RBC plans 0% absolute return barrier notes linked to iShares MSCI EM

By Toni Weeks

San Luis Obispo, Calif., Sept. 25 - Royal Bank of Canada plans to price 0% absolute return barrier notes due Oct. 15, 2015 linked to the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP with the Securities and Exchange Commission.

A barrier event will occur if the closing share price falls below the barrier level, 76% to 79% of the initial level, on any day during the life of the notes. The exact barrier level will be set at pricing.

If the fund return is positive, the payout at maturity will be par plus the fund return.

If the return is negative and a barrier event has not occurred, the payout at maturity will be par plus the absolute value of the fund return.

If the fund return is negative and a barrier event has occurred, investors will share in those losses.

The notes (Cusip: 78010UFD4) will price Oct. 9 and settle Oct. 15.

RBC Capital Markets, LLC is the agent.

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