RBC plans 20- to 23-month leveraged notes linked to index basket

By Marisa Wong

Morgantown, W.Va., Jan. 13 – Royal Bank of Canada plans to price 0% 20- to 23-month leveraged notes linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

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

If the basket return is zero or positive, the payout at maturity will be par plus triple the basket return, subject to a maximum settlement amount of $1,349.50 to $1,411 per $1,000 of notes. The exact cap will be set at pricing.

Investors will lose 1% for each 1% decline.

RBC Capital Markets, LLC is the agent.

The Cusip number is 78012KYR2.

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