New Issue: RBC sells $2 million capped dual directional buffered notes on S&P 500 Value

By William Gullotti

Buffalo, N.Y., March 22 – Royal Bank of Canada priced $2 million of 0% capped dual directional buffered notes due April 3, 2023 linked to the S&P 500 Value index, according to a 424B2 filed with the Securities and Exchange Commission.

The payout at maturity will be par plus any index gain, subject to a maximum return of par plus 10%.

If the index falls by up to 12.75%, the payout will be par plus the absolute value of the index return.

Otherwise, investors will lose 1.1461% for each 1% decline of the index below 12.75%.

RBC Capital Markets, LLC is the agent with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents.

Issuer:	Royal Bank of Canada
Issue:	Capped dual directional buffered notes
Underlying index:	S&P 500 Value index
Amount:	$2 million
Maturity:	April 3, 2023
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus any index gain, capped at 10%; if index falls by up to 12.75%, par plus absolute value of return; otherwise, 1.1461% loss for each 1% decline below 12.75%
Initial index level:	1,499.685
Buffer level:	1,308.475; 87.25% of initial level
Strike date:	March 16
Pricing date:	March 17
Settlement date:	March 22
Agent:	RBC Capital Markets, LLC
Placement agents:	JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
Fees:	0.75%
Cusip:	78016FGF5

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