RBC to price direct investment notes linked to EquityCompass strategy

By Marisa Wong

Madison, Wis., June 7 - Royal Bank of Canada plans to price 0% direct investment notes due Aug. 8, 2014 linked to the EquityCompass Equity Risk Management Strategy, according to an FWP filing with the Securities and Exchange Commission.

The strategy seeks to offer exposure to U.S. large-cap stocks while reducing the downside risk of such an investment. It uses a set of rules to construct a theoretical portfolio of different combinations of cash and a long or short position in the S&P 500 Total Return index.

The initial investment in the hypothetical portfolio will be $981 per $1,000 principal amount of notes. RBC will reduce this by 0.15% on the pricing date, each time the portfolio is reallocated, which occurs monthly, and on the final valuation date.

The payout at maturity will be the final value of the portfolio.

If the portfolio value is less than or equal to 50% of the initial investment on any day during the life of the notes, the notes will be called, and the payout will be the value of the portfolio on the first trading day following the call trigger date.

RBC Capital Markets, LLC is the underwriter.

The notes will price July 3 and settle July 10.

The Cusip number is 78008S3J3.

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