February 2017 RBC Global Large Cap Tactical Allocation RoC Securities GLOBAL INVESTMENT SOLUTIONS
FOR THE INFORMATION OF INVESTORS IN OUTSTANDING RBC GLOBAL LARGE CAP TACTICAL ALLOCATION ROC SECURITIES ONLY
Investment Objective: As of January 31, 2017, each of the U.S. Portfolio, Canadian Portfolio and European Portfolio was allocated The RBC Global Large Cap Tactical Allocation RoC Securities entirely to an Equity Investment. Partial Principal Repayments on the Securities will only be calculated when ("Global Large Cap Securities") are designed to provide the U.S. Strategy allocates 100% of the U.S. Portfolio to a U.S. Equity Investment. investors with "long" exposure to RBC's proprietary 8-factor 1,2 HISTORICAL SECONDARY MARKET PRICE quantitative models, with the ability to allocate to fixed income investments based on the trend of (i) the S&P/TSX Composite Index, (ii) the S&P 500® Index and (iii) the S&P Europe 350 Index. The goal of the Strategies is to be exposed to the shares selected by the Models when the trend is positive for the equity markets and eliminate equity exposure as the trend for the equity markets becomes negative.
No Canadian Tax Events: Until maturity or disposition On changes or rebalancing to Portfolios On quarterly return of capital payments
Benchmark: S&P Global 1200 Total Return Index
Strategy Inception: August 6, 2015
1 The secondary market price of the Securities at any time will generally depend Returns as of 1 month 3 months YTD 1 year Since Inception on, among other things, (a) how much the prices of the underlying interests have January 31, 2017 risen or fallen since the Issue Date of such Securities, and (b) a number of other interrelated factors, including, without limitation, volatility in the prices of the RBC Global Large Cap Tactical Allocation RoC underlying interests, the level of interest rates in the applicable markets, dividend Securities (CAD), Series 1, F-Class 1.65% 9.63% 1.65% 4.87% 1.35% yields on any of the securities, if any, comprising the underlying interest, and the Maturity Date. The relationship among these factors is complex and may also be S&P Global 1200 Total Return Index 2.56% 6.39% 2.56% 18.48% 4.56% influenced by various applicable political, economic and other factors that can affect the price of a Security. U.S. EQUITY INVESTMENT – FEBRUARY 2017 2 Refer to footnote 2 on page 2. Dividend Sector Symbol Company Weight Rank Yield (%)
Industrials URI United Rentals Inc 10.21% 6 0.00
IR Ingersoll-Rand PLC 0.43% 58 2.02
Consumer Discretionary GM General Motors Co 0.42% 4 4.15
HAR Harman International Industries Inc 0.41% 8 1.26 BBY Best Buy Co Inc 0.43% 10 2.52 GT The Goodyear Tire & Rubber Co 0.42% 57 1.23 Financials LNC Lincoln National Corp 0.43% 1 1.72 MS Morgan Stanley 0.42% 3 1.88
GS The Goldman Sachs Group Inc 0.40% 7 1.13 BAC Bank of America Corp 0.42% 9 1.33 U.S. PORTFOLIO ALLOCATION JPM JPMorgan Chase & Co 0.42% 11 2.27 ZION Zions Bancorporation 3.41% 12 0.76 ETFC E*TRADE Financial Corp 0.42% 14 0.00 CFG Citizens Financial Group Inc 0.41% 15 1.55 Industrials 8.39% KEY KeyCorp 0.41% 17 1.89 CMA Comerica Inc 0.41% 38 1.36
Consumer Discretionary 15.50% Information Technology STX Seagate Technology PLC 3.65% 2 5.58 WDC Western Digital Corp 6.33% 5 2.51 LRCX Lam Research Corp 0.45% 21 1.57
Financials 37.98% AVGO Broadcom Ltd 0.48% 26 2.05
NVDA NVIDIA Corp 9.28% 31 0.51
AMAT Applied Materials Inc 0.45% 34 1.17 Information Technology 33.01% CSRA CSRA Inc 0.41% 52 1.29
NTAP NetApp Inc 3.07% 55 1.98 Utilities NRG NRG Energy Inc 1.33% 13 0.73 Utilities 5.12% Indicated Dividend Yield on the U.S. Underlying Equity Securities as of January 31, 2017 was 1.70% (gross of any applicable withholding tax).
Fixed Income Investment 0.00%
U.S. Portfolio Additions U.S. Portfolio Deletions CFG Citizens Financial Group Inc US$36.51 GRMN Garmin Ltd US$49.38
WDC Western Digital Corp US$79.28 INTC Intel Corp US$36.44 This fact sheet is qualified in its entirety by a term sheet.
CANADIAN EQUITY INVESTMENT – FEBRUARY 2017 CANADIAN PORTFOLIO Dividend Sector Symbol Company Weight Rank Yield (%) ALLOCATION Energy ECA Encana Corp 0.38% 7 0.47 CCO Cameco Corp 0.37% 10 2.41 ERF Enerplus Corp 0.36% 15 1.03 ENF Enbridge Income Fund Holdings Inc 0.37% 34 6.01 Materials TECK.B Teck Resources Ltd 1.97% 12 0.31 WFT West Fraser Timber Co Ltd 2.82% 14 0.63 FM First Quantum Minerals Ltd 0.45% 46 0.06 Industrials TFII TFI International Inc 2.14% 8 2.16 WJA WestJet Airlines Ltd 1.37% 27 2.55 CAE CAE Inc 0.37% 32 1.73 WCN Waste Connections Inc 6.43% 47 0.92 Consumer Discretionary LNR Linamar Corp 0.37% 6 0.70 MG Magna International Inc 0.35% 18 2.40 Consumer Staples SAP Saputo Inc 2.80% 25 1.25 Financials MFC Manulife Financial Corp 0.38% 1 2.97 SLF Sun Life Financial Inc 3.10% 2 3.27 IAG Industrial Alliance Insurance & Financial Services 0.39% 3 2.34 NA National Bank of Canada 0.38% 4 3.99 BMO Bank of Montreal 0.38% 5 3.58 BNS The Bank of Nova Scotia 0.38% 9 3.81 CM Canadian Imperial Bank of Commerce 0.38% 11 4.48 TD The Toronto-Dominion Bank 4.13% 16 3.26 Energy 15.66% CWB Canadian Western Bank 0.35% 20 3.11 Materials 13.33% Information Technology CSU Constellation Software Inc/Canada 0.36% 41 0.89 Utilities EMA Emera Inc 0.37% 38 4.60 Industrials 15.71% Indicated Dividend Yield on the Canadian Underlying Equity Securities as of January 31, 2017 was 2.357%. Consumer Discretionary 7.66% Canadian Portfolio Additions Canadian Portfolio Deletions Consumer Staples 3.85% CCO Cameco Corp $34.52 DOL Dollarama Inc $98.46 Financials 36.00% EUROPEAN EQUITY INVESTMENT – FEBRUARY 2017 Information Technology 3.82% Dividend Utilities 3.97% Sector Symbol Company Weight Rank Yield (%) Fixed Income Investment 0.00% Energy SUBC Subsea 7 SA 1.10% 16 0.00 SPMI Saipem SpA 0.04% 57 0.00 RDSb Royal Dutch Shell PLC 2.25% 65 6.15 RDSa Royal Dutch Shell PLC 2.16% 72 6.47 Materials UPM UPM-Kymmene OYJ 1.89% 1 0.00 NHY Norsk Hydro ASA 0.46% 2 2.09 BOL Boliden AB 0.41% 13 1.27 EUROPEAN PORTFOLIO LXSG LANXESS AG 0.39% 22 0.89 AAL Anglo American PLC 0.45% 23 0.00 ALLOCATION Industrials LDOF Leonardo SpA 0.36% 5 0.00 LHAG Deutsche Lufthansa AG 0.38% 8 3.96 AHT Ashtead Group PLC 0.40% 44 1.45 Consumer Discretionary PEUP Peugeot SA 1.47% 1 0.00 FCHA Fiat Chrysler Automobiles NV 0.43% 4 0.00 Financials III 3i Group PLC 0.38% 3 1.93 SOGN Societe Generale SA 3.82% 6 4.29 NN NN Group NV 2.72% 7 5.02 SAN Banco Santander SA 0.44% 9 3.19 DBKGn Deutsche Bank AG 0.40% 10 0.00 CAGR Credit Agricole SA 0.40% 11 4.88 ALVG Allianz SE 0.38% 18 4.59 AXAF AXA SA 0.36% 19 4.80 DANSKE Danske Bank A/S 0.42% 38 3.49 ERST Erste Group Bank AG 0.39% 42 0.00 SWEDa Swedbank AB 2.02% 61 4.85 Indicated Dividend Yield on the European Underlying Equity Securities as of January 31, 2017 was 2.50%. European Portfolio Additions European Portfolio Deletions NN NA NN Group NV Netherlands 32.17 EUR MT NA ArcelorMittal Luxembourg 7.39 EUR SAN SM Banco Santander SA Spain 5.23 EUR AKE FP Arkema SA France 92.72 EUR DBK GY Deutsche Bank AG Germany 18.60 EUR NDA SS Nordea Bank AB Sweden 106.26 SEK Energy 14.84% ACA FP Credit Agricole SA France 12.08 EUR INVEB SS Investor AB Sweden 352.94 SEK
Materials 21.24%
Industrials 11.55%
Consumer Discretionary 8.62%
Financials 43.75%
Fixed Income Investment 0.00%
March 2015
GLOBAL INVESTMENT SOLUTIONS
THE GLOBAL LARGE CAP TACTICAL ALLOCATION MODELS METHODOLOGY On the last Exchange Day of each month, the Strategies compare the daily official closing levels of the S&P/TSX Composite Index, the S&P 500® Index, and the S&P Europe 350 Index to the average daily closing levels of each Index for the 200-day moving averages ("200 DMA") to determine the asset allocations for the following month. If the applicable Index closes at or greater than its 200 DMA, the Strategies will allocate 100% exposure to the Equity Investment for the applicable Portfolio. If the applicable Index closes below its 200 DMA, the Strategies will allocate 100% to the Fixed Income Investment for the applicable Portfolio. ASSET ALLOCATION
On a monthly basis, an asset allocation decision is made based on the closing levels of the S&P/TSX Composite Index, the S&P 500® Index, and the S&P Europe 350 Index relative to their respective 200 DMAs.
THE UNIVERSE NO CANADIAN TAX EVENTS THE EQUITY INVESTMENT METHODOLOGY
The equity Portfolios: Review equity Portfolios on a monthly S&P/TSX Composite Index > Until maturity or disposition basis and adjust holdings and weights. S&P 500® Index > On changes or rebalancing > All S&P 500® Index members are eligible to be included in the S&P Europe 350 Index to Portfolios U.S. Portfolio, subject to a limitation on REITs > High Risk Country Stocks in the U.S. Index and the European > On quarterly RoC payments Index will be excluded from the U.S. Portfolio and European
Portfolio > Stocks are removed if they drop below the top 50 rankings for the Canadian Equity Investment, the top 125 rankings for the Rank stocks based on an equally weighted combination of 8 THE MODEL U.S. Equity Investment and the top 100 rankings for the factors that fall into 4 distinct investment themes European Equity Investment ATTRACTIVE Low Price to Earnings x 1/8 > Stocks are removed if they are removed from the Indices VALUATIONS Low Price to Book Value x 1/8 > Replacement stocks are the best-ranked stocks not already x 1/8 included in the applicable Equity Investment SUSTAINABLE High Quarterly Earnings Growth GROWTH > At the end of each calendar quarter the Equity Investments High Return On Equity x 1/8 are rebalanced to equal weights POSITIVE High Earnings Surprise x 1/8 SENTIMENT High Estimate Revisions x 1/8 MARKET High 3-Month Price Change x 1/8 RECOGNITION High 6-Month Price Change x 1/8 = Total Score
The S&P 500® Index and the S&P Europe 350 Index (together, the “Indices”) are products of S&P Dow Jones Indices LLC or its affiliates ("SPDJI") and the S&P/TSX Composite Index is a product of SPDJI or its affiliates and TSX Inc., and each of the Indices and the S&P/TSX Composite Index have been licensed for use by the Bank. Standard & Poor's®, S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services LLC ("S&P") and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"). TSX is a registered trademark of TSX Inc. The trademarks have been licensed to SPDJI and have been sublicensed for use for certain purposes by the Bank. The Securities are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, any of their respective affiliates or TSX Inc. and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the Indices or S&P/TSX Composite Index. 2This Historical Secondary Market Price chart reflects the historical closing secondary market price of RBC Global Large Cap Tactical Allocation RoC Securities (CAD), Series 1, F-Class (the “Series 1”) for each day such secondary market was open for trading and the percentage change of the level of the S&P Global 1200 Total Return Index since the Issue Date of Series 1 on August 6, 2015, the date of the initial implementation of the investment strategy for the Global Large Cap Securities. The closing secondary market price of Series 1 on its Issue Date was $100.00. For Series 1, on its Issue Date, an amount equal to $33.33 per Security was notionally invested in each of the U.S. Portfolio and the Canadian Portfolio and $33.34 was notionally invested in the European Portfolio. The secondary market price at any particular time is the price at which a holder of Global Large Cap Securities could dispose of such securities resold using the FundSERV network, excluding any applicable early trading charge. The secondary market price may not be the same as, and may be substantially different from the NAV per Security. The NAV per Security between different series of Global Large Cap Securities may differ for various reasons including as a result of different levels of Note Program Amounts, applicable early trading charges, the currency in which the series is denominated, any currency hedging and the issue date for a particular series. The difference in NAV per Security between the Securities for different series of Global Large Cap Securities could result in different secondary market prices for Securities of different series of Global Large Cap Securities. The historical secondary market price for Global Large Cap Securities which are not Series 1 may differ from the historical secondary market price for Series 1 Securities because the different Note Program Amounts for the different series of Global Large Cap Securities may affect the secondary market price of such Securities. A series of Global Large Cap Securities with a Note Program Amount which is higher than the Note Program Amount for Series 1 would likely have a lower secondary market price than the secondary market price for Series 1. Prior historical secondary market prices of Series 1 are not necessarily indicative of any future secondary market price for Series 1 or other Global Large Cap Securities. There is no assurance that a secondary market for the Securities will develop or be sustained. Capitalized terms used but not defined herein have the meanings ascribed to such terms in the applicable term sheet under which you purchased your Global Large Cap Securities. An investment in the Securities involves risks. An investment in the Securities is not the same as a direct investment in the securities that comprise the Portfolios and investors have no rights with respect to the securities in the Portfolios. The Securities are considered to be "specified derivatives" under applicable Canadian securities laws. If you purchase Securities, you will be exposed to fluctuations in interest rates and changes in the Value of the Portfolios, among other factors. Price changes may be volatile and an investment in the Securities may be considered to be speculative. Since the Securities are not principal protected and the Principal Amount will be at risk, you could lose substantially all of your investment. ®Registered trademark of Royal Bank of Canada