By Susanna Moon
Chicago, Jan. 19 - Barclays Bank plc priced $5 million of callable CMS steepener range accrual notes with index-linked barrier due Feb. 17, 2021, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will accrue at 8% for the first year. After that, the rate will be four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the S&P 500 index is at or above 875, up to a maximum rate of 8%. Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par.
The notes will be callable at par on any interest payment date beginning Feb. 17, 2011.
Barclays Capital Inc. is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Callable CMS steepener range accrual notes with index-linked barrier
|
| Amount: | $5 million
|
| Maturity: | Feb. 17, 2021
|
| Coupon: | 8% for one year; then four times spread of 30-year CMS rate over two-year CMS rate for each day that S&P 500 is at least 875, capped at 8%, floor of zero; payable quarterly
|
| Price: | Variable
|
| Payout at maturity: | Par
|
| Call option: | At par on interest payment dates after one year
|
| Pricing date: | Jan. 19
|
| Settlement date: | Feb. 17
|
| Agent: | Barclays Capital Inc.
|
| Fees: | 2.5%
|
| Cusip: | 06741JCE7
|
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