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Barclays plans steepener range accrual notes on CMS rates, Russell
By Toni Weeks
San Luis Obispo, Calif., Oct. 3 - Barclays Bank plc plans to price 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 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.
The notes (Cusip: 06741TS24) will price Oct. 15 and settle Oct. 18.
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