RBC plans redeemable leveraged steepener notes linked to CMS rates

By Toni Weeks

San Luis Obispo, Calif., Sept. 11 – Royal Bank of Canada plans to price redeemable leveraged steepener notes due Sept. 29, 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 March 29, 2015, Sept. 29, 2015, March 29, 2016, Sept. 29, 2016, Sept. 29, 2019, Sept. 29, 2024 and Sept. 29, 2029.

RBC Capital Markets, LLC is the agent.

The notes will settle on Sept. 29.

The Cusip number is 78010UWN3.

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