RBC Nymeyer-Scrimgeour North American Value Technical & Quantitative Roc Securities CAD Hedged
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July 2016 RBC Nymeyer-Scrimgeour North American Value Technical & Quantitative RoC Securities CAD Hedged GLOBAL INVESTMENT SOLUTIONS FOR THE INFORMATION OF INVESTORS IN OUTSTANDING RBC NYMEYER-SCRIMGEOUR NORTH AMERICAN VALUE TECHNICAL & QUANTITATIVE ROC SECURITIES CAD HEDGED ONLY Investment Objective: EQUITY INVESTMENT - JULY 2016 The RBC Nymeyer-Scrimgeour North American Value Dividend Technical & Quantitative RoC Securities CAD Hedged Sector Index Symbol Company Weight Yield (%) Rank have been designed to provide investors with "long" Energy S&P 1500 NOG Northern Oil and GasGLOBAL Inc INVESTMENT3.50% SOLUTIONS0.00 3 exposure to RBC's proprietary 6-factor quantitative S&P 1500 ATW Atwood Oceanics Inc 3.50% 0.00 22 models, with the ability to allocate to Fixed Income S&P/TSX ERF Enerplus Corp 1.50% 1.41 6 Investments based on whether the shares in the Materials S&P/TSX LUC Lucara Diamond Corp 1.50% 1.72 2 S&P/TSX Composite Index (“S&P/TSX”) and the S&P S&P/TSX THO Tahoe Resources Inc 1.50% 1.60 5 S&P/TSX TRQ Turquoise Hill Resources Ltd 1.50% 0.00 9 1500® Composite Index (“S&P 1500”) exhibit bearish S&P/TSX AEM Agnico Eagle Mines Ltd 1.50% 0.60 10 trends to such an extent that an insufficient number S&P/TSX FM First Quantum Minerals Ltd 1.50% 0.22 13 of shares are eligible to be selected by the Models S&P/TSX LIF Labrador Iron Ore Royalty Corp 1.50% 8.06 17 for notional inclusion in the Equity Investments, S&P/TSX TCK.B Teck Resources Ltd 1.50% 0.59 21 while at the same time providing a partial hedge of S&P 1500 RYAM Rayonier Advanced Materials Inc 3.50% 2.06 4 the potential currency risk between the Canadian S&P 1500 KOP Koppers Holdings Inc 3.50% 0.00 6 S&P 1500 NEM Newmont Mining Corp 3.50% 0.26 10 dollar currency, in which the Debt Securities and all S&P 1500 CC Chemours Co 3.50% 1.46 27 payments under the Debt Securities to holders of Industrials S&P/TSX AC Air Canada 1.50% 0.00 3 the Debt Securities are denominated, and the United S&P/TSX RBA Ritchie Bros Auctioneers Inc 1.50% 1.89 16 States dollar currency in which the notional S&P/TSX SNC SNC-Lavalin Group Inc 1.50% 1.92 45 investments in the U.S. Portfolio are denominated. S&P/TSX WTE Westshore Terminals Investment Corp 1.50% 3.42 47 The goal of this strategy is to be exposed to the total S&P 1500 FCN FTI Consulting Inc 3.50% 0.00 9 Consumer S&P/TSX QBR.B Quebecor Inc 1.50% 0.49 4 return of the shares selected by the Models when Discretionary S&P/TSX DOL Dollarama Inc 1.50% 0.44 7 the trends are positive for the applicable shares and S&P/TSX DII.B Dorel Industries Inc 1.50% 4.50 8 to reduce or eliminate this exposure as the trends S&P/TSX UNS Uni-Select Inc 1.50% 1.04 15 for such shares become negative. S&P 1500 OUTR Outerwall Inc 3.50% 5.71 1 S&P 1500 JACK Jack in the Box Inc 3.50% 1.40 2 No Canadian Tax Events: S&P 1500 APEI American Public Education Inc 3.50% 0.00 16 1. Until maturity or disposition S&P 1500 PLCE Children's Place Inc 3.50% 1.00 82 2. On Portfolio changes or rebalancing Consumer Staples S&P/TSX MRU Metro Inc 1.50% 1.24 30 3. On quarterly return of capital payments S&P 1500 CENTA Central Garden & Pet Co 3.50% 0.00 8 S&P 1500 SAFM Sanderson Farms Inc 3.50% 1.02 42 Benchmark: S&P 1500 TSN Tyson Foods Inc 3.50% 0.90 176 Financials S&P/TSX REF.UN Canadian Real Estate Investment Trust 1.50% 3.79 48 S&P/TSX Composite Index and S&P 1500® Composite S&P 1500 EHTH eHealth Inc 3.50% 0.00 5 Index Utilities S&P/TSX EMA Emera Inc 1.50% 3.91 71 S&P/TSX FTS Fortis Inc/Canada 1.50% 3.43 92 Asset Class: S&P 1500 NRG NRG Energy Inc 3.50% 0.80 75 1 U.S. equity: 70% Health Care S&P 1500 HCA HCA Holdings Inc 3.50% 0.00 66 2 Canadian equity: 30% S&P 1500 MGLN Magellan Health Inc 3.50% 0.00 91 S&P 1500 CBM Cambrex Corp 3.50% 0.00 112 ALLOCATION BY COUNTRY Telecommunication Services S&P 1500 VZ Verizon Communications Inc 3.50% 4.05 58 As of June 30, 2016, in the aggregate the Portfolios were allocated 100% to Equity Investments. Indicated dividend yield as of June 30, 2016 was 0.93% Canadian Equity Investment 30.00% on the U.S. Underlying Equity Securities (gross of any applicable withholding tax) and 2.01% on the Canadian Underlying Equity Securities. Return of capital distributions equal to 85% of the dividends notionally received on the shares in the U.S. Portfolio (net of any amounts in respect of non-U.S. withholding tax) are paid to investors through January 1, 2017. On or thereafter, the Bank may elect to increase this return of capital distribution percentage to 100% and withhold 15% of such amounts in respect of U.S. withholding taxes for non-exempt investors. U.S. Equity Investment 70.00% Canadian Portfolio Additions Canadian Portfolio Deletions AEM Agnico Eagle Mines Ltd $72.13 WCN Waste Connections Inc $94.87 DII.B Dorel Industries Inc $35.24 GIB.A CGI Group Inc $55.73 INDUSTRY ALLOCATION ERF Enerplus Corp $8.30 HCG Home Capital Group Inc $30.57 Energy 8.50% LIF Labrador Iron Ore Royalty Corp $13.27 NFI New Flyer Industries Inc $39.48 LUC Lucara Diamond Corp $3.36 PJC.A Jean Coutu Group PJC Inc $19.18 Materials 24.50% RBA Ritchie Bros Auctioneers Inc $44.30 SAP Saputo Inc $38.56 Industrials 9.50% TRQ Turquoise Hill Resources Ltd $4.53 TCL.A Transcontinental Inc $18.08 Consumer Discretionary 20.00% U.S. Portfolio Additions U.S. Portfolio Deletions Consumer Staples 12.00% JACK Jack in the Box Inc US$86.14 MENT Mentor Graphics Corp US$20.94 Health Care 10.50% This fact sheet is qualified in its entirety by a term sheet (the “Term Sheet”). Financials 5.00% Telecommunication Services 3.50% Utilities 6.50% - 2 - March 2015 www.rbcnotes.com THE NORTH AMERICAN VALUE TECHNICAL & QUANTITATIVE STRATEGIES On the last Exchange Day of each month, the Strategies compare the shares selected by the Models to the shares notionally included in the Canadian Equity Investment and the U.S. Equity Investment, respectively, if any, at that time to determine the asset allocation for each Portfolio for the next month. If the Equity Investment for the following month will consist of at least one fewer Underlying Equity Security Issuer than the preceding month, the ineligible shares will be notionally sold and the notional proceeds will be used to notionally purchase Bonds for the applicable Fixed Income Investment. If the Equity Investment for the following month will consist of at least one more Underlying Equity Security Issuer than the preceding month, the Bonds (or the applicable portion thereof) notionally included in the applicable Fixed Income Investment at that time will be notionally sold and the notional proceeds will be used to notionally purchase the Underlying Equity Securities for the applicable Equity Investment. If on an Allocation Date an identical number of issuers are eligible for selection by a Model as the number of Underlying Equity Security Issuers notionally included in the corresponding Equity Investment for the preceding month, the allocation of the applicable Portfolio between an Equity Investment and a Fixed Income Investment will remain unchanged for the following month. MODELS – CANADIAN MODEL AND U.S. MODEL 1 This percentage assumes that the U.S. Portfolio is allocated 100% to a U.S. Equity Investment. 2 This percentage assumes that the Canadian Portfolio is allocated 100% to a Canadian Equity Investment. 3 High Risk Country Stocks and stocks that breach the Share Volume Purchase Limits will not be eligible for notional purchase. 4 High Risk Country Stocks and certain stocks of real estate investment trusts will also be notionally sold, as further described in the Term Sheet. 5 The Canadian Portfolio is intended to represent 30% of the Value of the Portfolios and the U.S. Portfolio is intended to represent 70% of the Value of the Portfolios. Although the Portfolios in the aggregate will notionally include up to 40 Underlying Equity Securities, the Canadian Underlying Equity Securities will never represent more than 30% of the Value of the Portfolios, except as described in the Term Sheet. The S&P 1500® Composite Index is a product 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 such indices have been licensed for use by the Bank. Standard & Poor's® and S&P® 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.