By Sarah Lizee
Olympia, Wash., Dec. 11 – Royal Bank of Canada priced $278,000 of 0% rules-based investment securities due Nov. 29, 2024 linked to the RBC Global Tactical Equity Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The index is based on four subindexes. Each subindex is allocated on a monthly basis to either (a) a futures contract on a specific equity index and the Federal Funds rate or (b) only the Federal Funds rate. The futures contracts are linked to the S&P 500 index, the Russell 2000 index, the MSCI EAFE index and the MSCI Emerging Markets index.
Each subindex is allocated depending on the “tactical trigger” that is included in the index methodology. The tactical trigger compares the current closing price of an exchange-traded fund linked to that subindex’s underlying index to the average of the ETF’s closing price over a trading period of 100 or 200 days. If the current closing price is higher than the moving average, then the subindex will be allocated to the relevant futures contract and the Federal Funds rate. If the current closing price is lower than the moving average, then the subindex will be allocated only to the Federal Funds rate.
Payout at maturity
For each $1,000 principal amount of notes, the payout at maturity will be an amount equal to the indicative note value.
The indicative note value on the pricing date was an amount equal to $1,000 multiplied by the 97% participation rate, which equals $970. On each subsequent index trading day, the indicative note value equals (a) the indicative note value on prior index trading day multiplied by (b) one plus the index factor multiplied by (c) one minus the index adjustment factor.
On any index trading day, the index factor equals the quotient of (a) the closing level of the index minus the closing level of the index on the prior index trading day divided by (b) the closing level of the index on the prior index trading day.
On any index trading day after the pricing date, the index adjustment factor is 0.65% multiplied by (a) the number of calendar days elapsed since the most recent index trading day divided by (b) 365 (or 366 in a leap year).
The notes are not callable or putable.
RBC Capital Markets LLC is the underwriter.
| Issuer: | Royal Bank of Canada
|
| Issue: | Rules-based investment securities
|
| Underlying index: | RBC Global Tactical Equity Total Return index
|
| Amount: | $278,000
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| Maturity: | Nov. 29, 2024
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Amount equal to indicative note value
|
| Indicative note value: | $970 on pricing date; on subsequent index trading days, (a) indicative note value on prior index trading day multiplied by (b) one plus index factor multiplied by (c) one minus index adjustment factor
|
| Index factor: | On any index trading day, quotient of (a) closing level of index minus closing level of index on prior index trading day divided by (b) closing level of index on prior index trading day
|
| Index adjustment factor: | 0.65% multiplied by (a) number of calendar days elapsed since most recent index trading day divided by (b) 365 (or 366 in a leap year)
|
| Initial level: | 186.9354
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| Pricing date: | Nov. 25
|
| Settlement date: | Nov. 29
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| Underwriter: | RBC Capital Markets LLC
|
| Fees: | 3%
|
| Cusip: | 78013GTK1
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