Published on 3/14/2024 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $600,000 digital notes linked to one-year SOFR ICE Swap Rate
Chicago, March 14 – Barclays Bank plc priced $600,000 of 0% digital notes due March 20, 2025 linked to the one-year U.S. Dollar SOFR ICE Swap Rate, according to a 424B2 filing with the Securities and Exchange Commission.
If the underlying rate finishes at or above 53% of initial rate, the payout at maturity will be par plus 15%.
Otherwise, investors will be fully exposed to any decline.
Barclays is the agent, with J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. acting as placement agents.
Issuer: | Barclays Bank plc
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Issue: | Digital notes
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Underlying rate: | One-year U.S. Dollar SOFR ICE Swap Rate
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Amount: | $600,000
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Maturity: | March 20, 2025
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If rate finishes at or above 53% of initial rate, par plus 15%; otherwise, full exposure to any decline
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Initial rate: | 5.0035%
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Buffer rate: | 2.6519%, 53% of initial rate
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Pricing date: | March 5
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Settlement date: | March 7
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Agent: | Barclays, with J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. acting as placement agents
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Fees: | 1%
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Cusip: | 06745Q5J4
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