RBC plans contingent income autocallables with step-up redemption threshold on Whole Foods

By Marisa Wong

Madison, Wis., April 2 - Royal Bank of Canada plans to price contingent income autocallable securities due April 2016 with step-up redemption threshold level feature linked to the common stock of Whole Foods Market, Inc., according to an FWP filing with the Securities and Exchange Commission.

If Whole Foods stock closes at or above the downside threshold level - 75% of the initial share price - on a quarterly determination date, investors will receive a contingent payment of $0.22 to $0.27 for each $10.00 note. Otherwise, no contingent payment will be made for that period. The exact contingent payment will be set at pricing.

If the closing share price is greater than or equal to the redemption threshold level on any of the first 11 quarterly determination dates, the notes will be automatically redeemed at par plus the contingent payment. The redemption threshold level is 105% of the initial share price on determination dates one through four, 110% of the initial share price on determination dates five through eight and 115% of the initial share price on determination dates nine through 11.

If the notes are not called and the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the contingent payment. If the final share price is less than the downside threshold level, the payout will be a number of Whole Foods shares equal to $10.00 divided by the initial share price or, at the issuer's option, a cash amount equal to the value of those shares.

The notes will price April 19 and settle three business days after that.

RBC Capital Markets, LLC is the agent. Distribution will be through Morgan Stanley Smith Barney LLC.

The Cusip number is 78008D364.

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