New Issue: Barclays prices $2 million CMS steepener, Russell 2000-linked notes

By Jennifer Chiou

New York, March 26 - Barclays Bank plc priced $2 million of principal-at-risk callable CMS steepener and Russell 2000 index-linked notes due March 27, 2029, according to a 424B2 filing with the Securities and Exchange Commission.

Beginning on March 27, 2016, the notes are callable at par plus any accrued interest on any interest payment date.

The initial interest rate is 10%. After two years, the interest rate will be equal to 5.5 times the spread of the 30-year Constant Maturity Swap rate over the five-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:	$2 million
Maturity:	March 27, 2029
Coupon:	10% for two years; then 5.5 times spread of 30-year CMS rate over five-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 March 27, 2016
Initial index level:	1,178.23
Barrier level:	589.12, 50% of initial level
Pricing date:	March 24
Settlement date:	March 27
Agent:	Barclays
Fees:	5%
Cusip:	06741T6W2

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