RBC to price buffered knock-out notes with 5% rebate linked to gold

By Toni Weeks

San Diego, Sept. 12 - Royal Bank of Canada plans to price 0% buffered knock-out notes with rebate due Sept. 30, 2015 linked to the spot price of gold, according to an FWP filing with the Securities and Exchange Commission.

A barrier event occurs if the gold spot price is greater than or equal to the knock-out barrier level, 155% to 165% of the initial level, during the life of the notes. The exact knock-out barrier level will be set at pricing.

If the gold return is positive and a barrier event has not occurred, the payout at maturity will be par plus the gold return. If the gold return is positive and a barrier event has occurred, the payout will be par plus the rebate percentage of 5%, or $1,050 per $1,000 principal amount.

If the price of gold stays flat or declines by up to 15%, the payout will be par if a barrier event has not occurred and par plus 5%, or $1,050 per $1,000 principal amount, if a barrier event has occurred.

If the price of gold falls below the 15% buffer level and a barrier event has not occurred, investors will be exposed to losses beyond the buffer. If the price of gold falls below the 15% buffer level and a barrier event has occurred, then the payout will be par plus the gold return plus 15% plus the 5% rebate, with up to 80% of the principal amount of the notes at risk.

The notes (Cusip: 78008SJX5) will price Sept. 25 and settle Sept. 28.

RBC Capital Markets, LLC will be the underwriter.

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