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RBC plans market-linked step-up notes tied to S&P 500, Euro Stoxx 50
By Susanna Moon
Chicago, June 27 – Royal Bank of Canada plans to price plans to price 0% market-linked step-up notes due July 2018 linked to a basket comprising the S&P 500 index and the Euro Stoxx 50 index, equally weighted, according to an FWP filing with the Securities and Exchange Commission.
BofA Merrill Lynch is the agent.
The notes will be called at par plus a call premium of 22% if each stock closes at or above its initial level on either call annual date.
If the basket finishes above the step-up value – 118% to 124% of the initial level – the payout at maturity will be par plus the stock gain.
If the basket finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 18% to 24%.
Investors will receive par if the basket falls by up to 10% and will be exposed to any losses beyond 10%.
The notes will price and settle in July.
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