By Susanna Moon
Chicago, April 21 – Royal Bank of Canada priced $1 million of accrual notes due May 4, 2018 linked to the 10-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon that will accrue at an annual rate of 6% for each day that the 10-year U.S. dollar ICE swap rate is at least 1.896%.
The payout at maturity will be par unless the final reference rate is less than 1.896%, in which case investors will lose 1% for each 1% decline in the reference rate.
RBC Capital Markets, LLC is the agent.
| Issuer: | Royal Bank of Canada
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| Issue: | Accrual notes
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| Underlying rate: | 10-year U.S. dollar ICE swap rate
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| Amount: | $1 million
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| Maturity: | May 4, 2018
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| Coupon: | 6% accrual rate for each day that the 10-year U.S. dollar ICE swap rate is at least 1.896%
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| Price: | Par
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| Payout at maturity: | Par unless the final reference rate is less than 1.896%, in which case $1,000 multiplied by the quotient of the final reference rate divided by 2.37%
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| Pricing date: | March 31
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| Settlement date: | April 4
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| Agents: | RBC Capital Markets, LLC
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| Fees: | 1.7%
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| Cusip: | 78012KXA0
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