New Issue: Barclays sells $1.65 million digital notes linked to euro ICE swap rate

By Marisa Wong

Morgantown, W.Va., May 1 – Barclays Bank plc priced $1.65 million of 0% digital notes due May 10, 2018 linked to the 10-year euro ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

If the final swap rate is greater than or equal to the buffer swap rate, 60% of the initial swap rate, the payout at maturity will be par plus 11.3%. Otherwise, investors will lose 1.6667% for every 1% that the final swap rate is less than the buffer swap rate.

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 euro ICE swap rate
Amount:	$1.65 million
Maturity:	May 10, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	If final swap rate is greater than or equal to buffer swap rate, par plus 11.3%; otherwise, 1.6667% loss for every 1% that final swap rate is less than buffer swap rate
Initial swap rate:	0.734%
Buffer swap rate:	0.4404%, 60% of initial swap rate
Pricing date:	April 21
Settlement date:	April 26
Agent:	Barclays
Placement agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1%
Cusip:	06741VSM5

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