By Jennifer Chiou
New York, Feb. 26 - Lloyds TSB Bank plc priced $7 million of senior callable range accrual notes due Feb. 26, 2033 linked to the Russell 2000 index and the difference between the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a 424B5 filing with the Securities and Exchange Commission.
Morgan Stanley & Co. LLC is the agent.
Interest will accrue at 7% multiplied by the proportion of days on which the index closes at or above the index reference level, which is 80% of the index's closing level on Feb. 21, and the spread of the 30-year CMS rate over the two-year CMS rate is greater than or equal to zero. Interest is payable quarterly.
The payout at maturity will be par.
Beginning on Feb. 26, 2018, the notes will be callable at par on any interest payment date.
| Issuer: | Lloyds TSB Bank plc
|
| Issue: | Senior callable range accrual notes
|
| Underlyings: | Russell 2000 index, 30-year CMS rate and two-year CMS rate
|
| Amount: | $7 million
|
| Maturity: | Feb. 26, 2033
|
| Coupon: | 7% multiplied by the proportion of days on which index closes at or above the index reference level and the spread of the 30-year CMS rate over the two-year CMS rate is greater than or equal to zero; payable quarterly
|
| Index reference level: | 724.32, 80% of index's closing level on Feb. 21
|
| Price: | Variable prices from 97 to par
|
| Payout at maturity: | Par
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| Pricing date: | Feb. 21
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| Settlement date: | Feb. 26
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 5394E8BQ1
|
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