RBC plans to price notes on MSCI World ESG Quality Select Low Volatility 3% Decrement index

By Emma Trincal

New York, Feb. 10 – Royal Bank of Canada plans to price 0% notes due Feb. 25, 2027 linked to the MSCI World ESG Quality Select Low Volatility 8% Risk Control 3% Decrement index, according to an FWP filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par plus 1.2 to 1.3 times the index return. The exact leverage factor will be determined at pricing.

If the index return is flat or negative, investors will be exposed to the losses of the index with a minimum payout of $900 per $1,000 note.

The underlying index is designed to measure the performance of the MSCI World ESG Quality Select Low Volatility Index while targeting a volatility level of 8%. A decrement of 3% per annum will be deducted daily from the index performance. The base index is designed to represent the performance of a strategy that seeks lower risk than the MSCI World index along with improvement in quality, ESG and carbon emission intensity characteristics. The parent index measures the performance of some large and mid-cap companies across 23 developed markets countries.

The issuer noted that it intends to use proceeds from the notes to fund businesses and projects that meet requirements under its sustainable bond framework; however, it is not obligated to allocate proceeds to eligible sustainable assets.

RBC Capital Markets LLC is the underwriter.

The notes will price on Feb. 22 and settle on Feb. 25.

The Cusip number is 78016FDV3.

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