Published on 3/26/2014 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $4.3 million CMS steepener, Russell 2000-linked notes
By Jennifer Chiou
New York, March 26 - Barclays Bank plc priced $4.3 million of principal-at-risk callable CMS steepener and Russell 2000 index-linked notes due March 27, 2029, according to a 424B2 filing with the Securities and Exchange Commission.
Beginning on March 27, 2015, the notes are callable at par plus any accrued interest on any interest payment date.
The initial interest rate is 8%. After one year, the interest rate will be equal to 5.5 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 8%. 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 callable CMS steepener and Russell 2000 index-linked notes
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Amount: | $4.3 million
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Maturity: | March 27, 2029
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Coupon: | 8% for one year; then 5.5 times spread of 30-year CMS rate over two-year CMS rate, capped at 8%, 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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Call option: | At par plus accrued interest on any interest payment date beginning March 27, 2015
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Initial index level: | 1,178.23
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Barrier level: | 589.12, 50% of initial level
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Pricing date: | March 24
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Settlement date: | March 27
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Agent: | Barclays
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Fees: | 5%
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Cusip: | 06741T7K7
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