Barclays to price CMS-linked curve accrual notes with step-up feature

By Angela McDaniels

Tacoma, Wash., Aug. 25 - Barclays Bank plc plans to price curve accrual notes due Sept. 14, 2026 linked to the 10-year and two-year Constant Maturity Swap rates, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is equal to the above-barrier rate multiplied by the proportion of days on which the 10-year CMS rate is greater than or equal to the two-year CMS rate. The above-barrier rate is 5% in years one through five, 6% in years six through 10 and 8.25% in years 11 through 15. Interest is payable semiannually.

The payout at maturity will be par.

Beginning Sept. 14, 2012, the notes will be callable at par on any interest payment date.

The notes (Cusip: 06738KSV4) will price Sept. 9 and settle Sept. 14.

Barclays Capital Inc. is the agent. It will use all or a portion of its commissions to pay selling concessions to other dealers including Morgan Stanley Smith Barney LLC.

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