Barclays plans three-year fixed-to-floaters on ICE swap-rate spread

By Sarah Lizee

Olympia, Wash., Jan. 31 – Barclays Bank plc plans to price fixed-to-floating rate notes due Feb. 9, 2021 linked to the spread between the 10-year U.S. dollar ICE swap rate and the two-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 3.75% for the first year. After that, the interest rate will be equal to 7 times the spread of the 10-year swap rate minus the two-year swap rate, subject to a minimum interest rate of 0%. Interest will be payable quarterly.

The payout at maturity will be par.

Barclays is the agent.

The notes are expected to price on Feb. 6 and settle on Feb. 9.

The Cusip number is 06744CVE8.

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