RBC plans notes linked to RBC Large Cap US Tactical Equity index

By Angela McDaniels

Tacoma, Wash., July 9 – Royal Bank of Canada plans to price 0% rules-based investment securities due July 31, 2024 linked to the RBC Large Cap US Tactical Equity Total Return index, according to an FWP filing with the Securities and Exchange Commission.

The index is allocated on a monthly basis to either (a) a futures contract on the S&P 500 index and the Federal Funds rate or (b) only the Federal Funds rate. It is allocated depending on the “tactical trigger” that is included in the index methodology. The tactical trigger compares the current closing price of the SPDR S&P 500 ETF to the average of the ETF’s closing price over a trading period of 200 days. If the current closing price is higher than the moving average, then the index 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 index will be allocated only to the Federal Funds rate.

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 will be $970, which equals $1,000 multiplied by the 97% participation rate. On each subsequent index trading day, the indicative note value will equal (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 will equal 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 will be 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).

RBC Capital Markets LLC is the underwriter.

The notes will price July 26.

The Cusip number is 78013GHQ1.

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