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Published on 11/6/2015 in the Prospect News Structured Products Daily.

RBC plans to price capped leveraged buffered notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Nov. 6 – Royal Bank of Canada plans to price 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due June 1, 2021 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par plus 150% of the index return, subject to a maximum return that is expected to be 55% to 60% and will be set at pricing. Investors will receive par if the index decreases by up to 20% and will lose 1% for every 1% that it declines beyond 20%.

Wells Fargo Securities LLC is the agent.

The notes will price Nov. 24.

The Cusip number is 78012KJE8.


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