By Marisa Wong
Morgantown, W.Va., Aug. 1 – Barclays Bank plc priced $5 million of 0% buffered jump securities due Jan. 30, 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 final swap rate is at least 90% of the initial swap rate, the payout at maturity will be par plus a fixed percentage of 9.5%.
If the final rate is less than the 90% threshold rate, investors will lose 1% for every 1% decline beyond the 10% buffer.
Barclays is the agent. Morgan Stanley Wealth Management is a dealer.
Issuer: | Barclays Bank plc
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Issue: | Buffered jump securities
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Underlying: | 10-year U.S. dollar ICE swap rate
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Amount: | $5 million
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Maturity: | Jan. 30, 2019
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If the final swap rate is at least 90% of the initial swap rate, par plus 9.5%; otherwise, 1% loss for every 1% decline beyond the 10% buffer
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Initial swap rate: | 2.23% (not equal to swap rate on pricing date)
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Threshold swap rate: | 2.007%, or 90% of initial rate
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Pricing date: | July 25
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Settlement date: | July 28
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Agent: | Barclays
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Selected dealer: | Morgan Stanley Wealth Management
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Fees: | 2%
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Cusip: | 06744CDE8
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