Published on 4/4/2023 in the Prospect News Structured Products Daily.
New Issue: RBC prices $9.36 million capped notes with absolute return buffer on index basket
By William Gullotti
Buffalo, N.Y., April 4 – Royal Bank of Canada priced $9.36 million of 0% capped notes with absolute return buffer due March 28, 2025 linked to a weighted basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with an initial weight of 40%, the FTSE 100 index with an initial weight of 20%, the Nikkei Stock average with an initial weight of 20%, the Swiss Market index with an initial weight of 7.5%, the S&P/ASX 200 index with an initial weight of 7.5% and the FTSE China 50 index with an initial weight of 5%.
If the basket return is positive, the payout at maturity will be par plus the basket return, capped at par plus 20%.
If the basket declines by up to 17.9%, the payout will be par plus the absolute value of the basket return.
Otherwise, investors will lose 1% for every 1% decline beyond 17.9%.
BofA Securities, Inc. is the agent.
| Issuer: | Royal Bank of Canada
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| Issue: | Capped notes with absolute return buffer
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| Underlying basket: | Euro Stoxx 50 index (40% weight), FTSE 100 index (20% weight), Nikkei Stock average (20% weight), Swiss Market index (7.5% weight), S&P/ASX 200 index (7.5% weight), FTSE China 50 index (5% weight)
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| Amount: | $9,360,360
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| Maturity: | March 28, 2025
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If the basket return is positive, par plus the return, capped at par plus 20%; if basket declines by no more than 17.9%, par plus absolute value of basket return; otherwise, investors will lose 1% for every 1% of basket decline beyond 17.9%
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| Initial levels: | 4,285.42 for Stoxx, 7,620.43 for FTSE, 27,782.93 for Nikkei, 11,032.21 for Swiss Market, 7,122.336 for S&P/ASX, 13,443.01 for FTSE China
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| Buffer level: | 82.1% of initial level
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| Pricing date: | March 30
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| Settlement date: | April 6
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| Agent: | BofA Securities, Inc.
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| Fees: | 2%
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| Cusip: | 78015B153
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