Published on 10/16/2013 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1.69 million steepener range accrual notes on CMS rates, Russell 2000
By Jennifer Chiou
New York, Oct. 16 - Barclays Bank plc priced $1,685,000 of principal at risk steepener range accrual notes due Oct. 18, 2028 linked to the CMS spread and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon is equal to the applicable rate times the proportion of days on which the index closes at or above the barrier level, 60% of the initial level. The applicable rate is 10% for the first year. Beginning on Oct. 18, 2014, the applicable rate is four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a minimum rate of 0% and a maximum rate of 10%. 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 the payout will be par plus the index return with full exposure to losses.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Principal at risk steepener range accrual notes
|
| Underlying index: | Russell 2000
|
| Amount: | $1,685,000
|
| Maturity: | Oct. 18, 2028
|
| Coupon: | Applicable rate times proportion of days on which index closes at or above coupon barrier level; applicable rate is 10% for first year; beginning Oct. 18, 2014, applicable rate is 4 times spread of 30-year CMS rate over two-year CMS rate, with floor of 0% and cap of 10%; payable quarterly
|
| Price: | Variable
|
| Payout at maturity: | Par unless final index level is less than final barrier level, in which case par plus index return with full exposure to losses
|
| Initial level: | 1,079.62
|
| Coupon barrier level: | 647.77, 60%
|
| Final barrier level: | 539.81, 50% of initial level
|
| Pricing date: | Oct. 11
|
| Settlement date: | Oct. 18
|
| Agent: | Barclays
|
| Fees: | 5%
|
| Cusip: | 06741TS24
|
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