Published on 7/8/2015 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $2.5 million contingent coupon autocallables on fund, indexes
By Susanna Moon
Chicago, July 8 – Barclays Bank plc priced $2.5 million of contingent coupon autocallable yield notes due July 10, 2018 linked to the worst performing of 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 an annual rate of 6.3% if each component closes at or above its coupon barrier level, 60% of its initial share price, on the determination date for that quarter.
The notes will be called at par if each component closes at or above its initial level on any quarterly observation date.
The payout at maturity will be par unless any component finishes below its 50% trigger level, in which case investors lose 2% for each 1% decline of the worst performing component beyond 50%.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent coupon autocallable yield notes
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| Underlyings: | Russell 2000 index, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF
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| Amount: | $2.5 million
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| Maturity: | July 10, 2018
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| Coupon: | 6.3%, payable quarterly if each component closes at or above its coupon barrier level on the determination date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless each component finishes below its trigger level, in which case 2% loss for each 1% decline beyond 50% of the worst performing component
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| Call: | At par if any component closes at or above its initial level on any quarterly observation date
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| Initial levels: | 1,246.96 for Russell, 3,365.20 for Stoxx, $38.67 for EM fund
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| Coupon barriers: | 60% of initial levels
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| Trigger levels: | 50% of initial levels
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| Pricing date: | July 6
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| Settlement date: | July 9
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| Agent: | Barclays
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| Fees: | 0.25%
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| Cusip: | 06741UZS6
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