Barclays to price callable range accrual tied to S&P, swap rates

By Sarah Lizee

Olympia, Wash., March 20 – Barclays Bank plc plans to price callable range accrual notes due April 3, 2034 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will accrue at a rate of 6% per annum for each day that the 30-year rate is greater than or equal to the two-year rate and the closing level of the S&P 500 is greater than or equal to 75% of the initial index value.

The notes will be callable at par on any quarterly redemption date after one year.

If the notes are not called, the payout at maturity will be par plus the final coupon, if any.

Barclays is the agent. Morgan Stanley Wealth Management is handling distribution.

The notes will price on March 29.

The Cusip number is 06747MK70.

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