Barclays to price callable leveraged steepener notes tied to CMS rates

By Jennifer Chiou

New York, July 31 – Barclays Bank plc plans to price callable leveraged steepener notes due Aug. 28, 2029, according to an FWP with the Securities and Exchange Commission.

The coupon will be 8% for the first year. After that, interest will be equal to 8 times the reference rate, subject to a cap of 8% 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 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 Aug. 28, 2015.

The notes (Cusip: 06741UGX6) are expected to price on Aug. 1 and settle on Aug. 29.

Barclays is the agent. Morgan Stanley & Co. LLC is a dealer.

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