CALCULATION
OF REGISTRATION FEE
|
Title
of Each Class of Securities Offered
|
|
Maximum
Aggregate Offering Price
|
|
Amount
of Registration Fee
(1)
|
|
Global
Medium-Term Notes, Series A
|
|
$2,400,000
|
|
$298.80
|
(1)
Calculated in accordance with Rule 457(r) of the Securities Act of 1933
|
Pricing Supplement dated February 9, 2018
(To the Prospectus dated July 18, 2016 and
the Prospectus Supplement dated July 18, 2016)
|
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-212571
|
|
$2,400,000
Fixed
to Floating Rate Notes Due February 16, 2021
Linked to the Spread Between the 10-Year U.S. Dollar ICE Swap Rate
and
the 2-Year U.S. Dollar ICE Swap Rate
Global
Medium-Term Notes, Series A
|
General
|
|
·
|
For the first year of the term of the Notes, the Notes pay interest quarterly in arrears at the
Fixed Interest Rate of 3.50% per annum. After the first year, the Notes pay interest quarterly in arrears at a variable rate per
annum equal to the Swap Rate Spread
times
a Multiplier of 6.75, subject to the Minimum Interest Rate of 0.00% per annum.
The “Swap Rate Spread” is the 10-Year U.S. Dollar ICE Swap Rate (the “10-Year Swap Rate”)
minus
the 2-Year U.S. Dollar ICE Swap Rate (the “2-Year Swap Rate”), determined as described below. The 10-Year Swap Rate
is one of the market-accepted indicators of longer-term interest rates, and the 2-Year Swap Rate is one of the market-accepted
indicators of short-term interest rates. The Swap Rate Spread represents a general measure of longer-term interest rates relative
to shorter-term interest rates.
|
|
|
·
|
Unsecured and unsubordinated obligations of Barclays Bank PLC
|
|
|
·
|
Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof
|
|
|
·
|
The Notes priced on February 9, 2018 (the “Pricing Date”) and are expected to issue
on or about February 16, 2018 (the “Issue Date”).
|
|
Key Terms
|
Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
|
|
Issuer:
|
Barclays Bank PLC
|
|
Reference Asset:
|
On any Interest Determination Date, the 10-Year Swap Rate
minus
the 2-Year Swap Rate (the “Swap Rate Spread”), each as determined on that Interest Determination Date. The 10-Year Swap Rate and the 2-Year Swap Rate are each an “ICE Swap Rate” as defined in the accompanying prospectus supplement with a maturity of 10 years and 2 years, respectively. See “The Swap Rates” herein and “Reference Assets—Floating Interest Rate—ICE Swap Rate” in the accompanying prospectus supplement for information about the manner in which each Swap Rate will be determined. Each of the 10-Year Swap Rate and the 2-Year Swap Rate are sometimes referred to herein as a “Swap Rate” and together as the “Swap Rates.”
|
|
Payment at Maturity:
|
You will receive on the Maturity Date a cash payment per Note
equal to $1,000 plus accrued and unpaid interest, if any.
Any payment on the Notes, including any repayment of principal,
is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third party.
|
|
Interest Payment Amount:
|
For each Interest Period, the Interest Payment Amount per Note
for that Interest Period will based on the Interest Rate applicable to that Interest Period, and will be calculated as follows:
$1,000 × Interest Rate ×
(days in Interest Period/360)
where the number of days in the Interest Period will be based
on a 30/360 Day Count Convention.
|
|
Interest Rate:
|
The Interest Rate per annum applicable to an Interest Period is
as follows:
·
For each Interest Period commencing on or after the Issue Date to but excluding February 16,
2019 (the “Fixed-Rate Period”): the Fixed Interest Rate.
·
For each Interest Period commencing on or after February 16, 2019 to but excluding the Maturity
Date (the “Floating-Rate Period”): (i) the Swap Rate Spread on the Interest Determination Date for that Interest Period
times
(ii) the Multiplier,
provided
that the Interest Rate will not be less than the Minimum Interest Rate.
During the Floating-Rate Period, interest payments will vary
based on fluctuations in the Swap Rate Spread. The Notes may pay a below-market rate or no interest at all for an extended period
of time, or even throughout the entire Floating-Rate Period.
|
|
U.K. Bail-in Power Acknowledgment:
|
Notwithstanding any other agreements, arrangements or understandings between Barclays Bank PLC and any holder of the Notes, by acquiring the Notes, each holder of the Notes acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority. See “Consent to U.K. Bail-in Power” on page PS-3 of this pricing supplement.
|
|
Fixed Interest Rate:
|
3.50% per annum
|
|
Minimum Interest Rate:
|
0.00% per annum
|
|
Multiplier:
|
6.75
|
|
Interest Payment Dates
†
:
|
Quarterly on the 16th day of each February, May, August and November, commencing May 16, 2018 and ending on the Maturity Date
|
|
Interest Period:
|
The period from, and including, a scheduled Interest Payment Date (or the Issue Date in the case of the first Interest Period), to, but excluding, the following scheduled Interest Payment Date
|
|
Interest Determination Dates:
|
For each Interest Period during the Floating-Rate Period, the date that is two U.S. Government Securities Business Days prior to the first day of that Interest Period
|
|
Maturity Date
†
:
|
February 16, 2021
|
|
U.S. Government Securities Business Day:
|
Any day except for a Saturday, Sunday or a day on which the Securities Industry and Financial Markets Association recommends that the fixed income department of its members be closed for the entire day for purposes of trading in U.S. government securities
|
|
Business Day Convention:
|
Following, Unadjusted; If a scheduled Interest Payment Date is not a business day, interest will be paid on the next business day, and interest on that payment will not accrue during the period from and after the scheduled Interest Payment Date.
|
|
Day Count Convention:
|
30/360
|
|
Calculation Agent:
|
Barclays Bank PLC
|
|
CUSIP/ISIN:
|
06744CWD9 / US06744CWD90
|
|
|
†
|
An Interest Payment Date and/or the Maturity Date will be postponed if that day is not a business day as described under “Terms
of the Notes—Payment Dates” in the accompanying prospectus supplement.
|
|
|
Initial Issue
Price
1,2
|
Price to
Public
|
Agent’s
Commission
2
|
Proceeds
to Barclays Bank PLC
|
|
Per Note
|
$1,000
|
100%
|
0.60%
|
99.40%
|
|
Total
|
$2,400,000
|
$2,400,000
|
$14,400
|
$2,385,600
|
|
|
1
|
Our estimated value of the Notes on the Pricing Date, based on our internal pricing models, is $989.70 per Note. The estimated
value is less than the initial issue price of the Notes. See “Additional Information Regarding Our Estimated Value of the
Notes” on page PS-13 of this pricing supplement.
|
|
|
2
|
J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the Notes. The placement agents
will forgo fees for sales to fiduciary accounts. The total fees represent the amount that the placement agents receive from sales
to accounts other than such fiduciary accounts. The placement agents will receive a fee from the Issuer or one of its affiliates
that will not exceed $6.00 per Note.
|
Investing in the Notes involves a number of
risks. See “Risk Factors” beginning on page S-7 of the prospectus supplement and “Selected Risk Considerations”
beginning on page PS-7 of this pricing supplement.
We may use this pricing supplement in the initial sale of the
Notes. In addition, Barclays Capital Inc. or any other of our affiliates may use this pricing supplement in market resale transactions
in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement
is being used in a market resale transaction.
The Notes will not be listed on any U.S. securities exchange
or quotation system. Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities commission
has approved or disapproved of these Notes or determined that this pricing supplement is truthful or complete. Any representation
to the contrary is a criminal offense.
The Notes constitute our unsecured and unsubordinated obligations.
The Notes are not deposit liabilities of Barclays Bank PLC and are not covered by the U.K. Financial Services Compensation Scheme
or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit insurance agency of the
United States, the United Kingdom or any other jurisdiction.
|
JPMorgan
Placement Agent
|
Additional Terms Specific to the Notes
You should read this pricing supplement together with the prospectus
dated July 18, 2016, as supplemented by the prospectus supplement dated July 18, 2016 relating to our Global Medium-Term Notes,
Series A, of which these Notes are a part. This pricing supplement, together with the documents listed below, contains the terms
of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth under “Risk Factors”
in the prospectus supplement, as the Notes involve risks not associated with conventional debt securities. We urge you to consult
your investment, legal, tax, accounting and other advisors before you invest in the Notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
|
|
·
|
Prospectus dated July 18, 2016:
|
http://www.sec.gov/Archives/edgar/data/312070/000119312516650074/d219304df3asr.htm
|
|
·
|
Prospectus supplement dated July 18, 2016:
|
http://www.sec.gov/Archives/edgar/data/312070/000110465916132999/a16-14463_21424b3.htm
Our SEC file number is 1-10257. As used in this pricing supplement,
“we,” “us” and “our” refer to Barclays Bank PLC.
Consent to U.K. Bail-in
Power
Notwithstanding any
other agreements, arrangements or understandings between us and any holder of the Notes, by acquiring the Notes, each holder of
the Notes acknowledges, accepts, agrees to be bound by and consents to the exercise of, any U.K. Bail-in Power by the relevant
U.K. resolution authority.
Under the U.K. Banking
Act 2009, as amended, the relevant U.K. resolution authority may exercise a U.K. Bail-in Power in circumstances in which the relevant
U.K. resolution authority is satisfied that the resolution conditions are met. These conditions include that a U.K. bank or investment
firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (the “FSMA”) threshold
conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA) or, in the case
of a U.K. banking group company that is an European Economic Area (“EEA”) or third country institution or investment
firm, that the relevant EEA or third country relevant authority is satisfied that the resolution conditions are met in respect
of that entity.
The U.K. Bail-in Power
includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction or cancellation
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes; (ii) the conversion
of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the Notes into shares or other
securities or other obligations of Barclays Bank PLC or another person (and the issue to, or conferral on, the holder of the Notes
such shares, securities or obligations); and/or (iii) the amendment or alteration of the maturity of the Notes, or amendment of
the amount of interest or any other amounts due on the Notes, or the dates on which interest or any other amounts become payable,
including by suspending payment for a temporary period; which U.K. Bail-in Power may be exercised by means of a variation of the
terms of the Notes solely to give effect to the exercise by the relevant U.K. resolution authority of such U.K. Bail-in Power.
Each holder of the Notes further acknowledges and agrees that the rights of the holders of the Notes are subject to, and will be
varied, if necessary, solely to give effect to, the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority.
For the avoidance of doubt, this consent and acknowledgment is not a waiver of any rights holders of the Notes may have at law
if and to the extent that any U.K. Bail-in Power is exercised by the relevant U.K. resolution authority in breach of laws applicable
in England.
For more information,
please see “Selected Risk Considerations—You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised
by the Relevant U.K. Resolution Authority” in this pricing supplement as well as “U.K. Bail-in Power,” “Risk
Factors—Risks Relating to the Securities Generally—Regulatory action in the event a bank or investment firm in the
Group is failing or likely to fail could materially adversely affect the value of the securities” and “Risk Factors—Risks
Relating to the Securities Generally—Under the terms of the securities, you have agreed to be bound by the exercise of any
U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying prospectus supplement.
Hypothetical Interest Rate Examples
Determining the Interest Rate and Interest Payment Amount
As described above, the Notes will pay interest, if any, on
each Interest Payment Date at a per annum Interest Rate calculated in accordance with the formula for determining the Interest
Rate. The following illustrates the process by which the Interest Rate and Interest Payment Amount are determined for each Interest
Period.
Step 1: Determine the Interest Rate for
each Interest Period
For each Interest Period during the Fixed-Rate Period, the Interest
Rate will be equal to the Fixed Interest Rate of 3.50% per annum.
For each Interest Period during the Floating-Rate Period, the
Interest Rate will be equal to (i) the Swap Rate Spread on the Interest Determination Date for that Interest Period
times
(ii) the Multiplier,
provided
that the Interest Rate will not be less than the Minimum Interest Rate.
Step 2: Calculate the Interest Payment
Amount payable for each Interest Payment Date
For each Interest Period, the Interest Payment Amount per Note
for that Interest Period will be calculated as follows:
$1,000 × Interest Rate × (days
in Interest Period/360)
where the number of days in the Interest Period will be based
on a 30/360 Day Count Convention, which means each month is deemed to have 30 days and the year is deemed to have 360 days.
Example Interest Rate and Interest Payment Amount Calculations
During the Floating-Rate Period
The table and examples below illustrate how to determine the
Interest Rate and the Interest Payment Amount payable on the Notes for an Interest Period during the Floating-Rate Period based
on hypothetical Swap Rate Spreads. The hypothetical Swap Rate Spreads have been chosen for illustrative purposes only and may not
represent actual likely Swap Rate Spreads on any Interest Determination Date. As illustrated below, if the Swap Rate Spread is
less than or equal to 0.00%, the Interest Rate for the related Interest Period will be 0.00%.
For historical Swap Rates and Swap Rate Spreads, please see
the information set forth under the section titled “The Swap Rate Spread and the Swap Rates” below. The examples are
for purposes of illustration only and may have been rounded for ease of analysis. The actual interest payments on the Notes during
the Floating-Rate Period will depend on the actual Swap Rate Spread on each Interest Determination Date. The examples below do
not take into account the tax consequences of an investment in the Notes.
|
Hypothetical Swap Rate Spread
(1)
|
Hypothetical Interest Rate per Annum
(2)
|
Hypothetical Quarterly Interest Payment Amount per Note
(3)
|
|
-1.000%
|
0.00%
|
$0.000
|
|
-0.800%
|
0.00%
|
$0.000
|
|
-0.600%
|
0.00%
|
$0.000
|
|
-0.400%
|
0.00%
|
$0.000
|
|
-0.200%
|
0.00%
|
$0.000
|
|
0.000%
|
0.00%
|
$0.000
|
|
0.200%
|
1.35%
|
$3.375
|
|
0.400%
|
2.70%
|
$6.750
|
|
0.600%
|
4.05%
|
$10.125
|
|
0.800%
|
5.40%
|
$13.500
|
|
1.000%
|
6.75%
|
$16.875
|
|
1.200%
|
8.10%
|
$20.250
|
|
1.400%
|
9.45%
|
$23.625
|
|
1.600%
|
10.80%
|
$27.000
|
|
1.800%
|
12.15%
|
$30.375
|
|
2.000%
|
13.50%
|
$33.750
|
|
(1)
|
Hypothetical Swap Rate Spread = (10-Year Swap Rate – 2-Year Swap Rate), where the 10-Year Swap Rate and the 2-Year Swap Rate are each determined on the Interest Determination Date for the applicable Interest Period
|
|
(2)
|
Hypothetical Interest Rate per annum for the Interest Period = Swap Rate Spread × Multiplier, subject to the Minimum Interest Rate
|
|
(3)
|
Hypothetical quarterly Interest Payment Amount per Note = $1,000 × applicable hypothetical Interest Rate per annum × (90/360)
|
Example 1
: The Swap Rate Spread is 0.400% on an Interest
Determination Date.
In this case, the per annum Interest Rate for the applicable
Interest Period would be 2.70% (equal to the Swap Rate Spread of 0.400%
times
the Multiplier of 6.75), and the Interest
Payment Amount on the related Interest Payment Date would be equal to $6.750 per Note, calculated as follows:
$1,000 × Interest Rate × (days
in Interest Period/360)
$1,000 × 2.70% × (90/360) =
$6.750
Example 2
: The Swap Rate Spread is -0.400% on an Interest
Determination Date.
Because the Swap Rate Spread of -0.400% times the Multiplier
of 6.75 results in a per annum Interest Rate of -2.70%, which is less than the Minimum Interest Rate of 0.00% per annum, the per
annum Interest Rate for that Interest Period would be 0.00% (the Minimum Interest Rate), and there would be no interest payment
on the related Interest Payment Date.
Tax Consequences
You should review carefully the sections entitled “Material
U.S. Federal Income Tax Consequences—Tax Consequences to U.S.
Holders
—Notes
Treated as Indebtedness for U.S. Federal Income Tax Purposes” and, if you are a non-U.S. holder, “—Tax Consequences
to Non-U.S. Holders,” in the accompanying prospectus supplement. The discussion below applies to you only if you are an initial
purchaser of the Notes; if you are a secondary purchaser of the Notes, the tax consequences to you may be different. In the opinion
of our special tax counsel, Davis Polk & Wardwell LLP, the Notes should be treated as debt instruments for U.S. federal income
tax purposes. The remainder of this discussion assumes that this treatment is correct.
We
intend
to treat
the Notes as “contingent payment debt instruments” for U.S. federal income tax purposes, as described under—Contingent Payment Debt Instruments” in the accompanying prospectus supplement.
Assuming that our treatment of the Notes as contingent payment
debt instruments is correct, regardless of your method of accounting for U.S. federal income tax purposes, you generally will be
required to accrue taxable interest income in each year on a constant yield to maturity basis at the “comparable yield,”
as determined by us, with certain adjustments in each year to reflect the difference, if any, between the actual and the projected
amounts of the Interest Payment Amounts on the Notes in that year according to the “projected payment schedule” determined
by us. Any income recognized upon a sale or exchange of a Note (including redemption at maturity) will be treated as interest income
for U.S. federal income tax purposes.
The
discussions
herein and in the accompanying prospectus supplement do not address the consequences to taxpayers subject to special tax accounting
rules under Section 451(b).
After
the
Issue
Date, you may obtain the comparable yield and the projected payment schedule by requesting them from Barclays Cross Asset Sales
Americas, at (212) 528-6428. Neither the comparable yield nor the projected payment schedule constitutes a representation by us
regarding the actual contingent Interest Payment Amounts, if any, that we will make on the Notes.
It is possible that the Internal Revenue Service (the “IRS”)
could determine that the Notes are “variable rate debt instruments” for U.S.
federal
income tax purposes, which could have adverse U.S. federal income tax consequences for you. For example, if the Notes were properly
treated as variable rate debt instruments, you would be required to include payments of stated interest in income when they are
received or accrued, in accordance with your method of accounting for U.S. federal income tax purposes. You should consult your
tax advisor regarding the U.S. federal income tax consequences to you if the Notes are properly treated as variable rate debt instruments.
You
should
consult
your tax advisor regarding the U.S. federal tax consequences of an investment in the Notes, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Non-U.S. Holders.
We do not believe that non-U.S. holders
should be required to provide a Form W-8 in order to avoid 30% U.S. withholding tax with respect to interest on the Notes, although
the IRS could challenge this position. However, non-U.S. holders should in any event expect to be required to provide appropriate
Forms W-8 or other documentation in order to establish an exemption from
backup
withholding,
as described under the heading “—Information Reporting and Backup Withholding” in the accompanying prospectus
supplement. If any withholding is required, we will not be required to pay any additional amounts with respect to amounts withheld.
Selected Risk Considerations
An investment in the Notes involves significant risks. These
risks are explained in more detail in the “Risk Factors” section of the prospectus supplement, including but not limited
to the risk factors discussed under the following headings:
|
|
·
|
“Risk Factors—Risks Relating to the Securities Generally”; and
|
|
|
·
|
“Risk Factors—Additional Risks Relating to Notes with a Reference Asset That Is a Floating Interest Rate, an Index
Containing Floating Interest Rates or Based in Part on a Floating Interest Rate.”
|
In addition to the risks discussed under the headings above,
you should consider the following:
|
|
·
|
The Notes May Pay a Below-Market Rate or No Interest at All on One or More Interest
Payment Dates During the Floating-Rate Period
— Because the amount of interest payable on the Notes during the
Floating-Rate Period will vary based on fluctuations in the Swap Rate Spread, you will be exposed to risks not associated with
a conventional fixed-rate debt instrument. During the Floating-Rate Period, the Notes may pay interest at a rate less than the
other floating interest rates in the market and/or at a rate less than the fixed rate that we would pay on a conventional debt
security of the same tenor or no interest at all for an extended period of time, or even throughout the entire Floating-Rate Period.
If, on the related Interest Determination Date, the Swap Rate Spread is less than or equal to 0.00%, no interest will accrue for
that Interest Period and the Notes will not pay any interest on the related Interest Payment Date. In addition, for any given Interest
Period in the Floating-Rate Period, you may receive a lesser amount of interest than for one or more prior or subsequent Interest
Periods.
|
|
|
·
|
The Interest Rate During the Floating-Rate Period Will Be Based on the Swap Rate Spread, Which May Narrow
Significantly
During the Term of the Notes, or May Become Negative
— The Swap Rate Spread may narrow significantly during the term
of the Notes, or may become negative, as a result of the factors described under “—The Swap Rate Spread Will Be Affected
By a Number Of Factors and May Be Volatile” below. If the Swap Rate Spread narrows, interest payments on the Notes will be
reduced and, if the Swap Rate Spread is zero or negative on any Interest Determination Date (meaning that the 10-Year Swap Rate
is equal to or less than the 2-Year Swap Rate on such Interest Determination Date), the Interest Rate for the related Interest
Period will be 0%. The Swap Rate Spread will narrow if (i) the 10-Year Swap Rate decreases or remains constant while the 2-Year
Swap Rate increases or (ii) the 10-Year Swap Rate decreases while the 2-Year Swap Rate increases or remains constant. However,
even if the Swap Rates move in the same direction (i.e., both Swap Rates are increasing or decreasing at the same time), the Swap
Rate Spread will narrow if (i) the 2-Year Swap Rate increases by more than the 10-Year Swap Rate increases or (ii) the 10-Year
Swap Rate decreases by more than the 2-Year Swap Rate decreases. Any of these scenarios increases the likelihood that the Swap
Rate Spread will narrow as of an Interest Determination Date such that the Interest Rate for the related Interest Period is less
than what would otherwise be payable on a conventional fixed-rate note of comparable maturity.
|
|
|
·
|
Credit
of
Issuer
—
The Notes are unsecured and unsubordinated debt obligations of the Issuer, Barclays Bank PLC, and are not, either directly or indirectly,
an obligation of any third party. Any payment to be made on the Notes, including any repayment of principal, is subject to the
ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third party. As a result,
the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the Notes and, in the event Barclays
Bank PLC were to default on its obligations, you might not receive any amount owed to you under the terms of the Notes.
|
|
|
·
|
You May Lose Some or All of Your Investment If Any U.K. Bail-in Power Is Exercised
by the Relevant U.K. Resolution Authority
—
Notwithstanding any other agreements, arrangements or understandings
between Barclays Bank PLC and any holder of the Notes, by acquiring the Notes, each holder of the Notes acknowledges, accepts,
agrees to be bound by, and consents to the exercise of, any U.K. Bail-in Power by the relevant U.K. resolution authority as set
forth under “Consent to U.K. Bail-in Power” in this pricing supplement. Accordingly, any U.K. Bail-in Power may be
exercised in such a manner as to result in you and other holders of the Notes losing all or a part of the value of your investment
in the Notes or receiving a different security from the Notes, which may be worth significantly less than the Notes and which may
have significantly fewer protections than those typically afforded to debt securities. Moreover, the relevant U.K. resolution authority
may exercise the U.K. Bail-in Power without providing any advance notice to, or requiring the consent of, the holders of the Notes.
The exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority with respect to the Notes will not be a default
or an Event of Default (as each term is defined in the indenture) and the trustee will not be liable for any action that the trustee
takes, or abstains from taking, in either case, in accordance with the exercise of the U.K. Bail-in Power by the relevant U.K.
resolution authority with respect to the Notes. See “Consent to U.K. Bail-in Power” in this pricing supplement as well
as “U.K. Bail-in Power,” “Risk Factors—Risks Relating to the Securities Generally—Regulatory action
in the event a bank or investment firm in the Group is failing or likely to fail could materially adversely affect the value of
the securities” and “Risk Factors—Risks Relating to the Securities Generally—Under the terms of the securities,
you have agreed to be bound by the exercise of any U.K. Bail-in Power by the relevant U.K. resolution authority” in the accompanying
prospectus supplement.
|
|
|
·
|
The Swap Rate Spread Will Be Affected by a Number of Factors and May Be Volatile
— In normal market conditions,
longer-term swap rates are typically greater than shorter-term swap rates. However, swap rates do not always exhibit this relationship
and, at times, longer-term swap rates may be less than shorter-term swap rates.
|
Although there is no single factor
that determines the spread between swap rates of different maturities, swap rate spreads have historically tended to fall when
short-term interest rates rise. Short-term interest rates are influenced by many complex factors, and it is impossible to predict
their future performance. However, historically, short-term interest rates have been highly sensitive to the monetary policy of
the Federal Reserve Board. If historical patterns hold, the Swap Rate Spread would likely decrease if the Federal Reserve Board
pursues a policy of raising short-term interest rates. In that event, the Interest Rate payable on the Notes at the conclusion
of the Fixed-Rate Period or during the Floating-Rate Period may decline significantly, possibly to 0%.
Although the policies of the Federal
Reserve Board have historically had a significant influence on short-term interest rates, short-term interest rates are affected
by many factors and may increase even in the absence of a Federal Reserve Board policy to increase short-term interest rates. For
example, short-term interest rates tend to rise when there is a worsening of the perceived creditworthiness of the banks that participate
in the interest rate swap and London interbank markets and when there is a worsening of general economic and credit conditions.
|
|
·
|
The Swap Rate Spread May Decrease Even in the Absence Of an Increase in Short-Term Interest Rates Because It, Too, Is Influenced
by Many Complex Factors
— For example, high demand for longer-dated U.S. treasury notes and bonds may cause the Swap
Rate Spread to narrow even in the absence of an increase in short-term interest rates. Additional factors that may affect the Swap
Rate Spread include, but are not limited to:
|
|
|
o
|
changes in, or perceptions about, the 10-Year Swap Rate and the 2-Year Swap Rate;
|
|
|
o
|
the economic, financial, political, regulatory and judicial events that affect financial markets generally and prevailing interest
rates;
|
|
|
o
|
sentiment regarding the U.S. and global economies;
|
|
|
o
|
policies of the Federal Reserve Board regarding interest rates;
|
|
|
o
|
expectations regarding the level of price inflation;
|
|
|
o
|
sentiment regarding credit quality in the U.S. and global credit markets; and
|
|
|
o
|
performance of capital markets.
|
These and other factors may have
a negative impact on the value of the Notes in the secondary market. As a result of these factors, the Swap Rate Spread may be
volatile and may adversely affect your return on the Notes.
|
|
·
|
Lack of Liquidity
— The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates
of Barclays Bank PLC intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such
secondary market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit
the development of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to
allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the
price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and
other affiliates of Barclays Bank PLC are willing to buy the Notes. The Notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your Notes to maturity.
|
|
|
·
|
The Historical Swap Rates and Swap Rate Spreads Are Not an Indication of Future Swap Rates or Swap Rate Spreads
—
In the past, the
Swap Rates
have experienced
significant fluctuations, causing widening and narrowing in the Swap Rate Spread. Historical
Swap Rates and Swap Rate Spreads
are not necessarily indicative of future
Swap Rate
s
or Swap Rate Spreads. Any historical upward or downward trend in the
Swap Rate
s is
not an indication that the
Swap Rate
s are more or less likely to increase or decrease
at any time during the term of the Notes, and you should not take historical
Swap Rates
or
Swap Rate Spreads as an indication of future
Swap Rates or Swap Rate Spreads
.
|
|
|
·
|
The Swap Rates and the Manner in Which They Are Calculated May Change in the Future
—
There
can be no assurance that the method by which the
Swap Rate
s are calculated will continue
in their current form. Any changes in the method of calculation could cause fluctuations in the Swap Rates, which may cause the
Swap Rate
Spread to narrow and thus have a negative impact on the interest payments
on the Notes and on the value of the Notes in the secondary market.
|
|
|
·
|
The Swap Rates May Be Calculated Based on Dealer Quotations or by the Calculation Agent in Good Faith and in a Commercially
Reasonable Manner
—
If, on any Interest Determination Date, either
Swap
Rate
cannot be determined by reference to Reuters page ICESWAP1 (or any successor page),
then that
Swap Rate
on
that
Interest
Determination Date will be determined on the basis of the mid-market, semi-annual
Swap Rate
quotations
provided to the Calculation Agent by five leading swap dealers in the New York City interbank market at approximately 11:00 a.m.,
New York City time, on that date. If fewer than three quotations
are
provided as requested,
the affected
Swap Rate
will be determined by the Calculation Agent in good faith and
in a commercially reasonable manner. The
Swap Rate
determined in this manner and used
in the determination of the Interest Rate for the applicable Interest Period may be different from the
Swap Rate
that
would have
|
been
published on the applicable Reuters page and may be different from other published rates, or other estimated rates, of the affected
Swap Rate.
|
|
·
|
Each Swap Rate Is Based on a Hypothetical Interest Rate Swap Referencing Three-Month USD LIBOR, and Uncertainty About the
Future of LIBOR May Adversely Affect the Swap Rate Spread and the Value of Your Notes
— Each Swap Rate represents the
fixed rate of interest payable on a U.S. dollar interest rate swap whose floating leg is based on three-month USD LIBOR. On July
27, 2017, the Chief Executive of the United Kingdom Financial Conduct Authority, which regulates LIBOR, announced that it intends
to stop persuading or compelling banks to submit rates for the calculation of LIBOR to the administrator of LIBOR after 2021. The
announcement indicates that the continuation of LIBOR on the current basis cannot and will not be guaranteed after 2021. It is
impossible to predict whether and to what extent banks will continue to provide LIBOR submissions to the administrator of LIBOR
or whether any additional reforms to LIBOR may be enacted in the United Kingdom or elsewhere. At this time, no consensus exists
as to what rate or rates may become accepted alternatives to LIBOR and it is impossible to predict the effect of any such alternatives
on the value of three-month USD LIBOR, and, therefore, on values of, and the method of calculating, the Swap Rates. Uncertainty
as to the nature of alternative reference rates to LIBOR and as to potential changes or other reforms to LIBOR may adversely affect
LIBOR rates, and therefore, the Swap Rates, during the term of the Notes, which may adversely affect the Swap Rate Spread and the
value of the Notes.
|
|
|
·
|
You Must Rely on Your Own Evaluation of the Merits of an Investment in the Notes
—
You should reach a decision whether to invest in the Notes after carefully considering, with
your advisors, the suitability of the Notes in light of your investment objectives and the specific information set forth in this
pricing supplement, the prospectus
and the prospectus supplement
. Neither the Issuer
nor Barclays Capital Inc. makes any recommendation as to the suitability of the Notes for investment.
|
|
|
·
|
Many Economic and Market Factors Will Impact the Value of the Notes
— In addition to the Swap Rate Spread on any
day, the value of the Notes will be affected by a number of economic and market factors that may either offset or magnify each
other, including:
|
|
|
o
|
the expected volatility of the Swap Rate Spread;
|
|
|
o
|
correlation (or lack of correlation) of the 10-Year Swap Rate and the 2-Year Swap Rate;
|
|
|
o
|
the time to maturity of the Notes;
|
|
|
o
|
interest and yield rates in the market generally;
|
|
|
o
|
supply and demand for the Notes;
|
|
|
o
|
a variety of economic, financial, political, regulatory and judicial events; and
|
|
|
o
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
|
|
·
|
The Estimated Value of Your Notes Is Lower Than the Initial Issue Price of Your Notes
— The estimated value of
your Notes on the Pricing Date is lower than the initial issue price of your Notes. The difference between the initial issue price
of your Notes and the estimated value of the Notes is a result of certain factors, such as any sales commissions to be paid to
Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid
to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring
the Notes, the estimated cost that we may incur in hedging our obligations under the Notes, and estimated development and other
costs that we may incur in connection with the Notes.
|
|
|
·
|
The Estimated Value of Your Notes Might Be Lower if Such Estimated Value Were Based on the Levels at Which Our Debt Securities
Trade in the Secondary Market
— The estimated value of your Notes on the Pricing Date is based on a number of variables,
including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities
trade in the secondary market. As a result of this difference, the estimated value referenced above might be lower if such estimated
value were based on the levels at which our benchmark debt securities trade in the secondary market.
|
|
|
·
|
The Estimated Value of the Notes Is Based on Our Internal Pricing Models, Which May Prove to Be Inaccurate and May Be Different
from the Pricing Models of Other Financial Institutions
— The estimated value of your Notes on the Pricing Date is based
on our internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions,
which may or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further,
our pricing models may be different from other financial institutions’ pricing models and the methodologies used by us to
estimate the value of the Notes may not be consistent with those of other financial institutions that may be purchasers or sellers
of Notes in the secondary market. As a result, the secondary market price of your Notes may be materially different from the estimated
value of the Notes determined by reference to our internal pricing models.
|
|
|
·
|
The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market,
if Any, and Such Secondary Market Prices, if Any, Will Likely Be Lower Than the Initial Issue Price of Your Notes and May Be Lower
Than the Estimated Value of Your Notes
— The estimated value of the Notes will not be a prediction of the prices at which
Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market
transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may be able to sell
your Notes in the secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions,
and any bid and ask spread for similar sized trades, and may be substantially less than our estimated value of the Notes. Further,
as secondary market prices of your Notes take into account the levels at which our debt securities trade in the secondary market,
and do not take into account our various costs related to the Notes such as fees, commissions, discounts, and the costs of hedging
our obligations under the Notes, secondary market prices of your Notes will likely be lower than the initial issue price of your
Notes. As a result, the price at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase
the Notes from you in secondary market transactions, if any, will likely be lower than the price you paid for your Notes, and any
sale prior to the Maturity Date could result in a substantial loss to you.
|
|
|
·
|
The Temporary Price at Which We May Initially Buy the Notes in the Secondary Market and the Value We May Initially Use for
Customer Account Statements, if We Provide Any Customer Account Statements at All, May Not Be Indicative of Future Prices of Your
Notes
— Assuming that all relevant factors remain constant after the Pricing Date, the price at which Barclays Capital
Inc. may initially buy or sell the Notes in the secondary market (if Barclays Capital Inc. makes a market in the Notes, which it
is not obligated to do) and the value that we may initially use for customer account statements, if we provide any customer account
statements at all, may exceed our estimated value of the Notes on the Pricing Date, as well as the secondary market value of the
Notes, for a temporary period after the initial Issue Date of the Notes. The price at which Barclays Capital Inc. may initially
buy or sell the Notes in the secondary market and the value that we may initially use for customer account statements may not be
indicative of future prices of your Notes.
|
|
|
·
|
We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect Your Notes in
Various Ways and Create Conflicts of Interest
— We and our affiliates play a variety of roles in connection with the
issuance of the Notes, as described below. In performing these roles, our and our affiliates’ economic interests are potentially
adverse to your interests as an investor in the Notes.
|
In connection with our normal business activities
and in connection with hedging our obligations under the Notes, we and our affiliates make markets in and trade various financial
instruments or products for our accounts and for the account of our clients and otherwise provide investment banking and other
financial services with respect to these financial instruments and products. These financial instruments and products may include
securities, derivative instruments or assets that may relate to the Swap Rates. In any such market making, trading and hedging
activity, investment banking and other financial services, we or our affiliates may take positions or take actions that are inconsistent
with, or adverse to, the investment objectives of the holders of the Notes. We and our affiliates have no obligation to take the
needs of any buyer, seller or holder of the Notes into account in conducting these activities. Such market making, trading and
hedging activity, investment banking and other financial services may negatively impact the value of the Notes.
In addition, the role played by Barclays Capital Inc.,
as the agent for the Notes, could present significant conflicts of interest with the role of Barclays Bank PLC, as issuer of the
Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from the distribution
of the Notes and such compensation or financial benefit may serve as an incentive to sell the Notes instead of other investments.
Furthermore, we and our affiliates establish the offering price of the Notes for initial sale to the public, and the offering price
is not based upon any independent verification or valuation.
In addition to the activities described above, we
will also act as the Calculation Agent for the Notes. As Calculation Agent, we will determine any values of the Swap Rates, calculate
the Swap Rate Spread and make any other determinations necessary to calculate any payments on the Notes. In making these determinations,
we may be required to make discretionary judgments, such as selecting dealer quotations or determining a Swap Rate when that Swap
Rate is otherwise unavailable, as described under the risk factor titled “—The Swap Rates may be calculated based on
dealer quotations or by the Calculation Agent in good faith and in a commercially reasonable manner” above. In making these
discretionary judgments, our economic interests are potentially adverse to your interests as an investor in the Notes, and any
of these determinations may adversely affect any payments on the Notes.
The Swap Rate Spread and the Swap Rates
The Swap Rate Spread
The Swap Rate Spread for any Interest Determination Date is
the 10-Year Swap Rate minus the 2-Year Swap Rate, each as determined on that Interest Determination Date.
The Swap Rates
The 10-Year Swap Rate is, on any Interest Determination Date
in the Floating-Rate Period, the fixed rate of interest payable on a U.S. dollar interest rate swap with a 10-year maturity as
reported on Reuters page ICESWAP1 (or such other page as may replace that page on such service) as of 11:00 a.m. New York City
time on that Interest Determination Date. The 10-Year Swap Rate is one of the market-accepted indicators of longer-term interest
rates.
The 2-Year Swap Rate is, on any Interest Determination Date
in the Floating-Rate Period, the fixed rate of interest payable on a U.S. dollar interest rate swap with a 2-year maturity as reported
on Reuters page ICESWAP1 (or such other page as may replace that page on such service) as of 11:00 a.m. New York City time on that
Interest Determination Date. The 2-Year Swap Rate is one of the market-accepted indicators of short-term interest rates.
A U.S. dollar interest rate swap, at any given time, generally
indicates the fixed rate of interest (paid annually) that a counterparty in the swaps market would have to pay for a given maturity
in order to receive a floating rate (paid quarterly) equal to three-month USD London Interbank Offered Rate for that same maturity.
Three-month USD LIBOR reflects the rate at which banks lend U.S. dollars to each other for a term of three months in the London
interbank market.
See “Reference Assets—Floating Interest Rate—ICE
Swap Rate” in the accompanying prospectus supplement for information regarding the procedures that will be applied by the
Calculation Agent if either Swap Rate cannot be determined in the manner described above on any Interest Determination Date during
the Floating-Rate Period.
Historical Information
The first graph below sets forth the historical performances
of the 10-Year Swap Rate and the 2-Year Swap Rate from January 2, 2013 through February 9, 2018. On February 9, 2018, the 10-Year
Swap Rate was 2.852% and the 2-Year Swap Rate was 2.355%. The second graph below sets forth the historical Swap Rate Spread (i.e.,
the difference between the 10-Year Swap Rate and the 2-Year Swap Rate) from January 2, 2013 through February 9, 2018. On February
9, 2018, the Swap Rate Spread was 0.497%.
We obtained the Swap Rates in this section from Bloomberg Professional
®
service, without independent verification. The Swap Rates on each Interest Determination Date will be the applicable Swap Rate
as reported on Reuters page ICESWAP1. Historical performance of the Swap Rates and the Swap Rate Spread should not be taken as
an indication of future performance. Future performance of the Swap Rates and the Swap Rate Spread may differ significantly from
historical performance, and no assurance can be given as to the Swap Rates or the Swap Rate Spread during the term of the Notes,
including on any Interest Determination Date.
PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS.
Certain Employee Retirement Income Security Act Considerations
Your purchase of a Note in
an Individual Retirement Account (an “IRA”), will be deemed to be a representation and warranty by you, as a fiduciary
of the IRA and also on behalf of the IRA, that (i) neither the Issuer, the placement agent nor any of their respective affiliates
has or exercises any discretionary authority or control or acts in a fiduciary capacity with respect to the IRA assets used to
purchase the Note or renders investment advice (within the meaning of Section 3(21)(A)(ii) of the Employee Retirement Income Security
Act (“ERISA”)) with respect to any such IRA assets and (ii) in connection with the purchase of the Note, the IRA will
pay no more than “adequate consideration” (within the meaning of Section 408(b)(17) of ERISA) and in connection with
any redemption of the Note pursuant to its terms will receive at least adequate consideration, and, in making the foregoing representations
and warranties, you have (x) applied sound business principles in determining whether fair market value will be paid, and (y) made
such determination acting in good faith.