RBC plans 6%-8% airbag phoenix autocallables tied to Chesapeake Energy

By Toni Weeks

San Luis Obispo, Calif., July 24 – Royal Bank of Canada plans to price airbag phoenix autocallable optimization securities due Jan. 29, 2016 linked to the common shares of Chesapeake Energy Corp., according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent monthly coupon at an annual rate of 6% to 8% if Chesapeake Energy shares close at or above the coupon barrier, 80% of the initial share price, on the observation date for that month. The exact coupon will be set at pricing.

The notes will be called at par plus the coupon if the stock closes at or above the initial share price on any quarterly observation date.

If the notes are not called, the payout at maturity will be par unless the final share price is less than the conversion price, in which case the payout will be a number of Chesapeake Energy shares equal to $1,000 divided by the conversion price. The conversion price is 85% of the initial share price.

The notes (Cusip: 78011Y132) are expected to price July 29 and settle July 31.

UBS Financial Services Inc. and RBC Capital Markets, LLC are the agents.

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