullotti
Buffalo, N.Y., June 25 – Royal Bank of Canada priced $1.83 million of 0% buffered return notes due Feb. 27, 2023 linked to a basket of ETFs, according to a 424B2 filing with the Securities and Exchange Commission.
The basket is made up of the Energy Select Sector SPDR fund, SPDR S&P Oil & Gas Exploration & Production ETF and the SPDR Gold Trust. The basket weights will be determined on the valuation date, Feb. 22, 2023. The basket component with the best percentage change will have a weight of 40%, the next weighted at 32.5%, and the least performing component weighted at 27.5%.
If the basket finishes at or above its initial level, the payout at maturity will be par plus the basket gain with a maximum return of 18.75%.
If the basket falls by up to 7.5%, the payout will be par.
Otherwise, investors will lose 1% for each 1% basket decline beyond 7.5%.
RBC Capital Markets, LLC is the underwriter.
| Issuer: | Royal Bank of Canada
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| Issue: | Buffered return notes
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| Underlying basket: | Energy Select Sector SPDR fund, SPDR S&P Oil & Gas Exploration & Production ETF, SPDR Gold Trust; weights determined on the valuation date based upon percentage change, with the best change weighted at 40%, the next weighted at 32.5%, and the least performing percentage change weighted at 27.5%
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| Amount: | $1.83 million
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| Maturity: | Feb. 27, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If basket gains, par the basket return capped at 18.75%; if basket falls by up to 7.5%, par; otherwise, 1% loss per 1% decline beyond 7.5%
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| Initial levels: | $54.43 for Energy Select, $95.90 for Oil & Gas, $166.25 for Gold
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| Barrier level: | 92.5% of initial level
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| Pricing date: | June 22
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| Settlement date: | June 25
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| Underwriter: | RBC Capital Markets, LLC
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| Fees: | None
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| Cusip: | 78016EBV8
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