Published on 3/1/2024 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $3.7 million digital notes linked to one-year SOFR ICE Swap Rate
Chicago, March 1 – Barclays Bank plc priced $3.7 million of 0% digital notes due Feb. 20, 2025 linked to the one-year U.S. Dollar SOFR ICE Swap Rate, according to a 424B2 filing with the Securities and Exchange Commission.
If the underlying rate finishes at or above 52.5% of initial rate, the payout at maturity will be par plus 15%.
Otherwise, investors will lose 1.90476% for every 1% decline beyond 47.5%.
Barclays is the agent, with J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. acting as placement agents.
Issuer: | Barclays Bank plc
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Issue: | Digital notes
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Underlying rate: | One-year U.S. Dollar SOFR ICE Swap Rate
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Amount: | $3,700,000
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Maturity: | Feb. 20, 2025
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If rate finishes at or above 52.5% of initial rate, par plus 15%; otherwise, 1.90476% loss for every 1% decline beyond 47.5%
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Initial rate: | 4.7%
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Buffer rate: | 2.4675%, 52.5% of initial rate
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Pricing date: | Feb. 2
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Settlement date: | Feb. 7
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Agent: | Barclays, with J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. acting as placement agents
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Fees: | 1%
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Cusip: | 06745PSR3
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