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Published on 2/2/2024 in the Prospect News Structured Products Daily.

New Issue: RBC prices $358,000 buffered absolute return notes linked to basket of indexes, ETFs

By Kiku Steinfeld

Chicago, Feb. 2 – Royal Bank of Canada priced $358,000 of 0% buffered absolute return notes due Dec. 12, 2025 linked to an equally weighted basket consisting of the S&P 500 index with a 56% weight, the iShares MSCI EAFE ETF with a 23% weight, the Russell 2000 index with a 14% weight and the iShares MSCI Emerging Markets ETF with a 7% weight, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket finishes above its initial level, the payout will be par plus 131.6% of the return of the basket.

If the basket finishes flat or falls by up to 20%, the payout will be par plus the absolute value of the return.

Otherwise, investors will lose 1% for every 1% decline of the basket beyond the 20% buffer.

RBC Capital Markets, LLC is the underwriter.

Issuer:Royal Bank of Canada
Issue:Buffered absolute return notes
Underlying basket:S&P 500 index (56% weight), iShares MSCI EAFE ETF (23% weight), Russell 2000 index (14% weight) and iShares MSCI Emerging Markets ETF (7% weight)
Amount:$358,000
Maturity:Dec. 12, 2025
Coupon:0%
Price:Par
Payout at maturity:If the basket finishes above its initial level, par plus 131.6% of the return of the basket; if the basket finishes flat or falls by up to buffer level, par plus the absolute value of the return of the basket; otherwise, 1% loss for every 1% decline of the basket beyond 20%
Initial level:4,298.86 for S&P, $71.52 for iShares MSCI EAFE, 1,865.706 for Russell, $39.86 for iShares MSCI EM
Buffer level:80% of initial level
Pricing date:June 9, 2023
Settlement date:June 14, 2023
Underwriter:RBC Capital Markets, LLC
Fees:0.25%
Cusip:78016NGS0

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