Barclays plans callable contingent coupon notes linked to swap rate

By Angela McDaniels

Tacoma, Wash., Feb. 21 – Barclays Bank plc plans to price callable contingent coupon notes due March 4, 2021 linked to the 10-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a coupon at an annualized rate of 6.75% if the swap rate is greater than or equal to the barrier swap rate, 80% of the initial swap rate, on the observation date for the date quarter.

Beginning Sept. 4, 2019, the notes will be callable at par on any interest payment date.

The payout at maturity will be par unless the final swap rate is less than the barrier swap rate, in which case the payout will be par plus the product of $1,000 multiplied by the swap rate return.

The swap rate return is the quotient of (a) the final swap rate minus the initial swap rate divided by (b) the initial swap rate. In no event, however, will the swap rate return be less than negative 100%.

Barclays is the agent.

The notes will price Feb. 27.

The Cusip number is 06747MEM4.

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