Published on 10/10/2014 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $2.5 million callable CMS steepener, Russell-tied notes
By Marisa Wong
Madison, Wis., Oct. 10 – Barclays Bank plc priced $2.5 million of principal-at-risk callable CMS steepener and Russell 2000 index-linked notes due Oct. 10, 2029, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 12% for the first year. Beginning Oct. 10, 2015, it will be four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a maximum interest rate of 12% and a minimum interest rate of 0%. Interest will be payable quarterly.
If the final index level is greater than or equal to 50% of the initial index level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the final index level is less than the initial index level.
Beginning Oct. 10, 2015, the notes will be callable at par on any interest payment date.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Principal-at-risk callable CMS steepener and Russell 2000 index-linked notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
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| Amount: | $5 million
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| Maturity: | Oct. 10, 2029
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| Coupon: | 12% for first year; beginning Oct. 10, 2015, four times spread of 30-year CMS rate over two-year CMS rate, capped at 12% with floor of 0%; payable quarterly
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| Price: | Variable
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| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
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| Call option: | Beginning Oct. 10, 2015, at par on any interest payment date
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| Initial index level: | 1,076.31
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| Barrier level: | 538.16, 50% of initial level
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| Pricing date: | Oct. 7
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| Settlement date: | Oct. 10
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| Agent: | Barclays
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| Fees: | 5%
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| Cusip: | 06741UKE3
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