Barclays plans to price callable CMS steepener, S&P 500-linked notes

By Marisa Wong

Madison, Wis., July 7 – Barclays Bank plc plans to price principal-at-risk callable CMS steepener and S&P 500 index-linked notes due July 22, 2024, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is 7.1% for the first year. Beginning July 22, 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 7.1% 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 July 22, 2015, the notes will be callable at par on any interest payment date.

Barclays is the agent.

The notes will price on July 17 and settle on July 22.

The Cusip number is 06741UFT6.

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