RBC plans 36- to 37-month buffered notes linked to S&P 500

By Marisa Wong

Madison, Wis., Sept. 5 - Royal Bank of Canada plans to price 0% buffered notes linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature 36 to 37 months after pricing.

If the index return is positive, the payout at maturity will be par plus the index return, subject to a maximum settlement amount of $1,270 to $1,330 per $1,000 principal amount of notes. The exact cap will be set at pricing. Investors will receive par if the index falls by up to 20% and will lose 1.25% for every 1% that it declines beyond 20%.

RBC Capital Markets, LLC is the underwriter.

The Cusip number is 78010UBW6.

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