RBC plans to price autocallable buffered PLUS linked to three indexes

By Angela McDaniels

Tacoma, Wash., Sept. 23 – Royal Bank of Canada plans to price 0% autocallable buffered Performance Leveraged Upside Securities due Oct. 3, 2018 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Euro Stoxx 50 index with a 50% weight, the Dow Jones industrial average with a 25% weight and the Russell 2000 index with a 25% weight.

The notes will be automatically called at par of $10 plus 15% if the basket’s closing level on March 30, 2017 is greater than or equal to 115% of the initial basket level.

If the notes are not called and the final basket level is greater than the initial basket level, the payout at maturity will be par of $10 plus 105% of the basket return. Investors will receive par if the basket declines by 11.7% or less and will lose 1% for every 1% that the basket declines beyond 11.7%.

RBC Capital Markets, LLC is the agent. Distribution is through Morgan Stanley Wealth Management.

The notes will price Sept. 30 and settle Oct. 5.

The Cusip number is 78013D797.

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