US Wrap: RBC chases reverse convertible flurry with autocallable

ABN Amro also launched a reverse convertible note linked to the stock of US Steel. It lasts three months and pays an annualised coupon of 22.75%. The conversion barrier on the downside is 75%.


Product type


Pricing date

Maturity date

Royal Bank of Canada


S&P 500

Aug 27 2009

Aug 31 2011

ABN Amro

Reverse Convertible

US Steel

Aug 26 2009

Nov 30 2009

Source: Future Value Consultants & SEC filings

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