By Marisa Wong
Madison, Wis., Nov. 1 - Royal Bank of Canada priced $6.55 million of contingent income autocallable securities due July 31, 2014 with step-up redemption threshold level feature linked to the Russell 2000 index, according to a 424B2 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 1.5625%.
If the index closes 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.
| Issuer: | Royal Bank of Canada
|
| Issue: | Contingent income autocallable securities with step-up redemption threshold level feature
|
| Underlying index: | Russell 2000
|
| Amount: | $6.55 million
|
| Maturity: | July 31, 2014
|
| Coupon: | 1.5625% if index closes at or above downside threshold level on a quarterly determination date
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent payment unless final index level is less than downside threshold level, in which case full exposure to losses
|
| Call: | At par plus contingent payment if index closes at or above redemption threshold level on second, fourth or sixth determination date
|
| Initial level: | 813.25
|
| Downside threshold: | 528.61, 65% of initial level
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| Redemption threshold: | 894.58, 110% of initial level, for second and fourth determination dates and 935.24, 115% of initial level, for sixth determination date
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| Pricing date: | Oct. 26
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| Settlement date: | Oct. 31
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| Agent: | RBC Capital Markets, LLC with Morgan Stanley Wealth Management as dealer
|
| Fees: | 1.75%
|
| Cusip: | 78008W511
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