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Barclays to price callable leveraged steepener notes tied to CMS rates
By Jennifer Chiou
New York, July 1 – Barclays Bank plc plans to price callable leveraged steepener notes due July 31, 2034, according to an FWP with the Securities and Exchange Commission.
The coupon will be 10% for the first year. After that, interest will be equal to 8 times the reference rate, subject to a cap of 10% and a floor of 0%. The reference rate is the spread of the 30-year Constant Maturity Swap rate over the five-year CMS rate minus the strike of 25 basis points. Interest is payable quarterly.
The payout at maturity will be par.
The notes will be callable in whole or in part on any interest payment date beginning on July 31, 2015.
The notes (Cusip: 06741UFM1) are expected to price on July 2 and settle on July 31.
Barclays is the agent. Morgan Stanley & Co. LLC is a dealer.
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