Published on 12/27/2018 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $5 million capital at-risk steepener notes tied to ICE swap rates
By Sarah Lizee
Olympia, Wash., Dec. 27 – Barclays Bank plc priced $5 million of capital at-risk steepener notes due Dec. 27, 2023 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 payout at maturity will be par plus 100 times the reference rate up to a maximum return of 75%. The reference rate is the 30-year swap rate minus the two-year swap rate.
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Capital at-risk steepener 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: | $5 million
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Maturity: | Dec. 27, 2023
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 100 times the reference rate of 30-year swap rate minus the two-year swap rate, up to a maximum return of 75%
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Pricing date: | Dec. 21
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Settlement date: | Dec. 27
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Agent: | Barclays
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Fees: | 4.5%
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Cusip: | 06747M5E2
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