By Tali Rackner
Norfolk, Va., Feb. 18 – Barclays Bank plc priced $1.2 million of contingent income autocallable securities due Feb. 15, 2018 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index closes at or above the downside threshold level, 80% of the initial level, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of 10.5%.
The notes will be called at par of $10 plus the contingent coupon if the index closes at or above the initial level on any quarterly determination date other than the final determination date.
If the final index level is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for every 1% that the final level is less than the initial level.
Barclays is the agent. Morgan Stanley Smith Barney LLC is handling distribution.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying index: | Euro Stoxx 50
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| Amount: | $1,199,000
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| Maturity: | Feb. 15, 2018
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| Coupon: | 10.5% annualized for each quarter if the index shares close at or above downside threshold level on determination date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par plus the final contingent coupon unless the index finishes below the downside threshold level, in which case full exposure to any losses
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| Call: | At par plus contingent coupon if the index shares close at or above initial level on any determination date other than final date
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| Initial level: | 2,756.16
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| Downside threshold level: | 2,204.928, 80% of initial level
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| Pricing date: | Feb. 12
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| Settlement date: | Feb. 18
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| Agent: | Barclays
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| Fees: | 2%
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| Cusip: | 06740Q872
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