Published on 7/7/2017 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $4.52 million contingent income autocallables tied to indexes
By Susanna Moon
Chicago, July 7 – Barclays Bank plc priced $4.52 million of 0% contingent income callable securities due June 20, 2022 linked to the least performing of the S&P 500 index, the Topix index and the Euro Stoxx 50 index, according to an FWP with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8% if each index closes at or above the 70% downside threshold on the determination date that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly determination date other than the final date after one year.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its 70% downside threshold, in which case investors will lose 1% for each 1% decline of the worst performing index.
Barclays is the agent, with Morgan Stanley Wealth Management handling distribution.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | S&P 500, Topix and Euro Stoxx 50
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| Amount: | $4,523,000
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| Maturity: | June 20, 2022
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| Coupon: | 8% annualized for each quarter that each index closes at or above downside threshold on observation date for quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon if each index finishes at or above 70% downside threshold; otherwise, 1% loss for each 1% decline of worst performing index
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| Call: | After six months at par plus contingent payment if each index closes at or above initial level on any quarterly determination date other than final date after one year
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| Initial index levels: | 2,432.46 for S&P, 1,588.09 for Topix, 3,525.46 for Stoxx
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| Downside thresholds: | 1,702.722 for S&P, 1,111.663 for Topix, 2,467.822 for Stoxx; 70% of initial levels
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| Pricing date: | June 15
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| Settlement date: | June 20
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| Agent: | Barclays
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| Fees: | 2.5%
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| Cusip: | 06741VY55
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