RBC plans three-year absolute return buffer notes tied to index, fund

By Susanna Moon

Chicago, May 15 – Royal Bank of Canada plans to price 0% absolute return buffered return notes due May 21, 2021 linked to the worse performing of the S&P 500 index and the iShares 20+ Year Treasury Bond ETF, according to a 424B2 filing with the Securities and Exchange Commission.

If each index finishes at or above its initial level, the payout at maturity will be par plus the return of the worse performing index.

If either index falls by up to the 23% to 29% buffer, the payout will be par plus the absolute value of the return of the worse performing index.

If either index falls by more than the buffer, investors will lose 1% for each 1% decline of the worse performing index beyond the buffer.

RBC Capital Markets, LLC is the agent.

The notes will price on May 18.

The Cusip number is 78013XKU1.

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