RBC plans 19- to 22-month leveraged buffered notes on index basket

By Wendy Van Sickle

Columbus, Ohio, Aug. 8 – Royal Bank of Canada plans to price 19- to 22-month 0% leveraged buffered notes linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the Euro Stoxx 50 index with a 37% initial weight, the FTSE 100 index with a 23% initial weight, the Topix index with a 23% initial weight, the Swiss Market index with a 9% initial weight and the S&P/ASX 200 index with an 8% initial weight.

The payout at maturity will be par plus 1.5 times any basket gain, up to a maximum settlement amount that is expected to be between $1,249.15 and $1,292.95 for every $1,000 of notes. The exact cap will be set at pricing.

Investors will receive par if the basket falls by 12.5% or less and will lose 1.1429% for every 1% decline in the basket beyond 12.5%.

RBC Capital Markets, LLC is the agent.

The Cusip number is 78012KSE8.

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