RBC plans leveraged buffered notes linked to S&P 500 via Goldman Sachs

By Toni Weeks

San Diego, Jan. 13 - 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.

The notes are expected to mature 18 to 21 months after issue.

If the index return is positive, the payout at maturity will be par plus 1.5 times the index gain, subject to a maximum payout of $1,138.75 to $1,161.25 per $1,000 note. The exact maximum payment will be set at pricing.

Investors will receive par if the index falls by up to 10% and will share in losses at a rate of 1.1111% per 1% drop beyond 10%.

Goldman Sachs & Co. will be underwriter.

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