By Angela McDaniels
Tacoma, Wash., Feb. 13 – Barclays Bank plc priced $3 million of 0% buffered jump securities due Feb. 28, 2018 linked to the spread between the 10-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 11.5% if the final spread is greater than or equal to the threshold spread (i.e., the swap rate spread has widened or has not narrowed enough to put it below the threshold spread).
The threshold spread is 0.255%, which is 30% of the initial spread. The calculation agent has selected 0.85% as the initial spread, which is not the swap rate spread on the pricing date.
If the final spread is less than the threshold spread, investors will lose 2% for every 1% by which the final spread is less than the threshold spread, subject to the minimum payment of 40% of par.
Barclays is the agent. Morgan Stanley Wealth Management is a dealer.
| Issuer: | Barclays Bank plc
|
| Issue: | Buffered jump securities
|
| Underlying: | Spread between 10-year and two-year U.S. dollar ICE swap rates
|
| Amount: | $3 million
|
| Maturity: | Feb. 28, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final spread is greater than or equal to threshold spread, par plus 11.5%; otherwise, 2% loss for every 1% by which final spread is less than threshold spread, subject to minimum payment of 40% of par
|
| Initial spread: | 0.85% (not equal to swap rate spread on pricing date)
|
| Threshold spread: | 0.255%, or 30% of initial spread
|
| Pricing date: | Feb. 9
|
| Settlement date: | Feb. 21
|
| Agent: | Barclays
|
| Selected dealer: | Morgan Stanley Wealth Management
|
| Fees: | 1%
|
| Cusip: | 06741VKB7
|
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