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RBC plans absolute return notes with rebate feature on index basket
By Sarah Lizee
Olympia, Wash., Jan. 9 – Royal Bank of Canada plans to price 0% absolute return notes with rebate feature due Aug. 2, 2021 linked to a basket comprised of the S&P 500 index and the Russell 200 index, each with a 50% weight, according to an FWP filing with the Securities and Exchange Commission.
If the basket return is zero or positive the payout at maturity will be par.
If the basket return is negative but greater than or equal to 70% of the initial level, the payout will be the absolute value of the basket return.
If the basket falls by more than 30%, the payout will be par plus the rebate return, which is expected to be 3% to 9% and will be set at pricing.
RBC Capital Markets, LLC is the underwriter.
The notes will price on Jan. 28.
The Cusip number is 78013XWW4.
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