RBC to price trigger phoenix autocallables linked to index, ETF

By Angela McDaniels

Tacoma, Wash., Feb. 19 - Royal Bank of Canada plans to price trigger phoenix autocallable notes due Feb. 28, 2019 linked to the worst performing of the iShares Emerging Markets exchange-traded fund and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

If each underlying component closes at or above its barrier, 75% of its initial level, on a quarterly observation date, the issuer will pay a contingent coupon for that quarter at the rate of 8.8% to 10.4% per year. Otherwise, no coupon will be paid that quarter. The exact contingent coupon rate will be set at pricing.

If each underlying component closes at or above its initial level on a quarterly observation date, the notes will be automatically called at par plus the contingent coupon.

If the notes are not called and each underlying component finishes at or above its barrier, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be exposed to the decline of the worst-performing underlying component from its initial level.

RBC Capital Markets, LLC is the underwriter.

The notes will price Feb. 26 and settle Feb. 28.

The Cusip number is 78010URE9.

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