Published on 4/9/2019 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $3.47 million callable range accrual notes on ICE swap rates, S&P
By Wendy Van Sickle
Columbus, Ohio, April 9 – Barclays Bank plc priced $3.47 million of callable range accrual securities due April 3, 2024 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 an annualized rate of 6% for each day the spread of the 30-year ICE swap rate minus the two-year ICE swap rate is at least 0%. Interest is payable quarterly.
The payout at maturity will be par unless the index finishes below its barrier level, 75% of its initial level, in which case investors will be fully exposed to the decline of the index.
After one year, the notes are callable at par plus accrued interest on any quarterly redemption date.
Barclays is the agent with Morgan Stanley Wealth Management as a distributor.
| Issuer: | Barclays Bank plc
|
| Issue: | Callable range accrual notes
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| Underlyings: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate, S&P 500 index
|
| Amount: | $3,466,000
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| Maturity: | April 3, 2024
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| Coupon: | Payable quarterly at annualized rate of 6% for each day that the spread of the 30-year ICE swap rate minus the two-year ICE swap rate is at least 0%; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below barrier level, in which case full exposure to decline of lesser-performing index
|
| Call option: | Beginning April 3, 2020, at par on any interest payment date
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| Initial index level: | 2,834.4
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| Barrier level: | 2,125.8; 75% of initial levels
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| Pricing date: | March 29
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| Settlement date: | April 3
|
| Agent: | Barclays
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| Distributor: | Morgan Stanley Wealth Management
|
| Fees: | 3.5%
|
| Cusip: | 06747MK70
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