Barclays plans steepener range accrual notes on CMS rates, Russell

By Marisa Wong

Madison, Wis., Sept. 13 - Barclays Bank plc plans to price principal at risk steepener range accrual notes due Sept. 27, 2028 linked to the CMS spread and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon is equal to the applicable rate times the proportion of days on which the index closes at or above the barrier level, 72.5% of the initial level. The applicable rate is 11% for the first year. Beginning Sept. 27, 2014, the applicable rate is 4.25 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a minimum rate of 0% and a maximum rate of 11%. 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 the payout will be par plus the index return with full exposure to losses.

Barclays is the agent.

The notes will price on Sept. 24 and settle on Sept. 27.

The Cusip number is 06741TM20.

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