By Sarah Lizee
Olympia, Wash., March 26 – Royal Bank of Canada priced $6.74 million of contingent income autocallable securities due March 25, 2021 linked to the worst performing of the SPDR S&P 500 ETF trust, the iShares Russell 2000 ETF and the iShares MSCI Brazil ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 10.35% if each ETF closes at or above its threshold level, 60% of its initial level, on the determination date for that quarter.
The notes will be automatically called at par if each ETF closes at or above its initial level on any of the first seven contingent coupon payment dates.
The payout at maturity will be par unless any ETF finishes below its threshold level, in which case investors will be fully exposed to the decline of the worst-performing ETF.
RBC Capital Markets, LLC is the agent. Morgan Stanley Wealth Management is handling distribution.
| Issue: | Contingent income autocallable securities
|
| Underlying ETFs: | SPDR S&P 500 ETF trust, the iShares Russell 2000 ETF and the iShares MSCI Brazil ETF
|
| Amount: | $6,737,000
|
| Maturity: | March 25, 2021
|
| Coupon: | 10.35% annualized, payable each quarter if ETF close at or above downside threshold level on determination date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If ETFs finish above downside threshold, par; otherwise, full exposure to decline of worst performing ETF
|
| Call: | At par plus contingent coupon if each ETF closes at or above initial level on any of the first seven contingent coupon payment dates
|
| Initial levels: | 279.25 for S&P, 149.62 for Russell and 40.43 for Brazil
|
| Downside threshold: | 167.55 for S&P, 89.77 for Russell and 24.26 for Brazil; 60% of initial levels
|
| Pricing date: | March 22
|
| Settlement date: | March 27
|
| Agent: | RBC Capital Markets, LLC with Morgan Stanley Wealth Management as dealer
|
| Fees: | 2%
|
| Cusip: | 78014H417
|
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