New Issue: Barclays prices $1.2 million buffered jump notes linked to dollar ICE swap rate

By Angela McDaniels

Tacoma, Wash., May 20 – Barclays Bank plc priced $1.2 million of 0% buffered jump securities due June 26, 2017 linked to the 10-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

If the final reference rate is greater than or equal to the threshold reference rate, 85% of the initial reference rate, the payout at maturity will be par plus 10.9%. Otherwise, investors will lose 1% for every 1% that the swap rate declines below the threshold reference rate.

Barclays is the agent. Morgan Stanley Wealth Management is a dealer.

Issuer:	Barclays Bank plc
Issue:	Buffered jump securities
Underlying rate:	10-year U.S. dollar ICE swap rate
Amount:	$1.2 million
Maturity:	June 26, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If final reference rate is greater than or equal to threshold reference rate, par plus 10.9%; otherwise, 1% loss for every 1% that swap rate declines beyond 15%
Initial reference rate:	1.682
Threshold reference rate:	1.420, 85% of initial reference rate
Pricing date:	May 18
Settlement date:	May 26
Agent:	Barclays
Selected dealer:	Morgan Stanley Wealth Management
Fees:	1.25%
Cusip:	06741V3T7

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