By Angela McDaniels
Tacoma, Wash., July 21 - Barclays Bank plc priced $16.31 million of curve accrual notes due July 22, 2026 linked to the 10-year and two-year Constant Maturity Swap rates, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is equal to the above-barrier rate multiplied by the proportion of days on which the 10-year CMS rate is greater than or equal to the two-year CMS rate. The above-barrier rate is 5% in years one through five, 6.5% in years six through 10 and 9.25% in years 11 through 15. Interest is payable semiannually.
The payout at maturity will be par.
The notes are callable at par on any interest payment date after one year.
Barclays Capital Inc. is the agent. It will use all or a portion of its commissions to pay selling concessions to other dealers including Morgan Stanley Smith Barney LLC.
| Issuer: | Barclays Bank plc
|
| Issue: | Curve accrual notes
|
| Underlying: | 10-year and two-year Constant Maturity Swap rates
|
| Amount: | $16,309,000
|
| Maturity: | July 22, 2026
|
| Coupon: | Above-barrier rate multiplied by proportion of days on which 10-year CMS rate is greater than or equal to two-year CMS rate; above-barrier rate is 5% in years one through five, 6.5% in years six through 10 and 9.25% in years 11 through 15; payable semiannually
|
| Price: | Par
|
| Payout at maturity: | Par
|
| Call option: | At par on any interest payment date from July 22, 2012 onward
|
| Pricing date: | July 19
|
| Settlement date: | July 22
|
| Agent: | Barclays Capital Inc.
|
| Fees: | 2.175%
|
| Cusip: | 06738KPB1
|
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