By Susanna Moon
Chicago, June 28 – Royal Bank of Canada priced $4 million of exchange-traded notes due June 20, 2036 linked to the S&P 500 Trend Allocator PR index, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer plans to issue up to $100 million of the notes and will sell additional notes from time to time at varying prices.
The notes will pay a contingent quarterly coupon based on the index return.
A reference holder on any determination date is a hypothetical holder of a number of units of each equity index constituent equal to the product of the number of units of the equity index constituent as of the determination date, the multiplier of 0.0283002, the quotient of $20 divided by the initial index level, and the investment fee factor of 0.85%.
The daily repurchase value is equal to par of $20, the index factor and the investment fee factor, plus any coupon minus the current investment fee.
The notes are putable and callable.
The payout at maturity will be par of $20 plus the index return plus the final coupon.
| Issuer: | Royal Bank of Canada
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| Issue: | Exchange-traded notes
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| Underlying: | S&P 500 Trend Allocator PR index
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| Amount: | $4 million
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| Maturity: | June 20, 2036
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| Coupon: | Variable
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| Price: | Par of $20
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| Payout at maturity: | Par plus the index return plus the final coupon
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| Put option: | With minimum repurchase amount of $1 million principal amount of ETNs
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| Call option: | In whole but not in part from Dec. 30, 2016 through June 19, 2036
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| Initial index level: | 706.71
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| Pricing date: | June 27
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| Settlement date: | June 30
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| Underwriter: | RBC Capital Markets, LLC
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| Fees: | None
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| Cusip: | 78011D245
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