Barclays to price pay at maturity notes linked to 30-year CMS rate

By Angela McDaniels

Tacoma, Wash., March 17 - Barclays Bank plc plans to price zero-coupon pay at maturity notes due March 31, 2022 linked to the 30-year Constant Maturity Swap rate and contingent on Libor, according to a 424B2 filing with the Securities and Exchange Commission.

If Libor is greater than 7% at maturity, the payout at maturity will be par.

If Libor is less than or equal to 7% at maturity, the payout will be par plus 10 times the spread of the final 30-year CMS rate over the strike, subject to a minimum payout of par. The strike is expected to be 1.25% to 1.75% and will be set at pricing.

Barclays is the agent.

The notes will price March 26 and settle March 31.

The Cusip number is 06741UAM6.

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