Published on 1/22/2018 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $1.4 million 10% contingent income autocalls tied to indexes
By Susanna Moon
Chicago, Jan. 22 – Barclays Bank plc priced $1.4 million of contingent income autocallable securities due July 22, 2020 linked to the least performing of the Nikkei 225 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 10% if each index closes at or above its 80% coupon barrier on each trading day for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly determination date other than the final date.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its 80% downside threshold, in which case investors will be fully exposed to the decline of the worst performing index.
Barclays is the agent with Morgan Stanley Wealth Management as a dealer.
| Issuer: | Barclays Bank plc
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Nikkei 225 index, the Russell 2000 index and S&P 500
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| Amount: | $1.4 million
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| Maturity: | July 22, 2020
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| Coupon: | 10% per year, payable quarterly if each index closes at or above 80% coupon threshold on each trading day during that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above 80% downside threshold, par; otherwise, full exposure to decline of worst performing index
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| Call option: | At par if each index closes at or above its initial level on any interest payment date other than final date
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| Initial levels: | 23,868.34 for Nikkei, 1,586.658 for Russell and 2,802.56 for S&P
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| Downside thresholds: | 19,094.672 for Nikkei, 1,269.326 for Russell and 2,242.048 for S&P; 80% of initial levels
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| Pricing date: | Jan. 17
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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: | 2%
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| Cusip: | 06744CSW2
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