Barclays plans principal-at-risk CMS steepener, S&P 500-linked notes

By Angela McDaniels

Tacoma, Wash., Sept. 9 - Barclays Bank plc plans to price principal-at-risk CMS steepener and S&P 500 index-linked notes due Sept. 18, 2028, according to a 424B2 filing with the Securities and Exchange Commission.

The initial interest rate is expected to be 10%. After one year, the interest rate will be equal to four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a minimum rate that is expected to be zero and a maximum rate that is expected to be 10%. Interest will be payable quarterly.

The payout at maturity will be par unless the final index level is less than 50% of the initial level, in which case investors will lose 1% for every 1% that the final index level is less than the initial level.

Beginning Sept. 18, 2015, the notes will be callable at par on any interest payment date.

Barclays is the agent.

The notes will settle Sept. 18.

The Cusip number is 06741TJ96.

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