By William Gullotti
Buffalo, N.Y., July 21 – Barclays Bank plc priced $1 million of leveraged steepener notes due July 13, 2026 based on the spread between the 30-year U.S. dollar SOFR ICE swap rate and the two-year U.S. dollar SOFR ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will be 35 times the spread of the 30-year SOFR ICE swap rate over the two-year SOFR ICE swap rate, subject to a maximum interest rate of 15% and a floor of 0%.
Interest will be payable quarterly.
The payout at maturity will be par.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Leveraged steepener notes
|
| Underlying rates: | 30-year U.S. dollar SOFR ICE swap rate, two-year U.S. dollar SOFR ICE swap rate
|
| Amount: | $1 million
|
| Maturity: | July 13, 2026
|
| Coupon: | 35 times spread of 30-year SOFR ICE swap rate over two-year SOFR ICE swap rate, with 15% cap and floor of 0%; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par
|
| Pricing date: | July 7
|
| Settlement date: | July 12
|
| Agent: | Barclays
|
| Fees: | None
|
| Cusip: | 06745MQC5
|
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