US Wrap: RBC chases reverse convertible flurry with autocallable
Royal Bank of Canada (RBC) has chased its bumper issuance of reverse convertible notes with a kick out product linked to the S&P 500 index. The note will redeem with a return of 13.25% if the S&P 500 is at or above its initial level when the product matures in two years. If the index is below 85% of its initial level, then principal loss will be 1:1.
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%.
Issuer
Product type
Underlying
Pricing date
Maturity date
Royal Bank of Canada
Review
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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