Published on 12/15/2015 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $2.75 million callable contingent coupon notes on indexes, fund
By Tali Rackner
Norfolk, Va., Dec. 15 – Barclays Bank plc priced $2.75 million of callable contingent coupon notes due Dec. 13, 2018 linked to the least 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 pay a contingent quarterly coupon at an annual rate of 9.25% if each underlying component closes at or above its 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 40% buffer level, in which case investors will lose 1.66667% for every 1% that the worst performing component declines.
The notes are callable at par on any interest payment date.
Barclays is the agent.
| Issuer: | Barclays Bank plc
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| Issue: | Callable contingent coupon notes
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| Underlyings: | Russell 2000 index, Euro Stoxx 50 index, iShares MSCI Emerging Markets ETF
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| Amount: | $2.75 million
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| Maturity: | Dec. 13, 2018
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| Coupon: | 9.25% annualized per quarter if each component closes at or above barrier level on observation date for that quarter
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| Price: | Par of $1,000
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| Payout at maturity: | Par unless any component finishes below 40% buffer level, in which case investors will lose 1.66667% for every 1% that the worst performing component declines
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| Call option: | At par on any interest payment date
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| Initial levels: | 1,145.87 for Russell 2000, 3,277.21 for Euro Stoxx, $32.68 for emerging markets fund
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| Barrier levels: | 687.52 for Russell 2000, 1,966.33 for Euro Stoxx, $19.61 for emerging markets fund; 60% of initial levels
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| Pricing date: | Dec. 10
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| Settlement date: | Dec. 15
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| Agent: | Barclays
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| Fees: | 0.25%
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| Cusip: | 06741UY99
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