TEAM
This following table contains information regarding the notional cash-settled currency forward contract rates for each series of securities that incorporate a "partial hedge" into their terms (the "Securities"). Such Securities provide a partial hedge of the potential currency risk between the Canadian dollar currency, in which the Securities and all payments under the Securities to holders of the Securities are denominated, and the United States dollar currency in which the notional investments in the notional portfolio underlying the Securities are denominated.
The table indicates the contract rate into which the currency forward for each series of Securities was entered into. The first currency forward for a series of Securities may not be for a three-month period due to the fact that each currency forward contract ends on the last business day of a calendar quarter and the Securities may have been issued one or two months prior to the end of a particular calendar quarter. Any currency forward contracts for less than three months are noted on the spreadsheet.
Description of Underlying
The Securities have been designed for investors seeking a return based on the Bank's proprietary multi-factor model referred to as the RBC 8-Factor Quantitative Model, with the ability to allocate to fixed income investments based on the trend of the S&P/TSX Composite Index using the Strategy.
The goal of the Strategy is to be exposed to the shares selected by the Model when the trend is positive for the equity markets and to reduce or eliminate this exposure as the trend for the equity markets becomes negative.
Variable Return
The return of the Securities will reflect the return of a notional portfolio allocated dynamically between an Equity Investment and/or a Fixed Income Investment, determined and re-allocated on a monthly basis based on the Strategy. An Equity Investment will be a notional portfolio composed of shares of the top 25 ranked companies resulting from the application of the Model. A Fixed Income Investment will be a notional investment in a notional five-year zero coupon bond.
THESE NOTES ARE NOT PRINCIPAL PROTECTED.
Interest Rate Index
A "Fixed Income Investment" will be composed of a notional investment made following an Allocation Date in a notional five-year zero coupon bond with a yield to maturity equal to the five-year Canadian dollar inter-bank zero coupon swap rate, using industry-standard bootstrapping methodology for determining zero coupon rates, based on Canadian dollar inter-bank swap rates quoted by Bloomberg.
Such bonds will be notionally purchased at a price equal to the revailing offer price for bonds with a yield to maturity equal to the Canadian dollar inter-bank bid zero coupon swap rate for a 5-year term and notionally sold at a price equal to the prevailing bid price for such bonds at the time of notional disposition.
The prices at which the bonds were notionally purchased at are below: