Royal Bank of Canada
Market Linked Securities
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Market Linked Securities – Leveraged Upside Participation to a Cap and Contingent Downside Principal at Risk Securities Linked to
an ETF Basket
Term Sheet to Preliminary Pricing Supplement No. WFCELN135 dated March 6, 2019
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Issuer
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Royal Bank of Canada
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Term
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Approximately 3 years
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Basket
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A basket consisting of the SPDR® S&P® 500 ETF Trust (50.00%); and the iShares® China ETF (50.00%)
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Pricing Date
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March 28, 2019*
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Original Issue Date
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April 2, 2019*
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Principal Amount
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$1,000 per security (each security will be offered at an initial public offering price of $1,000)
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Payment at Maturity
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See “How the maturity payment amount is calculated” on page 3
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Maturity Date
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April 4, 2022*
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Initial Basket Value
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100
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Final Basket Value
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100 x (1+ the sum of the component return of each basket component multiplied by its weighting)
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Maximum Maturity
Payment Amount
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[$1,480 - $1,530] (to be determined on the pricing date)
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Threshold Value
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80 (80% of the Initial Basket Value)
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Participation Rate
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125%
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Valuation Date
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March 28, 2022*
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Calculation Agent
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RBC Capital Markets, LLC, a wholly-owned subsidiary of the issuer
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Denominations
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$1,000 and any integral multiple of $1,000
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Underwriting
Discount and
Commission
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Up to 3.15%, of which dealers, including Wells Fargo Advisors, LLC (“WFA”), may receive a selling concession of 2.00% and WFA will receive a distribution
expense fee of 0.075%
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CUSIP
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78013X2N7
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*To the extent that the issuer makes any change to the expected pricing date or expected original issue date, the valuation date and maturity date may also be changed in the issuer’s discretion to ensure that the term of the securities remains the same.
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Linked to an international basket of exchange traded funds
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Unlike ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity. Instead, the securities provide for a payment at maturity
that may be greater than, equal to or less than the initial public offering price of the securities, depending on the performance of the Basket from its Initial Basket Value to its Final Basket Value.
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Investors may lose up to 100% of the initial public offering price
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All payments on the securities are subject to the credit risk of Royal Bank of Canada, and you will have no ability to pursue any basket component or any securities held by a
basket component for payment; if Royal Bank of Canada defaults on its obligations, you could lose some or all of your investment
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No periodic interest payments or dividends
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No exchange listing; designed to be held to maturity
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The issuer’s initial estimated value of the securities as of the pricing date is expected to be between $949.42 and $969.42 per $1,000 in
principal amount, which is less than the public offering price. The final pricing supplement relating to the securities will set forth the issuer’s estimate of the initial value of the securities as of the pricing date. The market value
of the securities at any time will reflect many factors, cannot be predicted with accuracy, and may be less than this amount. See “Risk Factors” and “Supplemental Plan of Distribution – Structuring the Securities” in the accompanying
preliminary pricing supplement for further information.
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The securities have complex features and investing in the securities involves risks not associated with an investment
in conventional debt securities. See “Selected Risk Considerations” in this term sheet and “Risk Factors” in the accompanying preliminary pricing supplement.
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Hypothetical
Final Basket Value
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Hypothetical Percentage Change
from the Initial Basket Value to
the Hypothetical
Final Basket Value
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Hypothetical Maturity
Payment Amount per
Security(1)
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Hypothetical Pre-Tax
Total Rate of Return
on the Securities
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0.00
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-100.00%
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$0.00
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-100.00%
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10.00
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-90.00%
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$100.00
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-90.00%
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25.00
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-75.00%
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$250.00
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-75.00%
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50.00
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-50.00%
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$500.00
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-50.00%
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55.00
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-45.00%
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$550.00
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-45.00%
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60.00
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-40.00%
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$600.00
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-40.00%
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65.00
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-35.00%
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$650.00
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-35.00%
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70.00
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-30.00%
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$700.00
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-30.00%
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75.00
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-25.00%
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$750.00
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-25.00%
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80.00
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(2)
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-20.00%
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$1,000.00
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0.00%
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90.00
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-10.00%
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$1,000.00
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0.00%
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95.00
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-5.00%
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$1,000.00
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0.00%
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100.00
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(3)
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0.00%
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$1,000.00
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0.00%
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105.00
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5.00%
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$1,062.50
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6.25%
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110.00
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10.00%
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$1,125.00
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12.50%
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120.00
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20.00%
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$1,250.00
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25.00%
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130.00
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30.00%
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$1,375.00
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37.50%
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140.00
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40.00%
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$1,500.00
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50.00%
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140.40
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40.40%
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$1,505.00
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50.50%
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145.00
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45.00%
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$1,505.00
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50.50%
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150.00
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50.00%
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$1,505.00
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50.50%
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(1) |
Based on a hypothetical maximum maturity payment amount of $1,505.00 (the mid-point of the range of maximum maturity payment amounts set forth in this pricing supplement).
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(2) |
This is the Threshold Value.
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(3)
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This is the Initial Basket Value.
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If the Final Basket Value is greater than the Initial Basket Value, the
maturity payment amount per security will equal the lesser of:
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(i) |
$1,000 +
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(ii) |
the maximum maturity payment amount
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If the Final Basket Value is equal to or less than the Initial Basket Value but
greater than or equal to the Threshold Value, the maturity payment amount per security will equal the issue price of $1,000.00
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If the Final Basket Value is less than the Threshold Value, the maturity payment amount per security will equal:
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Your investment may result in a loss of up to 100% of your principal
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You will not receive interest payments on the securities
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Your yield may be lower than the yield on a standard debt security of comparable maturity
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Your return is limited and will not reflect the return of owning the shares of the basket components or the common stocks held by the basket components
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Owning the securities is not the same as owning the shares of the basket components or the common stocks held by the basket components
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There may not be an active trading market for the securities
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Changes in the prices of the basket components may offset each other
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The amount to be paid at maturity is not linked to the prices of the basket components at any time other than the valuation date
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Many factors affect the market value of the securities
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The correlation between the performance of a basket component and the performance of its Underlying Index may be imperfect
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An investment in the securities is subject to risks associated with foreign securities markets
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An investment in the securities is subject to foreign currency exchange rate risk
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The securities will be debt obligations of Royal Bank of Canada. No other company or entity will be responsible for payments under the securities
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Time zone differences between the cities where the securities comprising each Underlying Index and the applicable basket component trade may create discrepancies in trading levels
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The policies of the investment advisers of the basket components and changes that affect the Underlying Indices could affect the amount payable on the securities and their market
value
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We have no affiliation with the Index Sponsors and will not be responsible for any actions taken by the Index Sponsors
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Historical prices of the basket components should not be taken as an indication of their future prices during the term of the securities
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Hedging transactions may affect the return on the securities
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Our initial estimated value of the securities will be less than the initial public offering price
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The price, if any, at which you may be able to sell your securities prior to maturity may be less than the initial public offering price and our initial estimated value
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The initial estimated value of the securities will be an estimate only, calculated as of the time the terms of the securities are set
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Potential conflicts of interest could arise
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The calculation agent may postpone the valuation date and, therefore, determination of the Final Basket Value and the maturity date if a market disruption event occurs on the
valuation date
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There are potential conflicts of interest between you and the calculation agent
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The tax treatment of the securities is uncertain and gain on the securities may be treated as ordinary income under the
constructive ownership rules
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