RBC plans to price absolute return barrier notes linked to crude oil

By Angela McDaniels

Tacoma, Wash., March 8 - Royal Bank of Canada plans to price 0% absolute return barrier notes due Sept. 28, 2012 linked to the front-month West Texas Intermediate light sweet crude oil futures contract traded on the New York Mercantile Exchange, according to an FWP filing with the Securities and Exchange Commission.

If the final price of the contract is greater than the initial price, the payout at maturity will be par plus the gain, subject to a maximum return of 15% to 19%.

If the final price of the contract is greater than to equal to the lower barrier level and less than the initial price, the payout will be par plus the absolute value of the decline. The lower barrier level is expected to be 81% to 85% of the initial level.

If the final price is less than the lower barrier level, investors will be fully exposed to the decline in the contract price from its initial price.

The exact cap and lower barrier level will be set at pricing.

The notes (Cusip: 78008KW90) will price March 28 and settle March 31.

RBC Capital Markets, LLC is the underwriter.

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