RBC plans to price step-up notes linked to basket of four indexes

By Angela McDaniels

Tacoma, Wash., Sept. 4 – Royal Bank of Canada plans to price 0% market-linked step-up notes due September 2017 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the S&P 500 index, the Russell 2000 index, the MSCI EAFE index and the MSCI Emerging Markets index.

If the final basket level is greater than the step-up value, 110% to 116% of the initial level, the payout at maturity will be par of $10 plus the basket return.

If the final basket level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, which is expected to be 10% to 16%.

If the final basket level is less than the initial level but greater than or equal to the threshold value, 95% of the initial level, the payout will be par.

If the final basket level is less than the threshold value, investors will lose 1% for every 1% that the basket declines beyond 5%.

The exact step-up value and step-up payment will be set at pricing.

BofA Merrill Lynch is the agent.

The notes are expected to price in September and settle in October.

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