Published on 12/23/2019 in the Prospect News Structured Products Daily.
New Issue: RBC prices $15.95 million step-up notes linked to index basket
By Angela McDaniels
Tacoma, Wash., Dec. 23 – Royal Bank of Canada priced $15.95 million of 0% market-linked step-up notes due Feb. 25, 2021 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 40% weight, the FTSE 100 index with a 20% weight, the Nikkei Stock Average index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the Hang Seng index with a 5% weight.
If the final basket level is greater than the step-up value, the payout at maturity will be par of $10 plus the basket return. The step-up value is 111.15% of the initial basket level.
If the final basket level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 11.15%.
If the final basket level is less than the initial level, investors will have one-to-one exposure to the decline.
BofA Securities Inc. is the agent.
| Issuer: | Royal Bank of Canada
|
| Issue: | Market-linked step-up notes
|
| Underlying indexes: | Euro Stoxx 50 (40% weight), FTSE 100 (20% weight), Nikkei Stock Average (20% weight), Swiss Market (7.5% weight), S&P/ASX 200 (7.5% weight) and Hang Seng (5% weight)
|
| Amount: | $15,952,240
|
| Maturity: | Feb. 25, 2021
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If final basket level is greater than step-up value, par plus basket return; if final basket level is greater than or equal to initial level but less than or equal to step-up value, par plus 11.15%; if final basket level is less than initial level, one-to-one exposure to decline
|
| Initial levels: | 3,739.17 for Euro Stoxx 50; 7,573.82 for FTSE 100; 23,864.85 for Nikkei; 10,575.15 for Swiss Market; 6,833.114 for S&P/ASX and 27,800.49 for Hang Seng
|
| Step-up value: | 111.15% of initial basket level
|
| Pricing date: | Dec. 19
|
| Settlement date: | Dec. 27
|
| Agent: | BofA Securities Inc.
|
| Fees: | 2%
|
| Cusip: | 78014F296
|
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