Published on 2/28/2018 in the Prospect News Structured Products Daily.
New Issue: RBC prices $5 million 14.5% contingent coupon barrier autocalls tied to index, two ETFs
By Wendy Van Sickle
Columbus, Ohio, Feb. 28 – Royal Bank of Canada priced $5 million of autocallable contingent coupon barrier notes due Feb. 26, 2020 linked to the Nasdaq-100 index, the iShares MSCI Emerging Markets ETF and the SPDR S&P Midcap 400 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 14.5% if each ETF of index closes at or above the 80% coupon barrier level on the observation date for that quarter.
The notes will be called at par plus the coupon if each ETF or index closes at or above its initial price on any quarterly observation date.
The payout at maturity will be par plus the coupon unless any asset finishes below the 80% trigger level, in which case investors will be fully exposed to any losses of the worst performing ETF or index.
RBC Capital Markets, LLC is the underwriter.
| Issuer: | Royal Bank of Canada
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| Issue: | Autocallable contingent coupon barrier notes
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| Underlying assets: | Nasdaq-100 index, iShares MSCI Emerging Markets ETF and SPDR S&P Midcap 400 ETF
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| Amount: | $5 million
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| Maturity: | Feb. 26, 2020
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| Coupon: | 14.5%, payable quarterly if each ETF or index closes at or above coupon barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus the coupon unless any ETF or index finishes below trigger level, in which case 1% loss for each 1% decline of worse performing ETF or index
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| Call: | At par plus coupon if each ETF or index closes at or above initial price on any quarterly observation date
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| Initial levels: | $48.82 for Emerging Markets, $342.68 for Midcap 400, 6,759.26 for index
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| Trigger levels: | $39.06 for Emerging Markets, $274.14 for Midcap 400, 5,407.41 for index, 80% of initial levels
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| Pricing date: | Feb. 21
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| Settlement date: | Feb. 26
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| Agents: | RBC Capital Markets, LLC
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| Fees: | 1.75%
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| Cusip: | 78013XGB8
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