Barclays plans steepener range accrual notes on CMS rates, Russell

By Jennifer Chiou

New York, Nov. 7 - Barclays Bank plc plans to price principal at risk steepener range accrual callable notes due Nov. 22, 2023 linked to the CMS spread and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 10% for the first year. After that, it is equal to five times the spread of the 30-year Constant Maturity Swap rate over the five-year CMS rate, subject to a minimum rate of 0% and a maximum rate of 10%. Interest is payable quarterly.

The notes are callable in whole or in part beginning on Nov. 22, 2014.

If the notes are not called, the payout at maturity will be par unless the final index level is less than 50% of the initial level, in which case the payout will be par plus the index return with full exposure to losses.

The notes (Cusip: 06741TX77) are expected to price on Nov. 18 and settle on Nov. 21.

Barclays is the agent.

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