By Marisa Wong
Madison, Wis., March 4 - Barclays Bank plc priced $3.91 million of 0% contingent income autocallable securities due March 5, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a contingent quarterly payment of 1.2% if the index closes at or above the barrier level, which is 75% of the initial index level, on a quarterly determination date. Otherwise, no contingent quarterly coupon will be paid that quarter.
Beginning Feb. 29, 2016, the notes will be automatically redeemed at par plus the contingent quarterly coupon if the index closes at or above the initial index level on any quarterly redemption determination date.
If the notes are not called and the final index level is greater than or equal to the 50% downside threshold level, the payout at maturity will be par plus the final contingent quarterly coupon, if any. Otherwise, investors will be fully exposed to the index's decline from its initial level.
Barclays is the agent. Morgan Stanley Smith Barney LLC is the dealer.
| Issuer: | Barclays Bank plc
|
| Issue: | Contingent income autocallable securities
|
| Underlying index: | S&P 500
|
| Amount: | $3.91 million
|
| Maturity: | March 5, 2020
|
| Coupon: | 1.2% if index closes at or above barrier level on a quarterly determination date; otherwise, no contingent quarterly coupon will be paid that quarter
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than or equal to downside threshold level, par plus final contingent quarterly coupon, if any; otherwise, investors will be fully exposed to index's decline from its initial level
|
| Call: | Beginning Feb. 29, 2016, automatically at par plus contingent quarterly coupon if index closes at or above initial index level on any quarterly redemption determination date
|
| Initial index level: | 1,514.68
|
| Coupon barrier level: | 1,136.01, 75% of initial level
|
| Downside threshold level: | 757.34, 50% of initial level
|
| Pricing date: | Feb. 28
|
| Settlement date: | March 5
|
| Agent: | Barclays with Morgan Stanley Smith Barney LLC as dealer
|
| Fees: | 3.5%
|
| Cusip: | 06742C715
|
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