Published on 2/25/2014 in the Prospect News Structured Products Daily.
New Issue: RBC prices $5 million 7.2% reverse convertibles linked to worst of indexes
By Angela McDaniels
Tacoma, Wash., Feb. 25 - Royal Bank of Canada priced $5 million of 7.2% cash-settled autocallable reverse convertible notes due Nov. 27, 2015 linked to the worst performing of three indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The three indexes are the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index.
Interest is payable quarterly.
The notes will be automatically called at par if each index closes at or above its initial level on any quarterly call date.
The payout at maturity will be par unless any index finishes below its barrier level, in which case investors will be exposed to the decline of the worst-performing index.
RBC Capital Markets, LLC is the agent.
| Issuer: | Royal Bank of Canada
|
| Issue: | Cash-settled autocallable reverse convertible notes
|
| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
|
| Amount: | $5 million
|
| Maturity: | Nov. 27, 2015
|
| Coupon: | 7.2%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless any index finishes below barrier level, in which case exposure to decline of worst-performing index
|
| Call: | Automatically at par if each index closes at or above its initial level on May 21, 2014, Aug. 21, 2014, Nov. 21, 2014, Feb. 23, 2015, May 21, 2015, Aug. 21, 2015 or Nov. 23, 2015.
|
| Initial levels: | 1,836.25 for S&P 500, 1,164.63 for Russell 2000 and 3,131.67 for Euro Stoxx 50
|
| Barrier levels: | 1,285.38 for S&P 500, 815.24 for Russell 2000 and 2,192.17 for Euro Stoxx 50; 70% of initial levels
|
| Pricing date: | Feb. 21
|
| Settlement date: | Feb. 26
|
| Underwriter: | RBC Capital Markets LLC
|
| Fees: | None
|
| Cusip: | 78010USA6
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