RBC plans buffered enhanced return notes with averaging linked to S&P

By Angela McDaniels

Tacoma, Wash., Jan. 31 - Royal Bank of Canada plans to price 0% buffered enhanced return notes with averaging due Feb. 27, 2017 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index's closing level on Feb. 22, 2017 is at least 80% of the initial index level, the payout at maturity will be par plus 215% to 235% - the exact leverage factor will be set at pricing - of the average percentage change. Otherwise, the payout will be par minus the percentage decline of the index plus 20% plus the product of the average percentage change multiplied by the leverage factor.

The average percentage change will be the percentage change from the initial index level to the average level, subject to a minimum of zero. The average level will be the average of the index's closing levels on 16 quarterly observation dates during the life of the notes.

The notes will price Feb. 22 and settle Feb. 27.

RBC Capital Markets, LLC is the underwriter.

The Cusip number is 78008SYA8.

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