Published on 7/21/2014 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $2.5 million CMS steepener notes linked to S&P 500
By Angela McDaniels
Tacoma, Wash., July 21 – Barclays Bank plc priced $2.5 million of principal-at-risk callable CMS steepener and S&P 500 index-linked notes due July 22, 2024, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 7.1% for the first year. Beginning July 22, 2015, it will be four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a maximum interest rate of 7.1%. Interest is payable quarterly and cannot be less than zero.
If the final index level is greater than or equal to 50% of the initial index 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 July 22, 2015, the notes will be callable at par on any interest payment date.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Principal-at-risk callable CMS steepener and S&P 500 index-linked notes
|
| Underlings: | 30-year CMS rate, two-year CMS rate, S&P 500
|
| Amount: | $2.5 million
|
| Maturity: | July 22, 2024
|
| Coupon: | 7.1% for first year; beginning July 22, 2015, four times spread of 30-year CMS rate over two-year CMS rate, subject to floor of zero and maximum interest rate of 7.1%; payable quarterly
|
| Price: | Variable prices
|
| Payout at maturity: | If final index level is greater than or equal to barrier level, par; otherwise, 1% loss for every 1% that final index level is less than initial index level
|
| Call option: | At par on any interest payment date from July 22, 2015 onward
|
| Initial index level: | 1,958.12
|
| Barrier level: | 979.06, 50% of initial level
|
| Pricing date: | July 17
|
| Settlement date: | July 22
|
| Agents: | Barclays
|
| Fees: | 2.75%
|
| Cusip: | 06741UFT6
|
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