RBC to price contingent income autocallables linked to Goldman Sachs, Wells Fargo

By Angela McDaniels

Tacoma, Wash., Oct. 3 - Royal Bank of Canada plans to price contingent income autocallable securities due October 2016 linked to the worst performing of the common stocks of Goldman Sachs Group, Inc. and Wells Fargo & Co., according to an FWP filing with the Securities and Exchange Commission.

If each stock closes at or above its downside threshold level, 70% of its initial share price, on a quarterly determination date, the notes will pay a contingent payment of 2.35% for that quarter. The amount is equivalent to 9.4% per year.

If the closing price of each stock is greater than or equal to its initial share price on any of the first 11 quarterly determination dates, the notes will be automatically redeemed at par of $10 plus the contingent payment.

If the notes are not called and the final share price of each stock is greater than or equal to its downside threshold level, the payout at maturity will be par plus the contingent payment. Otherwise, the payout will be a number of shares of the worst-performing stock equal to $10 divided by the initial share price or, at the issuer's option, a cash amount equal to the value of those shares.

RBC Capital Markets LLC is the agent. Distribution is through Morgan Stanley Wealth Management.

The notes are expected to price Oct. 8.

The Cusip number is 78009Q638.

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