By Angela McDaniels
Tacoma, Wash., July 25 – Barclays Bank plc priced $3.68 million of phoenix autocallable notes due July 26, 2019 linked to the lesser performing of the SPDR S&P 500 exchange-traded fund and the iShares Russell 2000 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon if each ETF closes at or above its barrier price, 65% of its initial share price, on the observation date for that quarter. The coupon rate is half of the sum of the 10-year Constant Maturity Swap rate plus 310 basis points.
Beginning July 23, 2015, the notes will be automatically called at par plus the contingent coupon if each ETF closes at or above its initial share price on any quarterly observation date.
If the notes are not called and each ETF finishes at or above its barrier price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be fully exposed to the decline of the lesser performing ETF.
Barclays is the agent.
Issuer: | Barclays Bank plc
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Issue: | Phoenix autocallable notes
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Underlying ETFs: SPDR S&P 500 ETF and iShares Russell 2000 ETF
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Amount: | $3,681,000
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Maturity: | July 26, 2019
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Coupon: | Each quarter, notes pay contingent coupon if each ETF closes at or above barrier price on observation date for that quarter; coupon rate is half of sum of 10-year CMS rate plus 310 bps
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Price: | Par
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Payout at maturity: | If each ETF finishes at or above barrier price, par plus contingent coupon; otherwise, full exposure to decline of lesser performing ETF
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Call: | Beginning July 23, 2015, notes will be automatically called at par plus contingent coupon if each ETF closes at or above initial share price on any quarterly observation date
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Initial share prices: | $198.64 for SPDR S&P 500 and $114.89 for iShares Russell 2000
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Barrier prices: | $129.12 for SPDR S&P 500 and $74.68 for iShares Russell 2000; 65% of initial share prices
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Pricing date: | July 23
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Settlement date: | July 28
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Agent: | Barclays
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Fees: | 2%
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Cusip: | 06741JV22
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