Published on 7/20/2018 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $3.36 million fixed-to-floaters on ICE swap rate spread
By Sarah Lizee
Olympia, Wash., July 20 – Barclays Bank plc priced $3.36 million of fixed- to floating-rate notes due Jan. 23, 2026 linked to the spread between the 30-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 5% for the two years. Beginning July 23, 2020, the interest rate will be equal to 10 times the spread of the 30-year swap rate minus the two-year swap rate, subject to a minimum interest rate of 0% and a maximum interest rate of 8.5%. Interest will be payable quarterly.
The payout at maturity will be par.
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Fixed-to-floating notes
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Underlying rates: | 30-year U.S. dollar ICE swap rate and two-year U.S. dollar ICE swap rate
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Amount: | $3.36 million
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Maturity: | Jan. 23, 2026
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Coupon: | 5% for the two years; beginning July 23, 2020, equal to 10 times the spread of the 30-year swap rate minus the two-year swap rate, subject to a floor of 0% and a cap of 8.5%; payable quarterly
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Price: | Par
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Payout at maturity: | Par
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Pricing date: | July 18
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Settlement date: | July 23
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Underwriter: | Barclays
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Fees: | 1%
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Cusip: | 06746XG31
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