Barclays plans digital notes due 2019 linked to 10-year ICE swap rate

By Sarah Lizee

Olympia, Wash., July 17 – Barclays Bank plc plans to price 0% digital notes due Aug. 7, 2019 linked to the 10-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

If the swap rate finishes at or above its initial value, the payout at maturity will be par plus a digital return of 7.15%.

If the rate falls but finishes at or above the 70% downside threshold, the payout will be par.

Otherwise, investors will be fully exposed to any losses.

Barclays is the underwriter with JPMorgan as placement agent.

The notes will price on July 20 and settle on July 25.

The Cusip number is 06746XJQ7.

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