New Issue: RBC prices $5 million 7.12% cash-settled reverse convertible notes linked to two indexes

By Susanna Moon

Chicago, Jan. 28 – Royal Bank of Canada priced $5 million of 7.12% cash-settled reverse convertible notes reverse convertible notes due July 29, 2016 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable quarterly.

The notes will be called at par if each index closes at or above their initial levels on any quarterly call date.

The payout at maturity will be par unless either index finishes below its 70% barrier level, in which case the payout will be par plus the return of the worst performing index.

RBC Capital Markets, LLC is the agent.

Issuer:	Royal Bank of Canada
Issue:	Cash-settled reverse convertible notes
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$5 million
Maturity:	July 29, 2016
Coupon:	7.12%, payable quarterly
Price:	Par
Call:	At par if each index closes at or above their initial levels on any quarterly call date
Payout at maturity:	Par unless either index finishes below barrier level, in which case par plus return of worst performing index
Initial levels:	2,057.09 for S&P, 1,200.74 for Russell
Barrier levels:	1,439.96 for S&P, 840.518 for Russell; 70% of initial levels
Pricing date:	Jan. 26
Settlement date:	Jan. 29
Agent:	RBC Capital Markets, LLC
Fees:	None
Cusip:	78012KAY3

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