New Issue: RBC prices $5 million 7.6% cash settled reverse convertibles tied to three indexes

By Marisa Wong

Madison, Wis., March 2 – Royal Bank of Canada priced $5 million of 7.6% cash settled reverse convertible notes reverse convertible notes due Aug. 31, 2016 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable quarterly.

The notes will be called at par if all indexes close at or above their initial levels on any quarterly call date.

The payout at maturity will be par unless any 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 Corp. is the agent.

Issuer:	Royal Bank of Canada
Issue:	Cash settled reverse convertible notes
Underlying indexes:	S&P 500 index, Russell 2000 index, Euro Stoxx 50 index
Amount:	$5 million
Maturity:	Aug. 31, 2016
Coupon:	7.6%, payable quarterly
Price:	Par
Payout at maturity:	Par unless any index finishes below barrier level, in which case par plus the return of the worst performing index
Call:	At par if all indexes close at or above their initial levels on any quarterly call date
Initial levels:	2,110.74 for S&P, 1,239.114 for Russell, 3,574.94 for Euro Stoxx
Barrier levels:	1,477.52 for S&P, 867.380 for Russell, 2,502.46 for Euro Stoxx; 70% of initial levels
Pricing date:	Feb. 26
Settlement date:	March 3
Agent:	RBC Capital Markets Corp.
Fees:	None
Cusip:	78012KCA3

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