By Jennifer Chiou
New York, Feb. 3 - Royal Bank of Canada priced $7,839,730 of 0% market-linked step up notes due Jan. 26, 2018 tied to equal weights of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the basket finishes at or above the step-up value - 123.75% of the initial level - the payout at maturity will be par plus the basket return.
If the basket finishes below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 23.75%.
Investors will receive par if the basket falls by up to 5% and will be exposed to losses beyond 5%.
BofA Merrill Lynch is the underwriter.
| Issuer: | Royal Bank of Canada
|
| Issue: | Market-linked step up notes
|
| Underlying indexes: | S&P 500 (50% weight) and Russell 2000 (50% weight)
|
| Amount: | $7,839,730
|
| Maturity: | Jan. 26, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket finishes above step-up level, par plus the return; if basket stays flat or gains by up to step-up level, par plus 23.75%; otherwise, par for losses up to 5% and exposure to any losses beyond 5%
|
| Step-up level: | 123.75% of initial level
|
| Pricing date: | Jan. 30
|
| Settlement date: | Feb. 6
|
| Underwriters: | BofA Merrill Lynch
|
| Fees: | 2.5%
|
| Cusip: | 78011D468
|
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