RBC plans two-year capped leveraged return notes linked to index basket

By Susanna Moon

Chicago, July 11 – Royal Bank of Canada plans to price capped Leveraged Index Return notes due July 2016 linked to a basket of three indexes, according to an FWP with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 45% weight and the MSCI EAFE index and the MSCI Emerging Markets index, each with a 27.5% weight.

The payout at maturity will be par of $10 plus double any basket gain, capped at 12% to 18%.

Investors will receive par if the basket falls by up to 5% and will be exposed to any losses beyond 5%.

BofA Merrill Lynch is the agent.

The notes will price and settle in July.

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