RBC plans trigger phoenix autocallables linked to S&P 500, Russell

By Susanna Moon

Chicago, Nov. 8 - Royal Bank of Canada plans to price trigger phoenix autocallable notes due Nov. 19, 2015 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 4.2% to 5.8% if each index closes at or above its 75% barrier level on an observation date for that quarter. The exact contingent quarterly coupon will be set at pricing.

The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly call date.

If the notes are not called, the payout at maturity will be par unless either index finishes below its 75% barrier level, in which case investors will be exposed to any losses of the worst performing index.

RBC Capital Markets, LLC are the underwriters.

The notes will price on Nov. 15 and settle on Nov. 20.

The Cusip number is 78010UJE8.

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