RBC to price airbag performance securities on Vanguard FTSE fund

By Jennifer Chiou

New York, March 4 – Royal Bank of Canada plans to price 0% airbag performance securities due March 31, 2020 linked to the Vanguard FTSE Emerging Markets exchange-traded fund, according to an FWP with the Securities and Exchange Commission.

The payout at maturity will be par plus 108% to 118% of any fund gain, with the exact participation rate to be set at pricing.

If the fund falls by up to 25%, the payout will be par. If the fund falls by more than 25%, investors will receive a number of shares equal to $1,000 divided by the conversion price, which is 75% of the initial price.

The notes (Cusip: 780082681) will price on March 26 and settle on March 31.

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

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