By Jennifer Chiou
New York, July 7 – Barclays Bank plc priced $10 million of callable leveraged steepener notes due July 31, 2034 linked to the 30-year Constant Maturity Swap rate and the five-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 10% for the first year. After that, the interest rate will be 8 times the spread of the 30-year CMS rate over the five-year CMS rate minus the strike of 25 basis points, subject to a minimum of zero and a maximum of 10% per year. Interest is payable quarterly.
The payout at maturity will be par.
Beginning on July 31, 2015, the notes are callable at par on any interest payment date.
Barclays is the agent. Morgan Stanley & Co. LLC is a dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Callable leveraged steepener notes
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| Underlying rates: 30-year and five-year Constant Maturity Swap rates
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| Amount: | $10 million
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| Maturity: | July 31, 2034
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| Coupon: | 10% for first year; after that, 8 times spread of 30-year CMS rate over five-year CMS rate minus the strike of 25 basis points, subject to minimum of zero and maximum of 10% per year; payable quarterly
|
| Price: | Variable
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| Payout at maturity: | Par
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| Call option: | At par on any interest payment date from July 31, 2015 onward
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| Pricing date: | July 2
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| Settlement date: | July 31
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| Agent: | Barclays
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| Selected dealer: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
|
| Cusip: | 06741UFM1
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