RBC plans Capped Leveraged Index Return Notes on index basket

By Jennifer Chiou

New York, Sept. 25 – Royal Bank of Canada plans to price 0% Capped Leveraged Index Return Notes due October 2016 linked to the S&P 500 index with a 45% weight, the MSCI EAFE index with a 27.5% weight and the MSCI Emerging Markets index with a 27.5% weight, according to an FWP with the Securities and Exchange Commission.

The payout at maturity will be par of $10 plus 200% of any basket gain, subject to a maximum return of 15% to 19%. The exact maximum return will be set at pricing.

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

The notes will price in October and settle in November.

BofA Merrill Lynch is the agent.

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