RBC plans contingent income autocallables due 2013 linked to JPMorgan

By Susanna Moon

Chicago, June 21 - Royal Bank of Canada plans to price contingent income autocallable securities due July 2013 linked to JPMorgan Chase & Co. shares, according to an FWP filing with the Securities and Exchange Commission.

If JPMorgan stock closes at or above the 70% downside threshold level on a quarterly determination date, investors will receive a contingent payment of 2.75% to 3.75%. The exact percentage will be set at pricing.

If JPMorgan shares close at or above the initial share price on any of the first three quarterly determination dates, the notes will be redeemed at par plus the contingent payment.

If the notes are not called, the payout at maturity will be par plus the contingent payment unless the stock finishes below the trigger level, in which case the payout will be a number of JPMorgan shares equal to $10.00 divided by the initial share price or, at the issuer's option, the cash equivalent.

RBC Capital Markets LLC is the agent. Morgan Stanley Smith Barney LLC will handle distribution.

The notes will price on June 28 and settle three business days later.

The Cusip number is 78008D596.

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