RBC plans trigger autocallable optimization notes tied to index basket

By Toni Weeks

San Luis Obispo, Calif., June 2 - Royal Bank of Canada plans to price 0% trigger autocallable optimization securities due June 9, 2016 linked to a basket of unequally weighted indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket indexes are the Euro Stoxx 50 index with a 40% weight, the S&P 500 index with a 20% weight, the Russell 2000 index with a 20% weight and the MSCI Emerging Markets index with a 20% weight.

Beginning Sept. 3, the notes will be called at par of $10 plus a call return of 6.9% to 7.4% per year if the basket closes at or above the initial level on any quarterly observation date. The exact call return will be set at pricing.

If the notes are not called and the basket finishes at or above the trigger level, 80% of the initial basket level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the final basket level is less than the initial level.

The notes (Cusip: 78011Q527) are expected to price June 3 and settle June 6.

UBS Financial Services Inc. and RBC Capital Markets, LLC are the underwriters.

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