Published on 6/4/2018 in the Prospect News Structured Products Daily.
New Issue: Barclays prices $9.70 million market-linked step-up autocallables on index basket
By Marisa Wong
Morgantown, W.Va., June 4 – Barclays Bank plc priced $9,698,120 of 0% autocallable market-linked step-up notes due May 25, 2023 linked to an international equity index basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with an initial weight of 40%, the FTSE 100 index with an initial weight of 20%, the Nikkei 225 index with an initial weight of 20%, the Swiss Market index with an initial weight of 7.5%, the S&P/ASX 200 index with an initial weight of 7.5% and the Hang Seng China Enterprises index with an initial weight of 5%.
If the basket closes at or above its initial level on an annual observation date, the notes will be called at par plus a premium of 8.55% per year.
If the basket finishes above its step-up level – 150% of the initial level – the payout at maturity will be par plus the gain.
If the basket gains by up to the step-up level, the payout will be par plus the step-up return of 50%.
If the basket falls by up to 15%, the payout will be par.
Investors will be exposed to any losses beyond 15%.
BofA Merrill Lynch is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying basket: | Euro Stoxx 50 index with an initial weight of 40%, FTSE 100 index with an initial weight of 20%, Nikkei 225 index with an initial weight of 20%, Swiss Market index with an initial weight of 7.5%, S&P/ASX 200 index with an initial weight of 7.5% and Hang Seng China Enterprises index with an initial weight of 5%
|
| Amount: | $9,698,120
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| Maturity: | May 25, 2023
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| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If basket finishes at or above the step-up level, par plus gain; if basket gains by up to step-up level, par plus 50%; par if basket falls by up to 15%; exposure to declines beyond 15%
|
| Call: | At par plus 8.55% per year if basket closes at or above its initial level on an annual observation date
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| Initial index levels: | 3,406.65 for Euro Stoxx, 7,678.20 for FTSE, 22,201.82 for Nikkei, 8,456.95 for Swiss, 6,011.883 for S&P/ASX, 11,978.30 for Hang Seng
|
| Initial basket level: | 100
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| Step-up level: | 150% of initial basket level
|
| Pricing date: | May 31
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| Settlement date: | June 7
|
| Underwriter: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 06746R171
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