RBC Euro Stock Participating Quantitative Model Securities (SPARQS)™ Global Investment Solutions Roc CAD Hedged
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February 2016 RBC Euro Stock PARticipating Quantitative model Securities (SPARQS)™ Global Investment Solutions RoC CAD Hedged Investment Objective: PORTFOLIO – FEBRUARY 2016 The RBC Euro Stock PARticipating Quantitative model Securities Dividend Sector Country Symbol Company Weight Rank Yield (SPARQS)™ RoC CAD Hedged are designed to provide investors with Materials Finland UPM1V FH UPM-Kymmene OYJ 3.53% 52 4.69 “long” exposure to RBC’s proprietary 8- Industrials Germany LHA GY Deutsche Lufthansa AG 3.52% 1 - factor quantitative model (the Ireland RYA ID Ryanair Holdings PLC 5.24% 6 - “Model”). The goal of this strategy is to France EN FP Bouygues SA 3.08% 9 4.49 provide an objective measure of the Denmark VWS DC Vestas Wind Systems A/S 5.42% 27 0.89 total return potential of the shares Consumer Discretionary United Kingdom PSN LN Persimmon PLC 4.93% 2 4.82 selected by the Model, while at the France RNO FP Renault SA 4.16% 5 2.44 same time providing a partial hedge of United Kingdom TW/ LN Taylor Wimpey PLC 3.42% 12 0.97 the potential currency risk between the Canadian dollar currency, in which the Germany BMW GY Bayerische Motoren Werke AG 3.80% 34 3.73 Securities and all payments under the Finland NRE1V FH Nokian Renkaat OYJ 5.10% 40 4.68 Securities to holders of the Securities Health Care Switzerland LONN VX Lonza Group AG 3.31% 10 1.61 are denominated, and the Non-CAD United Kingdom GSK LN GlaxoSmithKline PLC 3.10% 13 5.66 Currency in which the notional Financials Austria EBS AV Erste Group Bank AG 3.80% 3 - investments in the Portfolio are Switzerland SLHN VX Swiss Life Holding AG 3.81% 4 2.56 denominated. United Kingdom SGRO LN Segro PLC 4.53% 7 3.58 No Canadian Tax Events: Switzerland SREN VX Swiss Re AG 4.38% 8 4.58 Until maturity or sale United Kingdom EMG LN Man Group PLC 4.11% 14 4.73 On Portfolio changes or rebalancing United Kingdom DLG LN Direct Line Insurance Group PLC 4.23% 22 3.64 On quarterly RoC payments Belgium GBLB BB Groupe Bruxelles Lambert SA 3.80% 53 3.05 Benchmark: United Kingdom BLND LN British Land Co PLC 3.41% 67 3.91 S&P Europe 350 Index® Belgium AGS BB Ageas 5.23% 80 3.18 Asset Class: Ireland BKIR ID Bank of Ireland 3.60% 85 - European equity Switzerland UBSG VX UBS Group AG 3.57% 92 - Quantitative Analyst: Utilities France VIE FP Veolia Environnement SA 3.10% 11 - Chad McAlpine, CFA Spain ANA SQ Acciona SA 3.80% 19 2.26 RBC Dominion Securities Inc. *Indicated dividend yield on the Portfolio as of January 31, 2016 was 2.62%. INDUSTRY ALLOCATION Portfolio Deletions Portfolio Additions ALV GY Allianz SE Germany 142.16 EUR GSK LN GlaxoSmithKline PLC United Kingdom 1,421.00 GBp BNP FP BNP Paribas SA France 41.26 EUR LONN VX Lonza Group AG Switzerland 152.86 CHF DAI GY Daimler AG Germany 62.35 EUR VIE FP Veolia Environnement SA France 22.07 EUR GLE FP Societe Generale SA France 32.61 EUR TW/ LN Taylor Wimpey PLC United Kingdom 190.22 GBp LAND LN Land Securities Group PLC United Kingdom 1,077.80 GBp EN FP Bouygues SA France 34.89 EUR 1, 2 HISTORICAL SECONDARY MARKET PRICE Materials 3.53% Industrials 17.26% Consumer Discretionary 21.41% Health Care 6.42% Financials 44.47% Utilities 6.91% This fact sheet is qualified in its entirety by a term sheet. Since 1 Returns as of January 29, 2016 1 month 3 months YTD 1 year See footnote 1 on page 2. Inception 2See footnote 2 on page 2. RBC Euro Stock PARticipating Quantitative model Securities (SPARQS) RoC (CAD -9.68% -8.53% -9.68% #N/A -10.69% Hedged), Series 1, F-Class S&P Europe 350 Index® -6.35% -9.35% -6.35% #N/A -13.07% March 2015 Global Investment Solutions THE UNIVERSE NO CANADIAN TAX EVENTS THE METHODOLOGY Dividend yielding European equities > Until maturity or sale The Portfolio: Review Portfolio on a monthly basis and adjust S&P Europe 350 Index® notional holdings and weights. Only largest 100 qualifiers > On Portfolio changes or rebalancing are eligible > The entire S&P Europe 350 Index® is eligible to be included, subject > On quarterly RoC payments to a limitation on High Risk Country Stocks > The Portfolio is reviewed each month after ranks have been updated Rank stocks based on an equally weighted combination of 8 THE MODEL factors that fall into 4 distinct investment themes > Stocks are removed if they drop below the 50th position in terms ATTRACTIVE Low Price to Earnings of their rank x 1/8 VALUATIONS Low Price to Book Value > Stocks are removed if they are removed from the Index SUSTAINABLE High Quarterly Earnings Growth x 1/8 GROWTH High Return On Equity > Replacement stocks are the best-ranked stocks not already POSITIVE High Earnings Surprise included in the Portfolio x 1/8 SENTIMENT High Estimate Revisions > At the end of each quarter the Portfolio is rebalanced to equal MARKET High 3-Month Price Change x 1/8 weights RECOGNITION High 6-Month Price Change = Total Score 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 Portfolio and investors have no rights with respect to the securities in the Portfolio. If you purchase Securities, you will be exposed to fluctuations in interest rates and changes in the value of the Portfolio, 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. 1This Historical Secondary Market Price chart reflects the historical closing secondary market price of RBC Euro Stock PARticipating Quantitative model Securities (SPARQS)™ RoC CAD Hedged, Series 1, F-Class (the “Series 1 – F-Class”) for each day such secondary market was open for trading and the percentage change of the level of the Index since the Issue Date of Series 1 – F-Class on May 7, 2015. The Series 1 – F-Class is the initial implementation of the RBC Euro Stock PARticipating Quantitative model Securities (SPARQS)™ RoC CAD Hedged strategy. The closing secondary market price of Series 1 – F-Class on its Issue Date was $100.00. For Series 1 – F-Class, an amount equal to $100.00 per Security (less applicable Execution Costs) was notionally invested in the Portfolio on the Issue Date. The secondary market price at any particular time is the price at which a holder of RBC Euro Stock PARticipating Quantitative model Securities (SPARQS)™ RoC CAD Hedged could dispose of such securities. 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 RBC Euro Stock PARticipating Quantitative model Securities (SPARQS)™ RoC CAD Hedged may differ for various reasons including as a result of different levels of Note Program Amounts, applicable early trading charges and the issue date for a particular series. The difference in NAV per Security between the Securities for different series of RBC Euro Stock PARticipating Quantitative model Securities (SPARQS)™ RoC CAD Hedged could result in different secondary market prices for Securities of different series of RBC Euro Stock PARticipating Quantitative model Securities (SPARQS)™ RoC CAD Hedged. The historical secondary market price for RBC Euro Stock PARticipating Quantitative model Securities (SPARQS)™ RoC CAD Hedged which are not Series 1 – F-Class may differ from the historical secondary market price for Series 1 – F-Class Securities because the different Note Program Amounts for the different series of RBC Euro Stock PARticipating Quantitative model Securities (SPARQS)™ RoC CAD Hedged may affect the secondary market price of such securities. A series of RBC Euro Stock PARticipating Quantitative model Securities (SPARQS)™ RoC CAD Hedged with a Note Program Amount which is higher than the Note Program Amount for Series 1 – F-Class would likely have a lower secondary market price than the secondary market price for Series 1 – F-Class. Prior historical secondary market prices of Series 1 – F-Class are not necessarily indicative of any future secondary market price for Series 1 – F-Class or other RBC Euro Stock PARticipating Quantitative model Securities (SPARQS)™ RoC CAD Hedged. There is no assurance that a secondary market for the Securities will develop or be sustained. 2The secondary market price of the Securities at any time will generally depend on, among other things, (a) how much the prices of the underlying interests have 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 underlying interests, the level of interest rates in the applicable markets, dividend 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 influenced by various political, economic and other factors that can affect the trading price of a Security. Capitalized terms used but not defined herein have the meanings ascribed to such terms in the applicable term sheet under which you purchased RBC Euro Stock PARticipating Quantitative model Securities (SPARQS)™ RoC CAD Hedged. Clients should evaluate the financial, market, legal, regulatory, credit, tax and accounting risks and consequences of the proposal before entering into any transaction, or purchasing any instrument.