Published on 1/30/2024 in the Prospect News Structured Products Daily.
New Issue: RBC prices $26.45 million capped leveraged notes with absolute return buffer on basket
By William Gullotti
Buffalo, N.Y., Jan. 30 – Royal Bank of Canada priced $26.45 million of 0% capped leveraged notes with absolute return buffer due Jan. 30, 2026 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 1.25 times the basket return, capped at par plus 35%.
If the basket declines by up to 12.6%, the payout will be par plus the absolute value of the basket return.
Otherwise, investors will lose 1% for every 1% decline beyond 12.6%.
BofA Securities, Inc. is the agent.
| Issuer: | Royal Bank of Canada
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| Issue: | Capped leveraged 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: | $26,449,550
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| Maturity: | Jan. 30, 2026
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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 1.25 times the return, capped at par plus 35%; if basket declines by no more than 12.6%, par plus absolute value of basket return; otherwise, investors will lose 1% for every 1% of basket decline beyond 12.6%
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| Initial levels: | 4,582.26 for Stoxx, 7,529.73 for FTSE, 36,236.47 for Nikkei, 11,209.02 for Swiss Market, 7,555.363 for S&P/ASX, 10,501.02 for FTSE China
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| Buffer level: | 87.4% of initial level
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| Pricing date: | Jan. 25
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| Settlement date: | Feb. 1
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| Agent: | BofA Securities, Inc.
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| Fees: | 2%
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| Cusip: | 78074B656
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