A story in the Jan. 30 edition of the Prospect News Structured Products Daily left out the call details of an upcoming issue of principal-at-risk CMS steepener and Russell 2000 index-linked notes. A corrected version of the story follows:
New York, Jan. 31 - Barclays Bank plc priced $1.6 million of principal-at-risk callable CMS steepener and Russell 2000 index-linked notes due Jan. 31, 2029, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are callable at par plus any accrued interest on any interest payment date after one year.
The initial interest rate is 10%. After one year, the interest rate will be equal to 4 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 will be 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 investors will lose 1% for every 1% that the final index level is less than the initial level.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Principal-at-risk callable CMS steepener and Russell 2000 index-linked notes
|
| Amount: | $1.6 million
|
| Maturity: | Jan. 31, 2029
|
| Coupon: | 10% for one year; then 4 times spread of 30-year CMS rate over two-year CMS rate, capped at 10%, floor of 0%; payable quarterly
|
| Price: | Variable
|
| Payout at maturity: | Par unless final index level is less than 50% of the initial level, in which case full exposure to losses
|
| Call option: | At par plus accrued interest on any interest payment date beginning July 31, 2015
|
| Initial index level: | 1,138.24
|
| Barrier level: | 569.12, 50% of initial level
|
| Pricing date: | Jan. 28
|
| Settlement date: | Jan. 31
|
| Agents: | Barclays
|
| Fees: | 5%
|
| Cusip: | 06741T4H7
|
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