Barclays plans buffered jump notes on 10-year dollar ICE swap rate

By Wendy Van Sickle

Columbus, Ohio, April 4 – Barclays Bank plc plans to price 0% buffered jump securities due May 15, 2017 linked to the 10-Year U.S. Dollar ICE swap rate, according to an FWP filing with the Securities and Exchange Commission.

If the final swap rate is greater than or equal to the threshold swap rate, 85% of the initial swap rate, the payout at maturity will be par plus the fixed percentage, which is expected to be at least 9.5%. The exact fixed percentage will be set at pricing.

If the final swap rate is less than the threshold swap rate, investors will be exposed to losses beyond the 15% buffer.

Barclays is the agent with Morgan Stanley Wealth Management as dealer.

The notes are expected to price on April 8.

The Cusip number is 06741U7K4.

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