Barclays plans steepener range accrual notes tied to CMS rates, Russell

By Angela McDaniels

Tacoma, Wash., Jan. 2 - Barclays Bank plc plans to price principal-at-risk steepener range accrual callable notes due Jan. 24, 2024 linked to the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the Russell 2000 index, according to an 424B2 filing with the Securities and Exchange Commission.

The initial interest rate will be 10%. Beginning Jan. 24, 2015, the interest rate per year will equal the product of (a) four times the CMS spread, which is the 30-year CMS rate minus the two-year CMS rate minus 35 basis points, 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 index 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 Jan. 24, 2015, the notes will be callable at par on any interest payment date.

Barclays is the underwriter.

The notes are expected to price Jan. 21 and settle Jan. 24.

The Cusip number is 06741T4A2.

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