Published on 1/21/2016 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $2 million contingent income callable notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Jan. 21 – Barclays Bank plc priced $2 million of contingent income callable securities due Jan. 24, 2018 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filed with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 20.3% if each index closes at or above its downside threshold level, 75% of its initial index level, on the determination date for that quarter.
The notes will be callable at par on any quarterly determination date other than the final one.
If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.
Barclays is the agent. Morgan Stanley Wealth Management is a dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income callable securities
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $2 million
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| Maturity: | Jan. 24, 2018
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| Coupon: | Each quarter, notes pay contingent coupon at annual rate of 20.3% if each index closes at or above downside threshold level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below downside threshold level, in which case full exposure to decline of least-performing index
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| Call option: | At par on any quarterly determination date other than final one
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| Initial index levels: | 1,880.33 for S&P 500, 1,007.725 for Russell 2000 and 2,935.39 for Euro Stoxx 50
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| Downside thresholds: | 1,410.248 for S&P 500, 755.794 for Russell 2000 and 2,201.543 for Euro Stoxx 50; 75% of initial levels
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| Pricing date: | Jan. 19
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| Settlement date: | Jan. 22
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| Agent: | Barclays
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| Dealer: | Morgan Stanley Wealth Management
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| Fees: | 0.75%
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| Cusip: | 06741U3Z5
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