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

By Marisa Wong

Madison, Wis., Aug. 29 - Barclays Bank plc plans to price principal at risk CMS steepener and Russell 2000 index-linked notes due Sept. 13, 2028, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon is 10% initially. After one year, the interest rate will be equal to 4.25 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 11%. 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.

The notes will price on Sept. 10 and settle on Sept. 13.

The Cusip number is 06741TF85.

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