RBC to price accrual notes tied to 10-year U.S. dollar ICE swap rate

By Marisa Wong

Morgantown, W.Va., Aug. 9 – Royal Bank of Canada plans to price accrual notes due Aug. 15, 2019 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 6.1% for each day that the 10-year U.S. dollar ICE swap rate is at least 1.784%.

The payout at maturity will be par unless the final reference rate is less than 1.784%, in which case the payout will be (a) par times (b) the final reference rate divided by 2.23%.

RBC Capital Markets, LLC is the agent.

The notes will price on Aug. 10.

The Cusip number is 78012KM61.

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