New Issue: Barclays sells $9.54 million digital notes due 2021 on 10-year ICE swap rate

By Kiku Steinfeld

Chicago, March 2 – Barclays Bank plc priced $9.54 million of 0% digital notes due March 15, 2021 linked to the 10-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

If the swap rate finishes at or above its initial value, the payout at maturity will be par plus the digital return of 10.3%.

If the swap rate falls by up to the 50% buffer, the payout at maturity will be par.

Otherwise, investors will lose 2% for every 1% that the final rate is beyond 50%.

Barclays is the agent. J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.

Issuer:	Barclays Bank plc
Issue:	Digital notes
Underlying rate:	10-year U.S. dollar ICE swap rate
Amount:	$9,542,000
Maturity:	March 15, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	If swap rate finishes at or above its initial value, par plus 10.3%; if swap rate falls by up to buffer, par; if swap rate falls by more than buffer, 2% loss for every 1% that final rate is beyond buffer
Initial rate:	1.296%
Buffer swap rate:	0.648%, 50% of initial level
Pricing date:	Feb. 26
Settlement date:	Feb. 28
Agent:	Barclays
Placement agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1%
Cusip:	06747PE54

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