RBC to price contingent income autocallables linked to Russell 2000

By Angela McDaniels

Tacoma, Wash., July 18 - Royal Bank of Canada plans to price contingent income autocallable securities due April 2014 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 downside threshold level, 65% of the initial index level, on a quarterly determination date, investors will receive a contingent payment of $0.17875 to $0.27875 for each $10.00 note. The exact payment will be set at pricing. If the index closes below the downside threshold level, no contingent payment will be made that quarter.

If the index closes at or above the initial level on any of the quarterly determination dates on or before January 2014, the notes will be automatically redeemed at par plus the contingent payment.

If the notes are not called and the index finishes at or above the downside threshold level, the payout at maturity will be par plus the contingent payment. If the index finishes below the downside threshold level, investors will be fully exposed to the index's decline from its initial level.

The notes are expected to price July 20 and settle July 25.

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

The Cusip number is 78008D711.

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