Barclays plans principal-at-risk CMS steepener notes linked to Russell

By Angela McDaniels

Tacoma, Wash., June 22 – Barclays Bank plc plans to price principal-at-risk callable CMS steepener and Russell 2000 index-linked notes due July 15, 2025, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is expected to be 8% for the first year. Beginning July 15, 2016, it will be six times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate minus 25 basis points, subject to a maximum interest rate and a minimum interest rate that are expected to be 8% per year and zero, respectively. Interest will be payable quarterly.

The exact initial, maximum and minimum interest rates will be set at pricing.

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 July 15, 2016, the notes will be callable at par on any interest payment date.

Barclays is the agent.

The notes will price July 10 and settle July 15.

The Cusip number is 06741UYS7.

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