Published on 3/11/2019 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $680,000 callable contingent coupon notes on ICE swap rate
Chicago, March 11 – Barclays Bank plc priced $680,000 of 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 pay a contingent coupon at an annualized rate of 6.9% if the swap rate is equal or greater than 80% of its initial level on the observation date for that quarter.
The notes are callable at par on any interest payment date beginning on Sept. 4.
The payout at maturity will be par unless the final level of the swap rate is less than its 80% barrier level, in which case investors will lose 1% for each 1% the final swap rate is less than the initial swap rate.
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Callable contingent coupon notes
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Underlying rate: | 10-year U.S. dollar ICE swap rate
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Amount: | $680,000
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Maturity: | March 4, 2021
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Contingent coupon: | 6.9% per year, payable quarterly if the swap rate is greater than 80% of initial level
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Price: | Par
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Payout at maturity: | Par unless final swap rate is less than barrier level, in which case 1% loss for each 1% decline from initial level
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Call option: | At par on any interest payment date beginning on Sept. 4
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Initial swap level: | 2.695%
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Coupon swap level: | 2.156%, 80% of initial swap rate
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Barrier swap level: | 2.156%, 80% of initial swap rate
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Pricing date: | Feb. 27
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Settlement date: | March 4
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Agent: | Barclays
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Fees: | 0.5%
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Cusip: | 06747MEM4
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