Published on 3/6/2012 in the Prospect News Structured Products Daily.
New Issue: RBC prices $6.39 million leveraged buffered notes linked to Euro Stoxx 50, euro
By Angela McDaniels
Tacoma, Wash., March 6 - Royal Bank of Canada priced $6.39 million of 0% leveraged buffered equity index-linked notes due Sept. 9, 2013 linked to the Euro Stoxx 50 index and the euro via Goldman Sachs & Co., according to a 424B2 filing with the Securities and Exchange Commission.
The initial index level set for the notes, 2,552.62, was converted into euros using the initial spot rate, 1.3212 dollars per euro. These are higher than the actual levels on the pricing date, which were 2,546.16 and 1.3205, respectively.
The final index level will be converted from euros into dollars at the exchange rate then in effect.
If the final converted index level is greater than the initial converted index level, the payout at maturity will be par plus 300% of the converted index return, subject to a maximum payout of $1,279 per $1,000 principal amount of notes. Investors will receive par if the converted index level falls by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.
| Issuer: | Royal Bank of Canada
|
| Issue: | Leveraged buffered equity index-linked notes
|
| Underlying index: | Euro Stoxx 50 index, converted into dollars
|
| Amount: | $6,385,000
|
| Maturity: | Sept. 9, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 300% of converted index return if it is positive, subject to maximum payout of $1,279 per $1,000 principal amount of notes; par if converted index level falls by 10% or less; 1.1111% loss for every 1% that it declines beyond 10%
|
| Initial converted index level: | 3,372.52
|
| Initial exchange rate: | 1.3212 dollars per euro
|
| Pricing date: | March 2
|
| Settlement date: | March 9
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 0.25%
|
| Cusip: | 78008C739
|
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