Dual Accrual Range Notes due 13 December 2028

Current price: N/A
As of

General Information

Series:
1
Issuer:
NBC

Dates

Issue Date:
13-Dec-2018
Maturity date:
13-Dec-2028
Note term:
10.0 years
Call Valuation Date 1:
06-Mar-2019
Call Valuation Date 2:
06-Jun-2019
Call Valuation Date 3:
06-Sep-2019
Call Valuation Date 4:
06-Dec-2019
Call Valuation Date 5:
06-Mar-2020
Call Valuation Date 6:
08-Jun-2020
Call Valuation Date 7:
04-Sep-2020
Call Valuation Date 8:
07-Dec-2020
Call Valuation Date 9:
08-Mar-2021
Call Valuation Date 10:
07-Jun-2021
Call Valuation Date 11:
03-Sep-2021
Call Valuation Date 12:
06-Dec-2021
Call Valuation Date 13:
07-Mar-2022
Call Valuation Date 14:
06-Jun-2022
Call Valuation Date 15:
06-Sep-2022
Call Valuation Date 16:
06-Dec-2022
Call Valuation Date 17:
06-Mar-2023
Call Valuation Date 18:
06-Jun-2023
Call Valuation Date 19:
06-Sep-2023
Call Valuation Date 20:
06-Dec-2023
Call Valuation Date 21:
06-Mar-2024
Call Valuation Date 22:
06-Jun-2024
Call Valuation Date 23:
06-Sep-2024
Call Valuation Date 24:
06-Dec-2024
Call Valuation Date 25:
06-Mar-2025
Call Valuation Date 26:
06-Jun-2025
Call Valuation Date 27:
08-Sep-2025
Call Valuation Date 28:
08-Dec-2025

Highlights

  • A 10-year Dual Accrual Range Note, callable every quarter at the Issuer’s option with a minimum term of seven quarters
  • 6.03% x N/D
where:
D means the total number of calendar days in the applicable Interest Period
N means, in relation to an Interest Period, the total number of calendar days during such Interest Period on which:
  • USD 30Y CMS Rate - USD 2Y CMS Rate (“the Reference Spread”) is equal or greater than:
  • Year 1-2 USD 30Y CMS Rate - USD 2Y CMS >= -0.20%
    Year 3 USD 30Y CMS Rate - USD 2Y CMS >= -0.10%
    Year 4-10 USD 30Y CMS Rate - USD 2Y CMS >= -0.00%
  • AND
  • (USD 10Y CMS Rate (the “Reference Rate”) is within the “Range”,
  • Where:
    the “Range” means:
    Year 1 0.00%<= USD 10Y CMS Rate <= 4.25%
    Year 2 0.00%<= USD 10Y CMS Rate <= 4.50%
    Year 3 0.00%<= USD 10Y CMS Rate <= 5.00%
    Year 4-6 0.00%<= USD 10Y CMS Rate <= 5.25%
    Year 7-10 0.00%<= USD 10Y CMS Rate <= 5.50%
  • See termsheet for complete definitions 

  • Issuer       National Bank of Canada
  • ISIN         XS1918878080
  • Pricing Date     29-Nov-18
  • Interest accrual Date 13-Dec-18
  • 1st Settle Date   13-Dec-18
  • 1st Coupon Date   13-Mar-19
  • 1st Call Date     13-Sep-20
  • Maturity       13-Dec-28
  • Observation Index   CMS, CMS Spread
  • Structure type     Dual Range Accrual
  • Pay Calendars   US EN CA
  • Refix Calendars   US
  • Cpn Conv     Mod-Unadj
  • Issue Price     100.00 
  • Coupon       6.03%
  • Coupon Freq     Quaterly
  • Day Cnt       ISMA-30/360
  • Rank       Sr Unsecured
  • currency       USD
  • Series        eMTN
  • Amount issued    USD 50,000,000
  • Outstanding     USD 50,000,000
  • Min Piece     1,000,000
  • Book Runner     ING-sole
  • Exchange     EUROMTF
  • Secondary Series   2018-17
  • Business days notice 5
  • May be called in full (only)
  • Last Call Date     13-Sep-28
  • Call frequency     Quaterly
  • Price and Historical Values

    The bid price and any related information on the date of sale may differ from the current price and information posted above. Please refer to the offering document or your investment advisor.

    Legal Notice

    Portfolio

    Clean PriceAccrued interestDirty price  CDOR 3M
    2.02
    Range1 (< USISDA10 Index >)Range2 (< USISDA30 Index > - < USISDA2 Index >)
    Coupon Payment Dates CouponValueLower BoundUpper BoundValue
    09-30-19$0.0000201.75%0.00%0.00%
    03-30-20$0.0000201.75%0.00%0.00%
    09-28-20$0.0000201.75%0.00%0.00%
    03-29-21$0.0000201.75%0.00%0.00%
    09-28-21$0.0000201.75%0.00%0.00%
    03-28-22$0.0000201.75%0.00%0.00%
    09-28-22$0.0000201.75%0.00%0.00%
    03-28-23$0.0000201.75%0.00%0.00%
    09-28-23$0.0000201.75%0.00%0.00%
    03-28-24$0.0000201.75%0.00%0.00%
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase
    eraseerase201.75%0.00%erase