RBC to settle trigger autocallable contingent yield notes on ETF basket

By Emma Trincal

New York, March 26 – Royal Bank of Canada plans to settle 0% trigger autocallable contingent yield notes due March 20, 2023 linked to a basket of two equally-weighted exchange-traded funds, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the Energy Select Sector SPDR fund and the Financial Select Sector SPDR fund.

Each quarter, the notes will pay a contingent coupon at the rate of 10% to 10.8% per annum if the basket closes at or above the coupon barrier, 75% of the initial level, on the observation date for that quarter.

The exact coupon rate will be set at pricing.

The notes will be automatically called at par of $10 if the basket closes at or above the initial level on any quarterly observation date after six months.

If the notes are not called and the final level is greater than or equal to the downside threshold level, 75% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the final basket level is less than the initial level.

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

The notes were expected to price on March 26 and to settle on March 31.

The Cusip number is 78014M739.

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