RBC plans two-year absolute return barrier notes linked to S&P 500

By Toni Weeks

San Luis Obispo, Calif., Sept. 12 – Royal Bank of Canada plans to price 0% absolute return barrier notes due Sept. 29, 2016 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

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

If the index return is negative or zero and the final level is greater than or equal to the barrier level, 76% to 78% of the initial level, the payout at maturity will be par plus the absolute value of the index decline. The exact barrier level will be determined at pricing.

If the index return is negative and the final index level is below the barrier level, investors will share in those losses.

The notes (Cusip: 78010U2D8) are expected to price Sept. 25 and settle Sept. 30.

RBC Capital Markets, LLC is the agent.

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