RBC plans barrier absolute enhanced return notes on S&P, Russell

By Sarah Lizee

Olympia, Wash., Dec. 5 – Royal Bank of Canada plans to price 0% barrier absolute enhanced return notes due June 15, 2023 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final level of the lesser performing asset is greater than its initial level, the payout will be par plus 121.75% of the lesser performing asset’s return.

If the final level of the lesser performing asset is less than or equal to its initial level but greater than or equal to its barrier level, 70% of its initial level, investors will have a one-for-one positive return equal to the absolute value of the return of the lesser performing asset.

If the final level of the lesser performing asset is less than the barrier level, investors will be fully exposed to the decline of the lesser performing asset.

RBC Capital Markets, LLC is the agent.

The notes will price on Dec. 11.

The Cusip number is 78015KFY5.

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