New Issue: Barclays prices $5 million capped steepener notes linked to CMS rates

By Sarah Lizee

Olympia, Wash., March 28 – Barclays Bank plc priced $5 million of capped callable CMS steepener notes due March 29, 2038, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be fixed at 10% for the first two years. After that, it will be 10 times the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate, up to a maximum interest rate of 10%. Interest will be payable quarterly and cannot be less than zero.

The payout at maturity will be par.

Beginning March 29, 2019, the notes will be callable at par on any interest payment date.

Barclays is the agent.

Issuer:	Barclays Bank plc
Issue:	Capped callable CMS steepener notes
Underlying rates:	30-year CMS rate, two-year CMS rate
Amount:	$5 million
Maturity:	March 29, 2038
Coupon:	10% initially; beginning March 29, 2019, 10 times spread of 30-year CMS rate over two-year CMS rate, capped at 10% with 0% floor; payable quarterly
Price:	Variable
Payout at maturity:	Par
Call option:	At par on any interest payment date beginning March 29, 2019
Pricing date:	March 26
Settlement date:	March 29
Agent:	Barclays
Fees:	5%
Cusip:	06744CZF1

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