Published on 5/12/2014 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $2 million CMS steepener, Russell 2000-linked notes
By Marisa Wong
Madison, Wis., May 12 - Barclays Bank plc priced $2 million of principal-at-risk callable CMS steepener and Russell 2000 index-linked notes due May 14, 2029, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 11% for the first year. Beginning May 14, 2015, the interest rate will be four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a minimum rate of zero and a maximum rate of 11% per year. Interest is 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 May 14, 2015, the notes will be callable at par on any interest payment date.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Principal-at-risk callable CMS steepener and Russell 2000 index-linked notes
|
| Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
|
| Amount: | $2 million
|
| Maturity: | May 14, 2029
|
| Coupon: | 11% for first year; beginning May 14, 2015, four times spread of 30-year CMS rate over two-year CMS rate, subject to minimum of zero and maximum of 11% per year; payable quarterly
|
| Price: | Variable prices
|
| Payout at maturity: | Par unless final index level is less than barrier level, in which case 1% loss for every 1% that final index level is less than initial level
|
| Initial index level: | 1,107.22
|
| Barrier level: | 553.61, 50% of initial level
|
| Pricing date: | May 9
|
| Settlement date: | May 14
|
| Agent: | Barclays
|
| Fees: | 4%
|
| Cusip: | 06741UCT9
|
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