Published on 5/1/2024 in the Prospect News Structured Products Daily.
New Issue: RBC sells $3.86 million autocallable contingent coupon barrier notes on three indexes
By William Gullotti
Buffalo, N.Y., May 1 – Royal Bank of Canada priced $3.86 million of autocallable contingent coupon barrier notes due March 24, 2026 linked to the performance of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent monthly coupon at the rate of 10.6% per year if the worst performing index closes at or above its coupon barrier level, 75% of its initial level, on the relevant observation date.
After six months, the notes will be called at par plus coupon if the worst performing index closes at or above its initial level on any monthly observation date.
If the notes are not called and each index finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above its 70% trigger level, the payout will be par. Otherwise, investors will be fully exposed to the decline of the worst performing index from its initial level.
RBC Capital Markets, LLC is the agent.
| Issuer: | Royal Bank of Canada
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| Issue: | Autocallable contingent coupon barrier notes
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| Underlying indexes: | Russell 2000 index, S&P 500 index, Nasdaq-100 index
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| Amount: | $3.86 million
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| Maturity: | March 24, 2026
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| Coupon: | 10.6%, payable monthly if worst performing index closes at or above coupon barrier level on the relevant observation date
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| Price: | Par
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| Payout at maturity: | If all indexes finish at or above coupon barrier level, par plus final coupon; if worst performer finishes below coupon barrier but at or above trigger level, par; otherwise, investors will be fully exposed to the worst performer from its initial level
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| Call: | At par plus coupon if each index closes at or above initial level on any monthly observation date after six months
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| Initial levels: | 1,947.656 for Russell, 4,967.23 for S&P, 17,037.65 for Nasdaq
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| Coupon barrier levels: | 1,460.742 for Russell, 3,725.42 for S&P, 12,778.24 for Nasdaq; 75% of initial levels
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| Trigger levels: | 1,363.359 for Russell, 3,477.06 for S&P, 11,926.36 for Nasdaq; 70% of initial levels
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| Pricing date: | April 19
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| Settlement date: | April 24
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| Agent: | RBC Capital Markets, LLC
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| Fees: | 0.016%
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| Cusip: | 78017FTS2
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