RBC plans rules-based investment notes on RBC Large Cap US Tactical index

By Sarah Lizee

Olympia, Wash., Feb. 24 – Royal Bank of Canada plans to price 0% rules-based investment securities due Feb. 28, 2025 linked to the RBC Large Cap US Tactical Equity Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.

The index is allocated on a monthly basis to either (a) a futures contract on the S&P 500 index and the Federal Funds rate or (b) only the Federal Funds rate. It is allocated depending on the “tactical trigger” that is included in the index methodology. The tactical trigger compares the current closing price of the SPDR S&P 500 ETF to the average of the ETF’s closing price over a trading period of 200 days. If the current closing price is higher than the moving average, then the index will be allocated to the relevant futures contract and the Federal Funds rate. If the current closing price is lower than the moving average, then the index will be allocated only to the Federal Funds rate.

Payout at maturity

For each $1,000 principal amount of notes, the payout at maturity will be an amount equal to the indicative note value.

The indicative note value on the pricing date was an amount equal to $1,000 multiplied by the 97% participation rate, which equals $970. On each subsequent index trading day, the indicative note value equals (a) the indicative note value on prior index trading day multiplied by (b) one plus the index factor multiplied by (c) one minus the index adjustment factor.

On any index trading day, the index factor equals the quotient of (a) the closing level of the index minus the closing level of the index on the prior index trading day divided by (b) the closing level of the index on the prior index trading day.

On any index trading day after the pricing date, the index adjustment factor is 0.65% multiplied by (a) the number of calendar days elapsed since the most recent index trading day divided by (b) 365 (or 366 in a leap year).

The notes are not callable or putable.

RBC Capital Markets LLC is the underwriter.

The notes will price on Feb. 25.

The Cusip number is 78013GUP8.

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