Published on 7/7/2015 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $2.63 million contingent coupon callable notes linked to indexes, fund
By Susanna Moon
Chicago, July 7 – Barclays Bank plc priced $2.63 million of contingent coupon callable notes due July 5, 2018 linked to the Russell 2000 index, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at a rate of 7.8% per year if each component closes at or above its coupon barrier level, 60% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless any component finishes below its knock-in level, 60% of its initial level, in which case investors will lose 1.66667% for each 1% decline of the worst performing component beyond 40%.
The notes are callable at par on any interest payment date.
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Contingent coupon callable notes
|
| Underlyings: | Russell 2000, Euro Stoxx 50, iShares MSCI Emerging Markets ETF
|
| Amount: | $2,625,000
|
| Maturity: | July 5, 2018
|
| Coupon: | 7.8% annualized, payable quarterly if each component closes at or above its barrier level on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless any component finishes below its knock-in level, in which case 1.66667% loss per 1% decline of worst performing component beyond 40%
|
| Call option: | On any contingent coupon payment date
|
| Initial levels: | 1,248.26 for Russell, 3,463.25 for Stoxx, $39.78 for MSCI EM
|
| Barrier levels: | 748.96 for Russell, 2,077.95 for Stoxx, $23.87 for MSCI EM; 60% of initial levels
|
| Pricing date: | July 2
|
| Settlement date: | July 8
|
| Agent: | Barclays
|
| Fees: | 0.25%
|
| Cusip: | 06741UZR8
|
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