RBC plans three-year contingent income autocallable notes with step-down trigger linked to ING

By Susanna Moon

Chicago, Oct. 24 - Royal Bank of Canada plans to price contingent income autocallable securities due November 2015 with step-down redemption threshold level linked to American Depositary Receipts of ING Groep NV, according to an FWP filing with the Securities and Exchange Commission.

If ING shares close at or above the 70% downside threshold level on a quarterly determination date, the notes will pay a contingent payment of 3.1% to 3.6%. The exact contingent quarterly payment will be set at pricing.

If the shares close at or above the redemption threshold level on any of the first 11 quarterly determination dates, the notes will be redeemed at par plus the contingent payment. The redemption threshold will be 95% of the initial share price for the first four determination dates, stepping down to 90% for the next four dates and to 85% after that.

If the notes are not called, the payout at maturity will be par plus the contingent payment unless the final share price is less than the downside threshold level, in which case the payout will be a number of ING shares equal to $10.00 divided by the initial share price or, at the issuer's option, the cash equivalent.

RBC Capital Markets, LLC is the agent with Morgan Stanley Smith Barney LLC as dealer.

The notes will price on Oct. 31 and settle three days later in November.

The Cusip number is 78008W503.

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