RBC plans upside participation notes with averaging tied to Dow, ETFs

By Angela McDaniels

Tacoma, Wash., Jan. 15 - Royal Bank of Canada plans to price 0% upside participation equity-linked notes due Feb. 4, 2020 linked to an equity basket via Wells Fargo Securities, LLC, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the Dow Jones industrial average with a 60% weight, the SPDR S&P Midcap 400 ETF trust with a 20% weight and the iShares Russell 2000 index fund with a 20% weight.

The final average basket level will be average of the basket's closing levels on the 28 quarterly valuation dates occurring over the term of the notes.

The payout at maturity will be par plus 100% to 110% of the percentage increase, if any, of the final average basket level over the initial basket level. If the final average basket level is less than the initial basket level, the payout will be par. The exact participation rate will be set at pricing.

The notes will price in January and settle in February.

The Cusip number is 78008SVM5.

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