Add to balance / Manage account | User: | Log out |
Prospect News home > News index > List of issuers 3 > Headlines for 30-year Constant Maturity Swap rate > News item |
Barclays plans steepener notes linked to CMS rates, Russell 2000
By Jennifer Chiou
New York, Jan. 9 - Barclays Bank plc plans to price principal-at-risk callable steepener notes due Jan. 31, 2029 linked to the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The initial interest rate will be 10%. Beginning on Jan. 31, 2015, the interest rate per year will equal the product of (a) four times the CMS spread, which is the 30-year CMS rate minus the two-year CMS rate, subject to a maximum of 10% and a minimum of zero, multiplied by (b) the proportion of days on which the index closes at or above the index barrier level, which is 50% of the initial level. 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 investors will lose 1% for every 1% that the final index level is less than the initial index level.
Beginning on Jan. 31, 2015, the notes will be callable at par on any interest payment date.
The notes (Cusip: 06741T4H7) are expected to price on Jan. 28 and settle on Jan. 31.
Barclays is the underwriter.
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.