RBC plans contingent absolute return autocallables linked to Baidu

By Jennifer Chiou

New York, Dec. 10 – Royal Bank of Canada plans to price 0% contingent absolute return autocallable optimization securities due Dec. 21, 2015 linked to the American Depositary Shares of Baidu, Inc., according to an FWP with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of 11.3% to 15.3% if Baidu ADSs close at or above the initial price on any quarterly observation date. The exact call premium will be set at pricing.

If the notes are not called and the final price is greater than or equal to the trigger price, 75% of the initial price, the payout at maturity will be par plus the absolute value of the ADS return. Otherwise, investors will be fully exposed to the ADS decline.

The notes (Cusip: 78011Y827) will price on Dec. 12 and settle on Dec. 17.

UBS Financial Services Inc. and RBC Capital Markets, LLC are the agents.

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