RBC plans 24- to 27-month leveraged buffered notes on index basket

By Wendy Van Sickle

Columbus, Ohio, Oct. 18 – Royal Bank of Canada will price 24- to 27-month leveraged buffered notes due 2018 linked to a basket of five indexes, according to an FWP filed 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 150% of any basket gain, up to a maximum settlement amount that is expected to be between $1,274.35 and $1,322.65 per $1,000 of notes and will be set at pricing along with the note’s maturity.

Investors will receive par if the index falls by 10% or less and will lose 1.1111% for every 1% decline in the index beyond 10%.

RBC Capital Markets, LLC is the agent.

The Cusip number is 78012KUP0.

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