Barclays plans callable 15-year CMS steepener, Russell 2000-tied notes

By Susanna Moon

Chicago, Nov. 14 – Barclays Bank plc plans to price principal-at-risk callable CMS steepener and Russell 2000 index-linked notes due Nov. 28, 2029, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be 10% for the first year. After that, the interest rate will be 4 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, up to a maximum rate of 10%. Interest is payable quarterly and cannot be less than zero.

The payout at maturity will be par unless the index finishes below the 50% barrier level, in which case investors will be fully exposed to any losses.

The notes will be callable at par on any interest payment date after one year.

Barclays is the agent.

The notes will price on Nov. 24 and settle on Nov. 28.

The Cusip number is 06741ULS1.

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