Barclays plans dual barrier notes linked to 10-year CMS rate, Russell

By Angela McDaniels

Tacoma, Wash., Sept. 10 - Barclays Bank plc plans to price principal-at-risk callable dual barrier fixed-rate notes due Sept. 27, 2023 linked to the 10-year Constant Maturity Swap rate and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a coupon at an annualized rate of 10% if the 10-year CMS rate is less than or equal to 6% and the closing level of the index is greater than or equal to the index barrier, 72.5% of the initial index level, on the observation date for that quarter.

If the final index level is at least 55% of the initial index level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the index declines below the initial level.

Beginning Sept. 27, 2016, the notes will be callable at par on any interest payment date.

Barclays is the underwriter.

The notes are expected to price Sept. 24 and settle Sept. 27.

The Cusip number is 06741TK97.

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