New Issue: Barclays prices $2 million callable CMS steepener, Russell-tied notes

By Susanna Moon

Chicago, Dec. 1 – Barclays Bank plc priced $2 million of 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 12% for the first year. After that, it will be four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, up to a maximum interest rate of 12%. Interest will be payable quarterly and cannot be less than zero.

If the index finishes at or above the 50% barrier level, the payout at maturity will be par.

Otherwise, investors will be fully exposed to any losses.

Beginning Oct. 10, 2015, the notes will be callable at par on any interest payment date.

Barclays is the agent.

Issuer:	Barclays Bank plc
Issue:	Principal-at-risk callable CMS steepener and Russell 2000 index-linked notes
Underlyings:	30-year CMS rate, two-year CMS rate, Russell 2000 index
Amount:	$2 million
Maturity:	Nov. 28, 2029
Coupon:	10% for first year; after that, four times spread of 30-year CMS rate over two-year CMS rate, capped at 10% with floor of 0%; payable quarterly
Price:	Variable
Payout at maturity:	If index finishes at or above barrier level, par; otherwise, full exposure to losses
Call option:	At par on any interest payment date beginning Nov. 28, 2015
Initial index level:	1,186.94
Barrier level:	593.47, 50% of initial level
Pricing date:	Nov. 24
Settlement date:	Nov. 28
Agent:	Barclays
Fees:	5%
Cusip:	06741ULS1

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