By Susanna Moon
Chicago, Aug. 20 – Barclays Bank plc priced $2.58 million of phoenix autocallable notes due Aug. 20, 2019 linked to the lesser performing of the SPDR S&P 500 exchange-traded fund and the iShares Russell 2000 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent semiannual coupon if each fund closes at or above its barrier level, 65% of its initial share price, on the observation date for that semiannual period. The coupon rate is half of the sum of the 10-year Constant Maturity Swap rate plus 345 basis points.
The notes will be called at par plus the contingent coupon if each fund closes at or above its initial share price on any quarterly observation date after one year.
If the notes are not called and each fund finishes at or above its barrier price, the payout at maturity will be par plus the contingent coupon.
Otherwise, investors will be fully exposed to any losses.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Phoenix autocallable notes
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| Underlying funds: | SPDR S&P 500 ETF and iShares Russell 2000 ETF
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| Amount: | $2,576,000
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| Maturity: | Aug. 20, 2019
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| Coupon: | Half of sum of 10-year CMS rate plus 345 bps, payable semiannually, if each fund closes at or above barrier price on observation date for that semiannual period
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| Price: | Par
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| Payout at maturity: | If each fund finishes at or above barrier price, par plus contingent coupon; otherwise, full exposure to losses of worse performing fund
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| Call: | At par plus contingent coupon if each fund closes at or above initial level on any quarterly observation date beginning Aug. 17, 2015
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| Initial levels: | $195.71 for SPDR S&P and $113.39 for iShares Russell
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| Barrier levels: | $127.21 for SPDR S&P and $73.70 for iShares Russell; 65% of initial share prices
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| Pricing date: | Aug. 15
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| Settlement date: | Aug. 20
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| Agent: | Barclays
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| Fees: | 2%
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| Cusip: | 06741JV97
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