New Issue: Barclays sells $142.17 million leveraged notes on 30-year Euro CMS rate

By Marisa Wong

Madison, Wis., May 14 – Barclays Bank plc priced $142.17 million of 0% leveraged 30-year Euro Constant Maturity Swap rate-linked notes due Feb. 18, 2020, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be the greater of (a) $900 and (b) $1,000 plus the product of (i) $1,000 times (ii) 10 times (iii) the difference of the final swap rate minus the strike swap rate. The strike swap rate is the initial swap rate of 1.379% plus a spread of 2.1 basis points.

Investors will lose 1% for every 0.1% that the final swap rate is less than the strike swap rate, subject to the $900 minimum payout.

Barclays is the agent.

Issuer:	Barclays Bank plc
Issue:	Leveraged notes
Underlying:	30-year Euro CMS rate
Amount:	$142.17 million
Maturity:	Feb. 18, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	Greater of (a) $900 and (b) $1,000 plus the product of (i) $1,000 times (ii) 10 times (iii) the difference of the final swap rate minus the strike swap rate
Initial swap rate:	1.379%
Strike swap rate:	1.4%, initial swap rate plus 2.1 bps
Pricing date:	May 12
Settlement date:	May 19
Agent:	Barclays
Fees:	3.21%
Cusip:	06741UVZ4

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