RBC plans contingent income autocallable notes linked to Russell 2000

By Susanna Moon

Chicago, Oct. 24 - Royal Bank of Canada plans to price contingent income autocallable securities due July 2014 with step-up redemption threshold level linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If the index closes at or above the 65% downside threshold level on a quarterly determination date, the notes will pay a contingent payment of 1.4375% to 1.9375%. The exact contingent quarterly payment will be set at pricing.

If the index close at or above the redemption threshold level on the second, fourth or sixth determination date, the notes will be redeemed at par plus the contingent payment. The redemption threshold will be 110% of the initial share price for the second and fourth determination dates, stepping up to 115% for the sixth date.

If the notes are not called, the payout at maturity will be par plus the contingent payment unless the final index level is less than the downside threshold level, in which case investors will be exposed to any losses.

RBC Capital Markets, LLC is the agent with Morgan Stanley Wealth Management as dealer.

The notes will price on Oct. 26 and settle three days later.

The Cusip number is 78008W511.

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