![]() | Royal Bank of Canada $1,926,000 Leveraged Buffered Basket-Linked Notes, due June 21, 2023 |
• | if the basket return is positive (the final basket level is greater than the initial basket level), the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the upside participation rate of 150% times (c) the basket return, subject to the maximum settlement amount; or |
• | if the basket return is zero or negative but not below -15.00% (the final basket level is equal to or less than the initial basket level but not by more than 15.00%), $1,000; or |
• | if the basket return is negative and is below -15.00% (the final basket level is less than the initial basket level by more than 15.00%), the sum of (i) $1,000 plus (ii) the product of (a) 100/85.00 (which is approximately 1.1765) times (b) the sum of the basket return plus 15.00% times (c) $1,000. This amount will be less than $1,000. |
Original issue date: | March 19, 2021 | Original issue price: | 100.00% of the principal amount |
Underwriting discount: | 0.00% of the principal amount | Net proceeds to the issuer: | 100.00% of the principal amount |
We refer to the notes we are offering by this pricing supplement as the “offered notes” or the “notes.” Each of the offered notes, including your notes, has the terms described below. Please note that in this pricing supplement, references to “Royal Bank of Canada,” “we,” “our” and “us” mean only Royal Bank of Canada and all references to “$” or “dollar” are to United States dollars. Also, references to the “accompanying prospectus” mean the accompanying prospectus, dated September 7, 2018, as supplemented by the accompanying prospectus supplement, dated September 7, 2018, of Royal Bank of Canada relating to the Senior Medium-Term Notes, Series H program of Royal Bank of Canada and references to the “accompanying product prospectus supplement PB-1” mean the accompanying product prospectus supplement PB-1, dated September 20, 2018, of Royal Bank of Canada. This section is meant as a summary and should be read in conjunction with the section entitled “General Terms of the Notes” beginning on page PS-4 of the accompanying product prospectus supplement PB-1. Please note that certain features described in the accompanying product prospectus supplement PB-1 are not applicable to the notes. This pricing supplement supersedes any conflicting provisions of the accompanying product prospectus supplement PB-1. |
• | if the final basket level is greater than or equal to the cap level, the maximum settlement amount; |
• | if the final basket level is greater than the initial basket level but less than the cap level, the sum of (1) $1,000 plus (2) the product of (i) $1,000 times (ii) the upside participation rate times (iii) the basket return; |
• | if the final basket level is equal to or less than the initial basket level but greater than or equal to the buffer level, $1,000; or |
• | if the final basket level is less than the buffer level, the sum of (1) $1,000 plus (2) the product of (i) the buffer rate times (ii) the sum of the basket return plus the buffer amount times (iii) $1,000. In this case, the cash settlement amount will be less than the principal amount of the notes, and you will lose some or all of the principal amount. |
Basket Underlier | Initial Weight in Basket | Initial Index Level | |||
EURO STOXX 50® Index | 36.00% | 3,833.36 | |||
TOPIX® | 29.00% | 1,951.06 | |||
FTSE® 100 Index | 16.00% | 6,761.47 | |||
Swiss Market Index | 11.00% | 10,839.93 | |||
S&P®/ASX 200 Index | 8.00% | 6,766.811 |
Key Terms and Assumptions | |||
Principal amount | $1,000 | ||
Upside participation rate | 150% | ||
Cap level | 115.82% of the initial basket level | ||
Maximum settlement amount | $1,237.30 | ||
Buffer level | 85.00% of the initial basket level | ||
Buffer rate | ![]() | ||
Buffer amount | 15.00% | ||
Neither a market disruption event nor a non-trading day occurs on the originally scheduled determination date No change affecting the methods by which the basket underlier sponsors calculate the basket underliers Notes purchased on original issue date at a price equal to the principal amount and held to the stated maturity date |
Hypothetical Final Basket Level (as a Percentage of the Initial Basket Level) | Hypothetical Cash Settlement Amount (as a Percentage of the Principal Amount) |
160.000% | 123.730% |
150.000% | 123.730% |
140.000% | 123.730% |
130.000% | 123.730% |
120.000% | 123.730% |
115.820% | 123.730% |
115.000% | 122.500% |
110.000% | 115.000% |
107.000% | 110.500% |
105.000% | 107.500% |
100.000% | 100.000% |
95.000% | 100.000% |
90.000% | 100.000% |
85.000% | 100.000% |
80.000% | 94.118% |
75.000% | 88.235% |
50.000% | 58.824% |
25.000% | 29.412% |
0.000% | 0.000% |
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■ The Note Performance | ■ The Basket Performance |
Column A | Column B | Column C | Column D | Column E | ||||||
Basket Underlier | Hypothetical Initial Index Level | Hypothetical Final Index Level | Column B/Column A | Initial Weighted Value | Column C x Column D | |||||
EURO STOXX 50® Index | 100.00 | 130.00 | 130.00% | 36.00 | 46.80 | |||||
TOPIX® | 100.00 | 130.00 | 130.00% | 29.00 | 37.70 | |||||
FTSE® 100 Index | 100.00 | 130.00 | 130.00% | 16.00 | 20.80 | |||||
Swiss Market Index | 100.00 | 130.00 | 130.00% | 11.00 | 14.30 | |||||
S&P®/ASX 200 Index | 100.00 | 130.00 | 130.00% | 8.00 | 10.40 | |||||
Final Basket Level: | 130.00 | |||||||||
Basket Return: | 30.00% |
Column A | Column B | Column C | Column D | Column E | ||||||
Basket Underlier | Hypothetical Initial Index Level | Hypothetical Final Index Level | Column B/Column A | Initial Weighted Value | Column C x Column D | |||||
EURO STOXX 50® Index | 100.00 | 101.00 | 101.00% | 36.00 | 36.36 | |||||
TOPIX® | 100.00 | 102.00 | 102.00% | 29.00 | 29.58 | |||||
FTSE® 100 Index | 100.00 | 103.00 | 103.00% | 16.00 | 16.48 | |||||
Swiss Market Index | 100.00 | 135.00 | 135.00% | 11.00 | 14.85 | |||||
S&P®/ASX 200 Index | 100.00 | 148.00 | 148.00% | 8.00 | 11.84 | |||||
Final Basket Level: | 109.11 | |||||||||
Basket Return: | 9.11% |
Column A | Column B | Column C | Column D | Column E | ||||||
Basket Underlier | Hypothetical Initial Index Level | Hypothetical Final Index Level | Column B/Column A | Initial Weighted Value | Column C x Column D | |||||
EURO STOXX 50® Index | 100.00 | 91.00 | 91.00% | 36.00 | 32.76 | |||||
TOPIX® | 100.00 | 91.00 | 91.00% | 29.00 | 26.39 | |||||
FTSE® 100 Index | 100.00 | 91.00 | 91.00% | 16.00 | 14.56 | |||||
Swiss Market Index | 100.00 | 91.00 | 91.00% | 11.00 | 10.01 | |||||
S&P®/ASX 200 Index | 100.00 | 91.00 | 91.00% | 8.00 | 7.28 | |||||
Final Basket Level: | 91.00 | |||||||||
Basket Return: | -9.00% |
Column A | Column B | Column C | Column D | Column E | ||||||
Basket Underlier | Hypothetical Initial Index Level | Hypothetical Final Index Level | Column B/Column A | Initial Weighted Value | Column C x Column D | |||||
EURO STOXX 50® Index | 100.00 | 40.00 | 40.00% | 36.00 | 14.40 | |||||
TOPIX® | 100.00 | 70.00 | 70.00% | 29.00 | 20.30 | |||||
FTSE® 100 Index | 100.00 | 100.00 | 100.00% | 16.00 | 16.00 | |||||
Swiss Market Index | 100.00 | 115.00 | 115.00% | 11.00 | 12.65 | |||||
S&P®/ASX 200 Index | 100.00 | 115.00 | 115.00% | 8.00 | 9.20 | |||||
Final Basket Level: | 72.55 | |||||||||
Basket Return: | -27.45% |
Column A | Column B | Column C | Column D | Column E | ||||||
Basket Underlier | Hypothetical Initial Index Level | Hypothetical Final Index Level | Column B/Column A | Initial Weighted Value | Column C x Column D | |||||
EURO STOXX 50® Index | 100.00 | 44.00 | 44.00% | 36.00 | 15.84 | |||||
TOPIX® | 100.00 | 62.00 | 62.00% | 29.00 | 17.98 | |||||
FTSE® 100 Index | 100.00 | 55.00 | 55.00% | 16.00 | 8.80 | |||||
Swiss Market Index | 100.00 | 43.00 | 43.00% | 11.00 | 4.73 | |||||
S&P®/ASX 200 Index | 100.00 | 56.00 | 56.00% | 8.00 | 4.48 | |||||
Final Basket Level: | 51.83 | |||||||||
Basket Return: | -48.17% |
An investment in your notes is subject to the risks described below, as well as the risks described under “Risk Factors” beginning on page S-1 of the accompanying prospectus supplement and page 1 of the accompanying prospectus. You should carefully review these risks as well as the terms of the notes described herein and in the accompanying prospectus, dated September 7, 2018, as supplemented by the accompanying prospectus supplement, dated September 7, 2018, and the accompanying product prospectus supplement PB-1, dated September 20, 2018, of Royal Bank of Canada. Your notes are a riskier investment than ordinary debt securities. Also, your notes are not equivalent to investing directly in the underlier stocks, i.e., the stocks included in the basket underliers. You should carefully consider whether the offered notes are suited to your particular circumstances. |
• | the levels of the basket underliers; |
• | the volatility—i.e., the frequency and magnitude of changes—of the levels of the basket underliers; |
• | the dividend rates of the underlier stocks; |
• | economic, financial, regulatory, political, military and other events that affect stock markets generally and the underlier stocks; |
• | interest and yield rates in the market; |
• | the time remaining until the notes mature; and |
• | our creditworthiness, whether actual or perceived, and including actual or anticipated upgrades or downgrades in our credit ratings or changes in other credit measures. |
• | existing and expected rates of inflation; |
• | existing and expected interest rate levels; |
• | the balance of payments; |
• | the extent of governmental surpluses or deficits in the relevant countries; and |
• | other financial, economic, military and political factors. |
EURO STOXX 50® Index = | Free float market capitalization of the EURO STOXX 50® Index | x 1,000 |
Adjusted base date market capitalization of the EURO STOXX 50® Index |
• | sponsor, endorse, sell, or promote the notes; |
• | recommend that any person invest in the notes offered hereby or any other securities; |
• | have any responsibility or liability for or make any decisions about the timing, amount, or pricing of the notes; |
• | have any responsibility or liability for the administration, management, or marketing of the notes; or |
• | consider the needs of the notes or the holders of the notes in determining, composing, or calculating the EURO STOXX 50® Index, or have any obligation to do so. |
• | STOXX does not make any warranty, express or implied, and disclaims any and all warranty concerning: |
• | the results to be obtained by the notes, the holders of the notes or any other person in connection with the use of the EURO STOXX 50® Index and the data included in the EURO STOXX 50® Index; |
• | the accuracy or completeness of the EURO STOXX 50® Index and its data; |
• | the merchantability and the fitness for a particular purpose or use of the EURO STOXX 50® Index and its data; |
• | STOXX will have no liability for any errors, omissions, or interruptions in the EURO STOXX 50® Index or its data; and |
• | Under no circumstances will STOXX be liable for any lost profits or indirect, punitive, special, or consequential damages or losses, even if STOXX knows that they might occur. |
Index value = Base point of 100 × | Current free float adjusted market value |
Base market value |
Event | Implementation of Adjustment (Before Markets Open) | Price Used for Adjustments | ||||
Addition | Company to be listed on the TSE First Section by initial public offering or via another stock exchange | Last business day of the next month of listing | Price on the adjustment date | |||
Addition | New listing of a newly formed company resulting from a corporate consolidation (such as a merger or acquisition) that results in a TOPIX or ex-TOPIX constituent being delisted and the new company being immediately listed on the TSE First Section | New listing date or one business day after the listing if the business day before is a holiday | Base price used to decide the daily price limit | |||
Addition | Transfer to the TSE First Section from the TSE Second Section, the TSE Mothers Index, or the JASDAQ Securities Exchange | Last business day of the next month of transfer (a free float weight of 0.00 is used from the transfer date to the adjustment date and thus the | Price on the adjustment date |
number of shares to be used for calculation will be 0.00 during such period) | ||||||
Deletion | Company to be de-listed due to a stock-swap and the like while newly established companies promptly list their shares | Initial listing day of newly established company (normally it is two business days after de-listing) | Price on business day before the de-listing date (the price used for adjustments is frozen after close of trading one business day before delisting, to the exclusion date for index calculation purpose) | |||
Deletion | Company to be de-listed due to other reason than described above (merger or stock-swap, with other surviving company included in the TOPIX®) | Date of delisting (one business day after if the date of change is a holiday) | Price on business day before the adjustment date | |||
Deletion | Transfer to the TSE Second Section, TSE Mothers Index or JASDAQ Securities Exchange from the TSE First Section | Date of transfer | Price on business day before the adjustment date | |||
Deletion | Designation of securities to be delisted | Four business days after the designation of securities to be delisted (one business day after designation if the day of designation is a holiday) | Price on business day before the adjustment date |
Event | Implementation of Adjustment (Before Markets Open) | Price used for adjustment | ||
Change of free float weight |
| Date of change |
| Stock price at the end of trading on the business day before adjustment date |
Public offering |
| Additional listing date (day after payment date). If listing date falls on a holiday, the next business day
|
| Stock price at the end of trading on the business day before adjustment date |
Allocation of new shares to a third party |
| Five business days after additional listing date (two business days after payment date) |
| Stock price at the end of trading on the business day before adjustment date |
Issues to shareholders with payment |
| Ex-rights date |
| Stock price at the end of trading on the business day before adjustment date |
Exercise of subscription warrants |
| Last business day of the month following exercise |
| Stock price at the end of trading on the business day before adjustment date |
Conversion of preferred shares |
| Last business day of the month following conversion |
| Stock price at the end of trading on the business day before adjustment date |
Cancellation of treasury stock |
| Last business day of the month following cancellation |
| Stock price at the end of trading on the business day before adjustment date |
Merger or stock swap between a non-surviving constituent and another constituent |
| Delisting date of the non-surviving constituent |
| Stock price at the end of trading on the business day before adjustment date |
Merger or stock-swap other than that described above |
| Listing change date (effective date) |
| Stock price at the end of trading on the business day before adjustment date |
Offering for sale of shares held by the Japanese government |
| Listing change date |
| Stock price at the end of trading on the business day before adjustment date |
Company spin-off in which the number of shares of the succeeding company increases |
| Listing change date |
| Stock price at the end of trading on the business day before adjustment date |
Other adjustments |
| Last business day of the month in which the information appears in “Sho-ho” (TSE Notice) or the last business day of the following month |
| Stock price at the end of trading on the business day before adjustment date |
Type of Corporate Action | Adjustment | Adjustment to Divisor | |||
Issue of new shares | Share weighting increased | Yes | |||
Share repurchase | Share weighting decreased | Yes | |||
Bonus issued or stock split | Share weighting and share price adjusted according to the terms of the split | No |
• | was first launched with a base level of 1,500 as of June 30, 1988; and |
• | is sponsored, calculated, published and disseminated by SIX Group Ltd., certain of its subsidiaries, and the Management Committee of the SIX Swiss Exchange (the “SIX Exchange”). |
• | average free-float market capitalization over the last 12 months (compared to the capitalization of the Swiss Performance Index, which serves as a benchmark for the overall Swiss equity market and as the index universe for the Swiss Market Index), and |
• | cumulative on order book turnover over the last 12 months (compared to the total turnover of the Swiss Performance Index). |
Swiss Market Index (SMI®) = | Free Float Market Capitalization of the Swiss Market Index Divisor |
Event | Divisor Change? | ||
Regular cash dividend | No | ||
Share split | No | ||
Rights issue | If the rights issue is used to raise capital, the divisor increases. If the rights issue is used to return capital, the divisor decreases. |
• | was first launched in 1979 by the Australian Securities Exchange and was acquired and re-launched by its current index sponsor on April 3, 2000; and |
• | is sponsored, calculated, published and disseminated by S&P Dow Jones Indices LLC, a part of McGraw Hill Financial (“S&P”). |
Corporate Action | Treatment | |||
Company addition/deletion | Addition Companies are added at the float market capitalization weight. The net change to the index market capitalization causes a divisor adjustment. Deletion The weights of all stocks in the index will proportionally change. Relative weights will stay the same. The index divisor will change due to the net change in the index market capitalization. | |||
Change in shares outstanding | Increasing (decreasing) the shares outstanding increases (decreases) the market capitalization of the index. The change to the index market capitalization causes a divisor adjustment. | |||
Split/reverse split | Shares outstanding are adjusted by split ratio. The stock price is adjusted by the split ratio. There is no change to the index market capitalization and no divisor adjustment. | |||
Spin-off | The spin-off is added to the index on the ex-date at a price of zero. The spin-off index shares are based on the spin-off ratio. On the ex-date, the spin-off will have the same attributes as its parent company, and will remain in the index for at least one trading day. As a result, there will be no change to the index divisor on the ex-date. If the spin-off is ineligible for continued inclusion, it will be removed after the ex-date. The weight of the spin-off being deleted is reinvested across all the index components proportionally such that the relative weights of all index components are unchanged. The net change in index market capitalization will cause a divisor change. | |||
Change in IWF | Increasing (decreasing) the IWF increases (decreases) the market capitalization of the index. A net change to the index market capitalization causes a divisor adjustment. | |||
Ordinary dividend | When a company pays an ordinary cash dividend, the index does not make any adjustments to the price or shares of the stock. As a result, there are no divisor adjustments to the index. | |||
Special dividend | The stock price is adjusted by the amount of the dividend. The net change to the index market capitalization causes a divisor adjustment. | |||
Rights offering | All rights offerings that are in the money on the ex-date are applied under the assumption the rights are fully subscribed. The stock price is adjusted by the value of the rights and the shares outstanding are increased by the rights ratio. The net change in market capitalization causes a divisor adjustment. |
• | incorrect or revised closing price of one or more constituent securities; |
• | missed corporate event; |
• | incorrect application of corporate action or index methodology; |
• | late announcement of a corporate event; or |
• | incorrect calculation or data entry error. |
• | if an unexpected exchange closure occurs prior to the open of trading and it is indicated that trading will not open for a given day, S&P will treat the day as an unscheduled market holiday. |
• | if a market disruption occurs intraday, S&P will wait for the impacted exchange to publish a list of closing prices, which will then be used to calculate the closing index values. If no list is published, the last trade for each security before the interruption is used to calculate the index closing value. If no trades were reported for a security, the previous closing price, adjusted for corporate actions, is used for index calculation. |
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Summary Information | PS-2 |
Hypothetical Examples | PS-5 |
Additional Risk Factors Specific to Your Notes | PS-10 |
The Basket and the Basket Underliers | PS-17 |
Supplemental Discussion of U.S. Federal Income Tax Consequences | PS-36 |
Supplemental Plan of Distribution (Conflicts of Interest) | PS-36 |
Structuring the Notes | PS-37 |
Terms Incorporated in the Master Note | PS-37 |
Validity of the Notes | PS-37 |
Product Prospectus Supplement PB-1 dated September 20, 2018 | |
Summary | PS-1 |
Risk Factors | PS-3 |
General Terms of the Notes | PS-4 |
Hypothetical Returns on Your Notes | PS-12 |
Use of Proceeds and Hedging | PS-13 |
Historical Underlier Information | PS-14 |
Supplemental Discussion of Canadian Tax Consequences | PS-15 |
Supplemental Discussion of U.S. Federal Income Tax Consequences | PS-16 |
Employee Retirement Income Security Act | PS-20 |
Supplemental Plan of Distribution | PS-21 |
Prospectus Supplement dated September 7, 2018 | |
About This Prospectus Supplement | i |
Risk Factors | S-1 |
Use of Proceeds | S-9 |
Description of Notes We May Offer | S-9 |
Certain Income Tax Consequences | S-29 |
Supplemental Plan of Distribution | S-32 |
Documents Filed as Part of the Registration Statement | S-34 |
Prospectus dated September 7, 2018 | |
Documents Incorporated by Reference | i |
Where You Can Find More Information | ii |
Further Information | ii |
About This Prospectus | iii |
Risk Factors | 1 |
Royal Bank of Canada | 1 |
Presentation of Financial Information | 1 |
Caution Regarding Forward-Looking Statements | 1 |
Use of Proceeds | 2 |
Consolidated Ratios of Earnings to Fixed Charges | 3 |
Consolidated Capitalization and Indebtedness | 3 |
Comparative per Share Market Price | 4 |
Description of Debt Securities | 4 |
Description of Common Shares | 28 |
Description of Warrants | 30 |
Tax Consequences | 37 |
Plan of Distribution | 50 |
Conflicts of Interest | 52 |
Benefit Plan Investor Considerations | 53 |
Limitations on Enforcement of U.S. Laws Against the Bank, Our Management and Others | 54 |
Validity of Securities | 54 |
Experts | 54 |
Other Expenses of Issuance and Distribution | 55 |
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