Barclays to price leveraged notes linked to 30-year Euro CMS rate

By Marisa Wong

Madison, Wis., May 11 – Barclays Bank plc plans to price 0% leveraged 30-year Euro Constant Maturity Swap rate-linked notes, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature between 45 and 60 months after issue.

The payout at maturity will be the greater of (a) $900 and (b) $1,000 plus the product of (i) $1,000 times (ii) 10 times (iii) the difference of the final swap rate minus the strike swap rate.

The strike swap rate will be the initial swap rate plus a spread of 0 to 50 basis points, which will be set at pricing.

Barclays is the agent.

The Cusip number is 06741UVZ4.

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