Published on 3/9/2018 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $15 million leveraged steepener notes on ICE swap rates
By Wendy Van Sickle
Columbus, Ohio, March 9 – Barclays Bank plc priced $15 million of leveraged steepener notes due March 5, 2025 based on 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.
Interest will be 5% for the first year. After that, it will be 9 times the spread of the 10-year ICE swap rate over the two-year ICE swap rate, up to a maximum interest rate of 9%. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par.
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Leveraged steepener notes
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Underlying rates: | 10-year and two-year U.S. dollar ICE swap rate
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Amount: | $15 million
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Maturity: | March 5, 2025
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Coupon: | 5% for first year; after that, 9 times spread of 10-year ICE swap rate over two-year ICE swap rate, with 9% cap and floor of zero; payable quarterly
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Price: | Par
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Payout at maturity: | Par
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Pricing date: | Feb. 28
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Settlement date: | March 5
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Agent: | Barclays
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Fees: | 2.375%
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Cusip: | 06744CTM3
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