Published on 2/20/2015 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $3.39 million phoenix autocallables on two indexes, ETF
By Marisa Wong
Madison, Wis., Feb. 20 – Barclays Bank plc priced $3.39 million of phoenix autocallable notes due Feb. 21, 2020 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE 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 10.9% if each component closes at or above its coupon barrier level, 75% of its initial level, on the observation 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 other than the final date.
If the notes are not called and each component finishes at or above its 75% barrier level, the payout at maturity will be par.
Otherwise, investors will be exposed to the decline of the worst-performing component.
Barclays is the underwriter.
| Issuer: | Barclays Bank plc.
|
| Issue: | Phoenix autocallable notes
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| Underlying components: | S&P 500 index, Russell 2000 index, iShares MSCI EAFE ETF
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| Amount: | $3,394,000
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| Maturity: | Feb. 21, 2020
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| Coupon: | 10.9% annualized for each quarter that each component closes at or above barrier level on quarterly observation date
|
| Price: | Par
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| Payout at maturity: | If each component finishes at or above barrier level, par; otherwise, full exposure to losses of worst-performing component
|
| Call: | At par if each component closes at or above initial level on any quarterly observation date other than final date
|
| Initial levels: | 2,099.68 for Russell, 1,227.96 for S&P, $64.35 for ETF
|
| Barrier levels: | 1,574.76 for Russell, 920.97 for S&P, $48.26 for ETF; 75% of initial levels
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| Pricing date: | Feb. 18
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| Settlement date: | Feb. 23
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| Underwriter: | Barclays
|
| Fees: | 2.35%
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| Cusip: | 06741UQW7
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