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Published on 12/6/2023 in the Prospect News Structured Products Daily.

New Issue: RBC sells $3.99 million leveraged buffered notes on weighted index basket

By Wendy Van Sickle

Columbus, Ohio, Dec. 6 – Royal Bank of Canada priced $3.99 million of 0% leveraged notes due Feb. 6, 2026 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 36% weight, the Topix index with a 26% weight, the FTSE 100 index with a 17% weight, the Swiss Market index with an 12% weight and the S&P/ASX 200 index with an 9% weight.

The payout at maturity will be par plus 200% of the basket gain, up to par plus 57.5%.

Investors will receive par if the basket falls by up to 17.5% and will lose 1.2121% for each 1% basket decline beyond 17.5%.

RBC Capital Markets, LLC is the agent.

Issuer:Royal Bank of Canada
Issue:Leveraged buffered basket-linked notes
Underlying indexes:Euro Stoxx 50 (36% weight), Topix (26% weight), FTSE 100 index (17% weight), Swiss Market index (12% weight) and S&P/ASX 200 index (9% weight)
Amount:$3,985,000
Maturity:Feb. 6, 2026
Coupon:0%
Price:Par
Payout at maturity:If basket return is positive, par plus 200% of basket gain, up to par plus 57.5%; par if basket falls by up to 17.5%; 1.2121% loss for each 1% basket decline beyond 17.5%
Initial levels:4,382.47 for Euro Stoxx, 2,374.93 for Topix, 7,453.75 for FTSE, 10,854.32 for Swiss Market, 7,087.334 for S&P/ASX 200
Pricing date:Nov. 30
Settlement date:Dec. 7
Agent:RBC Capital Markets, LLC
Fees:0%
Cusip:78017F2C6

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