RBC plans contingent coupon barrier autocallables tied to two funds

By Susanna Moon

Chicago, March 20 – Royal Bank of Canada plans to price autocallable contingent coupon barrier notes due March 27, 2020 linked to the lesser performing of the SPDR S&P Biotech exchange-traded fund and the Financial Select Sector SPDR fund, according to an FWP filing with the Securities and Exchange Commission.

The notes pay a contingent quarterly coupon at an annual rate of 8.5% to 10.5% if each fund closes at or above the 60% coupon barrier on the observation date for that quarter.

The notes will be called at par if each fund closes at or above its initial level on any quarterly review date.

The payout at maturity will be par unless either fund finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worse performing fund.

RBC Capital Markets, LLC is the underwriter.

The notes will price on March 24 and settle on March 31.

The Cusip number is78012KF69.

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