Barclays to price principal-at-risk notes linked to CMS rates, Russell

By Angela McDaniels

Tacoma, Wash., March 31 - Barclays Bank plc plans to price principal-at-risk callable CMS steepener notes due April 16, 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 interest rate is expected to be 10.75% for the first year. Beginning April 16, 2015, it will be four times the spread of the 30-year CMS rate over the two-year CMS rate, subject to a minimum rate of zero and a maximum rate that is expected to be 10.75% per year. Interest will be payable quarterly.

If the final index level is greater than or equal to the barrier level, 50% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the final index level is less than the initial index level.

Beginning April 16, 2015, the notes will be callable at par on any interest payment date.

Barclays is the agent.

The notes will price April 11 and settle April 16.

The Cusip number is 06741UBH6.

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