By Wendy Van Sickle
Columbus, Ohio, Aug. 20 – Barclays Bank plc priced $2 million of 0% capital at-risk flattener notes due Sept. 21, 2020 linked to the spread between the 30-year U.S. dollar ICE swap rate and the two-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
If the final spread is less than or equal to 0.45%, the payout at maturity will be par plus 10%.
If the final spread is between 0.45% and 0.6%, the payout will be par plus the final reference rate.
If the final spread is greater than or equal to 0.6%, the payout will be 85% of par.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Capital at-risk flattener notes
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| Reference rate: | 30-year U.S. dollar ICE swap rate minus two-year U.S. dollar ICE swap rate
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| Amount: | $2 million
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| Maturity: | Sept. 21, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus reference rate, up to 10% maximum gain, if final reference rate is less than 0.6%; otherwise, 85% of par
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| Pricing date: | Aug. 15
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| Settlement date: | Aug. 21
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| Underwriter: | Barclays
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| Fees: | 3%
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| Cusip: | 06747NDS0
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