By Susanna Moon
Chicago, July 22 – Royal Bank of Canada priced $2.24 million of 0% autocallable barrier notes due July 25, 2018 linked to the SPDR S&P MidCap 400 ETF trust, according to an FWP filing with the Securities and Exchange Commission.
If the fund closes at or above the call level of 110% of its initial level on Jan. 20, 2017, the notes will be called at par plus the call level.
The payout at maturity will be par plus any fund gain.
Investors will receive par if the fund falls by up to 25% and will be fully exposed to the losses if the fund finishes below the 75% barrier level.
RBC Capital Markets, LLC is the agent.
| Issuer: | Royal Bank of Canada
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| Issue: | Autocallable barrier notes
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| Underlying fund: | SPDR S&P MidCap 400 ETF trust
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| Amount: | $2,239,000
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| Maturity: | July 25, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus any fund gain; if fund falls by up to 25%, par; otherwise, full exposure to any losses
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| Call: | At par plus call level if index closes at or above 110% of initial level on Jan. 20, 2017
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| Initial level: | $274.14
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| Barrier level: | 75% of initial level
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| Pricing date: | July 20
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| Settlement date: | July 23
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| Agent: | RBC Capital Markets, LLC
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| Fees: | 2.5%
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| Cusip: | 78012KFN2
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