Published on 7/30/2014 in the Prospect News Structured Products Daily.
New Issue: RBC prices $11.42 million redeemable leveraged steepener notes linked to CMS rates
By Toni Weeks
San Luis Obispo, Calif., July 30 – Royal Bank of Canada priced $11.42 million of redeemable leveraged steepener notes due July 31, 2034 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 9% for the first year. After that, interest will be equal to four times the reference rate, subject to a cap of 9% and a floor of 0%. The reference rate is the difference between the 30-year CMS rate and the two-year CMS rate, minus 25 basis points. Interest is payable semiannually.
The payout at maturity will be par.
The notes will be callable at par in whole but not in part on July 31, 2015, July 31, 2019, July 31, 2024 and July 31, 2029.
RBC Capital Markets, LLC is the agent.
Issuer: | Royal Bank of Canada
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Issue: | Redeemable leveraged steepener notes
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Underlying rates: | 30-year and two-year Constant Maturity Swap rates
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Amount: | $11.42 million
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Maturity: | July 31, 2034
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Coupon: | 9% for one year; after that, 4 times spread of 30-year CMS rate over two-year CMS rate, minus 25 bps, capped at 9% with floor of 0%; payable semiannually
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Price: | Variable
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Payout at maturity: | Par
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Call option: | At par on July 31, 2015, July 31, 2019, July 31, 2024 and July 31, 2029
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Pricing date: | July 28
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Settlement date: | July 31
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Agent: | RBC Capital Markets, LLC
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Fees: | Between 2.35% to 2.75%
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Cusip: | 78010UWF0
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