RBC to price trigger return enhanced notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., June 3 - Royal Bank of Canada plans to price 0% uncapped trigger return enhanced notes due Dec. 9, 2015 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A leverage trigger event will occur if the index's closing level is less than 95% of the initial index level on any day during the three-month period ending Sept. 8.

If a leverage trigger event occurs and the final level is greater than the initial level, the payout at maturity will be par plus 141.5% of the index return.

If a leverage trigger event does not occur and the final level is greater than the initial level, the payout will be par plus the index return.

If the final level is less than or equal to the initial level, investors will have one-to-one exposure to the decline.

RBC Capital Markets LLC is the underwriter with J.P. Morgan Securities LLC as agent.

The notes are expected to price June 6 and settle June 11.

The Cusip number is 78010UZZ3.

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