RBC to price relative performance notes linked to EM ETF, S&P 500

By Angela McDaniels

Tacoma, Wash., Sept. 22 – Royal Bank of Canada plans to price 0% notes due Oct. 2, 2019 linked to the relative performance of the iShares MSCI Emerging Markets exchange-traded fund and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The relative value return will be the return of the ETF minus the return of the index, expressed as a percentage. The relative value return will be positive if the ETF outperforms the index.

If the relative value return is positive, the payout at maturity will be par plus 105% to 118% of the number of percentage points by which the ETF’s return exceeds the index’s return. The exact leverage factor will be set at pricing.

If the relative value return is negative, the payout will be par minus 1% for every 1% that the index’s return exceeds the ETF’s return.

RBC Capital Markets, LLC is the underwriter.

The notes will price Sept. 27.

The Cusip number is 78012K7J0.

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