Lloyds sets index reference level for notes tied to S&P 500, CMS rates

By Angela McDaniels

Tacoma, Wash., Aug. 28 - Lloyds TSB Bank plc set the index reference level for its $3 million of callable fixed-to-floating-rate notes due Aug. 28, 2033 linked to the S&P 500 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.

The index reference level is 1,247.625, which is 75% of the index's closing level on Aug. 23.

As previously reported, Morgan Stanley & Co. LLC is the agent.

The interest rate is 8% for the first year. Beginning Aug. 28, 2014, the interest rate will be the applicable interest rate multiplied by the proportion of days on which the 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 at least 50 basis points. The applicable interest rate will be 8% initially and will step up to 9% on Aug. 28, 2018 and to 10% on Aug. 28, 2028. Interest is payable quarterly.

The payout at maturity will be par.

Beginning Aug. 28, 2018, the notes will be callable at par on any interest payment date.

The notes priced Aug. 12 and settled Aug. 28.

The Cusip number is 5394E8BZ1.

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