RBC plans leveraged buffered notes with 15.5%-18.2% cap on S&P 500

By Susanna Moon

Chicago, Dec. 14 - Royal Bank of Canada plans to price 0% leveraged buffered equity index-linked notes due 2013 tied to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Goldman, Sachs & Co. is the underwriter.

The notes will mature between 18 and 21 months after pricing.

The payout at maturity will be par plus double any index gain, up to a maximum return of $1,155 to $1,182 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 10% and will lose 1.1111% for each 1% decline beyond 10%.

The exact deal terms will be set at pricing.

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