Barclays plans steepener notes linked to CMS rates, Russell 2000

By Toni Weeks

San Luis Obispo, Calif., March 4 - Barclays Bank plc plans to price principal-at-risk callable steepener notes due March 27, 2029 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 will be 10%. Beginning on March 27, 2016, the interest rate per year will equal the product of (a) 5.5 times the CMS spread, which is the 30-year CMS rate minus the five-year CMS rate, subject to a maximum of 10% and a minimum of zero. Interest is payable quarterly.

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

Beginning on March 27, 2016, the notes will be callable at par on any interest payment date.

The notes (Cusip: 06741T6W2) are expected to price on March 24 and settle on March 27.

Barclays is the underwriter.

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