Published on 1/29/2014 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1.6 million principal-at-risk CMS steepener, Russell-linked notes
By Marisa Wong
Madison, Wis., Jan. 29 - Barclays Bank plc priced $1.6 million of principal-at-risk CMS steepener and Russell 2000 index-linked notes due Jan. 31, 2029, according to a 424B2 filing with the Securities and Exchange Commission.
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
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Issue: | Principal-at-risk CMS steepener and Russell 2000 index-linked notes
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Amount: | $1.6 million
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Maturity: | Jan. 31, 2029
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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
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Price: | Variable
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Payout at maturity: | Par unless final index level is less than 50% of the initial level, in which case full exposure to losses
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Initial index level: | 1,138.24
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Barrier level: | 569.12, 50% of initial level
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Pricing date: | Jan. 28
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Settlement date: | Jan. 31
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Agents: | Barclays
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Fees: | 5%
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Cusip: | 06741T4H7
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