New Issue: Barclays prices $5.78 million steepener range accrual notes linked to CMS rates, Russell 2000

By Angela McDaniels

Tacoma, Wash., Nov. 20 - Barclays Bank plc priced $5.78 million of principal-at-risk steepener range accrual callable notes due Nov. 22, 2023 linked to the 30-year Constant Maturity Swap rate, the five-year Constant Maturity Swap rate and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The initial interest rate is 10%. Beginning Nov. 22, 2014, the interest rate per year will equal the product of (a) five times the spread of the 30-year CMS rate over the five-year CMS rate, subject to a maximum of 10% and a minimum of zero, multiplied by (b) the proportion of days on which the index closes at or above the coupon barrier level, which is 60% of the initial level. Interest is payable quarterly.

The payout at maturity will be par unless the final index level is less than 50% of the initial level, in which case investors will lose 1% for every 1% that the final index level is less than the initial index level.

Beginning Nov. 22, 2014, the notes will be callable at par on any interest payment date.

Barclays is the agent.

Issuer:	Barclays Bank plc
Issue:	Principal-at-risk steepener range accrual callable notes
Underlyings:	30-year CMS rate, five-year CMS rate, Russell 2000 index
Amount:	$5,784,000
Maturity:	Nov. 22, 2023
Coupon:	Initially 10%; beginning Nov. 22, 2014, product of (a) five times spread of 30-year CMS rate over five-year CMS rate, subject to maximum of 10% and minimum of zero, multiplied by (b) proportion of days on which index closes at or above coupon barrier level; payable quarterly
Price:	Variable prices
Payout at maturity:	Par unless final index level is less than barrier level, in which case 1% loss for every 1% that final index level is less than initial index level
Initial index level:	1,107.29
Coupon barrier level:	664.37, or 60% of initial index level
Final barrier level:	553.65, or 50% of initial index level
Pricing date:	Nov. 18
Settlement date:	Nov. 21
Agent:	Barclays
Fees:	Up to 5%
Cusip:	06741TX77

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