Barclays to price callable range accrual notes linked to CMS spread

By Toni Weeks

San Luis Obispo, Calif., April 2 - Barclays Bank plc plans to price callable range accrual notes due April 30, 2029 linked to the CMS spread, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon is equal to the applicable rate times the proportion of days on which the 30-year Constant Maturity Swap Rate minus the five-year CMS rate is greater than 25 basis points. The applicable rate is initially 6%, stepping up to 7% on April 30, 2021 and to 8% on April 30, 2025. Interest is payable quarterly.

The payout at maturity will be par.

The notes are callable on any interest payment date after one year.

Barclays is the agent.

The notes (Cusip: 06741UBL7) will price April 25 and settle April 30.

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