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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-227001
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Pricing Supplement
Dated
April 8, 2021
To the Product Prospectus
Supplement FIN-1 Dated September 20, 2018, and the Prospectus and Prospectus Supplement, each dated September 7, 2018
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$25,000,000
Fixed to Floating Rate Notes,
Due April 13, 2028
Royal Bank of Canada
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From and including April 13, 2021 to, but excluding April 13, 2023: 1.80% per annum
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From and including April 13, 2023 to, but excluding April 13, 2028: the Reference Rate (subject to a Coupon Floor of 0% and a Coupon Cap of 2.75%)
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Fixed to Floating Rate Notes
Royal Bank of Canada |
Issuer:
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Royal Bank of Canada (“Royal Bank”)
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Underwriter:
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RBC Capital Markets, LLC
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Currency:
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U.S. Dollars
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Minimum Investment:
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$1,000 and minimum denominations of $1,000 in excess of $1,000
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Pricing Date:
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April 8, 2021
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Issue Date:
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April 13, 2021
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Maturity Date:
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April 13, 2028
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Interest Rate:
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From and including April 13, 2021 to, but excluding April 13, 2023: 1.80% per annum
From and including April 13, 2023 to, but excluding April 13, 2028 (the “Floating Rate Period”): the Reference Rate (subject to a Coupon Floor of 0.00% and a Coupon Cap of
2.75%)
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Reference Rate:
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2 Year CMS Rate, as reported on Reuters Page ICESWAP1 or any successor page thereto at 11:00 am New York time
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Coupon Floor:
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0.00%
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Coupon Cap:
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2.75%
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Day Count Fraction:
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30/360
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Type of Note:
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Fixed to Floating Rate Notes
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Interest Payment
Dates:
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Quarterly, on the 13th day of each January, April, July and October, commencing on July 13, 2021 and ending on the Maturity Date. If any Interest Payment Date is not a New York business day,
interest will be paid on the next New York business day as further discussed beginning on page S-20 of the prospectus supplement, without adjustment for period end dates and no additional interest will be paid in respect of the
postponement.
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Interest Period:
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Each period from and including an Interest Payment Date (or, for the first period, the Settlement Date) to but excluding the next following Interest Payment Date.
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Interest Determination
Date During Floating
Rate Period:
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Five U.S. government securities settlement days prior to the beginning of the applicable interest period, beginning prior to April 13, 2023. A “U.S. government securities settlement day” is any
day except a Saturday, a Sunday, or a day on which The Securities Industry and Financial Markets Association (or any successor thereto) recommends that the fixed income departments of its members be closed for the entire day for purposes
of trading in U.S. government securities.
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Redemption:
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Not Applicable.
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Survivor’s Option:
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Not Applicable.
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Fixed to Floating Rate Notes
Royal Bank of Canada |
U.S. Tax Treatment:
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We intend to take the position that the Notes will be treated as variable rate debt instruments providing for stated interest at a single fixed rate and a qualified floating rate for U.S.
federal income tax purposes. Under this characterization, the Notes may be issued with de minimis OID. Please see the discussion in the accompanying product prospectus supplement FIN-1 dated September 20, 2018 under the section entitled
“Supplemental Discussion of U.S. Federal Income Tax Consequences,” and the accompanying prospectus dated September 7, 2018 under the section entitled “Tax Consequences—United States Taxation” and specifically the discussion in the
accompanying prospectus under the section entitled “Tax Consequences—United States Taxation—Original Issue Discount—Variable Rate Debt Securities.”
The accompanying product prospectus supplement notes that FATCA withholding on payments of gross proceeds from a sale or redemption of the Notes will only apply to payments made after
December 31, 2018. That discussion is modified to reflect regulations proposed by the U.S. Treasury Department that eliminate the requirement of FATCA withholding on payments of gross proceeds upon the disposition of financial
instruments. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed regulations pending their finalization. Prospective investors are urged to consult with their own tax advisors regarding the possible
implications of FATCA on their investment in the Notes.
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Fixed to Floating Rate Notes
Royal Bank of Canada |
Determination of CMS
Rate:
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The 2 Year CMS Rate will be the rate for U.S. dollar swaps with a maturity for the specified number of years, expressed as a percentage, on the applicable Interest Determination Date.
If the 2 Year CMS Rate is not reported on any Interest Determination Date for reasons other than that rate being discontinued or ceasing to be published permanently or indefinitely (as
determined by the Calculation Agent), then the 2 Year CMS Rate will be a percentage determined on the basis of the mid-market, semi-annual swap rate quotations provided by five leading swap dealers in the New York City interbank market at
approximately 11:00 a.m., New York City time, on that Interest Determination Date. For this purpose, the semi-annual swap rate means the mean of the bid and offered rates for the semi-annual fixed leg, calculated on a 30/360 day count
basis, of a fixed-for-floating U.S. dollar interest rate swap transaction with a term equal to the applicable number of years commencing on the first date of the applicable interest period and in a representative amount with an
acknowledged dealer of good credit in the swap market, where the floating leg, calculated on an Actual/360 day count basis, is based on a 3-month LIBOR rate (or any rate that the Calculation Agent determines to be a successor or an
alternative rate to 3-month LIBOR). The Calculation Agent will select the five swap dealers after consultation with us and will request the principal New York City office of each of those dealers to provide a quotation of its rate. If at
least three quotations are provided, the 2 Year CMS Rate for that Interest Determination Date will be the arithmetic mean of the quotations, eliminating the highest and lowest quotations or, in the event of equality, one of the highest
and one of the lowest quotations.
If the Calculation Agent determines that the 2 Year CMS Rate has been discontinued or that rate has ceased to be published permanently or indefinitely, or if fewer than three leading swap
dealers selected by the Calculation Agent are quoting as described above, the Calculation Agent may, in its sole discretion, identify an alternative rate that it determines to represent the same or a substantially similar measure or
benchmark as the 2 Year CMS Rate and that is fair and reasonable under the circumstances (any such alternative rate, an “Alternate Rate”), and the Calculation Agent may determine the 2 Year CMS Rate for the current (and any subsequent)
Interest Determination Dates by reference to such Alternate Rate. Upon the selection of an Alternate Rate, all references in this pricing supplement to the 2 Year CMS Rate will instead be deemed to refer to the Alternate Rate.
If the Calculation Agent has selected an Alternate Rate in accordance with the foregoing, the Calculation Agent may determine in its sole discretion, any changes needed to the terms of the
Notes to account for any technical, administrative or operational changes resulting from the calculation of or payment of interest on the Notes based on the Alternate Rate (including but not limited to the timing and frequency of Interest
Determination Dates) in a manner that it determines to be consistent with industry-accepted practices for that successor or alternative rate.
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Calculation Agent:
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RBC Capital Markets, LLC
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Listing:
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The Notes will not be listed on any securities exchange.
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Clearance and
Settlement:
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DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as described under “Description of Debt Securities—Ownership and Book-Entry Issuance” in the
prospectus dated September 7, 2018).
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Fixed to Floating Rate Notes
Royal Bank of Canada |
Terms Incorporated in
the Master Note:
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All of the terms appearing above the item captioned “Listing” on pages P-2 and P-3 of this pricing supplement and the applicable terms appearing under the caption “General Terms of the Notes”
in the product prospectus supplement FIN-1 dated September 20, 2018, as modified by this pricing supplement.
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Fixed to Floating Rate Notes
Royal Bank of Canada |
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Fixed to Floating Rate Notes
Royal Bank of Canada |
Hypothetical Reference Rate
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Hypothetical Interest
Rate (per annum)
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Hypothetical Quarterly
Interest Payment
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0.00%
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0.00%
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$0
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0.50%
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0.50%
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$1.25
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1.00%
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1.00%
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$2.50
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1.50%
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1.50%
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$3.75
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2.00%
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2.00%
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$5.00
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2.50%
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2.50%
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$6.25
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2.75%
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2.75%
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$6.875
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3.00%
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2.75%
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$6.875
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3.50%
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2.75%
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$6.875
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4.00%
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2.75%
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$6.875
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4.50%
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2.75%
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$6.875
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5.00%
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2.75%
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$6.875
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Fixed to Floating Rate Notes
Royal Bank of Canada |
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Fixed to Floating Rate Notes
Royal Bank of Canada |
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Fixed to Floating Rate Notes
Royal Bank of Canada |
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Fixed to Floating Rate Notes
Royal Bank of Canada |
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Fixed to Floating Rate Notes
Royal Bank of Canada |
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Fixed to Floating Rate Notes
Royal Bank of Canada |