RBC plans autocall floaters with contingent coupon tied to two indexes

By Susanna Moon

Chicago, Feb. 8 – Royal Bank of Canada plans to price autocallable floating-rate and contingent coupon barrier notes due Feb. 13, 2020 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly floating-rate coupon at an annual rate of the sum of Libor plus 100 basis points. In addition, the notes also will pay a quarterly contingent coupon at an annual rate of 3% to 3.5% if each index closes at or above the 70% coupon barrier on the observation date for that quarter.

The notes will be called at par if each index closes at or above its initial level on any quarterly review date beginning May 10, 2017.

The payout at maturity will be par unless either index finishes below its 70% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.

RBC Capital Markets, LLC is the underwriter.

The notes will price on Feb. 10 and settle on Feb. 15.

The Cusip number is 78012KZQ3.

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