RBC plans trigger phoenix autocallables with memory coupon on stocks

By Susanna Moon

Chicago, Aug. 11 – Royal Bank of Canada plans to price trigger phoenix autocallable notes with memory coupon due Aug. 25, 2017 linked to the worst performing of the common stocks of Goldman Sachs Group, Inc. and JPMorgan Chase & Co., according to an FWP filing with the Securities and Exchange Commission.

If each stock closes at or above its coupon barrier – 75% of the initial price – on a quarterly observation date, the notes will pay a contingent coupon for that quarter at an annual rate of 7.9% to 8.2% plus an amount equal to any memory coupon.

The memory coupon is the product of the contingent coupon times the number of contingent coupon payments that were previously unpaid on the respective coupon payment dates because at least one stock closed below its coupon barrier on an observation date.

If each stock closes at or above its initial price on any quarterly observation date, the notes will be called at par plus the contingent coupon.

The payout at maturity will be par plus the contingent coupon unless either stock finishes below the 75% trigger level, in which case investors will be fully exposed to any losses of the worst performing stock.

RBC Capital Markets, LLC is the agent.

The notes will price on Aug. 22 and settle on Aug. 27.

The Cusip number is 78010US81.

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