RBC to price contingent income autocallables tied to Freeport-McMoRan

By Toni Weeks

San Luis Obispo, Calif., Feb. 21 - Royal Bank of Canada plans to price contingent income autocallable securities due March 2014 linked to the common stock of Freeport-McMoRan Copper & Gold Inc., according to an FWP filing with the Securities and Exchange Commission.

If Freeport-McMoRan stock closes at or above the downside threshold level - 70% of the initial share price - on a quarterly determination date, investors will receive a contingent payment of $0.26 to $0.31 for each $10.00 note. Otherwise, no contingent payment will be made for that period. The exact contingent payment will be set at pricing.

If the closing share price is greater than or equal to the initial share price on any of the first three quarterly determination dates, the notes will be automatically redeemed at par plus the contingent payment.

If the notes are not called and the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the contingent payment. If the final share price is less than the downside threshold level, the payout will be a number of Freeport-McMoRan shares equal to the principal amount of notes divided by the initial share price or, at the issuer's option, the cash value of those shares.

The notes (Cusip: 78008D216) are expected to price Feb. 28 and settle three business days later.

RBC Capital Markets, LLC is the agent with Morgan Stanley Smith Barney LLC as dealer.

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