Published on 9/25/2013 in the Prospect News Structured Products Daily.
New Issue: Lloyds prices $3 million fixed-to-floaters linked to S&P 500, CMS rates
By Susanna Moon
Chicago, Sept. 25 - Lloyds Bank plc priced $3 million of senior callable fixed-to-floating-rate notes due Oct. 17, 2033 linked to the S&P 500 index, according to a 424B5 filing with the Securities and Exchange Commission.
Morgan Stanley & Co. LLC is the agent.
Interest will be 10% for the first year. After that, it will accrue at a rate for each day that the index closes at or above the 70% index barrier level at a multiple of the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, up to a maximum rate of 10%. Interest is payable quarterly and cannot be less than zero.
The multiplier will be 4 times initially, stepping up to 5 times on Oct. 17, 2018, to 6 times on Oct. 17, 2023 and to 7 times on Oct. 17, 2028.
The payout at maturity will be par.
The notes will be callable at par on any interest payment date after five years.
| Issuer: | Lloyds Bank plc
|
| Issue: | Senior callable fixed-to-floating-rate notes
|
| Underlyings: | S&P 500 index, 30-year CMS rate and two-year CMS rate
|
| Amount: | $3 million
|
| Maturity: | Oct. 17, 2033
|
| Coupon: | 10% initially; beginning Oct. 17, 2014, accrue at a multiple of the spread of the 30-year CMS rate over the two-year CMS rate for each day that index closes at or above barrier level, capped at 10%; multiplier will be 4 times initially, stepping up to 5 times on Oct. 17, 2018, to 6 times on Oct. 17, 2023 and to 7 times on Oct. 17, 2028; payable quarterly
|
| Price: | Variable
|
| Payout at maturity: | Par
|
| Call option: | At par on any interest payment date beginning Oct. 17, 2018
|
| Barrier level: | 70% of index closing level on Oct. 11
|
| Pricing date: | Sept. 24
|
| Settlement date: | Oct. 17
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 5394E8CB3
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
